UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) of the
SECURITIES EXCHANGE ACT OF 1934
 
For the quarterly period ended JuneSeptember 30, 2014

OR o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from          to          

Commission File Number 0-53965

 
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
BLENDED STRATEGIES PORTFOLIO
(Exact name of registrant as specified in its charter)

Delaware 20-4897069
(State or other jurisdiction of incorporation or organization)(I.R.S. Employer Identification No.)

c/o GRAHAM CAPITAL MANAGEMENT, L.P.
40 Highland Avenue
Rowayton, CT  06853
(Address of principal executive offices) (Zip Code)


Paul Sedlack
Graham Capital Management, L.P.
40 Highland Avenue
Rowayton, CT  06853
(203) 899-3400
(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x  No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o
Accelerated filer o
Non-accelerated filer o
Smaller reporting company x

Indicate by check mark whether the registrant is a shell company (as defined in rule 12b-2 of the Exchange Act).

Yes o  No x

As of AugustNovember 1, 2014, 771,931.271675,109.895 Units of the Blended Strategies Portfolio were outstanding.


GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
 
BLENDED STRATEGIES PORTFOLIO
FORM 10-Q

INDEX
 
Page
  Number
 
 
 
PART I - Financial Information:
 
 
 
 
Item 1.
Financial Statements:
 
 
 
 
 
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio
 
 
 
 
 
1
 
 
 
 
2
 
 
 
 
3
 
 
 
 
4
 
 
5
 
 
 
 
Graham Alternative Investment Trading LLC
 
 
 
 
 
13
 
 
 
 
14
 
 
 
 
15
 
 
 
 
16
 
 
 
 
17
 
 
 
 
18
 
 
 
Item 2.
6055
 
 
 
Item 3.
6863
 

Item 4.
6964
 
 
 
7065
 
 
 
 
 
 
 
 
EX - 31.1Certification
 
EX - 31.2Certification
 
EX - 32.1Certification
 

Index
PART I

Item 1.
Financial Statements

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Statements of Financial Condition

 
June 30, 2014
(Unaudited)
  
December 31, 2013
(Audited)
  
September 30, 2014
(Unaudited)
  
December 31, 2013
(Audited)
 
 
  
     
Assets 
  
     
Investment in Graham Alternative Investment Trading LLC, at fair value $84,066,441  $99,045,133  $84,965,394  $99,045,133 
Redemption receivable from Graham Alternative Investment Trading LLC  3,305,924   3,619,464   6,638,045   3,619,464 
Total assets $87,372,365  $102,664,597  $91,603,439  $102,664,597 
                
Liabilities and members’ capital                
Liabilities:                
Accrued redemptions $3,305,924  $3,619,464  $6,638,045  $3,619,464 
Total liabilities  3,305,924   3,619,464   6,638,045   3,619,464 
                
Members’ capital:                
Class 0 Units (543,584.948 and 605,548.066 units issued and outstanding at
$115.00 and $127.72, respectively)
  62,513,894   77,340,803 
Class 2 Units (245,659.774 and 220,552.039 units issued and outstanding at
$87.73 and $98.41, respectively)
  21,552,547   21,704,330 
Class 0 Units (465,282.761 and 605,548.066 units issued and outstanding at
$131.61 and $127.72, respectively)
  61,234,992   77,340,803 
Class 2 Units (237,554.201 and 220,552.039 units issued and outstanding at
$99.89 and $98.41, respectively)
  23,730,402   21,704,330 
Total members’ capital  84,066,441   99,045,133   84,965,394   99,045,133 
Total liabilities and members’ capital $87,372,365  $102,664,597  $91,603,439  $102,664,597 

See accompanying notes.
1

Index
Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Operations

 
Three Months Ended
June 30,
  
Six Months Ended
June 30,
  
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 2014  2013  2014  2013  2014  2013  2014  2013 
Net gain (loss) allocated from investment in Graham
Alternative Investment Trading LLC
 
  
  
  
         
Net realized gain (loss) on investments $(16,440) $4,173,329  $(6,048,650) $16,908,124  $7,968,167  $(5,919,049) $1,919,517  $10,989,075 
Net increase (decrease) in unrealized appreciation on investments  1,470,361   (3,254,288)  (2,451,076)  (3,754,775)  4,288,027   2,590,408   1,836,951   (1,164,367)
Brokerage commissions and fees  (118,873)  (209,923)  (256,948)  (510,214)  (126,896)  (111,470)  (383,844)  (621,684)
Net gain (loss) allocated from investment in Graham
Alternative Investment Trading LLC
  1,335,048   709,118   (8,756,674)  12,643,135   12,129,298   (3,440,111)  3,372,624   9,203,024 
                                
Net investment loss allocated from investment in
Graham Alternative Investment Trading LLC
                                
Investment income                                
Interest income  48,352   64,672   97,175   142,745   44,077   56,893   141,252   199,638 
                                
Expenses                                
Advisory fees  387,266   635,363   784,275   1,335,625   380,169   475,643   1,164,444   1,811,268 
Sponsor fees  273,458   400,724   542,172   824,381   275,934   315,823   818,106   1,140,204 
Professional fees and other  39,165   36,826   76,202   285,901   33,780   25,603   109,982   311,504 
Administrator’s fees  30,013   47,386   59,732   99,486   30,028   35,274   89,760   134,760 
Total expenses  729,902   1,120,299   1,462,381   2,545,393   719,911   852,343   2,182,292   3,397,736 
Net investment loss allocated from investment in
Graham Alternative Investment Trading LLC
  (681,550)  (1,055,627)  (1,365,206)  (2,402,648)  (675,834)  (795,450)  (2,041,040)  (3,198,098)
Net income (loss) $653,498  $(346,509) $(10,121,880) $10,240,487  $11,453,464  $(4,235,561) $1,331,584  $6,004,926 

See accompanying notes.
2

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital

For the sixnine months ended JuneSeptember 30, 2014 and 2013

 Class 0 Units  Class 2 Units  
  Class 0 Units  Class 2 Units   
 Units  Capital  Units  Capital  
Total Members’
Capital
  Units  Capital  Units  Capital  
Total Members’
Capital
 
 
  
  
  
  
           
Members’ capital, December 31, 2012  1,241,639.087  $142,637,622   279,471.807  $25,234,372  $167,871,994   1,241,639.087  $142,637,622   279,471.807  $25,234,372  $167,871,994 
Subscriptions  40,089.080   4,890,000   3,741.593   351,886   5,241,886   40,708.235   4,965,000   6,942.297   651,886   5,616,886 
Redemptions  (541,309.472)  (66,919,633)  (39,689.875)  (3,785,813)  (70,705,446)  (605,373.540)  (74,399,999)  (53,822.202)  (5,073,882)  (79,473,881)
Net income     9,081,044      1,159,443   10,240,487      5,797,769      207,157   6,004,926 
Members’ capital, June 30, 2013  740,418.695  $89,689,033   243,523.525  $22,959,888  $112,648,921 
Members’ capital, September 30, 2013  676,973.782  $79,000,392   232,591.902  $21,019,533  $100,019,925 
                    
 Class 0 Units  Class 2 Units     
 Units  Capital  Units  Capital  
Total Members’
Capital
 
                    
Members’ capital, December 31, 2013  605,548.066  $77,340,803   220,552.039  $21,704,330  $99,045,133 
Subscriptions  24,884.030   2,920,787   61,551.245   5,413,720   8,334,507 
Redemptions  (165,149.335)  (19,778,763)  (44,549.083)  (3,967,067)  (23,745,830)
Net income     752,165      579,419   1,331,584 
Members’ capital, September 30, 2014  465,282.761  $61,234,992   237,554.201  $23,730,402  $84,965,394 
 
 Class 0 Units  Class 2 Units   
 
 Units  Capital  Units  Capital  
Total Members’
Capital
 
 
          
Members’ capital, December 31, 2013  605,548.066  $77,340,803   220,552.039  $21,704,330  $99,045,133 
Subscriptions  23,805.913   2,795,079   58,712.079   5,164,210   7,959,289 
Redemptions  (85,769.031)  (9,841,385)  (33,604.344)  (2,974,716)  (12,816,101)
Net loss     (7,780,603)     (2,341,277)  (10,121,880)
Members’ capital, June 30, 2014  543,584.948  $62,513,894   245,659.774  $21,552,547  $84,066,441 

See accompanying notes.
3

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Cash Flows

 
Six Months Ended
June 30,
  
Nine Months Ended
September 30,
 
 2014  2013  2014  2013 
Cash flows provided by operating activities 
  
     
Net (loss) income $(10,121,880) $10,240,487 
Adjustments to reconcile net (loss) income to net cash provided by operating activities:        
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC  10,121,880   (10,240,487)
Net income $1,331,584  $6,004,926 
Adjustments to reconcile net income to net cash provided by operating activities:        
Net income allocated from investment in Graham Alternative Investment Trading LLC  (1,331,584)  (6,004,926)
Proceeds from sale of investments in Graham Alternative Investment Trading LLC  13,129,641   84,023,696   20,727,249   90,594,683 
Investments in Graham Alternative Investment Trading LLC  (7,959,289)  (5,241,886)  (8,334,507)  (5,616,886)
Net cash provided by operating activities  5,170,352   78,781,810   12,392,742   84,977,797 
                
Cash flows used in financing activities                
Subscriptions  7,959,289   5,241,886   8,334,507   5,616,886 
Redemptions  (13,129,641)  (84,023,696)  (20,727,249)  (90,594,683)
Net cash used in financing activities  (5,170,352)  (78,781,810)  (12,392,742)  (84,977,797)
                
Net change in cash and cash equivalents            
                
Cash and cash equivalents, beginning of period            
Cash and cash equivalents, end of period $  $  $  $ 

See accompanying notes.

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements

JuneSeptember 30, 2014
 
1. Organization and Business
 
The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. GAIF I has two other series in addition to the Fund, Systematic Strategies Portfolio and Discretionary Strategies Portfolio. GAIF I closed the Discretionary Strategies Portfolio on June 30, 2014. Prior to March 28, 2013, GAIF I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. Comparative information contained within these financial statements for periods prior to March 28, 2013 represent the data pertaining solely to the Blended Strategies Portfolio. GAIF I is registered as a commodity pool, withand as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission.Commission (“CFTC”).
 
As a Series Limited Liability Company each series is legally segregated, and the assets associated with each series are held separately and accounted for in separate and distinct records from the assets of any other series of GAIF I. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not against the assets of GAIF I generally or any other series thereof. Further, none of the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to GAIF I are enforceable against the assets of any other series.

The Fund offers investors Class 0 and Class 2 units. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. GAIT invests in various master trading vehicles (“Master Funds”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Manager is the manager and the sole investment advisor of GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. Commodity Futures Trading CommissionCFTC and is a member of the National Futures Association. The Manager is also registered as a Registered Investment Advisor with the Securities and Exchange Commission. The Fund’s Units are registered under the Securities Exchange Act of 1934.
 
The investment objective of the Fund is to achieve long-term capital appreciation through professionally managed trading in both U.S. and foreign markets primarily in futures contracts, forwards contracts, spot currency contracts, and associated derivative instruments, such as options and swaps, through its investment in GAIT, which in turn invests in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.
 
SEI Global Services, Inc. (“SEI”) is the Fund’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of the Fund.
 
The Fund will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Limited Liability Company Agreement (“LLC Agreement”).
 
The performance of the Fund is directly affected by the performance of GAIT; therefore these financial statements should be read in conjunction with the attached financial statements of GAIT.
5

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

1. Organization and Business (continued)
 
Duties of the Manager
 
Subject to the terms and conditions of the LLC Agreement, the Manager has complete and exclusive responsibility for managing and administering the affairs of the Fund and for directing the investment and reinvestment of the assets of the Fund and GAIT.
 
2. Summary of Significant Accounting Policies
 
These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Update 2013-08, Financial Services – Investment Companies (Topic 946), Amendments to the Scope, Measurement, and Disclosure Requirements.Requirements. The Manager has evaluated this guidance and has determined the Fund meets the criteria to be classified as an investment company. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.
 
Investment in Graham Alternative Investment Trading LLC
 
The Fund records its investment in GAIT at fair value based upon the Fund’s proportionate share of GAIT’s reported net asset value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in Master Funds at fair value based upon GAIT’s proportionate share of the Master Funds’ reported net asset value. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis and includes them in the statements of operations. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.
 
GAIT charges its investors, including the Fund, an advisory fee, administrator’s fee, sponsor fee and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however each investor in the Fund indirectly bears a portion of the advisory fee, sponsor fee, administrator’s fee, and incentive allocation charged by GAIT.

At JuneSeptember 30, 2014 and December 31, 2013, the Fund owned 57.56%55.53% and 54.85%, respectively of GAIT.

Fair Value
 
The fair value of the assets and liabilities of the Fund and GAIT, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations.
 
The Fund follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. The Fund reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. U.S. GAAP uses a three-levelthree level hierarchy for fair value measurement based on the activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.
6

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
 
Fair Value (continued)
 
The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

·Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
·Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to the Fund’s investment in GAIT, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.
·Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
 
In accordance with this hierarchy, the Fund’s investment in GAIT has been classified as a Level 2 valuation. There were no Level 3 assets or liabilities held at any point during the sixnine months ended JuneSeptember 30, 2014 or the year ended December 31, 2013 by the Fund, GAIT, or the Master Funds, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.
 
Indemnifications
 
In the normal course of business, the Master Funds, GAIT, Graham Cash Assets LLC (“Cash Assets”), and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote.
 
3. Capital Accounts
 
The Fund offers two classes (each a “Class”) of Units (collectively the “Units”), being Class 0 Units and Class 2 Units. The Fund may issue additional Classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager.
 
A separate Capital Account is maintained for each Member with respect to each member’s Class of Units. The initial balance of each Member’s Capital Account is equal to the initial contribution to the Fund by such Member with respect to the Class to which such Capital Account relates. Each Member’s Capital Account is increased by any additional subscription, and decreased by any redemption by such Member of Units of such Class to which the Capital Account relates. All income and expenses of the Fund are allocated among the Members’ Capital Accounts in proportion to the balance that each Capital Account bears to the balance of all Capital as of the beginning of such fiscal period.
 
Subscriptions
 
Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $50,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000.
Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

3. Capital Accounts (continued)

Subscriptions (continued)

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Redemption of Units

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $25,000. The redemption proceeds will normally be remitted within 15 days after the Valuation Day, without interest for the period from the Valuation Day to the payment date.

Redemption Fees

Class 2 Units are subject to a redemption fee equal to 2% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 1% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Class 0 Units are not subject to a redemption fee. Redemption fees are payable to the Manager upon redemption of Units from the proceeds of such redemption. ThereRedemption fees of $0 and $4,244 were no redemption fees paid to the Manager for the sixnine months ended JuneSeptember 30, 2014 and 2013.2013, respectively, and are included as redemptions in the statements of changes in members’ capital.
 
4. Fees and Related Party Transactions

Advisory Fees

For the sixnine months ended JuneSeptember 30, 2014 and 2013, each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.
 Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)
Sponsor Fees

For the sixnine months ended JuneSeptember 30, 2014 and 2013, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the three months ended March 31, 2013, the annual rate listed below for Class 2 comprised a Sponsor Fee of 0.75% and selling agent fee (the “Selling Agent Fee”) of 2%, which was used to compensate selling agents for initial and on-going services to the Fund. Subsequent to March 31, 2013, the Sponsor Fee and the Selling Agent Fee were combined to form the Sponsor Fee listed in the table below.
 
ClassAnnual Rate
Class 00.75%
Class 22.75%


Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
 
4. Fees and Related Party Transactions (continued)

Incentive Allocation

At the end of each calendar quarter, the Manager of GAIT will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager.

Administrator’s Fee

For the sixnine months ended JuneSeptember 30, 2014 and 2013, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT.

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with the Fund.

5. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of the Fund’s revenues and expenses for income tax purposes.
 Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
5. Income Taxes (continued)
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.
Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
6. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended JuneSeptember 30, 2014 and 2013:
 
 Class 0  Class 2  Class 0  Class 2 
Per unit operating performance 
  
     
Net asset value per unit, March 31, 2013 $122.47  $95.80 
Net asset value per unit, June 30, 2013 $121.13  $94.28 
Net loss:                
Net investment loss  (0.86)  (1.13)  (0.76)  (1.06)
Net loss on investments  (0.48)  (0.39)  (3.67)  (2.85)
Net loss  (1.34)  (1.52)  (4.43)  (3.91)
Net asset value per unit, June 30, 2013 $121.13  $94.28 
Net asset value per unit, September 30, 2013 $116.70  $90.37 
                
Net asset value per unit, March 31, 2014 $114.03  $87.43 
Net asset value per unit, June 30, 2014 $115.00  $87.73 
Net income:                
Net investment loss  (0.76)  (1.06)  (0.81)  (1.07)
Net gain on investments  1.73   1.36   17.42   13.23 
Net income  0.97   0.30   16.61   12.16 
Net asset value per unit, June 30, 2014 $115.00  $87.73 
Net asset value per unit, September 30, 2014 $131.61  $99.89 
 Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
6. Financial Highlights (continued)
 
The following represents ratios to average members’ capital and total return for the three month periods ended JuneSeptember 30, 2014 and 2013:
 
 Class 0  Class 2  Class 0  Class 2 
 2014  2013  2014  2013  2014  2013  2014  2013 
 
  
  
  
         
Total return before Incentive Allocation  0.85%  (1.09)%  0.35%  (1.59)%  14.44%  (3.66)%  13.86%  (4.15)%
Incentive Allocation  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Total return after Incentive Allocation  0.85%  (1.09)%  0.35%  (1.59)%  14.44%  (3.66)%  13.86%  (4.15)%
                                
Net investment loss before Incentive Allocation  (0.66)%  (0.70)%  (1.21)%  (1.18)%  (0.68)%  (0.63)%  (1.18)%  (1.12)%
Incentive Allocation  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Net investment loss after Incentive Allocation  (0.66)%  (0.70)%  (1.21)%  (1.18)%  (0.68)%  (0.63)%  (1.18)%  (1.12)%
                                
Total expenses before Incentive Allocation  0.72%  0.74%  1.26%  1.22%  0.74%  0.69%  1.23%  1.20%
Incentive Allocation  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Total expenses after Incentive Allocation  0.72%  0.74%  1.26%  1.22%  0.74%  0.69%  1.23%  1.20%

The following is the per unit operating performance calculation for the nine month periods ended September 30, 2014 and 2013:
  Class 0  Class 2 
Per unit operating performance    
Net asset value per unit, December 31, 2012 $114.88  $90.29 
Net income:        
Net investment loss  (2.50)  (3.33)
Net gain on investments  4.32   3.41 
Net income  1.82   0.08 
Net asset value per unit, September 30, 2013 $116.70  $90.37 
         
Net asset value per unit, December 31, 2013 $127.72  $98.41 
Net income:        
Net investment loss  (2.33)  (3.18)
Net gain on investments  6.22   4.66 
Net income  3.89   1.48 
Net asset value per unit, September 30, 2014 $131.61  $99.89 
 
1011

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
 
6. Financial Highlights (continued)

The following is the per unit operating performance calculation for the six month periods ended June 30, 2014 and 2013:
 
 Class 0  Class 2 
Per unit operating performance 
  
 
Net asset value per unit, December 31, 2012 $114.88  $90.29 
Net income:        
Net investment loss  (1.74)  (2.28)
Net gain on investments  7.99   6.27 
Net income  6.25   3.99 
Net asset value per unit, June 30, 2013 $121.13  $94.28 
 
        
Net asset value per unit, December 31, 2013 $127.72  $98.41 
Net loss:        
Net investment loss  (1.52)  (2.10)
Net loss on investments  (11.20)  (8.58)
Net loss  (12.72)  (10.68)
Net asset value per unit, June 30, 2014 $115.00  $87.73 
 
The following represents ratios to average members’ capital and total return for the sixnine month periods ended JuneSeptember 30, 2014 and 2013:
 
 
 Class 0  Class 2 
 
 2014  2013  2014  2013 
 
 
  
  
  
 
Total return before Incentive Allocation  (9.96)%  5.44%  (10.85)%  4.42%
Incentive Allocation  0.00   0.00   0.00   0.00 
Total return after Incentive Allocation  (9.96)%  5.44%  (10.85)%  4.42%
 
                
Net investment loss before Incentive Allocation  (1.29)%  (1.46)%  (2.31)%  (2.42)%
Incentive Allocation  0.00   0.00   0.00   0.00 
Net investment loss after Incentive Allocation  (1.29)%  (1.46)%  (2.31)%  (2.42)%
 
                
Total expenses before Incentive Allocation  1.40%  1.56%  2.41%  2.52%
Incentive Allocation  0.00   0.00   0.00   0.00 
Total expenses after Incentive Allocation  1.40%  1.56%  2.41%  2.52%
Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
6. Financial Highlights (continued)
  Class 0  Class 2 
  2014  2013  2014  2013 
         
Total return before Incentive Allocation  3.04%  1.58%  1.51%  0.09%
Incentive Allocation  0.00   0.00   0.00   0.00 
Total return after Incentive Allocation  3.04%  1.58%  1.51%  0.09%
                 
Net investment loss before Incentive Allocation  (1.97)%  (2.11)%  (3.50)%  (3.57)%
Incentive Allocation  0.00   0.00   0.00   0.00 
Net investment loss after Incentive Allocation  (1.97)%  (2.11)%  (3.50)%  (3.57)%
                 
Total expenses before Incentive Allocation  2.13%  2.27%  3.67%  3.73%
Incentive Allocation  0.00   0.00   0.00   0.00 
Total expenses after Incentive Allocation  2.13%  2.27%  3.67%  3.73%

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total members’ capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital for Class 0 and Class 2 Units of the Fund for the three and sixnine month periods ended JuneSeptember 30, 2014 and 2013.

7. Subsequent Events

The Fund had subscriptions of approximately $0.2$0.5 million and redemptions of approximately $2.1$4.1 million through AugustNovember 14, 2014, the date through which subsequent events were evaluated by management.  These amounts have not been included in the financial statements.
Graham Alternative Investment Trading LLC

Statements of Financial Condition

 
June 30, 2014
(Unaudited)
  
December 31, 2013
(Audited)
  
September 30, 2014
(Unaudited)
  
December 31, 2013
(Audited)
 
Assets
 
  
     
Investments in Master Funds, at fair value $22,903,052  $33,759,212  $29,321,869  $33,759,212 
Investment in Graham Cash Assets LLC, at fair value  132,364,459   153,099,740   132,377,412   153,099,740 
Receivable from Master Funds  56   2,695   -   2,695 
Total assets $155,267,567  $186,861,647  $161,699,281  $186,861,647 
                
Liabilities and members’ capital                
Liabilities:                
Accrued redemptions $8,718,041  $5,589,666  $8,169,800  $5,589,666 
Accrued advisory fees  221,952   276,022   231,022   276,022 
Accrued sponsor fees  159,746   187,789   170,112   187,789 
Accrued professional fees  99,457   203,102   79,760   203,102 
Accrued administrator’s fee  17,636   20,714   18,368   20,714 
Payable to Master Funds  2,310   7,249   19,956   7,249 
Total liabilities  9,219,142   6,284,542   8,689,018   6,284,542 
                
Members’ capital:                
Class 0 Units (928,893.895 and 1,093,036.786 units issued and outstanding at
$115.00 and $127.72 per unit, respectively)
  106,825,568   139,603,019 
Class 2 Units (437,506.448 and 407,013.551 units issued and outstanding at
$87.73 and $98.41 per unit, respectively)
  38,383,907   40,053,854 
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at
$179.59 and $196.99 per unit, respectively)
  838,950   920,232 
Class 0 Units (831,987.044 and 1,093,036.786 units issued and outstanding at
$131.61 and $127.72 per unit, respectively)
  109,496,244   139,603,019 
Class 2 Units (425,927.030 and 407,013.551 units issued and outstanding
at $99.89 and $98.41 per unit, respectively)
  42,547,859   40,053,854 
Class M Units (4,671.470 and 4,671.470 units issued and outstanding
at $206.82 and $196.99 per unit, respectively)
  966,160   920,232 
Total members’ capital  146,048,425   180,577,105   153,010,263   180,577,105 
Total liabilities and members’ capital $155,267,567  $186,861,647  $161,699,281  $186,861,647 

See accompanying notes.

Graham Alternative Investment Trading LLC
Condensed Schedules of Investments
 
 
June 30, 2014
(Unaudited)
  
December 31, 2013
(Audited)
 
Description Fair Value  
Percentage of
Members’
Capital
  Fair Value  
Percentage of
Members’
Capital
 
 
 
  
  
  
 
Investments in Master Funds, at fair value 
  
  
  
 
Graham Commodity Strategies LLC $3,820,521     2.62%  $11,687,704   6.47% 
Graham Global Monetary Policy LLC  1,767,570     1.21%   5,538,724   3.07% 
Graham K4D Trading Ltd.  15,821,984   10.83%   16,532,784   9.16% 
Graham Macro Directional LLC  1,492,977     1.02%       
Total investments in Master Funds $22,903,052   15.68%  $33,759,212   18.70%
See accompanying notes.

Graham Alternative Investment Trading LLC
Unaudited Statements of Operations and Incentive Allocation
 
 
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 
 2014  2013  2014  2013 
Net (loss) gain allocated from investments in
Master Funds
 
  
  
  
 
Net realized (loss) gain on investments $(50,226) $5,978,274  $(11,029,658) $26,251,922 
Net increase (decrease) in unrealized appreciation on investments  2,646,562   (5,250,626)  (4,550,887)  (6,111,576)
 Brokerage commissions and fees  (211,828)  (354,064)  (463,683)  (831,625)
Net (loss) gain allocated from investments in Master Funds  2,384,508   373,584   (16,044,228)  19,308,721 
 
                
Net investment loss allocated from investments in Master Funds  (13,729)  (10,544)  (34,448)  (16,501)
 
                
Investment income                
Interest income  86,298   109,104   175,370   233,266 
Total investment income  86,298   109,104   175,370   233,266 
 
                
Expenses                
Advisory fees  687,422   1,065,854   1,408,195   2,175,746 
Sponsor fees  488,104   682,864   983,136   1,372,987 
Administrator’s fees  53,552   79,753   107,782   162,594 
Professional fees and other
  56,100   51,900   102,901   441,174 
Total expenses  1,285,178   1,880,371   2,602,014   4,152,501 
Net investment loss of the Fund  (1,198,880)  (1,771,267)  (2,426,644)  (3,919,235)
 
                
Net (loss) income  1,171,899   (1,408,227)  (18,505,320)  15,372,985 
 
                
Incentive allocation            
 
                
Net (loss) income available for pro-rata allocation to all members $1,171,899  $(1,408,227) $(18,505,320) $15,372,985 
See accompanying notes.
Graham Alternative Investment Trading LLC
Unaudited Statements of Changes in Members’ Capital
For the six months ended June 30, 2014 and 2013
 
 Class 0  Class 2  Class M  Total 
 
 Units  Capital  Units  Capital  Units  Capital  Capital 
 
 
  
  
  
  
  
  
 
Members’ capital, December 31, 2012
  1,922,696.211  $220,876,439   483,129.319  $43,623,249   4,671.470  $806,295  $265,305,983 
Subscriptions  53,655.992   6,520,000   11,414.547   1,082,435         7,602,435 
Redemptions  (654,544.800)  (80,628,297)  (55,643.476)  (5,296,530)        (85,924,827)
Incentive allocation                     
Net income     13,346,186      1,971,267      55,532   15,372,985 
Members’ capital, June 30, 2013  1,321,807.403  $160,114,328   438,900.390  $41,380,421   4,671.470  $861,827  $202,356,576 
 
                            
 
 Class 0  Class 2  Class M  Total 
 
 Units  Capital  Units  Capital  Units  Capital  Capital 
 
                            
Members’ capital, December 31, 2013  1,093,036.786  $139,603,019   407,013.551  $40,053,854   4,671.470  $920,232  $180,577,105 
Subscriptions  27,567.625   3,233,079   82,701.099   7,392,005         10,625,084 
Redemptions  (191,710.516)  (22,020,925)  (52,208.202)  (4,627,519)        (26,648,444)
Incentive allocation                     
Net loss     (13,989,605)     (4,434,433)     (81,282)  (18,505,320)
Members’ capital, June 30, 2014  928,893.895  $106,825,568   437,506.448  $38,383,907   4,671.470  $838,950  $146,048,425 
See accompanying notes.

Graham Alternative Investment Trading LLC
Unaudited Statements of Cash Flows
 
 
Six Months Ended
June 30,
 
 
 2014  2013 
Cash flows provided by operating activities 
  
 
Net (loss) income $(18,505,320) $15,372,985 
Adjustments to reconcile net (loss) income to net cash provided by
operating activities:
        
Net loss (income) allocated from investments in Master Funds  16,078,676   (19,292,220)
Net income allocated from investment in Graham Cash Assets LLC  (175,370)  (233,266)
Proceeds from sale of investments in Master Funds  119,195,545   180,787,067 
Proceeds from sale of investments in Graham Cash Assets LLC  101,552,403   203,188,288 
Investments in Master Funds
  (124,420,361)  (142,317,540)
Investments in Graham Cash Assets LLC  (80,641,752)  (140,811,787)
Changes in assets and liabilities:        
Accrued commission reimbursements     165,510 
Accrued brokerage fees     (568,525)
Accrued advisory fees  (54,070)  (191,647)
Accrued sponsor fees  (28,043)  (47,447)
Accrued professional fees  (103,645)  302,676 
Accrued administrator’s fee  (3,078)  21,987 
Net cash provided by operating activities  12,894,985   96,376,081 
 
        
Cash flows used in financing activities        
Subscriptions  10,625,084   7,602,435 
Redemptions  (23,520,069)  (103,978,516)
Net cash used in financing activities  (12,894,985)  (96,376,081)
 
        
Net change in cash and cash equivalents      
 
        
Cash and cash equivalents, beginning of period      
Cash and cash equivalents, end of period $  $ 
See accompanying notes.

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

  
September 30, 2014
(Unaudited)
  
December 31, 2013
(Audited)
 
Description Fair Value  
Percentage of
Members’
Capital
  Fair Value  
Percentage of
Members’
Capital
 
         
Investments in Master Funds, at fair value        
Graham Commodity Strategies LLC $14,487,048   9.47% $11,687,704   6.47%
Graham Global Monetary Policy LLC        5,538,724   3.07%
Graham K4D Trading Ltd.  14,834,821   9.69%  16,532,784   9.16%
Total investments in Master Funds $29,321,869   19.16% $33,759,212   18.70%

See accompanying notes.
Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation
  
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
  2014  2013  2014  2013 
Net gain (loss) allocated from investments in
Master Funds
        
Net realized gain (loss) on investments $14,018,712  $(10,653,483) $2,989,054  $15,598,439 
Net increase (decrease) in unrealized appreciation
on investments
  7,541,370   4,654,629   2,990,483   (1,456,947)
Brokerage commissions and fees  (223,075)  (200,801)  (686,758)  (1,032,426)
Net gain (loss) allocated from investments in Master
Funds
  21,337,007   (6,199,655)  5,292,779   13,109,066 
                 
Net investment loss allocated from investments in
Master Funds
  (14,194)  (7,460)  (48,642)  (23,961)
                 
Investment income                
Interest income  77,478   102,458   252,848   335,724 
Total investment income  77,478   102,458   252,848   335,724 
                 
Expenses                
Advisory fees  664,387   852,870   2,072,582   3,028,616 
Sponsor fees  486,701   568,766   1,469,837   1,941,753 
Administrator’s fees  52,785   63,526   160,567   226,120 
Professional fees and other  45,155   38,516   148,056   479,690 
Total expenses  1,249,028   1,523,678   3,851,042   5,676,179 
Net investment loss of the Fund  (1,171,550)  (1,421,220)  (3,598,194)  (5,340,455)
                 
Net income (loss)  20,151,263   (7,628,335)  1,645,943   7,744,650 
                 
Incentive allocation            
                 
Net income (loss) available for pro-rata allocation to
all members
 $20,151,263  $(7,628,335) $1,645,943  $7,744,650 

See accompanying notes.
Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the nine months ended September 30, 2014 and 2013
  Class 0  Class 2  Class M  Total 
  Units  Capital  Units  Capital  Units  Capital  Capital 
               
Members’ capital, December 31, 2012  1,922,696.211  $220,876,439   483,129.319  $43,623,249   4,671.470  $806,295  $265,305,983 
Subscriptions  56,996.343   6,920,000   20,155.025   1,896,683         8,816,683 
Redemptions  (760,799.085)  (93,032,569)  (78,934.223)  (7,409,843)        (100,442,412)
Incentive allocation                     
Net income     7,476,614      238,814      29,222   7,744,650 
Members’ capital, September 30, 2013  1,218,893.469  $142,240,484   424,350.121  $38,348,903   4,671.470  $835,517  $181,424,904 
                             
  Class 0  Class 2  Class M  Total 
  Units  Capital  Units  Capital  Units  Capital  Capital 
                             
Members’ capital, December 31, 2013  1,093,036.786  $139,603,019   407,013.551  $40,053,854   4,671.470  $920,232  $180,577,105 
Subscriptions  43,982.787   5,119,787   90,020.783   8,039,515         13,159,302 
Redemptions  (305,032.529)  (36,018,540)  (71,107.304)  (6,353,547)        (42,372,087)
Incentive allocation                     
Net income     791,978      808,037      45,928   1,645,943 
Members’ capital, September 30, 2014  831,987.044  $109,496,244   425,927.030  $42,547,859   4,671.470  $966,160  $153,010,263 

See accompanying notes.
Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

  
Nine Months Ended
September 30,
 
  2014  2013 
Cash flows provided by operating activities    
Net income $1,645,943  $7,744,650 
Adjustments to reconcile net income to net cash provided by operating
activities:
        
Net income allocated from investments in Master Funds  (5,244,137)  (13,085,105)
Net income allocated from investment in Graham Cash Assets LLC  (252,848)  (335,724)
Proceeds from sale of investments in Master Funds  179,274,652   231,980,828 
Proceeds from sale of investments in Graham Cash Assets LLC  142,348,843   257,264,825 
Investments in Master Funds  (169,577,770)  (198,525,687)
Investments in Graham Cash Assets LLC  (121,373,667)  (175,262,636)
Changes in assets and liabilities:        
Accrued commission reimbursements     165,510 
Accrued brokerage fees     (568,525)
Accrued advisory fees  (45,000)  (221,300)
Accrued sponsor fees  (17,677)  (64,853)
Accrued professional fees  (123,342)  230,964 
Accrued administrator’s fee  (2,346)  19,976 
Net cash provided by operating activities  26,632,651   109,342,923 
         
Cash flows used in financing activities        
Subscriptions  13,159,302   8,816,683 
Redemptions  (39,791,953)  (118,159,606)
Net cash used in financing activities  (26,632,651)  (109,342,923)
         
Net change in cash and cash equivalents      
         
Cash and cash equivalents, beginning of period      
Cash and cash equivalents, end of period $  $ 

Supplemental non cash operating activities
Investments and proceeds related to investments in Master Funds consolidated into Graham Commodity Strategies LLC not included above:  $6,005,778 (See Note 2)
See accompanying notes.
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

JuneSeptember 30, 2014
 
1. Organization and Business

Graham Alternative Investment Trading LLC (“GAIT”) was formed on May 18, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Managing Member” or “Manager”) is the Managing Member and the sole investment advisor. The Managing Member is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association. The Managing Member is also registered as a Registered Investment Advisor with the Securities and Exchange Commission. GAIT is registered as a commodity pool, withand as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission.CFTC.

The investment objective of GAIT is to achieve long-term capital appreciation through professionally managed trading through its investment in various master trading vehicles (“Master Funds”). As more fully described in Notes 2 and 3, these Master Funds invest in a broad range of derivative instruments such as currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and options and swaps thereon traded on U.S. and foreign exchanges, as well as over-the-counter.

Graham Alternative Investment Fund I LLC Blended Strategies Portfolio and Graham Alternative Investment Fund II LLC Blended Strategies Portfolio andare the primary investors of GAIT. Graham Alternative Investment III Ltd. arewas an investor of GAIT for the primary investors of GAIT.period from January 1, 2014 through its closing on June 30, 2014.

SEI Global Services, Inc. (“SEI”) is GAIT’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of GAIT.

GAIT will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Limited Liability Company Agreement (“LLC Agreement”).

Duties of the Managing Member

Subject to the terms and conditions of the LLC Agreement, the Managing Member has complete and exclusive responsibility for managing and administering the affairs of GAIT and for directing the investment and reinvestment of the assets of GAIT.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. GAIT is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Update 2013-08, Financial Services – Investment Companies (Topic 946), Amendments to the Scope, Measurement, and Disclosure Requirements. The Manager has evaluated this guidance and has determined GAIT meets the criteria to be classified as an investment company. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
2. Summary of Significant Accounting Policies (continued)

Investments in Master Funds

GAIT invests in various Master Funds which are managed by the Managing Member. These investments are valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of the Master Funds’ reported net asset values. Gains and losses are allocated monthly by each Master Fund to GAIT based upon GAIT’s proportionate share of the net asset value of each Master Fund and are included in the statements of operations and incentive allocation.

During the period ended September 30, 2014 certain Master Funds in which GAIT invested consolidated their assets under Graham Commodity Strategies LLC and then ceased operations. The dates of the consolidation were as follows:
Master FundConsolidation Date
Graham Macro Directional LLCAugust 21, 2014
Graham Global Monetary Policy LLCAugust 26, 2014
Fair Value

The fair value of GAIT’s assets and liabilities, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations and incentive allocation.

GAIT follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. GAIT reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

·Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
·Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to GAIT’s investments in the other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.
·Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.

In accordance with this hierarchy, GAIT’s investments in Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been classified as Level 2. These investments are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the sixnine months ended JuneSeptember 30, 2014 or the year ended December 31, 2013 by GAIT, the Master Funds, or Cash Assets, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
2. Summary of Significant Accounting Policies (continued)

Derivative Instruments

In the normal course of business, the Master Funds utilize derivative financial instruments in connection with their trading activities. Derivative instruments derive their value from underlying assets, indices, reference rates or a combination of these factors. Investments in derivative financial instruments are subject to additional risks that can result in a loss of all or part of an investment. The Master Funds’ derivative financial instruments are classified by the following primary underlying risks: interest rate, foreign currency exchange rate, commodity price, and equity price risks. These risks can be in excess of the amounts recognized in the statements of financial condition. In addition, the Master Funds are also subject to additional counterparty risk should their counterparties fail to meet the terms of their contracts. Management of counterparty risk involves a number of considerations, such as the financial profile of the counterparty, specific terms and duration of the contractual agreement, and the value of collateral held, if any. The Master Funds have established initial credit approval, credit limits, and collateral requirements and may reduce their exposure to any counterparties they deem necessary. Trading in non-U.S. dollar denominated derivative instruments may subject the value of, and gains and losses associated with, such contracts to additional risks related to adverse changes in the applicable exchange rates.

Unrealized gains and losses from derivative financial instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.

Futures Contracts

The Master Funds use futures contracts in an attempt to take advantage of changes in the value of equities, commodities, interest rates, bonds and foreign currencies. Futures contracts are valued based upon the closing price as of the valuation date established by the primary exchange upon which they are traded.

A futures contract represents a commitment for the future purchase or sale of an asset or cash settlement based on the value of an asset on a specified date. The purchase and sale of futures contracts are executed on an exchange which requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized gains or losses by the Master Funds. Relative to over-the-counter derivative financial instruments, futures contracts provide reduced counterparty risk to the Master Funds since futures are exchange-traded and the exchanges’ clearing house guarantees the futures against default. However some non-U.S. exchanges are “principals’ markets” in which no common clearing facility exists and the Master Funds may look only to the clearing broker for performance of the contract. The U.S. Commodity Exchange Act requires an FCM to segregate all funds received from such FCM’s customers in respect of regulated futures transactions. If the FCM were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the FCM. In that case, the Master Funds would be limited to recovering only a pro rata share of all available funds segregated on behalf of the FCM’s combined customer accounts, even though certain property specifically traceable to the Master Funds was held by the FCM. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds might experience a loss of funds deposited through its FCM as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Forward Contracts

The Master Funds enter into foreign currency forward contracts in an attempt to take advantage of changes in exchange rates. Forward currency transactions are contracts or agreements for delivery of specific currencies or the cash equivalent value at a specified future date and an agreed upon price. Forward contracts are not guaranteed by an exchange or clearing house and therefore the risks include the inability of counterparties to meet their obligations under the terms of the contracts as well as the risks associated with movements in fair value.

Exchange traded forward contracts are valued based upon the settlement prices as of the valuation date, established by the primary exchange upon which they are traded. All other forward contracts are valued based upon a forward curve constructed using independently quoted forward points. Changes in fair value of each forward contract are recognized as unrealized gains or losses.

Swap Contracts

The Master Funds may enter into various swap contracts in an attempt to take advantage of changes in interest rates and asset values. Exchange traded interest rate swap contracts are executed on an exchange which requires margin deposits with a Central Clearing Counterparty (“CCP”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized gains or losses by the Master Funds. Relative to over-the-counter interest rate swap contracts, exchange traded interest rate swap contracts provide reduced counterparty risk since they are exchange-traded and the exchange’s clearinghouse guarantees against default. The Commodity Exchange Act requires a CCP to segregate all funds received from such CCP’s customers in respect of exchange traded interest rate swaps. If the CCP were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the CCP. In that case, the Master Funds would be limited to recovering only a pro rata share of all available funds segregated on behalf of the CCP’s combined customer accounts, even though certain property specifically traceable to the Master Funds is held by the CCP. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds could experience a loss of funds deposited through its CCP as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions. All funds deposited with both U.S. and non-U.S. CCPs are included in due from brokers on the consolidated statements of financial condition. Over the counter swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized gains on open positions. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Funds may not be able to enter into an offsetting contract in order to cover its risk. Over the counter swaps are subject to the International Swap and Derivative Association (“ISDA”) Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets, and provide limits with respect to any decline in the Master Funds’ net asset value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to the swaps could demand liquidation of outstanding swap positions.

An interest rate swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Swaps (continued)

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another.

Exchange traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Total return swaps are valued based upon the exchange published settle price of the underlying reference instrument. Changes in fair value of each swap are recognized as unrealized gains or losses. The Master Funds record realized gains or losses when a swap contract is terminated.

Options

The Master Funds may buy and sell covered and uncovered exchange traded and over-the-counter options on futures, foreign currencies, commodities, interest rates and equities to take advantage of the price movements of the financial instrument underlying the option or to hedge positions in the underlying assets. Option contracts give one party the right, but not the obligation, to buy or sell within a limited time or on a specified date, a financial instrument, commodity or currency at a contracted price. Options may also be settled in cash, based on differentials between specified indices or prices.

The Master Funds are exposed to counterparty risk to the extent that a seller of an over-the-counter option does not meet its obligations under the terms of the option contract. The maximum risk of loss to the Master Funds is the unrealized gains of the contracts and the premiums paid to purchase its open option contracts. Relative to over-the-counter options, exchange traded options provide reduced counterparty risk to the Master Funds since the exchanges’ clearinghouse guarantees the option against default.

Exchange traded options are valued based upon the settlement prices published as of the valuation date by the principal exchange upon which they are traded. In the absence of an exchange published settlement price, the option will be valued using the last reported sales price reported on the exchange for the valuation date. Over-the-counter options and exchange traded options with no reported sales price on the valuation date will generally be valued at the average of last reported bid and offer quotes from independent brokers or from the exchange, respectively.

New York Mercantile Exchange Corporate Membership
 
Graham Commodity Strategies LLC is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX memberships and the shares of the CME Group at fair value. As of JuneSeptember 30, 2014 and December 31, 2013, the two NYMEX memberships were valued at $430,000$507,000 and $440,500, respectively, and the 30,000 shares of CME Group were valued at $2,128,500$2,398,650 and $2,353,800, respectively, both of which are contained within Exchange membership, at fair value on Graham Commodity Strategies LLC’s statements of financial condition.
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Board of Trade Membership
 
Graham K4D Trading Ltd. is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat. Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of JuneSeptember 30, 2014 and December 31, 2013, the B-1/Full memberships were valued at $548,000$536,000 and $547,000, respectively, and the B-2/Associate memberships were valued at $83,500$95,250 and $87,250, respectively, both of which are included in Exchange membership, at fair value on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns a Chicago Mercantile Exchange seat valued at $262,500$305,000 and $220,000 at JuneSeptember 30, 2014 and December 31, 2013, respectively, which is also included in Exchange membership, at fair value on the statements of financial condition of Graham K4D Trading Ltd.

Indemnifications

In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of JuneSeptember 30, 2014 and December 31, 2013, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its members’ capital are individually identified, while smaller investments are aggregated under the caption “Other Global Macro Funds.” The number of Master Funds included for the period in each aggregated category is disclosed parenthetically next to each name. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management or incentive fees and all offer monthly subscriptions and redemptions.
 
June 30, 2014 
Investment – Objective 
Percent of
Members’
Capital
  Fair Value  
Net Income (loss)
(three months
then ended)
  
Net Loss
(six months then
ended)
 
 
  
  
  
 
Systematic Macro Funds
 
  
  
  
 
Graham K4D Trading Ltd.  10.83% $15,821,984  $6,938,902  $(2,217,635)
                
Global Macro Funds
                
Other Global Macro Funds (3)  4.85%  7,081,068   (4,568,123)  (13,861,041)
  15.68% $22,903,052  $2,370,779  $(16,078,676)
December 31, 2013 
September 30, 2014September 30, 2014 
Investment – Objective 
Percent of
Members’
Capital
  Fair Value  
Net Income (three
months ended
June 30, 2013)
  
Net Income (six
months ended
June 30, 2013)
  
Percent of
Members’
Capital
 Fair Value  
Net Income
(three months
then ended)
  
Net Income (loss)
(nine months
then ended)
 
                        
Systematic Macro Funds
                        
Graham K4D Trading Ltd.  9.16% $16,532,784  $(7,695,281) $5,638,549   9.69% $14,834,821  $5,752,759  $3,535,124 
                                
Global Macro Funds
                                
Graham Commodity Strategies LLC  6.47%  11,687,704   6,494,898   8,987,973   9.47%  14,487,048   14,332,744   6,598,154 
Other Global Macro Funds (1)  3.07%  5,538,724   1,563,423   4,665,698 
Other Global Macro Funds (2)  0.00%  -   1,237,310   (4,889,141)
  18.70% $33,759,212  $363,040  $19,292,220   19.16% $29,321,869  $21,322,813  $5,244,137 
December 31, 2013 
Investment – Objective 
Percent of
Members’
Capital
 Fair Value  
Net Income (Loss)
(three months ended
September 30, 2013)
  
Net Income (nine
months ended
September 30, 2013)
 
         
Systematic Macro Funds
        
Graham K4D Trading Ltd.  9.16% $16,532,784  $3,757,481  $9,396,030 
                 
Global Macro Funds
                
Graham Commodity Strategies LLC  6.47%  11,687,704   (6,877,034)  2,111,065 
Other Global Macro Funds (1)  3.07%  5,538,724   (3,087,562)  1,578,010 
   18.70% $33,759,212  $(6,207,115) $13,085,105 


Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of JuneSeptember 30, 2014:

 
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham
Global Monetary
Policy LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
  
Graham Macro
Directional LLC
(Delaware)
  
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
 
Assets: 
  
  
  
     
Due from brokers $45,259,243  $64,019,828  $112,686,906  $32,809,211  $256,486,730  $69,231,893 
Derivative financial instruments, at fair value  22,846,698   700,126   34,232,795   14,918,731   71,757,554   71,128,726 
Exchange membership, at fair value  2,558,500   -   894,000   -   2,905,650   936,250 
Dividends receivable  9,869   -   -   -   9,870   - 
Other assets  -   119   -   - 
Total assets  70,674,310   64,720,073   147,813,701   47,727,942   331,159,804   141,296,869 
                        
Liabilities:                        
Derivative financial instruments, at fair value  1,773,557   1,235,247   -   363,000   1,858,701   - 
Due to brokers  403,349   -   -   -   -   - 
Total liabilities  2,176,906   1,235,247   -   363,000   1,858,701   - 
Net assets $68,497,404  $63,484,826  $147,813,701  $47,364,942  $329,301,103  $141,296,869 
                        
Percentage of Master Fund held by GAIT  5.58%  2.78%  10.70%  3.15%  4.40%  10.50%
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of JuneSeptember 30, 2014.
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
  
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC 
  
  
       
Derivative financial instruments 
  
  
       
Long contracts 
  
  
       
Futures 
  
  
       
Commodity 
  $1,202,902   1.76%   $(16,567,082)  (5.03)%
Currency 
   (92,701)  (0.14)%
Foreign bond 
   132,560   0.19%    193,739   0.06%
Foreign index 
   (20,010)  (0.03)%    210,930   0.06%
Interest rate 
   3,199,697   4.67%    323,091   0.10%
U.S. bond 
   (98,586)  (0.14)%    (105,016)  (0.03)%
U.S. index 
   (287,500)  (0.42)%    (163,100)  (0.05)%
Total futures 
   4,036,362   5.89%    (16,107,438)  (4.89)%
 
                   
Swaps 
                   
Commodity 
   (252,192)  (0.37)%
Interest rate 
   767,070   1.12%    (6,001,762)  (1.82)%
Total swaps 
   514,878   0.75%    (6,001,762)  (1.82)%
 
                   
Forwards 
                   
Foreign currency 
   (703,973)  (1.03)%    (28,535,348)  (8.67)%
Total forwards 
   (703,973)  (1.03)%    (28,535,348)  (8.67)%
 
                   
Options (cost $66,397,275) 
         
Options (cost $123,492,849)          
Commodity futures 
   11,603,214   16.93%    33,810,707   10.27%
Euro / British pound 07/02/14, $0.78 Call  1   172,903   0.25%
Euro / British pound 07/31/14 - 09/11/14, $0.78 - $0.81 Put  5   5,390,065   7.87%
U.S. dollar / Chinese yuan 12/02/14 - 04/15/15, $6.05 - $6.20 Put  15   6,360,576   9.29%
Australian dollar / U.S. dollar 10/10/14 - 12/16/14, $0.87 - $0.90 Put  9   19,871,981   6.04%
Euro / U.S. dollar 10/07/14 - 08/17/15, $1.20 - $1.33 Put  29   99,764,071   30.30%
U.S. dollar / Swiss franc 11/07/14 - 12/19/14, $0.93 - $0.97 Call  12   23,099,177   7.01%
U.S. dollar / Japanese yen 10/17/14 - 03/23/15, $105.50 - $112.85 Call  23   61,318,868   18.62%
Other currency      9,157,428   13.37%      30,519,161   9.27%
Euro Mid Curve 1-Year Future December 2014, $99.25 Call  21,000   3,675,000   5.37%
Other Euro Mid Curve 1-Year Future December 2014, $99.63 Call  21,000   131,250   0.19%
Other interest rate futures      2,839,741   4.15%
Interest rate futures      5,557,724   1.69%
U.S. index futures      313,750   0.46%      576,250   0.17%
Total options      39,643,927   57.88%      274,517,939   83.37%
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
The following schedules display the condensed schedules of investments for the Master Funds as September 30, 2014.
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued)      
Derivative financial instruments (continued)      
Short contracts      
Futures      
Commodity   $18,055,619   5.49%
Foreign bond    (971,503)  (0.30)%
Foreign index    243,846   0.07%
Interest rate    204,259   0.06%
U.S. bond    218,657   0.07%
U.S. index    1,450,375   0.44%
Total futures    19,201,253   5.83%
           
Swaps          
Commodity    (286,500)  (0.09)%
Interest rate    912,620   0.28%
Total swaps    626,120   0.19%
           
Forwards          
Foreign currency    30,334,130   9.21%
Total forwards    30,334,130   9.21%
           
Options (proceeds $113,774,515)          
Commodity futures    (39,652,842)  (12.04)%
Euro / U.S. dollar 10/02/14 - 03/17/15, $1.23 - $1.32 Put  32   (63,196,851)  (19.19)%
U.S. dollar / Japanese yen 10/17/14 - 03/23/15, $105.00 - $114.50 Call  22   (43,992,640)  (13.36)%
Other currency      (54,854,732)  (16.66)%
Interest rate futures      (2,377,726)  (0.72)%
U.S. Index      (61,250)  (0.02)%
Total options   (204,136,041   (61.99)%
Total derivative financial instruments     $69,898,853   21.23%
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as June 30, 2014.
Description Fair Value  
Percentage of
Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued) 
  
 
Derivative financial instruments (continued) 
  
 
Short contracts 
  
 
Futures 
  
 
Commodity $217,705   0.32%
Foreign bond  (8,086)  (0.01)%
Foreign index  (123)  0.00%
Interest rate  (1,165,670)  (1.70)%
U.S. bond  (1,249,273)  (1.83)%
U.S. index  22,325   0.03%
Total futures  (2,183,122)  (3.19)%
 
        
Swaps        
Commodity  112,638   0.16%
Interest rate  (2,847,093)  (4.15)%
Total swaps  (2,734,455)  (3.99)%
 
        
Forwards        
Foreign currency  2,646,191   3.86%
Total forwards  2,646,191   3.86%
 
        
Options (proceeds $29,006,891)        
Commodity Futures  (10,402,298)  (15.18)%
Currency  (7,677,095)  (11.21)%
Interest rate futures  (2,067,274)  (3.02)%
Total options  (20,146,667)  (29.41)%
Total derivative financial instruments $21,073,141   30.76%
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of JuneSeptember 30, 2014.
 
Description 
Number of
Contracts
  Fair Value  
Percentage of
Members’
Capital of
Master Fund
  
Number of
Contracts
  Fair Value  
Percentage of
Net Assets of
Master Fund
 
Graham Global Monetary Policy LLC 
  
  
 
Graham K4D Trading Ltd.      
Derivative financial instruments 
  
  
       
Long contracts 
  
  
       
Futures 
  
  
       
Commodity 
  $73,523   0.12%   $(7,675,518)  (5.43)%
Currency    1,909,080   1.35%
Foreign bond 
   890,312   1.40%    5,849,530   4.14%
Foreign index 
   (9,347)  (0.01)%    (43,036)  (0.03)%
90-day Eurodollar March 2015 - March 2018  12,000   4,816,575   7.58%
Other interest rate      368,496   0.58%
Interest rate    342,402   0.24%
U.S. bond      105,937   0.17%    (1,638,175)  (1.16)%
U.S. index      136,165   0.21%    (3,290,119)  (2.33)%
Total futures      6,381,661   10.05%    (4,545,836)  (3.22)%
                      
Forwards                      
Foreign currency      1,440,277   2.27%    (13,536,351)  (9.58)%
Total forwards      1,440,277   2.27%    (13,536,351)  (9.58)%
                      
Options (cost $7,763,553)            
Foreign currency      1,279,939   2.02%
Interest rate futures      234,375   0.37%
Total options      1,514,314   2.39%
            
Short contracts                      
Futures                      
Corn December 2014  (1,956)  8,848,222   6.26%
Wheat December 2014  (1,834)  10,180,435   7.21%
Commodity      433,863   0.68%      29,562,645   20.92%
Currency      1,567,945   1.11%
Foreign bond      (108,026)  (0.17)%      (378,401)  (0.27)%
Foreign index      451,551   0.71%      365,144   0.26%
90-day Eurodollar December 2015  16,500   (3,738,625)  (5.89)%
Other 90-day Eurodollar June 2015 - December 2016  18,000   (2,772,050)  (4.37)%
Other interest rate      22,377   0.04%
Interest rate      665,227   0.47%
U.S. bond      (205,000)  (0.32)%      131,400   0.10%
U.S. index      606,807   0.43%
Total futures      (5,915,910)  (9.32)%      51,549,424   36.49%
            
Forwards            
Foreign currency      37,661,489   26.65%
Total forwards      37,661,489   26.65%
Total derivative financial instruments     $71,128,726   50.34%
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of June 30, 2014.
Description Fair Value  
Percentage of
Members’
Capital of
Master Fund
 
Graham Global Monetary Policy LLC 
  
 
Derivative financial instruments 
  
 
Short contracts 
  
 
Forwards 
  
 
Foreign currency $(2,497,873)  (3.93)%
Total forwards  (2,497,873)  (3.93)%
 
        
Options (proceeds $4,637,240)        
Foreign currency  (1,457,590)  (2.30)%
Total options  (1,457,590)  (2.30)%
Total derivative financial instruments $(535,121)  (0.84)%
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of June 30, 2014.
Description Fair Value  
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd. 
  
 
Derivative financial instruments 
  
 
Long contracts 
  
 
Futures 
  
 
Commodity $4,807,122   3.25%
Currency  1,709,431   1.16%
Foreign bond  12,371,095   8.37%
Foreign index  (672,040)  (0.45)%
Interest rate  756,005   0.51%
U.S. bond  2,185,603   1.48%
U.S. index  3,743,520   2.53%
Total futures  24,900,736   16.85%
 
        
Forwards        
Foreign currency  12,464,596   8.43%
Total forwards  12,464,596   8.43%
 
        
Short contracts        
Futures        
Commodity  (1,582,503)  (1.07)%
Currency  507,784   0.34%
Foreign bond  (399,833)  (0.27)%
Foreign index  67,759   0.05%
Interest rate  981,635   0.66%
U.S. bond  (1,065,051)  (0.72)%
U.S. index  (14,742)  (0.01)%
Total futures  (1,504,951)  (1.02)%
 
        
Forwards        
Foreign currency  (1,627,586)  (1.10)%
Total forwards  (1,627,586)  (1.10)%
Total derivative financial instruments $34,232,795   23.16%
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of June 30, 2014.
Description 
Number of
Contracts
  Fair Value  
Percentage of
Members’
Capital of
Master Fund
 
Graham Macro Directional LLC 
  
  
 
Derivative financial instruments 
  
  
 
Long contracts 
  
  
 
Futures 
  
  
 
Australian 3-Year Bond September 2014  10,000  $3,114,323   6.58%
Other foreign bond      260,193   0.55%
U.S. 10-Year Note September 2014  13,500   8,971,078   18.93%
U.S. Long Bond September 2014  2,500   2,830,125   5.98%
Total futures      15,175,719   32.04%
 
            
Forwards            
Foreign currency      426,928   0.90%
Total forwards      426,928   0.90%
 
            
Options (cost $237,250)            
Commodity futures      4,875   0.01%
U.S. bond futures      62,500   0.13%
Total options      67,375   0.14%
 
            
Short contracts            
Futures            
Interest rate      (275,000)  (0.58)%
Foreign bond      (49,363)  (0.10)%
Total futures      (324,363)  (0.68)%
 
            
Forwards            
Foreign currency      (789,928)  (1.67)%
Total forwards      (789,928)  (1.67)%
Total derivative financial instruments     $14,555,731   30.73%
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of JuneSeptember 30, 2014:
 
 
Graham
Commodity
Strategies LLC
  
Graham Global
Monetary
Policy LLC
  
Graham K4D
Trading Ltd.
  
Graham Macro
Directional LLC
  
Graham
Commodity
Strategies LLC
  
Graham K4D
Trading Ltd.
 
Assets 
  
  
  
     
Level 1: 
  
  
  
     
U.S. bond futures $313  $105,937  $2,385,135  $11,801,203 
U.S. bond futures options  -   -   -   62,500 
Foreign bond futures  159,142   890,312   12,371,095   3,374,516 
Foreign index futures  95,033   591,147   2,012,391   - 
Foreign index futures options  -   -   -   - 
U.S. index futures  22,325   136,165   4,303,092   - 
U.S. index futures options  313,750   -   -   - 
Commodity futures  6,112,217   623,546   16,484,143   -  $21,919,942  $51,016,846 
Commodity futures options  11,988,213   -   -   4,875   33,930,707   - 
Commodity swaps  337,330   -   -   -   524,875   - 
Currency futures  -   3,780,415 
Foreign bond futures  194,611   7,321,917 
Foreign index futures  1,219,678   4,579,983 
Interest rate futures  3,279,199   5,538,969   1,767,816   -   836,493   1,196,635 
Interest rate futures options  6,645,991   234,375   -   -   5,557,724   - 
Currency futures  -   -   3,398,600   - 
U.S. bond futures  421,266   224,116 
U.S. index futures  1,453,500   609,569 
U.S. index futures options  576,250   - 
Total Level 1  28,953,513   8,120,451   42,722,272   15,243,094   66,635,046   68,729,481 
                        
Level 2:                        
Foreign currency forwards  5,408,132   2,383,003   12,940,117   426,928   35,579,571   37,805,112 
Foreign currency options  21,080,972   1,279,939   -   -   234,573,258   - 
Interest rate swaps  767,070   -   -   -   912,620   - 
Total Level 2  27,256,174   3,662,942   12,940,117   426,928   271,065,449   37,805,112 
Total investment related assets $56,209,687  $11,783,393  $55,662,389  $15,670,022  $337,700,495  $106,534,593 
                        
Liabilities                        
Level 1:                        
U.S. bond futures $(1,348,172) $(205,000) $(1,264,583) $- 
Foreign bond futures  (34,668)  (108,026)  (399,833)  (49,363)
Foreign index futures  (115,166)  (148,943)  (2,616,672)  - 
U.S. index futures  (287,500)  -   (574,314)  - 
U.S. index futures options  -   -   -   - 
Commodity futures  (4,691,610)  (116,160)  (13,259,524)  -  $(20,431,405) $(10,101,062)
Commodity futures options  (10,787,297)  -   -   -   (39,772,842)  - 
Commodity swaps  (476,884)  -   -   -   (811,375)  - 
Currency futures  -   (303,390)
Foreign bond futures  (972,375)  (1,850,788)
Foreign index futures  (764,902)  (4,257,875)
Interest rate futures  (1,245,172)  (6,842,196)  (30,176)  (275,000)  (309,143)  (189,006)
Interest rate futures options  (2,067,274)  -   -   -   (2,377,726)  - 
Currency futures  (92,701)  -   (1,181,385)  - 
U.S. bond futures  (307,625)  (1,730,891)
U.S. index futures  (166,225)  (3,292,881)
U.S. index futures options  (61,250)  - 
Total Level 1  (21,146,444)  (7,420,325)  (19,326,487)  (324,363)  (65,974,868)  (21,725,893)
                        
Level 2:                        
Foreign currency forwards  (3,465,914)  (3,440,599)  (2,103,107)  (789,928)  (33,780,789)  (13,679,974)
Foreign currency options  (7,677,095)  (1,457,590)  -   -   (162,044,223)  - 
Interest rate swaps  (2,847,093)  -   -   -   (6,001,762)  - 
Total Level 2  (13,990,102)  (4,898,189)  (2,103,107)  (789,928)  (201,826,774)  (13,679,974)
Total investment related liabilities $(35,136,546) $(12,318,514) $(21,429,594) $(1,114,291) $(267,801,642) $(35,405,867)
3229

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)


3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts, and number of contracts, and fair value of derivative contracts held by the Master Funds at JuneSeptember 30, 2014 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the period. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
 Graham Commodity Strategies LLC  Graham Commodity Strategies LLC 
 Long exposure  Short exposure  
  
  Long exposure  Short exposure     
 
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
  
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
 
Commodity price 
  
  
  
  
  
             
Futures $197,598,985   3,011  $(157,139,915)  (2,423) $6,112,217  $(4,691,610) $268,630,568   3,230  $(369,698,201)  (5,660) $21,919,942  $(20,431,405)
Options(a)  164,355,845   10,675   (122,669,795)  (8,760)  11,988,213   (10,787,297)
Options(a)
  272,054,706   13,303   (338,483,800)  (17,275)  33,930,707   (39,772,842)
Swaps  22,995,568   2,144   (12,014,443)  (2,226)  337,330   (476,884)  -   -   (48,924,000)  (4,800)  524,875   (811,375)
  384,950,398   15,830   (291,824,153)  (13,409)  18,437,760   (15,955,791)  540,685,274   16,533   (757,106,001)  (27,735)  56,375,524   (61,015,622)
Equity price                                                
Futures  85,171,633   2,110   (110,215,192)  (1,126)  117,358   (402,666)  124,736,858   1,512   (268,034,402)  (2,887)  2,673,178   (931,127)
Options(a)  -   -   (19,705,606)  (3,000)  313,750   - 
Options(a)
  5,713,935   2   (29,522,026)  (3)  576,250   (61,250)
  85,171,633   2,110   (129,920,798)  (4,126)  431,108   (402,666)  130,450,793   1,514   (297,556,428)  (2,890)  3,249,428   (992,377)
Foreign currency
exchange rate
                                                
Forwards  435,801,390   N/A  (353,488,361)  N/A   5,408,132   (3,465,914)  1,525,083,131   N/A  (1,807,138,092)  N/A   35,579,571   (33,780,789)
Futures  9,497,509   119   -   -   -   (92,701)
Options(a)  1,073,767,000   57   (1,632,972,000)  (54)  21,080,972   (7,677,095)
Options(a)
  7,368,959,578   139   (7,243,200,245)  (146)  234,573,258   (162,044,223)
  1,519,065,899   176   (1,986,460,361)  (54)  26,489,104   (11,235,710)  8,894,042,709   139   (9,050,338,337)  (146)  270,152,829   (195,825,012)
Interest rate                                                
Futures  4,727,274,877   19,580   (3,177,250,491)  (14,588)  3,438,654   (2,628,012)  4,811,073,812   18,258   (2,510,105,204)  (11,351)  1,452,370   (1,589,143)
Options(a)  1,556,616,282   67,625   (1,142,631,049)  (73,000)  6,645,991   (2,067,274)
Options(a)
  1,483,144,663   18   (2,473,157,345)  (19)  5,557,724   (2,377,726)
Swaps  478,698,158   2   (449,316,307)  (3)  767,070   (2,847,093)  1,258,329,586   7   (1,258,329,586)  (7)  912,620   (6,001,762)
  6,762,589,317   87,207   (4,769,197,847)  (87,591)  10,851,715   (7,542,379)  7,552,548,061   18,283   (6,241,592,135)  (11,377)  7,922,714   (9,968,631)
Total $8,751,777,247   105,323  $(7,177,403,159)  (105,180) $56,209,687  $(35,136,546) $17,117,726,837   36,469  $(16,346,592,901)  (42,148) $337,700,495  $(267,801,642)
                          
Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2).Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2).  $(2,080,023)Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2).  $(5,375,642)

(a)Notional amounts for options are based on the delta-adjusted positions.

3330

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts, and number of contracts, and fair value of derivative contracts held by the Master Funds at JuneSeptember 30, 2014 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the period. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
 Graham Global Monetary Policy LLC  Graham K4D Trading Ltd. 
 Long exposure  Short exposure  
  
  Long exposure  Short exposure     
 
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
  
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
 
Commodity price 
  
  
  
  
  
             
Futures $45,089,135   426  $(7,522,125)  (130) $623,546  $(116,160) $262,927,295   4,069  $(730,958,673)  (12,246) $51,016,846  $(10,101,062)
  45,089,135   426   (7,522,125)  (130)  623,546   (116,160)  262,927,295   4,069   (730,958,673)  (12,246)  51,016,846   (10,101,062)
                        
Equity price                                                
Futures  27,734,778   231   (75,234,155)  (1,005)  727,312   (148,943)  828,682,906   9,286   (55,148,854)  (586)  5,189,552   (7,550,756)
  27,734,778   231   (75,234,155)  (1,005)  727,312   (148,943)  828,682,906   9,286   (55,148,854)  (586)  5,189,552   (7,550,756)
                        
Foreign currency
exchange rate
                                                
Forwards  446,619,900   N/A   (173,841,319)  N/A   2,383,003   (3,440,599)  754,252,020   N/A   (1,583,354,524)  N/A   37,805,112   (13,679,974)
Options(a)  289,673,150   21   (87,908,900)  (15)  1,279,939   (1,457,590)
Futures  174,679,359   1,944   (83,017,560)  (669)  3,780,415   (303,390)
  928,931,379   1,944   (1,666,372,084)  (669)  41,585,527   (13,983,364)
  736,293,050   21   (261,750,219)  (15)  3,662,942   (4,898,189)                        
Interest rate                                                
Futures  5,386,662,834   23,160   (12,219,862,509)  (44,710)  6,535,218   (7,155,222)  5,764,106,720   30,432   (1,657,675,266)  (7,435)  8,742,668   (3,770,685)
Options(a)  -   -   (258,433,874)  (7,500)  234,375   - 
  5,386,662,834   23,160   (12,478,296,383)  (52,210)  6,769,593   (7,155,222)  5,764,106,720   30,432   (1,657,675,266)  (7,435)  8,742,668   (3,770,685)
Total $6,195,779,797   23,838  $(12,822,802,882)  (53,360) $11,783,393  $(12,318,514) $7,784,648,300   45,731  $(4,110,154,877)  (20,936) $106,534,593  $(35,405,867)
 
(a)Notional amounts for options are based on the delta-adjusted positions.
3431

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at June 30, 2014 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the period. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
 Graham K4D Trading Ltd. 
 
 Long exposure  Short exposure  
  
 
 
 
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
 
Commodity price 
  
  
  
  
  
 
Futures $731,628,735   9,238  $(337,811,479)  (7,273) $16,484,143  $(13,259,524)
 
  731,628,735   9,238   (337,811,479)  (7,273)  16,484,143   (13,259,524)
 
                        
Equity price                        
Futures  1,220,319,016   12,136   (40,351,775)  (534)  6,315,483   (3,190,986)
 
  1,220,319,016   12,136   (40,351,775)  (534)  6,315,483   (3,190,986)
 
                        
Foreign currency
exchange rate
                        
Forwards  1,307,237,498   N/A   (277,478,007)  N/A   12,940,117   (2,103,107)
Futures  122,517,933   1,104   (211,242,434)  (2,316)  3,398,600   (1,181,385)
 
  1,429,755,431   1,104   (488,720,441)  (2,316)  16,338,717   (3,284,492)
 
                        
Interest rate                        
Futures  6,138,643,264   29,439   (1,479,072,400)  (8,072)  16,524,046   (1,694,592)
 
  6,138,643,264   29,439   (1,479,072,400)  (8,072)  16,524,046   (1,694,592)
Total $9,520,346,446   51,917  $(2,345,956,095)  (18,195) $55,662,389  $(21,429,594)
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at June 30, 2014 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the period. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
 Graham Macro Directional LLC 
 
 Long exposure  Short exposure  
  
 
 
 
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
 
Commodity price 
  
  
  
  
  
 
Options(a) $63,546   60  $-   -  $4,875  $- 
 
  63,546   60   -   -   4,875   - 
Foreign currency
exchange rate
                        
Forwards  26,241,928   N/A   (26,241,928)  N/A   426,928   (789,928)
 
  26,241,928   N/A   (26,241,928)  N/A   426,928   (789,928)
Interest rate                        
Futures  3,155,385,421   26,450   (567,221,812)  (2,050)  15,175,719   (324,363)
Options(a)  -   -   (20,321,654)  (2,000)  62,500   - 
 
  3,155,385,421   26,450   (587,543,466)  (4,050)  15,238,219   (324,363)
Total $3,181,690,895   26,510  $(613,785,394)  (4,050) $15,670,022  $(1,114,291)
(a)Notional amounts for options are based on the delta-adjusted positions.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at JuneSeptember 30, 2014 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition.  Actual collateral pledged or received by the Master Funds may exceed these amounts.
 
Description 
Gross
Amount
  
Gross Amount
Offset in
the Statements
of Financial
Condition
  
Net Amount
Presented in
the Statements
of Financial
Condition
  
Collateral
(Received) /
Pledged
  Net Amount  
Gross
Amount
  
Gross Amount
Offset in
the Statements
of Financial
Condition
  
Net Amount
Presented in
the Statements
of Financial
Condition
  
Collateral
(Received) /
Pledged
  Net Amount 
 
  
  
  
  
           
Graham Commodity Strategies LLC1
 
  
  
  
  
           
Derivative assets $56,209,687  $(33,362,989) $22,846,698  $-  $22,846,698  $337,700,495  $(265,942,941) $71,757,554  $-  $71,757,554 
Derivative liabilities  (35,136,546)  33,362,989   (1,773,557)  1,773,557   -   (267,801,642)  265,942,941   (1,858,701)  1,858,701   - 
                                        
Graham Global Monetary Policy LLC2
                    
Graham K4D Trading Ltd.2
                    
Derivative assets  11,783,393   (11,083,267)  700,126   -   700,126   106,534,593   (35,405,867)  71,128,726   -   71,128,726 
Derivative liabilities  (12,318,514)  11,083,267   (1,235,247)  1,235,247   -   (35,405,867)  35,405,867   -   -   - 
                    
Graham K4D Trading Ltd.3
                    
Derivative assets  55,662,389   (21,429,594)  34,232,795   -   34,232,795 
Derivative liabilities  (21,429,594)  21,429,594   -   -   - 
                    
Graham Macro Directional LLC 4
                    
Derivative assets  15,670,022   (751,291)  14,918,731   -   14,918,731 
Derivative liabilities  (1,114,291)  751,291   (363,000)  363,000   - 
 
1 Net derivative asset and liability amounts presented in the statement of financial condition are held with three counterparties. The Master Fund has pledged offsetting collateral to one of these counterparties that is eligible to offset the derivative liability amount as of JuneSeptember 30, 2014. At June 30, 2014 additional collateral pledged (received) in the amounts of $43,485,686 and $(403,349) were posted in support of derivative positions and are included in due from (to) brokers on the statement of financial condition.

2 Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. The Master Fund has pledged offsetting collateral to one of these counterparties that is eligible to offset the derivative liability amount as of June 30, 2014. At JuneSeptember 30, 2014 additional collateral pledged in the amount of $62,784,581$254,628,029 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

32 Net derivative asset amounts presented in the statement of financial condition are held with two counterparties. The Master Fund did not receive collateral from these counterparties that may have been used to offset these derivative amounts as of JuneSeptember 30, 2014. At JuneSeptember 30, 2014 additional collateral pledged in the amount of $112,686,906$69,231,893 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
4 Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. The Master Fund has pledged offsetting collateral to one of these counterparties that is eligible to offset the derivative liability amount as of June 30, 2014. At June 30, 2014 additional collateral pledged in the amount of $32,446,211 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

3732

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)
 
The following table summarizes the results of operations of each Master Fund for the three and sixnine month periods ended JuneSeptember 30, 2014:
 
 Three Months Ended June 30, 2014  Three Months Ended September 30, 2014 
 
Graham
Commodity
Strategies LLC
  
Graham
Global Monetary
Policy LLC
  
Graham K4D
Trading Ltd.
  
Graham Macro
Directional LLC
  
Graham
Commodity
Strategies LLC
  
Graham
Global Monetary
Policy LLC *
  
Graham K4D
Trading Ltd.
  
Graham Macro
Directional
LLC **
 
 
  
  
  
         
Net investment loss $(8,263) $(4,838) $(9,122) $(6,594) $(8,345) $(1,984) $(24,555) $(19,401)
                                
Net realized gain (loss) on investments  (17,770,582)  (24,442,350)  30,579,837   (51,380,248)  242,727,655   (2,745,543)  17,198,682   41,231,330 
Net increase (decrease) in unrealized appreciation on investments  (21,318,667)  (8,041,306)  33,961,241   13,556,276   85,512,029   3,051,230   37,132,200   (12,799,692)
Brokerage commissions and fees  (2,410,821)  (1,348,581)  (276,260)  (575,164)  (3,452,347)  (806,770)  (294,946)  (313,883)
Net gain (loss) on investments  (41,500,070)  (33,832,237)  64,264,818   (38,399,136)  324,787,337   (501,083)  54,035,936   28,117,755 
Net income (loss) $(41,508,333) $(33,837,075) $64,255,696  $(38,405,730) $324,778,992  $(503,067) $54,011,381  $28,098,354 
* - For the period from July 1, 2014 through August 26, 2014
** - For the period from July 1, 2014 through August 21, 2014

 Six Months Ended June 30, 2014  Nine Months Ended September 30, 2014 
 
Graham
Commodity
Strategies LLC
  
Graham
Global Monetary
Policy LLC
  
Graham K4D
Trading Ltd.
  
Graham Macro
Directional LLC
  
Graham
Commodity
Strategies LLC
  
Graham
Global Monetary
Policy LLC *
  
Graham K4D
Trading Ltd.
  
Graham Macro
Directional
LLC **
 
 
  
  
  
         
Net investment loss $(25,167) $(20,189) $(38,834) $(9,300) $(33,512) $(22,173) $(63,389) $(28,701)
                                
Net realized loss on investments  (78,448,483)  (54,349,024)  (18,627,897)  (85,335,043)  164,279,172   (57,094,567)  (1,429,215)  (44,103,713)
Net decrease in unrealized appreciation on investments  (46,141,879)  (26,596,419)  (7,591,697)  (9,632,937)
Net increase (decrease) in unrealized appreciation on investments  39,370,150   (23,545,189)  29,540,503   (22,432,629)
Brokerage commissions and fees  (5,107,727)  (3,032,881)  (612,513)  (877,889)  (8,560,074)  (3,839,651)  (907,459)  (1,191,772)
Net loss on investments  (129,698,089)  (83,978,324)  (26,832,107)  (95,845,869)
Net loss $(129,723,256) $(83,998,513) $(26,870,941) $(95,855,169)
Net gain (loss) on investments  195,089,248   (84,479,407)  27,203,829   (67,728,114)
Net income (loss) $195,055,736  $(84,501,580) $27,140,440  $(67,756,815)
* - For the period from January 1, 2014 through August 26, 2014
** - For the period from January 1, 2014 through August 21, 2014
3833

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gross gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three month period ended JuneSeptember 30, 2014:
 
 
Graham
Commodity
Strategies LLC
  
Graham
Global
Monetary
Policy LLC
  
Graham
K4D Trading
Ltd.
  
Graham
Macro
Directional
LLC
  
Graham
Commodity
Strategies LLC
  
Graham
Global
Monetary
Policy LLC *
  
Graham
K4D Trading
Ltd.
  
Graham
Macro
Directional
LLC **
 
Commodity price 
  
  
  
         
Futures $(669,971) $(2,077,230) $(12,054,748) $(748,235) $503,663  $(141,637) $4,995,681  $(716,138)
Options  6,784,110   -   -   (70,500)  891,208   -   -   (4,500)
Swaps  1,189,119   -   -   -   (2,633,630)  -   -   - 
  7,303,258   (2,077,230)  (12,054,748)  (818,735)  (1,238,759)  (141,637)  4,995,681   (720,638)
Equity price                                
Equities  (69,800)  -   64,000   -   347,150   -   42,250   - 
Futures  (1,494,509)  (9,539,809)  27,809,919   (1,790,835)  3,087,606   (4,593,659)  (8,674,499)  (1,508,902)
Options  (9,955,785)  -   -   -   (1,111,928)  -   -   - 
  (11,520,094)  (9,539,809)  27,873,919   (1,790,835)  2,322,828   (4,593,659)  (8,632,249)  (1,508,902)
Foreign currency
exchange rate
                                
Forwards  (8,864,052)  1,995,771   4,838,703   (34,460,893)  219,296,154   (55,759)  31,526,278   24,434,098 
Futures  347,869   -   1,025,685   -   561,561   -   5,178,328   - 
Options  (24,970,474)  (1,425,623)  -   (977,482)  116,221,458   577,467   -   - 
  (33,486,657)  570,148   5,864,388   (35,438,375)  336,079,173   521,708   36,704,606   24,434,098 
Interest rate                                
Futures  6,235,283   (18,698,482)  42,857,519   (71,340)  236,994   4,706,775   21,262,844   6,102,081 
Options  (8,923,023)  (2,738,283)  -   295,313   (5,263,011)  (187,500)  -   124,999 
Swaps  1,301,984   -   -   -   (3,897,541)  -   -   - 
  (1,385,756)  (21,436,765)  42,857,519   223,973   (8,923,558)  4,519,275   21,262,844   6,227,080 
Total $(39,089,249) $(32,483,656) $64,541,078  $(37,823,972) $328,239,684  $305,687  $54,330,882  $28,431,638 

* - For the period from July 1, 2014 through August 26, 2014
39** - For the period from July 1, 2014 through August 21, 2014
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gross gains and losses on all financial instruments held by the Master Funds reported in net realized loss and net decrease in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the sixnine month period ended JuneSeptember 30, 2014:
 
 
Graham
Commodity
Strategies LLC
  
Graham
Global
Monetary
Policy LLC
  
Graham
K4D Trading
Ltd.
  
Graham
Macro
Directional
LLC
  
Graham
Commodity
Strategies LLC
  
Graham
Global
Monetary
Policy LLC *
  
Graham
K4D Trading
Ltd.
  
Graham
Macro
Directional 
LLC **
 
Commodity price 
  
  
  
         
Futures $(11,643,119) $(2,947,823) $(72,184,162) $2,030,823  $(11,139,456) $(3,089,460) $(67,188,481) $1,314,685 
Options  5,557,738   -   -   66,406   6,448,946   -   -   61,906 
Swaps  (739,008)  -   -   -   (3,372,638)  -   -   - 
  (6,824,389)  (2,947,823)  (72,184,162)  2,097,229   (8,063,148)  (3,089,460)  (67,188,481)  1,376,591 
Equity price                                
Equities  (235,800)  -   39,750   -   111,350   -   82,000   - 
Futures  1,553,574   (25,484,480)  (16,142,601)  (7,096,413)  4,641,180   (30,078,139)  (24,817,100)  (8,605,315)
Options  (18,378,430)  -   -   -   (19,490,358)  -   -   - 
  (17,060,656)  (25,484,480)  (16,102,851)  (7,096,413)  (14,737,828)  (30,078,139)  (24,735,100)  (8,605,315)
Foreign currency
exchange rate
                                
Forwards  3,567,825   (36,469,062)  16,967,155   (79,806,383)  222,863,979   (36,524,821)  48,493,433   (55,372,285)
Futures  347,869   -   (1,600,003)  -   909,430   -   3,578,325   - 
Options  (89,782,907)  5,502,129   -   (1,889,306)  26,438,551   6,079,596   -   (1,889,306)
  (85,867,213)  (30,966,933)  15,367,152   (81,695,689)  250,211,960   (30,445,225)  52,071,758   (57,261,591)
Interest rate                                
Futures  (3,795,048)  (18,176,065)  46,700,267   (8,568,420)  (3,558,054)  (13,469,290)  67,963,111   (2,466,339)
Options  (8,744,800)  (3,370,142)  -   295,313   (14,007,811)  (3,557,642)  -   420,312 
Swaps  (2,298,256)  -   -   -   (6,195,797)  -   -   - 
  (14,838,104)  (21,546,207)  46,700,267   (8,273,107)  (23,761,662)  (17,026,932)  67,963,111   (2,046,027)
Total $(124,590,362) $(80,945,443) $(26,219,594) $(94,967,980) $203,649,322  $(80,639,756) $28,111,288  $(66,536,342)

* - For the period from January 1, 2014 through August 26, 2014
** - For the period from January 1, 2014 through August 21, 2014
4035

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)
 
The following table summarizes the financial position of each Master Fund as of December 31, 2013:

 
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham
Global Monetary
Policy LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
  
Graham
Commodity
 Strategies LLC
(Delaware)
  
Graham
Global Monetary
Policy LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
 
Assets: 
  
  
       
Due from brokers $129,230,754  $102,705,866  $127,824,315  $129,230,754  $102,705,866  $127,824,315 
Derivative financial instruments, at fair value  80,129,304   13,304,071   41,566,974   80,129,304   13,304,071   41,566,974 
Exchange membership, at fair value  2,794,300   -   854,250   2,794,300   -   854,250 
Dividends receivable  64,050   -   -   64,050   -   - 
Other assets  -   118   -   -   118   - 
Total assets  212,218,408   116,010,055   170,245,539   212,218,408   116,010,055   170,245,539 
                        
Liabilities:                        
Derivative financial instruments, at fair value  -   9,593,764   -   -   9,593,764   - 
Total liabilities  -   9,593,764   -   -   9,593,764   - 
Net assets $212,218,408  $106,416,291  $170,245,539  $212,218,408  $106,416,291  $170,245,539 
                        
Percentage of Master Fund held by GAIT  5.51%  5.20%  9.71%  5.51%  5.20%  9.71%

4136

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2013.
 
Description 
Notional
Amount / Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
  
Notional
Amount / Number of
Contracts
  Fair Value  
Percentage
 of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC 
  
  
       
Derivative financial instruments 
  
  
       
Long contracts 
  
  
       
Futures 
  
  
       
Commodity 
  $(53,020)  (0.02)%   $(53,020)  (0.02)%
Foreign bond 
   (336,590)  (0.16)%    (336,590)  (0.16)%
Foreign index 
   331,430   0.16%    331,430   0.16%
Interest rate 
   (223,204)  (0.11)%    (223,204)  (0.11)%
U.S. bond 
   (230,703)  (0.11)%    (230,703)  (0.11)%
Total futures 
   (512,087)  (0.24)%    (512,087)  (0.24)%
 
                   
Swaps 
                   
Interest rate 
   (1,938,332)  (0.91)%    (1,938,332)  (0.91)%
Total swaps 
   (1,938,332)  (0.91)%    (1,938,332)  (0.91)%
 
                   
Forwards 
                   
Japanese yen / U.S. dollar 01/15/14 JPY 285,467,229,820   (14,084,520)  (6.64)% JPY 285,467,229,820   (14,084,520)  (6.64)%
Other Japanese yen / U.S. dollar 01/06/14 – 01/07/14 
   (4,784,084)  (2.25)%    (4,784,084)  (2.25)%
Other foreign currency 
   12,395,703   5.84%    12,395,703   5.84%
Total forwards 
   (6,472,901)  (3.05)%    (6,472,901)  (3.05)%
 
                   
Options (cost $79,741,153) 
                   
U.S. dollar / Chinese yuan 03/07/14, $6.23 Put  4   11,882,525   5.60%  4   11,882,525   5.60%
U.S. dollar / Chinese yuan 03/07/14, $6.30 Put  3   12,413,547   5.85%  3   12,413,547   5.85%
U.S. dollar / Chinese yuan 03/07/14 - 06/04/14, $6.10 - $6.18 Put  6   10,914,033   5.14%  6   10,914,033   5.14%
Other U.S. dollar / Chinese yuan 03/07/14 - 12/31/14, $6.10 - $6.17 Put      9,123,219   4.30%      9,123,219   4.30%
U.S. dollar / Japanese yen 01/10/14, $101 Call  2   12,299,882   5.80%
U.S. dollar / Japanese yen 04/08/14, $101 Call  1   11,919,922   5.62%
U.S. dollar / Japanese yen 04/08/14, $104 Call  1   13,654,530   6.43%
U.S. dollar / Japanese yen 01/10/14, $101.00 Call  2   12,299,882   5.80%
U.S. dollar / Japanese yen 04/08/14, $101.00 Call  1   11,919,922   5.62%
U.S. dollar / Japanese yen 04/08/14, $104.00 Call  1   13,654,530   6.43%
Other U.S. dollar / Japanese yen 01/17/14 - 11/10/14, $102.50 - $123.00 Call      22,120,836   10.42%      22,120,836   10.42%
Other U.S. dollar / Japanese yen 01/02/14 - 01/06/14, $103.00 Put      29,469   0.01%      29,469   0.01%
Other currency      12,463,768   5.87%      12,463,768   5.87%
Foreign bond futures      206,193   0.10%      206,193   0.10%
Foreign index futures      3,813,777   1.80%      3,813,777   1.80%
U.S. bond futures      781,250   0.37%      781,250   0.37%
U.S. index futures      3,250,000   1.53%      3,250,000   1.53%
Total options      124,872,951   58.84%      124,872,951   58.84%
4237

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2013.
Description 
Notional
Amount / Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master
Fund
 
Graham Commodity Strategies LLC (continued)      
Derivative financial instruments (continued)      
Short contracts      
Futures      
Commodity   $552,040   0.26%
Foreign bond    87,993   0.04%
Interest rate    6,976   0.00%
U.S. bond    (171,875)  (0.08)%
Total futures    475,134   0.22%
           
Swaps          
Interest rate    360,353   0.17%
Total swaps    360,353   0.17%
           
Forwards          
U.S. dollar / Japanese yen 01/15/14 JPY (499,475,915,640)  33,411,262   15.74%
Other U.S. dollar / Japanese yen 01/06/14 – 01/07/14    5,444,684   2.57%
Other foreign currency    (5,523,223)  (2.60)%
Total forwards    33,332,723   15.71%
           
Options (proceeds $50,564,049)          
U.S. dollar / Chinese yuan 03/07/14, $6.23 Put  (4)  (11,882,525)  (5.60)%
U.S. dollar / Chinese yuan 03/07/14, $6.30 Put  (4)  (12,413,547)  (5.85)%
Other U.S. dollar / Chinese yuan 03/07/14 - 12/02/14, $5.98 - $6.17 Put      (3,500,628)  (1.65)%
U.S. dollar / Japanese yen 04/08/14, $101.00 Call  (1)  (11,919,922)  (5.62)%
Other U.S. dollar / Japanese yen 01/10/14 - 04/08/14, $102.50 - $114.00 Call      (20,135,817)  (9.48)%
Other currency      (9,823,598)  (4.63)%
U.S. bond      (312,500)  (0.15)%
Total options      (69,988,537)  (32.98)%
Total derivative financial instruments     $80,129,304   37.76%
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2013.
 
Description 
Notional
Amount / Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master
Fund
 
Number of
Contracts
 Fair Value  
Percentage of
Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued) 
  
  
 
Derivative financial instruments (continued) 
  
  
 
Graham Global Monetary Policy LLC     
Derivative financial instruments     
Long contracts     
Futures     
Commodity  $128,850   0.12%
Foreign bond   802,342   0.75%
Foreign index   2,765,027   2.60%
Interest rate   (3,880,963)  (3.64)%
U.S. index   3,250,338   3.05%
Total futures   3,065,594   2.88%
         
Forwards         
Foreign currency   3,290,191   3.09%
Total forwards   3,290,191   3.09%
         
Options (cost $6,242,152)         
Foreign currency   2,049,584   1.93%
Total options   2,049,584   1.93%
         
Short contracts 
  
  
          
Futures 
  
  
          
Commodity 
  $552,040   0.26%   267,000   0.25%
Foreign bond 
   87,993   0.04%   1,047,621   0.98%
Foreign index   (1,017,217)  (0.96)%
Interest rate 
   6,976   0.00%   6,236,193   5.87%
U.S. bond 
   (171,875)  (0.08)%   3,700,384   3.48%
Total futures 
   475,134   0.22%   10,233,981   9.62%
 
                  
Swaps 
         
Interest rate 
   360,353   0.17%
Total swaps 
   360,353   0.17%
 
         
Forwards 
                  
U.S. dollar / Japanese yen 01/15/14 JPY(499,475,915,640)   33,411,262   15.74%
Other U.S. dollar / Japanese yen 01/06/14 – 01/07/14 
   5,444,684   2.57%
Other foreign currency 
   (5,523,223)  (2.60)%
Foreign currency   (1,978,963)  (1.86)%
Total forwards 
   33,332,723   15.71%   (1,978,963)  (1.86)%
 
                  
Options (proceeds $50,564,049) 
         
U.S. dollar / Chinese yuan 03/07/14, $6.23 Put  (4)  (11,882,525)  (5.60)%
U.S. dollar / Chinese yuan 03/07/14, $6.30 Put  (4)  (12,413,547)  (5.85)%
Other U.S. dollar / Chinese yuan 03/07/14 - 12/02/14, $5.98 - $6.17 Put      (3,500,628)  (1.65)%
U.S. dollar / Japanese yen 04/08/14, $101 Call  (1)   (11,919,922)  (5.62)%
Other U.S. dollar / Japanese yen 01/10/14 - 04/08/14, $102.50 - $114.00 Call      (20,135,817)  (9.48)%
Other currency      (9,823,598)  (4.63)%
U.S. bond      (312,500)  (0.15)%
Options (proceeds $21,920,475)         
Euro / Swiss franc 01/15/14 - 06/16/14, 1.20 - 1.24 Put15  (9,180,740)  (8.63)%
Euro / Swiss franc 01/23/14 - 03/27/14, 1.23 - 1.24 Call9  (3,769,340)  (3.54)%
Total options      (69,988,537)  (32.98)%   (12,950,080)  (12.17)%
Total derivative financial instruments     $80,129,304   37.76%  $3,710,307   3.49%
4339

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2013.
 
Description
Number of
Contracts
 Fair Value  
Percentage of
Members’
Capital of
Master Fund
  Fair Value  
Percentage of
Net Assets of
Master Fund
 
Graham Global Monetary Policy LLC
 
 
  
 
Graham K4D Trading Ltd.    
Derivative financial instruments
 
 
  
     
Long contracts
 
 
  
     
Futures
 
 
  
     
Commodity
 
 $128,850   0.12% $2,119,535   1.24%
Currency  338,275   0.20%
Foreign bond
 
  802,342   0.75%  (3,988,711)  (2.34)%
Foreign index
 
  2,765,027   2.60%  17,706,322   10.40%
Interest rate
 
  (3,880,963)  (3.64)%  (4,219,151)  (2.48)%
U.S. bond  (1,869,974)  (1.10)%
U.S. index
 
  3,250,338   3.05%  11,633,613   6.83%
Total futures
 
  3,065,594   2.88%  21,719,909   12.75%
 
                
Forwards
 
                
Foreign currency
 
  3,290,191   3.09%  3,567,368   2.10%
Total forwards
 
  3,290,191   3.09%  3,567,368   2.10%
 
                
Options (cost $6,242,152)
 
        
Foreign currency
 
  2,049,584   1.93%
Total options
 
  2,049,584   1.93%
 
        
Short contracts
 
                
Futures
 
                
Commodity
 
  267,000   0.25%  7,263,881   4.26%
Currency  272,861   0.16%
Foreign bond
 
  1,047,621   0.98%  1,615,436   0.95%
Foreign index
 
  (1,017,217)  (0.96)%  (2,864,926)  (1.68)%
Interest rate
 
  6,236,193   5.87%  316,308   0.19%
U.S. bond
 
  3,700,384   3.48%  3,636,948   2.14%
U.S. index  (149,710)  (0.09)%
Total futures
 
  10,233,981   9.62%  10,090,798   5.93%
 
                
Forwards
 
                
Foreign currency
 
  (1,978,963)  (1.86)%  6,188,899   3.64%
Total forwards
 
  (1,978,963)  (1.86)%  6,188,899   3.64%
 
        
Options (proceeds $21,920,475)
 
        
Euro / Swiss franc 01/15/14 - 06/16/14, 1.20 - 1.24 Put15  (9,180,740)  (8.63)%
Euro / Swiss franc 01/23/14 - 03/27/14, 1.23 - 1.24 Call9  (3,769,340)  (3.54)%
Total options
 
  (12,950,080)  (12.17)%
Total derivative financial instruments
 
 $3,710,307   3.49% $41,566,974   24.42%
4440

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2013.
Description Fair Value  
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd. 
  
 
Derivative financial instruments 
  
 
Long contracts 
  
 
Futures 
  
 
Commodity $2,119,535   1.24%
Currency  338,275   0.20%
Foreign bond  (3,988,711)  (2.34)%
Foreign index  17,706,322   10.40%
Interest rate  (4,219,151)  (2.48)%
U.S. bond  (1,869,974)  (1.10)%
U.S. index  11,633,613   6.83%
Total futures  21,719,909   12.75%
 
        
Forwards        
Foreign currency  3,567,368   2.10%
Total forwards  3,567,368   2.10%
 
        
Short contracts        
Futures        
Commodity  7,263,881   4.26%
Currency  272,861   0.16%
Foreign bond  1,615,436   0.95%
Foreign index  (2,864,926)  (1.68)%
Interest rate  316,308   0.19%
U.S. bond  3,636,948   2.14%
U.S. index  (149,710)  (0.09)%
Total futures  10,090,798   5.93%
 
        
Forwards        
Foreign currency  6,188,899   3.64%
Total forwards  6,188,899   3.64%
Total derivative financial instruments $41,566,974   24.42%

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2013:

  
Graham
Commodity
Strategies LLC
  
Graham Global
Monetary
Policy LLC
  
Graham K4D
Trading Ltd.
 
Assets      
Level 1:      
U.S. bond futures $-  $3,700,384  $3,636,948 
U.S. bond futures options  781,250   -   - 
Foreign bond futures  87,993   1,849,963   3,780,754 
Foreign bond futures options  206,193   -   - 
Foreign index futures  331,430   2,765,027   17,711,747 
Foreign index futures options  3,813,777   -   - 
U.S. index futures  -   3,250,338   11,633,613 
U.S. index futures options  3,250,000   -   - 
Commodity futures  555,340   542,100   20,981,773 
Interest rate futures  6,976   6,409,614   319,692 
Currency futures  -   -   706,749 
Total Level 1  9,032,959   18,517,426   58,771,276 
             
Level 2:            
Foreign currency forwards  63,466,694   19,384,491   14,317,387 
Foreign currency options  116,821,732   2,049,584   - 
Interest rate swaps  654,860   -   - 
Total Level 2  180,943,286   21,434,075   14,317,387 
Total investment related assets $189,976,245  $39,951,501  $73,088,663 
             
Liabilities            
Level 1:            
U.S. bond futures $(402,578) $-  $(1,869,974)
U.S. bond futures options  (312,500)  -   - 
Foreign bond futures  (336,590)  -   (6,154,029)
Foreign index futures  -   (1,017,217)  (2,870,351)
U.S. index futures  -   -   (149,710)
Commodity futures  (56,320)  (146,250)  (11,598,357)
Interest rate futures  (223,204)  (4,054,384)  (4,222,535)
Currency futures  -   -   (95,613)
Total Level 1  (1,331,192)  (5,217,851)  (26,960,569)
             
Level 2:            
Foreign currency forwards  (36,606,872)  (18,073,263)  (4,561,120)
Foreign currency options  (69,676,038)  (12,950,080)  - 
Interest rate swaps  (2,232,839)  -   - 
Total Level 2  (108,515,749)  (31,023,343)  (4,561,120)
Total investment related liabilities $(109,846,941) $(36,241,194) $(31,521,689)

4641

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2013 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
 Graham Commodity Strategies LLC  Graham Commodity Strategies LLC 
 Long exposure  Short exposure  
  
  Long exposure  Short exposure     
 
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
  
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  Derivative Liabilities 
Commodity price 
  
  
  
  
  
             
Futures $1,023,155   27  $(86,736,500)  (875) $555,340  $(56,320) $1,023,155   27  $(86,736,500)  (875) $555,340  $(56,320)
  1,023,155   27   (86,736,500)  (875)  555,340   (56,320)  1,023,155   27   (86,736,500)  (875)  555,340   (56,320)
Equity price                                                
Futures  27,916,083   243   -   -   331,430   -   27,916,083   243   -   -   331,430   - 
Options(a)  242,380,248   7,250   -   -   7,063,777   - 
Options(a)
  242,380,248   7,250   -   -   7,063,777   - 
  270,296,331   7,493   -   -   7,395,207   -   270,296,331   7,493   -   -   7,395,207   - 
Foreign currency
exchange rate
                                                
Forwards  10,443,360,550   N/A   (10,140,658,387)  N/A   63,466,694   (36,606,872)  10,443,360,550   N/A   (10,140,658,387)  N/A   63,466,694   (36,606,872)
Options(a)  3,352,679,978   55   (3,877,669,196)  (60)  116,821,732   (69,676,038)
Options(a)
  3,352,679,978   55   (3,877,669,196)  (60)  116,821,732   (69,676,038)
  13,796,040,528   55   (14,018,327,583)  (60)  180,288,426   (106,282,910)  13,796,040,528   55   (14,018,327,583)  (60)  180,288,426   (106,282,910)
Interest rate                                                
Futures  4,218,339,506   8,393   (417,593,882)  (2,917)  94,969   (962,372)  4,218,339,506   8,393   (417,593,882)  (2,917)  94,969   (962,372)
Options(a)  73,143,121   5,500   (93,712,500)  (4,000)  987,443   (312,500)
Options(a)
  73,143,121   5,500   (93,712,500)  (4,000)  987,443   (312,500)
Swaps  1,461,834,808   7   (1,461,834,808)  (7)  654,860   (2,232,839)  1,461,834,808   7   (1,461,834,808)  (7)  654,860   (2,232,839)
  5,753,317,435   13,900   (1,973,141,190)  (6,924)  1,737,272   (3,507,711)  5,753,317,435   13,900   (1,973,141,190)  (6,924)  1,737,272   (3,507,711)
Total $19,820,677,449   21,475  $(16,078,205,273)  (7,859) $189,976,245  $(109,846,941) $19,820,677,449   21,475  $(16,078,205,273)  (7,859) $189,976,245  $(109,846,941)
                          
Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2).Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2).  $(1,577,979)Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2).  $(1,577,979)

(a)Notional amounts for options are based on the delta-adjusted positions.

4742

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2013 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
  Graham Global Monetary Policy LLC 
  Long exposure  Short exposure     
  
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
 
Commodity price            
Futures $23,376,150   300  $(8,683,200)  (80) $542,100  $(146,250)
  23,376,150   300   (8,683,200)  (80)  542,100   (146,250)
Equity price                        
Futures  210,629,836   2,475   (38,274,091)  (2,210)  6,015,365   (1,017,217)
   210,629,836   2,475   (38,274,091)  (2,210)  6,015,365   (1,017,217)
Foreign currency
exchange rate
                        
Forwards  92,022,916,376   N/A  (38,009,941,739)  N/A  19,384,491   (18,073,263)
Options(a)
  2,049,580   43   (12,950,080)  (43)  2,049,584   (12,950,080)
   92,024,965,956   43   (38,022,891,819)  (43)  21,434,075   (31,023,343)
Interest rate                        
Futures  3,982,239,026   14,619   (3,336,191,401)  (16,810)  11,959,961   (4,054,384)
   3,982,239,026   14,619   (3,336,191,401)  (16,810)  11,959,961   (4,054,384)
Total $96,241,210,968   17,437  $(41,406,040,511)  (19,143) $39,951,501  $(36,241,194)

(a)Notional amounts for options are based on the delta-adjusted positions.

4843

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2013 categorized by primary underlying risk and is representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
  Graham K4D Trading Ltd. 
  Long exposure  Short exposure     
  
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
 
Commodity price            
Futures $600,736,167   7,868  $(818,149,290)  (14,183) $20,981,773  $(11,598,357)
   600,736,167   7,868   (818,149,290)  (14,183)  20,981,773   (11,598,357)
                         
Equity price                        
Futures  1,084,321,015   10,363   (72,186,031)  (1,773)  29,345,360   (3,020,061)
   1,084,321,015   10,363   (72,186,031)  (1,773)  29,345,360   (3,020,061)
                         
Foreign currency
exchange rate
                        
Futures  41,642,925   339   (184,204,020)  (2,217)  706,749   (95,613)
Forwards  1,307,412,590   N/A  (933,293,797)  N/A  14,317,387   (4,561,120)
   1,349,055,515   339   (1,117,497,817)  (2,217)  15,024,136   (4,656,733)
                         
Interest rate                        
Futures  4,856,729,015   19,225   (2,479,086,853)  (16,180)  7,737,394   (12,246,538)
   4,856,729,015   19,225   (2,479,086,853)  (16,180)  7,737,394   (12,246,538)
Total $7,890,841,712   37,795  $(4,486,919,991)  (34,353) $73,088,663  $(31,521,689)

4944

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at December 31, 2013 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition.  Actual collateral pledged or received by the Master Fund may exceed these amounts.
 
Description 
Gross
Amount
  
Gross Amount
Offset in
the Statements
of Financial
Condition
  
Net Amount
Presented in
the Statements
of Financial
Condition
  
Collateral
(Received) /
Pledged
  Net Amount 
           
Graham Commodity Strategies LLC1
          
Derivative assets $189,976,245  $(109,846,941) $80,129,304  $-  $80,129,304 
Derivative liabilities  (109,846,941)  109,846,941   -   -   - 
                     
Graham Global Monetary Policy LLC2
                    
Derivative assets  39,951,501   (26,647,430)  13,304,071   -   13,304,071 
Derivative liabilities  (36,241,194)  26,647,430   (9,593,764)  9,593,764   - 
                     
Graham K4D Trading Ltd. 3
                    
Derivative assets  73,088,663   (31,521,689)  41,566,974   -   41,566,974 
Derivative liabilities  (31,521,689)  31,521,689   -   -   - 
 
1 Net derivative asset amounts presented in the statement of financial condition are held with three counterparties. The Master Fund has not received collateral from these counterparties that is eligible to offset these derivative amounts as of December 31, 2013. There were no net derivative liability amounts held with any counterparties as of December 31, 2013. At December 31, 2013 additional collateral pledged in the amount of $129,230,754 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. The Master Fund has pledged offsetting collateral to one of these counterparties. At December 31, 2013 additional collateral pledged in the amount of $93,112,102 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
3 Net derivative asset amounts presented in the statement of financial condition are held with three counterparties. The Master Fund has not received collateral from these counterparties that is eligible to offset these derivative amounts as of December 31, 2013. There were no net derivative liability amounts held with any counterparties as of December 31, 2013. At December 31, 2013 additional collateral pledged in the amount of $127,824,315 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
50
45

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following table summarizes the results of operations of each Master Fund for the year ended December 31, 2013:
 
  
Graham
Commodity
Strategies LLC
  
Graham
Global Monetary
Policy LLC
  
Graham K4D
Trading Ltd.
 
       
Net investment income (loss) $99,431  $(42,646) $(6,182)
             
Net realized gain on investments  79,075,377   51,595,494   140,524,370 
Net increase in unrealized appreciation on investments  47,155,885   7,964,706   16,934,274 
Brokerage commissions and fees  (12,430,107)  (4,413,185)  (1,766,806)
Net gain on investments  113,801,155   55,147,015   155,691,838 
Net income $113,900,586  $55,104,369  $155,685,656 

5146

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following table shows the gross gains and losses on all financial instruments held by the Master Funds reported in net realized gain and net increase in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the year ended December 31, 2013:

  
Graham
Commodity
Strategies LLC
  
Graham
Global
Monetary
Policy LLC
  
Graham K4D
Trading Ltd.
 
Commodity price      
Futures $(53,579,007) $(5,104,883) $22,390,945 
Options  (1,216,750)  -   - 
Swaps  2,633,906   -   (577,404)
   (52,161,851)  (5,104,883)  21,813,541 
Equity price            
Futures  (6,426,914)  11,906,544   233,196,965 
Equities  794,000   -   60,994 
Options  5,308,495   89,030   - 
   (324,419)  11,995,574   233,257,959 
Foreign currency
exchange rate
            
Futures  (3,199,215)  -   (3,993,100)
Forwards  136,702,422   2,814,065   (16,548,454)
Options  32,993,122   12,861,563   - 
   166,496,329   15,675,628   (20,541,554)
Interest rate            
Bonds  16,147   -   42,352 
Futures  15,085,869   39,523,590   (77,113,654)
Options  523,654   (2,529,709)  - 
Swaps  (3,404,467)  -   - 
   12,221,203   36,993,881   (77,071,302)
Total $126,231,262  $59,560,200  $157,458,644 
5247

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
4. Graham Cash Assets LLC
 
GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005, and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government which range in maturity from one to nineteen months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three and sixnine months ended JuneSeptember 30, 2014, the total amountamounts recognized by GAIT with respect to its investment in Cash Assets were $86,298$77,478 and $175,370,$252,848, respectively. For the three and sixnine months ended JuneSeptember 30, 2013, the total amountamounts recognized by GAIT with respect to its investment in Cash Assets was $109,104$102,458 and $233,266,$335,724, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At JuneSeptember 30, 2014 and December 31, 2013, GAIT owned approximately 4.94%6.03% and 4.36%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of JuneSeptember 30, 2014 and December 31, 2013:
 
 June 30, 2014  December 31, 2013  September 30, 2014  December 31, 2013 
Assets: 
  
     
Cash and cash equivalents $736,529,942  $1,011,694,165  $708,663,039  $1,011,694,165 
Investments in fixed income securities (cost $1,937,085,549
and $2,493,161,454, respectively)
  1,937,085,549   2,493,161,454 
Investments in fixed income securities (cost $1,482,810,325 and
$2,493,161,454, respectively)
  1,482,810,325   2,493,161,454 
Accrued interest receivable  5,278,778   6,806,338   5,623,469   6,806,338 
Total assets  2,678,894,269   3,511,661,957   2,197,096,833   3,511,661,957 
                
Liabilities:                
Other liabilities  -   15,004   -   15,004 
Total liabilities  -   15,004   -   15,004 
Net assets $2,678,894,269  $3,511,646,953  $2,197,096,833  $3,511,646,953 
 
The following table summarizes the results of operations of Cash Assets for the three and sixnine month periods ended JuneSeptember 30, 2014 and 2013:
 
 
Three Months Ended
June 30,
  
Six Months Ended
June 30,
  
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 2014  2013  2014  2013  2014  2013  2014  2013 
Investment income 
  
  
  
         
Interest income $1,731,457  $2,113,258  $3,654,826  $4,240,391  $1,403,319  $2,331,345  $5,058,145  $6,571,736 
Total investment income  1,731,457   2,113,258   3,654,826   4,240,391   1,403,319   2,331,345   5,058,145   6,571,736 
                                
Expenses:                                
Bank fee expense  15,931   25,311   27,216   58,964   5,866   7,210   33,082   66,174 
Total expenses  15,931   25,311   27,216   58,964   5,866   7,210   33,082   66,174 
Net investment income  1,715,526   2,087,947   3,627,610   4,181,427   1,397,453   2,324,135   5,025,063   6,505,562 
Net income $1,715,526  $2,087,947  $3,627,610  $4,181,427  $1,397,453  $2,324,135  $5,025,063  $6,505,562 
5348

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
4. Graham Cash Assets LLC (continued)
 
The following represents the condensed schedule of investments of Cash Assets as of JuneSeptember 30, 2014:
 
Description 
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
  
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities
(cost $1,937,085,549)
 
  
  
 
Investments in Fixed Income Securities
(cost $1,482,810,325)
      
United States 
  
  
       
Government Bonds (cost $1,937,085,549) 
  
  
 
Government Bonds (cost $1,482,810,325)      
U.S. Treasury 2.38% due 10/31/14 $150,000,000  $151,250,551   5.65% $150,000,000  $150,486,496   6.85%
Other U.S. Treasury 0.25% – 4.00% due 07/31/14 – 01/31/16      1,785,834,998   66.66%
Other U.S. Treasury 0.25% – 4.00% due 10/31/14 – 01/31/16      1,332,323,829   60.64%
Total Government Bonds      1,937,085,549   72.31%      1,482,810,325   67.49%
                        
Total Investments in Fixed Income Securities     $1,937,085,549   72.31%     $1,482,810,325   67.49%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2013:
 
Description 
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities
(cost $2,493,161,454)
      
United States      
Government Bonds (cost $2,493,161,454)      
U.S. Treasury 0.13% – 4.00% due 01/15/14 – 9/15/15 $2,475,000,000  $2,493,161,454   71.00%
Total Government Bonds      2,493,161,454   71.00%
             
Total Investments in Fixed Income Securities     $2,493,161,454   71.00%

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of JuneSeptember 30, 2014 and December 31, 2013:
 
 June 30, 2014  December 31, 2013  September 30, 2014  December 31, 2013 
Assets 
  
     
Level 2: 
  
     
Fixed income securities 
  
     
Government Bonds $1,937,085,549  $2,493,161,454  $1,482,810,325  $2,493,161,454 
Total fixed income securities  1,937,085,549   2,493,161,454   1,482,810,325   2,493,161,454 
Total Level 2  1,937,085,549   2,493,161,454   1,482,810,325   2,493,161,454 
Total assets $1,937,085,549  $2,493,161,454  $1,482,810,325  $2,493,161,454 
5449

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
5. Capital Accounts
 
GAIT offers Class 0 Units and Class 2 Units (collectively, the “Units”). GAIT may issue additional classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager. GAIT also has Management Units (“Class M units”) which are solely for the investment of the Manager.
 
A separate Capital Account is maintained for each member with respect to each Class of Units held by such member. The initial balance of each member’s Capital Account is equal to the initial contribution to GAIT with respect to the Class to which such Capital Account relates. Each member’s Capital Account is increased by any additional subscription, and decreased by any redemption by such member of Units of such Class to which the Capital Account relates. All income and expenses of GAIT are allocated among the Capital Accounts of the members in proportion to the balance that each Capital Account bears to the balance of all Capital Accounts as of the beginning of such fiscal period.
 
Subscriptions
 
Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. There is no minimum subscription amount.
 
Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.
 
Redemptions
 
Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of the last business day of each month upon not less than three business days’ prior written notice to the administrator.
 
6. Fees and Related Party Transactions
 
Advisory Fees
 
For the sixnine months ended JuneSeptember 30, 2014 and 2013 each Class of GAIT other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.
55
50

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
6. Fees and Related Party Transactions (continued)
 
Sponsor Fees
 
For the sixnine months ended JuneSeptember 30, 2014 and 2013, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the three months ended March 31, 2013, the annual rate listed below for Class 2 comprised a Sponsor Fee of 0.75% and selling agent fee (the “Selling Agent Fee”) of 2%, which was used to compensate selling agents for initial and on-going services to the Fund. Subsequent to March 31, 2013, the Sponsor Fee and the Selling Agent Fee were combined to form the Sponsor Fee listed in the table below.
 
ClassAnnual Rate
Class 00.75%
Class 22.75%
 
Incentive Allocation
 
At the end of each calendar quarter, the Manager will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager.
 
Administrator’s Fee
 
For the sixnine months ended JuneSeptember 30, 2014 and 2013, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT.
 
Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with GAIT.
 
7. Income Taxes
 
No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of GAIT’s revenues and expenses for income tax purposes.
56
51

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
7. Income Taxes (continued)
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year. The Manager has evaluated GAIT’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.
 
8. Financial Highlights
 
The following is the per unit operating performance calculation for the three month periods ended JuneSeptember 30, 2014 and 2013:

 Class 0  Class 2  Class 0  Class 2 
Per unit operating performance 
  
     
Net asset value per unit, March 31, 2013 $122.47  $95.80 
Net asset value per unit, June 30, 2013 $121.13  $94.28 
Net loss:                
Net investment loss  (0.86)  (1.13)  (0.76)  (1.06)
Net loss on investments  (0.48)  (0.39)  (3.67)  (2.85)
Net loss  (1.34)  (1.52)  (4.43)  (3.91)
Net asset value per unit, June 30, 2013 $121.13  $94.28 
Net asset value per unit, September 30, 2013 $116.70  $90.37 
                
Net asset value per unit, March 31, 2014 $114.03  $87.43 
Net asset value per unit, June 30, 2014 $115.00  $87.73 
Net income:                
Net investment loss  (0.76)  (1.05)  (0.81)  (1.07)
Net gain on investments  1.73   1.35   17.42   13.23 
Net income  0.97   0.30   16.61   12.16 
Net asset value per unit, June 30, 2014 $115.00  $87.73 
Net asset value per unit, September 30, 2014 $131.61  $99.89 
57
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
8. Financial Highlights (continued)
 
The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended JuneSeptember 30, 2014 and 2013:
 
 Class 0  Class 2  Class 0  Class 2 
 2014  2013  2014  2013  2014  2013  2014  2013 
 
  
  
  
         
Total return before Incentive Allocation  0.85%  (1.09)%  0.35%  (1.59)%  14.44%  (3.66)%  13.86%  (4.15)%
Incentive Allocation  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Total return after Incentive Allocation  0.85%  (1.09)%  0.35%  (1.59)%  14.44%  (3.66)%  13.86%  (4.15)%
                                
Net investment loss before Incentive Allocation  (0.67)%  (0.70)%  (1.20)%  (1.18)%  (0.68)%  (0.63)%  (1.18)%  (1.12)%
Incentive Allocation  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Net investment loss after Incentive Allocation  (0.67)%  (0.70)%  (1.20)%  (1.18)%  (0.68)%  (0.63)%  (1.18)%  (1.12)%
                                
Total expenses before Incentive Allocation  0.72%  0.74%  1.25%  1.22%  0.73%  0.69%  1.24%  1.20%
Incentive Allocation  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Total expenses after Incentive Allocation  0.72%  0.74%  1.25%  1.22%  0.73%  0.69%  1.24%  1.20%
The following is the per unit operating performance calculation for the sixnine month periods ended JuneSeptember 30, 2014 and 2013:
 
 Class 0  Class 2  Class 0  Class 2 
Per unit operating performance 
  
     
Net asset value per unit, December 31, 2012 $114.88  $90.29  $114.88  $90.29 
Net income:                
Net investment loss  (1.74)  (2.28)  (2.50)  (3.33)
Net gain on investments  7.99   6.27   4.32   3.41 
Net income  6.25   3.99   1.82   0.08 
Net asset value per unit, June 30, 2013 $121.13  $94.28 
Net asset value per unit, September 30, 2013 $116.70  $90.37 
                
Net asset value per unit, December 31, 2013 $127.72  $98.41  $127.72  $98.41 
Net loss:                
Net investment loss  (1.53)  (2.08)  (2.33)  (3.17)
Net loss on investments  (11.19)  (8.60)
Net loss  (12.72)  (10.68)
Net asset value per unit, June 30, 2014 $115.00  $87.73 
Net gain on investments  6.22   4.65 
Net income  3.89   1.48 
Net asset value per unit, September 30, 2014 $131.61  $99.89 
5853

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
8. Financial Highlights (continued)
 
The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the sixnine month periods ended JuneSeptember 30, 2014 and 2013:
 
 Class 0  Class 2  Class 0  Class 2 
 2014  2013  2014  2013  2014  2013  2014  2013 
 
  
  
  
         
Total return before Incentive Allocation  (9.96)%  5.44%  (10.85)%  4.42%  3.05%  1.58%  1.50%  0.09%
Incentive Allocation  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Total return after Incentive Allocation  (9.96)%  5.44%  (10.85)%  4.42%  3.05%  1.58%  1.50%  0.09%
                                
Net investment loss before Incentive Allocation  (1.29)%  (1.46)%  (2.31)%  (2.42)%  (1.96)%  (2.11)%  (3.49)%  (3.57)%
Incentive Allocation  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Net investment loss after Incentive Allocation  (1.29)%  (1.46)%  (2.31)%  (2.42)%  (1.96)%  (2.11)%  (3.49)%  (3.57)%
                                
Total expenses before Incentive Allocation  1.40%  1.56%  2.41%  2.52%  2.13%  2.27%  3.65%  3.73%
Incentive Allocation  0.00   0.00   0.00   0.00   0.00   0.00   0.00   0.00 
Total expenses after Incentive Allocation  1.40%  1.56%  2.41%  2.52%  2.13%  2.27%  3.65%  3.73%

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and net investment loss and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital of GAIT, excluding that of the Managing Member, for the three and sixnine month periods ended JuneSeptember 30, 2014 and 2013.
 
9. Subsequent Events
 
GAIT had subscriptions of approximately $2.1$7.2 million and redemptions of approximately $3.8$4.8 million through AugustNovember 14, 2014, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.
59
54

Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations

Forward-Looking Statements

Certain statements within this Quarterly Report on Form 10-Q may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 (“PSLRA”). These statements are being made pursuant to the PSLRA, with the intention of obtaining the benefits of the “safe harbor” provisions of the PSLRA, and, other than as required by law, we assume no obligation to update or supplement such statements. Forward-looking statements are those that do not relate solely to historical facts. They include, but are not limited to, any statement that may predict, forecast, indicate or imply future results, performance, achievements or events. You can identify these statements by the use of words such as “may,” “will,” “could,” “anticipate,” “believe,” “estimate,” “expect,” “intend,” “predict,” “continue,” “further,” “seek,” “plan,” or “project” and variations of these words or comparable words or phrases of similar meaning. These forward-looking statements reflect our current beliefs and expectations with respect to future events and are based on assumptions and are subject to risks and uncertainties and other factors outside our control that may cause actual results to differ materially from those projected. We undertake no obligation to update publicly or review any forward-looking statement, whether as a result of new information, future developments or otherwise.

(a)Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following is a discussion of our current financial position and results of operations. This discussion should be read together with our annual financial statements and the notes thereto for the fiscal year ended December 31, 2013 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 28, 2014. This discussion should also be read in conjunction with “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include each of the Blended Strategies Portfolio of GAIF I, GAIT and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended JuneSeptember 30, 2014 the Blended Strategies Portfolio’s net asset value increased by $898,953 or 1.1%. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $375,218 or 0.5% and net income of $11,453,464 or 13.6% partially offset by redemptions totaling $10,929,729 or -13.0%, for the period.
For the nine months ended September 30, 2014 the Blended Strategies Portfolio’s net asset value decreased by $2,390,979$14,079,739 or -2.8%-14.3%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $5,268,000$8,334,507 or 6.1%8.4% and net income of $653,498 of 0.7%$1,331,584 or 1.3% offset by redemptions totaling $8,312,477$23,745,830 or -9.6%,-24.0% for the period.
 
For the sixthree months ended JuneSeptember 30, 20142013 the Blended Strategies Portfolio’s net asset value decreased by $14,978,692$12,628,996 or -15.1%-11.2%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $7,959,289$375,000 or 8.0%0.3% offset by redemptions totaling $12,816,101$8,768,435 or -12.9%-7.8% and a net loss of $10,121,880$4,235,561 or -10.2%, for the period.

 For the three months ended June 30, 2013 the Fund’s net asset value decreased by $37,119,643 or -24.8%. The net decrease in the Fund was attributable to total subscriptions of $2,945,000 or 2.0% offset by redemptions totaling $39,718,134 or -26.6% and a net loss of $346,509 or -0.2%-3.7%, for the period.

For the sixnine months ended JuneSeptember 30, 2013 the Fund’sBlended Strategies Portfolio’s net asset value decreased $55,223,073$67,582,069 or -32.9%-40.4%. The net decrease in the FundBlended Strategies Portfolio was attributable to total subscriptions of $5,241,886$5,616,886 or 3.1%3.3% and net income of $10,240,487$6,004,926 or 6.1%3.6% offset by redemptions totaling $70,705,446$79,473,881 or –42.1%–47.3%, for the period.
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(i)     Results of Operations

The Fund’s success depends primarily upon the Manager’s ability to recognize and capitalize on market trends in the different and varied sectors of the global financial markets in which it trades.

2014 Summary

Three Months Ended JuneSeptember 30, 2014

For the three months ended JuneSeptember 30, 2014, the Blended Strategies Portfolio experienced net trading gains of $1,453,921.$12,256,194. The trading results are attributable to the following sectors:

Agriculture / Softs $(105,551) $1,202,565 
Base metals  (424,218)  (494,111)
Energy  278,190   (835,153)
Equities  1,217,786   (642,322)
Foreign exchange  (1,495,909)  11,388,136 
Long term / Intermediate rates  2,016,285   1,750,775 
Precious metals  (345,118)  396,508 
Short term rates  312,456   (510,204)
 $1,453,921  $12,256,194 

The Blended Strategies Portfolio recorded a net gain for the secondthird quarter of 2014. The portfolio recorded gains primarily from positionstrading foreign exchange, in fixed income futures, particularlyparticular from a long bias in Europethe U.S. dollar versus the euro, Japanese yen, and, to a lesser extent, Australiathe New Zealand dollar. The portfolio also benefitted from positions in European fixed income futures. The portfolio recorded modest gains in commodity futures, as profits in agriculture/softs commodities and Canada. Positionsprecious metals more than offset losses in global equity index futures also led to gains, most notably in the U.S.energy and Europe. Smaller gainsbase metals. Losses resulted from positions in energy, including crude oilEuropean, U.K., and gasoline. The portfolio experienced losses in foreign exchange, primarily from trading the Japanese yen, euro and Canadian dollar versus the U.S. dollar. Smaller losses resulted from positions in metals and agricultural commodities.equity sectors.

Advisory, Sponsor, and Administrator’s Fees are calculated as a percentage of the Fund’s net asset value as of the end of each month and are affected by trading performance, interest income, subscriptions into and redemptions out of the Fund. Accordingly, the fluctuations in these amounts are directly correlated to the changes in net asset value which are discussed in detail herein.

For the three months ended JuneSeptember 30, 2014, Advisory Fees decreased by $248,097$95,474 or -39.0%-20.1%, Sponsor Fees decreased by $127,266$39,889 or -31.8%-12.6%, and Administrator’s Fees decreased by $17,373$5,246 or -36.7%-14.9% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from subscriptionsredemptions partially offset by redemptionssubscriptions and a net lossincome for the period. During the same period, interest income decreased by $16,320$12,816 or -25.2%-22.5%. Interest was earned on free cash at an average annualized yield of 0.25%0.26% for the three months ended JuneSeptember 30, 2014 compared to 0.23%0.25% for the same period in 2013.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended JuneSeptember 30, 2014 and 2013 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

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SixNine Months Ended JuneSeptember 30, 2014

For the sixnine months ended JuneSeptember 30, 2014, the Blended Strategies Portfolio experienced net trading lossesgains of $8,499,726.$3,756,468. The trading results are attributable to the following sectors:

Agriculture / Softs $(1,655,632) $(753,170)
Base metals  (463,132)  (1,251,560)
Energy  (1,079,074)  (2,519,902)
Equities  (1,818,482)  (3,287,701)
Foreign exchange  (3,860,021)  9,002,877 
Long term / Intermediate rates  1,422,841   4,136,776 
Precious metals  (1,147,465)  (1,069,630)
Short term rates  101,239   (501,222)
 $(8,499,726) $3,756,468 

The Blended Strategies Portfolio posted a net lossgain for the first twothree quarters of 2014. Losses in foreign exchangeGains resulted primarily from trading the Japanese yen versusforeign exchange, most notably from a long bias in the U.S. dollar as well as trading various European currency crosses. Losses also resulted from trading commodities, including coffee, silver, gold, copper, crude oilversus the euro, New Zealand dollar, Canadian dollar, and heating oil. Smaller losses resulted from positions in global equity index futures, particularly in Asia.Japanese yen. The portfolio profitedalso benefitted from positions in European fixed income futures. Positions in commodity futures, including agriculture/softs commodities, metals, and energy led to losses. Losses also resulted from positions in the equities sector, which offset a portion of the losses during the period.portfolio’s overall profits.

Advisory, Sponsor, and Administrator’s Fees are calculated as a percentage of the Fund’s net asset value as of the end of each month and are affected by trading performance, interest income, subscriptions into and redemptions out of the Fund. Accordingly, the fluctuations in these amounts are directly correlated to the changes in net asset value which are discussed in detail herein.

For the sixnine months ended JuneSeptember 30, 2014, Advisory Fees decreased by $551,350$646,824 or -41.3%-35.7%, Sponsor Fees decreased by $282,209$322,098 or -34.2%-28.2%, and Administrator’s Fees decreased by $39,754$45,000 or -40.0%-33.4% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from subscriptionsredemptions partially offset by redemptionssubscriptions and a net lossincome for the period. During the same period, interest income decreased by $45,570$58,386 or -31.9%-29.2%. Interest was earned on free cash at an average annualized yield of 0.25% for the sixnine months ended JuneSeptember 30, 2014 compared to 0.23% for the same period in 2013.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the sixnine months ended JuneSeptember 30, 2014 and 2013 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of JuneSeptember 30, 2014 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs  (6.618.3)%
Base metals  (4.87.5)%
Energy  13.67.1%
Equities  (2.00.1)%
Foreign exchange  56.172.2%
Long term / Intermediate rates  20.91.0%
Precious metals  (1.17.9)%
Short term rates  23.91.1%
  100.0%

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2013 Summary

Three Months Ended JuneSeptember 30, 2013

For the three months ended JuneSeptember 30, 2013, the FundBlended Strategies Portfolio experienced net trading gainslosses of $919,041.$3,328,641. The trading results are attributable to the following sectors:

Agriculture / Softs $7,491,984  $533,363 
Base metals  3,973,566   (509,333)
Energy  (8,965,303)  (1,605,694)
Equities  9,547,749   1,935,320 
Foreign exchange  (9,348,416)  (3,117,035)
Long term / intermediate rates  (22,654,953)
Long term / Intermediate rates  39,943 
Precious metals  17,890,440   (1,201,726)
Short term rates  2,983,974   596,521 
 $919,041  $(3,328,641)

The Blended Strategies Portfolio recorded a net trading gainloss for the secondthird quarter of 2013. The portfolio recorded net profits from trading in commodities as profits from trading in the metals and agriculture commodities sectors more than offset losses in the energy sector. The portfolio also recorded profits in the equities sector, particularly from trading U.S. and Asian equity index futures. Losses for the quarter resulted primarily from the long term / intermediate rates sector, particularly positions in global fixed income futures.commodities, including energy and metals. The portfolio also recorded losses from positions in the foreign exchange, sector, particularly as the U.S. dollar weakened versus the Japanese yen, European currencies, and commodity currencies. The portfolio recorded profits from trading U.S. and European equity indices and short term rates futures, which mitigated a portion of the overall losses for the quarter.

Brokerage, Advisory, Sponsor, and Administrator’s Fees are calculated as a percentage of the Fund’s net asset value as of the end of each month and are affected by trading performance, interest income, subscriptions into and redemptions out of the Fund. Accordingly, the fluctuations in these amounts are directly correlated to the changes in net asset value which are discussed in detail herein.

For the three months ended JuneSeptember 30, 2013, Advisory Fees decreased by $589,821$663,307 or -48.1%-58.2%, Brokerage Fees decreased by $1,401,173$1,304,776 or -100.0% and Sponsor Fees decreased by $211,868$253,651 or -34.6%-44.5% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from subscriptions offset by redemptions and a net loss for the period. Additionally, the Brokerage Fees were eliminated in 2013 and the Advisory Fees were reduced by 0.25% for each class of units from 2% in 2012 to 1.75% in 2013. During the same period, interest income decreased by $58,224$59,492 or -47.4%-51.1%. Interest was earned on free cash at an average annualized yield of 0.23%0.25% for the three months ended JuneSeptember 30, 2013 compared to 0.26%0.25% for the same period in 2012.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended JuneSeptember 30, 2013 and 2012 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

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SixNine Months Ended JuneSeptember 30, 2013

For the sixnine months ended JuneSeptember 30, 2013, the FundBlended Strategies Portfolio experienced net trading gains of $13,153,349$9,824,708 attributable to the following sectors:

Agriculture / Softs $1,154,421  $2,023,624 
Base metals  707,587   63,891 
Energy  (5,626,179)  (8,464,356)
Equities  12,346,427   16,340,207 
Foreign exchange  4,089,131   124,986 
Long term / intermediate rates  (5,916,988)
Long term / Intermediate rates  (6,469,972)
Precious metals  5,388,036   4,252,133 
Short term rates  1,010,914   1,954,195 
 $13,153,349  $9,824,708 

The Blended Strategies Portfolio posted a net gain for the first halfthree quarters of 2013. The majority of the gains were driven by trading equity index futures, particularly in the equities sector, particularly U.S., AsianAsia and U.K equity index futures.U.K.  The Portfolioportfolio also recorded gains from trading precious metals, with smaller gains in base metals and agriculturalagricultural/softs commodities. Profits were also recorded in the foreign exchange sector, most notably from trading the Japanese yen versus the U.S. dollar. Losses were experienced from trading in the short termenergy sector, with smaller losses in long term/intermediate rates sector, mostly due to trading global bond futures.  The Portfolio also experiencedThese losses from trading energy, which offset a portion of the overall year-to-date gains forthrough the first half of 2013.third quarter.

Brokerage, Advisory, Sponsor, and SponsorAdministrator's Fees are calculated as a percentage of the Fund’s net asset value as of the end of each month and are affected by trading performance, interest income, subscriptions into and redemptions out of the Fund. Accordingly, the fluctuations in these amounts are directly correlated to the changes in net asset value which are discussed in detail herein.

For the sixnine months ended JuneSeptember 30, 2013, Brokerage Fees decreased by $2,917,047$4,221,823 or -100.0%, Advisory Fees decreased by $1,209,420$1,872,727 or -47.5%-50.8% and Sponsor Fees decreased by $448,142$701,793 or -35.2%-38.1% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from subscriptions and net income offset by redemptions for the period. Additionally, the Brokerage Fees were eliminated inbeginning January 1, 2013 and the Advisory Fees were reduced by 0.25% for each class of units from 2% in 2012 to 1.75% in 2013. During the same period, interest income decreased by $117,325$176,817 or -45.1%-47.0%. Interest was earned on free cash at an average annualized yield of 0.23% for the sixnine months ended JuneSeptember 30, 2013 compared to 0.27%0.26% for the same period in 2012.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the sixnine months ended JuneSeptember 30, 2013 and 2012 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of JuneSeptember 30, 2013 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs  5.739.7%
Base metals  6.0(5.4)%
Energy  (0.731.6)%)
Equities  (11.70.2%)
Foreign exchange  (37.465.1%)
Long term / intermediateIntermediate rates  63.0(9.9)%
Precious metals  10.72.8%
Short term rates  64.439.1%
  100.0%

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Variables Affecting Performance

The Fund’s performance is affected by net profitability resulting from the trading operations of the Master Funds, the fees charged by the Fund, and interest income earned on cash and cash equivalents. The Master Funds acquire and liquidate long and short positions in futures contracts, forwards contracts, spot currency contracts and associated derivative instruments such as options and swaps. These instruments are carried at fair value, which is heavily influenced by a wide variety of factors including but not limited to, the level and volatility of exchange rates, interest rates, equity prices, and commodity prices as well as global macro political events. These factors generate market movements affecting the fair value of these instruments and in turn the net gains and losses allocated from the Master Funds.

Advisory and Sponsor Fees are calculated based on a percentage of the Fund’s net asset value. Changes in the net assets of the Fund resulting from subscriptions, redemptions, interest and trading profits allocated from the Master Funds can therefore have a material impact on the fee expense of the Fund.

A portion of the assets of the Fund is held in cash and cash equivalents. Changes in the net assets of the Fund as well as changes in the interest rates earned on these investments can have a material impact on interest income earned.

(ii)     Liquidity

There are no known demands, commitments, events or uncertainties that will result in or are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.

A portion of the Fund’s assets is generally held as cash or cash equivalents, which are used to margin the Fund’s investments. It is expected that the average margin the Fund will be required to post to support the Fund’s trading may range between 10% and 30% of the Fund’s total assets, which will be segregated or secured by the futures brokers in accordance with the Commodity Exchange Act and with U.S. Commodity Futures Trading Commission regulations or be maintained on deposit with over-the-counter counterparties. In exceptional market conditions, this amount could increase. The Master Funds are subject to margin calls on a constant daily and intra-day basis, whether in connection with initiating new investment positions or as a result of changes in the value of current investment positions. These margin requirements are met through the posting of additional margin with the applicable futures or OTC clearing broker. The Manager generally expresses its margin requirements for the portfolios in terms of the aggregate of the margin requirements plus the net option premium costs for the underlying strategies as a percentage of net assets. The following table shows these amounts as of the date indicated:

JuneSeptember 30, 2014  14.7418.14%
December 31, 2013  17.61%
JuneSeptember 30, 2013  13.6214.48%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through JuneSeptember 30, 2014, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.
 
(iii)    Capital Resources
 
The Fund raises additional capital through the sale of Units and capital is increased through trading profits (if any) and interest income. The Fund may borrow money from brokers or their affiliates and other lenders. Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Fund should not have a significant impact on its operations, as the Fund has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses.
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The Fund participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Fund’s brokers may require margin in excess of minimum exchange requirements. The Fund bears the risk of financial failure of the brokers through which it clears trades and maintains margin in respect of any such trades and of its counterparties for its foreign exchange and swap trades with whom it also maintains margin.
 
(iv)   Critical Accounting Policies
 
Presentation – Graham Alternative Investment Fund I LLC is a series Limited Liability Company under Delaware law. The financial statements and corresponding footnotes are presented solely for the Blended Strategies Portfolio, except where otherwise noted.
 
Use of Estimates – The Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars except where noted. The preparation of the financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 2 of the financial statements.
 
Fair Value Measurement – The Fund follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value and requires certain disclosures about fair value measurements. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date. The Fund reports the fair value of its investment-related assets and liabilities in accordance with the hierarchy established under U.S. GAAP.
 
The Fund records its investments in GAIT at fair value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in Master Funds at fair value in accordance with U.S. GAAP. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.
 
The Master Funds record all their financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized gains and losses from these instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.
 
Investment CompanyThe Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Update 2013-08, Financial Services – Investment Companies (Topic 946), Amendments to the Scope, Measurement, and Disclosure Requirements. The Manager has evaluated this guidance and has determined the Fund meets the criteria to be classified as an investment company.
 
Cash Assets – GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. The financial information of Cash Assets is included in the notes to the Financial Statements of GAIT.
 
Income TaxesNo provision for income taxes has been made in the Fund’s financial statements, as each member is responsible for reporting income or loss based upon the member’s respective share of the Fund’s revenues and expenses for income tax purposes.
 
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U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year.  The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months.
 
(v)     Off-Balance Sheet Arrangements

The Fund does not engage in off-balance sheet arrangements with other entities.

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Item 3.
Quantitative and Qualitative Disclosures about Market Risk
No disclosure is required hereunder as the Fund is a “smaller reporting company”, as defined in Item 10(f)(1) of Regulation S-K.

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Item 4.
Controls and Procedures

Evaluation of Disclosure Control and Procedures

The Advisor’s Chief Operating Officer and Chief Financial Officer have evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures, as defined in Rules 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”) as of JuneSeptember 30, 2014. Based on that evaluation, the Advisor’s Chief Operating Officer and Chief Financial Officer concluded that the Fund’s disclosure controls and procedures were effective as of JuneSeptember 30, 2014, to ensure that information required to be disclosed by the Fund in reports that it files or submits under the Exchange Act is recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms and that such information is accumulated and made known to the Manager and the Fund’s management, as appropriate, to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

There were no changes to the Fund’s internal controls over financial reporting during the secondthird quarter of 2014 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal controls over financial reporting.

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PART II. OTHER INFORMATION
Item 1.
Legal Proceedings
None

Item 1A.
Risk Factors
Not Required

Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds

Issuer Sales of Units

For the three months ended JuneSeptember 30, 2014, the Fund issued 58,441.9143,917.282 Units in exchange for $5,268,000$375,218 with respect to the Blended Strategies Portfolio, in each case in a transaction that was not registered under the Securities Act of 1933, as amended (the “Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Act and Rule 506506(b) of Regulation D promulgated thereunder. All purchasers of the Units were accredited investors, as that term is defined under Rule 501 of Regulation D.

The following chart sets forth the purchases of Units of the Fund.
 
   Blended Strategies Portfolio
Total
Number of
Period (as of)
Blended Strategies Portfolio
Total
Number of
Units Issued
AprilJuly 1, 2014
28,008.8261,773.805
MayAugust 1, 201421,858.056605.614
JuneSeptember 1, 20148,575.0321,537.863
Issuer Purchases of Units

Date
 
(a) Total Number
of Units
Purchased1
  
(b) Average
Price Paid
per Unit
  
(c) Total Number of Units Purchased as Part of Publicly Announced Plans
or Programs
  
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans
or Programs
 
July 31, 2014  19,692.938   99.30   N/A  N/A
August 31, 2014  19,633.538   103.57   N/A  N/A
September 30, 2014  50,998.567   115.75   N/A  N/A
TOTAL  90,325.043   106.21   N/A  N/A

1
Represents number of Units redeemed by Members of the Fund in accordance with the LLC Agreement.

Item 3.
Defaults Upon Senior Securities – None

Item 4.
Mine Safety Disclosures – NoneNot applicable

Item 5.
Other Information – None

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Item 6.
Exhibits

** 3.1Certificate of Formation of Graham Alternative Investment Fund I LLC
* 3.2Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
* 4.1Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC
** 10.1Form of Subscription Agreement
** 10.2Form of Placement Agreement
*** 10.10Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A.
Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Operating Officer)
Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)
Section 1350 Certification (Certification of Chief Operating Officer and Chief Financial Officer)
101.INSXBRL Instance Document
101.SCHXBRL Taxonomy Extension Schema
101.CALXBRL Taxonomy Extension Calculation Linkbase
101.DEFXBRL Taxonomy Extension Definition Linkbase
101.LABXBRL Taxonomy Extension Label Linkbase
101.PREXBRL Taxonomy Extension Presentation Linkbase

 *Incorporated by reference to the Fund’s Form 8-K previously filed on April 11, 2013

 **Incorporated by reference to the Fund’s Form 10 previously filed on April 30, 2010

 ***Incorporated by reference to the Fund’s Form 10/A previously filed on September 3, 2010

 ****Filed herewith
71
SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dated:  AugustNovember 14, 2014GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
BLENDED STRATEGIES PORTFOLIO
By:GRAHAM CAPITAL MANAGEMENT, L.P.
its Manager
By:/s/ Paul Sedlack                                                          
Paul Sedlack, Chief Operating Officer
By:/s/ Brian Douglas                                                      
Brian Douglas, Chief Financial Officer
 
 
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