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 September 30, 2014March 31, 2015

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 NovemberMay 1, 2014, 675,109.8952015, 665,898.418 Units of the Blended Strategies Portfolio were outstanding.
 


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

INDEX
 
Page
Number
  Number
 
PART I - Financial InformationInformation::
 
Item 1.
 
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio
1
 
2
3
4
 
5
Graham Alternative Investment Trading LLC
1312
1413
1514
1615
1716
 
1817
Item 2.5551
 
Item 3.6357
 

Item 4.6458
 
6559
 
EX - 31.1Certification
EX - 31.2Certification
EX - 32.1Certification
 

PART I

Item 1.
Financial Statements

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Statements of Financial Condition

  
March 31, 2015
(Unaudited)
  
December 31, 2014
(Audited)
 
Assets    
Investment in Graham Alternative Investment Trading LLC, at fair value $95,328,503  $89,185,934 
Redemption receivable from Graham Alternative Investment Trading LLC  327,762   1,790,083 
Total assets $95,656,265  $90,976,017 
         
Liabilities and members’ capital        
Liabilities:        
Accrued redemptions $327,762  $1,790,083 
Total liabilities  327,762   1,790,083 
         
Members’ capital:        
Class 0 Units (420,285.501 and 422,282.349 units issued and outstanding at
$159.93 and $149.37, respectively)
  67,216,003   63,076,949 
Class 2 Units (232,098.628 and 229,870.220 units issued and outstanding at
$121.12 and $113.58, respectively)
  28,112,500   26,108,985 
Total members’ capital  95,328,503   89,185,934 
Total liabilities and members’ capital $95,656,265  $90,976,017 
  
September 30, 2014
(Unaudited)
  
December 31, 2013
(Audited)
 
     
Assets    
Investment in Graham Alternative Investment Trading LLC, at fair value $84,965,394  $99,045,133 
Redemption receivable from Graham Alternative Investment Trading LLC  6,638,045   3,619,464 
Total assets $91,603,439  $102,664,597 
         
Liabilities and members’ capital        
Liabilities:        
Accrued redemptions $6,638,045  $3,619,464 
Total liabilities  6,638,045   3,619,464 
         
Members’ capital:        
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  84,965,394   99,045,133 
Total liabilities and members’ capital $91,603,439  $102,664,597 

See accompanying notes.
 
1

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Operations

 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
  
Three Months Ended
March 31,
 
 2014  2013  2014  2013  2015  2014 
Net gain (loss) allocated from investment in Graham
Alternative Investment Trading LLC
        
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC:    
Net realized gain (loss) on investments $7,968,167  $(5,919,049) $1,919,517  $10,989,075  $10,880,008  $(6,032,210)
Net increase (decrease) in unrealized appreciation on
investments
  4,288,027   2,590,408   1,836,951   (1,164,367)
Net decrease in unrealized appreciation on investments  (2,249,034)  (3,921,437)
Brokerage commissions and fees  (126,896)  (111,470)  (383,844)  (621,684)  (116,794)  (138,075)
Net gain (loss) allocated from investment in Graham
Alternative Investment Trading LLC
  12,129,298   (3,440,111)  3,372,624   9,203,024   8,514,180   (10,091,722)
                        
Net investment loss allocated from investment in
Graham Alternative Investment Trading LLC
                
Investment income                
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:        
Investment income:        
Interest income  44,077   56,893   141,252   199,638   59,052   48,823 
                        
Expenses                
Expenses:        
Advisory fees  380,169   475,643   1,164,444   1,811,268   415,325   397,009 
Sponsor fees  275,934   315,823   818,106   1,140,204   317,468   268,714 
Professional fees and other  33,780   25,603   109,982   311,504   53,271   37,037 
Administrator’s fees  30,028   35,274   89,760   134,760   32,828   29,719 
Incentive allocation  1,550,824   - 
Total expenses  719,911   852,343   2,182,292   3,397,736   2,369,716   732,479 
Net investment loss allocated from investment in Graham
Alternative Investment Trading LLC
  (675,834)  (795,450)  (2,041,040)  (3,198,098)  (2,310,664)  (683,656)
        
Net income (loss) $11,453,464  $(4,235,561) $1,331,584  $6,004,926  $6,203,516  $(10,775,378)

See accompanying notes.
 
2

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital

For the ninethree months ended September 30,March 31, 2015 and 2014 and 2013

 Class 0 Units  Class 2 Units   
 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 
Subscriptions  40,708.235   4,965,000   6,942.297   651,886   5,616,886 
Redemptions  (605,373.540)  (74,399,999)  (53,822.202)  (5,073,882)  (79,473,881)
Net income     5,797,769      207,157   6,004,926 
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      Class 0 Units  Class 2 Units   
 Units  Capital  Units  Capital  
Total Members’
Capital
  Units  Capital  Units  Capital  
Total Members’
Capital
 
                              
Members’ capital, December 31, 2013  605,548.066  $77,340,803   220,552.039  $21,704,330  $99,045,133   605,548.066  $77,340,803   220,552.039  $21,704,330  $99,045,133 
Subscriptions  24,884.030   2,920,787   61,551.245   5,413,720   8,334,507   17,796.744   2,110,079   6,279.334   581,210   2,691,289 
Redemptions  (165,149.335)  (19,778,763)  (44,549.083)  (3,967,067)  (23,745,830)  (26,549.225)  (3,047,394)  (16,296.989)  (1,456,230)  (4,503,624)
Net loss     (8,352,145)     (2,423,233)  (10,775,378)
Members’ capital, March 31, 2014  596,795.585  $68,051,343   210,534.384  $18,406,077  $86,457,420 
                    
 Class 0 Units  Class 2 Units     
 
Units
  Capital  
Units
  Capital  
Total Members’
Capital
 
                    
Members’ capital, December 31, 2014  422,282.349  $63,076,949   229,870.220  $26,108,985  $89,185,934 
Subscriptions  3,353.140   522,000   6,170.016   735,000   1,257,000 
Redemptions  (5,349.988)  (843,167)  (3,941.608)  (474,780)  (1,317,947)
Net income     752,165      579,419   1,331,584      4,460,221      1,743,295   6,203,516 
Members’ capital, September 30, 2014  465,282.761  $61,234,992   237,554.201  $23,730,402  $84,965,394 
Members’ capital, March 31, 2015  420,285.501  $67,216,003   232,098.628  $28,112,500  $95,328,503 

See accompanying notes.
 
3

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Cash Flows

 
Nine Months Ended
September 30,
  
Three Months Ended
March 31,
 
 2014  2013  2015  2014 
Cash flows provided by operating activities        
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)
Net income (loss) $6,203,516  $(10,775,378)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:        
Net income (loss) allocated from investment in Graham Alternative Investment Trading LLC  (6,203,516)  10,775,378 
Proceeds from sale of investments in Graham Alternative Investment Trading LLC  20,727,249   90,594,683   2,780,268   4,878,250 
Investments in Graham Alternative Investment Trading LLC  (8,334,507)  (5,616,886)  (1,257,000)  (2,691,289)
Net cash provided by operating activities  12,392,742   84,977,797   1,523,268   2,186,961 
                
Cash flows used in financing activities                
Subscriptions  8,334,507   5,616,886   1,257,000   2,691,289 
Redemptions  (20,727,249)  (90,594,683)  (2,780,268)  (4,878,250)
Net cash used in financing activities  (12,392,742)  (84,977,797)  (1,523,268)  (2,186,961)
                
Net change in cash and cash equivalents            
                
Cash and cash equivalents, beginning of period            
Cash and cash equivalents, end of period $  $  $  $ 

See accompanying notes.
 
4

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements

September 30, 2014March 31, 2015
 
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 closedcommenced the liquidation process for the Discretionary Strategies Portfolio on June 30,July 31, 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 and as such is subject to the oversight and jurisdiction ofwith the U.S. Commodity Futures Trading 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. CFTC 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, Codification Topic 946, 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.. 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 September 30, 2014March 31, 2015 and December 31, 2013,2014, the Fund owned 55.53%52.82% and 54.85%52.82%, 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 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 ninethree months ended September 30, 2014March 31, 2015 or the year ended December 31, 20132014 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.
Recent Accounting Pronouncements
In August 2014, the Financial Accounting Standards Board issued Accounting Standards Update 2014-15 – Presentation of Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of the Fund’s ability to continue as a going concern even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that the Fund will be unable to meet its obligations as they become due. Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the disclosures within the financial statements.
In May 2015, the Financial Accounting Standards Board issued Accounting Standards Update 2015-07 – Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The pronouncement removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share (or its equivalent) practical expedient. Additionally, the pronouncement also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Accounting Standards Update 2015-07 is effective for fiscal years beginning after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact that this pronouncement will have on the financial statements.
 
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. At March 31, 2015 and December 31, 2014 no accruals have been recorded by the Fund for indemnifications.
 
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.
7

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
3. Capital Accounts (continued)
 
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.
 
7

Index
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. RedemptionThere were no redemption fees of $0 and $4,244 were paid to the Manager for the ninethree months ended September 30, 2014March 31, 2015 and 2013, respectively, and are included as redemptions in the statements of changes in members’ capital.2014.
 
4. Fees and Related Party Transactions
 
Advisory Fees
 
For the ninethree months ended September 30,March 31, 2015 and 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.
 
8

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 ninethree months ended September 30,March 31, 2015 and 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 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. The total Incentive Allocation allocated to the Fund by GAIT for the three months ended March 31, 2015 and 2014 was $1,550,824 and $0, respectively.
 
Administrator’s Fee
 
For the ninethree months ended September 30,March 31, 2015 and 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. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the three months ended March 31, 2015 and 2014 were $32,828 and $29,719, respectively.
 
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.
 
9

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.year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. 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.statements for open tax years 2011 through 2014 or expected to be taken in the Fund’s 2015 tax returns. 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.

6. Financial Highlights
 
The following is the per unit operating performance calculation for the three month periods ended September 30, 2014March 31, 2015 and 2013:2014:
 
 Class 0  Class 2  Class 0  Class 2 
Per unit operating performance        
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  (0.76)  (1.06)  (0.76)  (1.05)
Net loss on investments  (3.67)  (2.85)  (12.93)  (9.93)
Net loss  (4.43)  (3.91)  (13.69)  (10.98)
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 asset value per unit, December 31, 2014 $149.37  $113.58 
Net income:                
Net investment loss  (0.81)  (1.07)  (1.04)  (1.40)
Net gain on investments  17.42   13.23   11.60   8.94 
Net income  16.61   12.16   10.56   7.54 
Net asset value per unit, September 30, 2014 $131.61  $99.89 
Net asset value per unit, March 31, 2015 $159.93  $121.12 
 
10

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 September 30, 2014March 31, 2015 and 2013:2014:
 
  Class 0  Class 2 
  2014  2013  2014  2013 
         
Total return before Incentive Allocation  14.44%  (3.66)%  13.86%  (4.15)%
Incentive Allocation  0.00   0.00   0.00   0.00 
Total return after Incentive Allocation  14.44%  (3.66)%  13.86%  (4.15)%
                 
Net investment loss before Incentive Allocation  (0.68)%  (0.63)%  (1.18)%  (1.12)%
Incentive Allocation  0.00   0.00   0.00   0.00 
Net investment loss after Incentive Allocation  (0.68)%  (0.63)%  (1.18)%  (1.12)%
                 
Total expenses before Incentive Allocation  0.74%  0.69%  1.23%  1.20%
Incentive Allocation  0.00   0.00   0.00   0.00 
Total expenses after Incentive Allocation  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 
11

Index
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 nine month periods ended September 30, 2014 and 2013:
 Class 0  Class 2  Class 0  Class 2 
 2014  2013  2014  2013  2015  2014  2015  2014 
                
Total return before Incentive Allocation  3.04%  1.58%  1.51%  0.09%  8.85%  (10.72)%  8.29%  (11.16)%
Incentive Allocation  0.00   0.00   0.00   0.00   (1.78)  0.00   (1.65)  0.00 
Total return after Incentive Allocation  3.04%  1.58%  1.51%  0.09%  7.07%  (10.72)%  6.64%  (11.16)%
                                
Net investment loss before Incentive Allocation  (1.97)%  (2.11)%  (3.50)%  (3.57)%  (0.67)%  (0.63)%  (1.18)%  (1.13)%
Incentive Allocation  0.00   0.00   0.00   0.00   (1.70)  0.00   (1.60)  0.00 
Net investment loss after Incentive Allocation  (1.97)%  (2.11)%  (3.50)%  (3.57)%  (2.37)%  (0.63)%  (2.78)%  (1.13)%
                                
Total expenses before Incentive Allocation  2.13%  2.27%  3.67%  3.73%  0.73%  0.68%  1.24%  1.18%
Incentive Allocation  0.00   0.00   0.00   0.00   1.70   0.00   1.60   0.00 
Total expenses after Incentive Allocation  2.13%  2.27%  3.67%  3.73%  2.43%  0.68%  2.84%  1.18%

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 nine month periods ended September 30, 2014March 31, 2015 and 2013.2014.
 
7. Subsequent Events
 
The Fund had subscriptions of approximately $0.5$2.3 million and redemptions of approximately $4.1$0.3 million from April 1, 2015 through NovemberMay 14, 2014,2015, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.
 
As of April 4, 2015, the minimum initial subscription from each investor in each Class was reduced to $10,000.
12
11

Graham Alternative Investment Trading LLC

Statements of Financial Condition

 
September 30, 2014
(Unaudited)
  
December 31, 2013
(Audited)
  
March 31, 2015
(Unaudited)
  
December 31, 2014
(Audited)
 
Assets        
Investments in Master Funds, at fair value $29,321,869  $33,759,212  $20,230,369  $21,968,796 
Investment in Graham Cash Assets LLC, at fair value  132,377,412   153,099,740   164,748,614   155,687,417 
Receivable from Master Funds  -   2,695   -   489 
Total assets $161,699,281  $186,861,647  $184,978,983  $177,656,702 
                
Liabilities and members’ capital                
Liabilities:                
Accrued redemptions $8,169,800  $5,589,666  $3,874,498  $8,174,470 
Accrued advisory fees  231,022   276,022   272,870   262,055 
Accrued sponsor fees  170,112   187,789   203,736   195,287 
Accrued professional fees  79,760   203,102   114,792   141,939 
Accrued administrator’s fee  18,368   20,714   21,701   20,879 
Payable to Master Funds  19,956   7,249   362   410 
Total liabilities  8,689,018   6,284,542   4,487,959   8,795,040 
                
Members’ capital:                
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 
Class 0 Units (812,335.587 and 812,590.118 units issued and outstanding at
$159.93 and $149.37 per unit, respectively)
  129,916,327   121,377,790 
Class 2 Units (407,335.097 and 408,116.011 units issued and outstanding at
$121.12 and $113.58 per unit, respectively)
  49,337,675   46,354,391 
Class M Units (4,671.470 units issued and outstanding at $264.80 and
$241.78 per unit, respectively)
  1,237,022   1,129,481 
Total members’ capital  153,010,263   180,577,105   180,491,024   168,861,662 
Total liabilities and members’ capital $161,699,281  $186,861,647  $184,978,983  $177,656,702 

See accompanying notes.
 
1312

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

  
March 31, 2015
(Unaudited)
  
December 31, 2014
(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 $8,566,089   4.75% $12,775,274   7.57%
Graham K4D Trading Ltd.  11,664,280   6.46%  9,193,522   5.44%
Total investments in Master Funds $20,230,369   11.21% $21,968,796   13.01%
  
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.
 
1413

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation
 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
  
Three Months Ended
March 31,
 
 2014  2013  2014  2013  2015  2014 
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  $20,622,967  $(10,979,432)
Net increase (decrease) in unrealized appreciation
on investments
  7,541,370   4,654,629   2,990,483   (1,456,947)
Net decrease in unrealized appreciation on investments  (4,277,079)  (7,197,449)
Brokerage commissions and fees  (223,075)  (200,801)  (686,758)  (1,032,426)  (221,481)  (251,855)
Net gain (loss) allocated from investments in Master
Funds
  21,337,007   (6,199,655)  5,292,779   13,109,066   16,124,407   (18,428,736)
                        
Net investment loss allocated from investments in
Master Funds
  (14,194)  (7,460)  (48,642)  (23,961)  (24,291)  (20,719)
                        
Investment income                        
Interest income  77,478   102,458   252,848   335,724   111,995   89,072 
Total investment income  77,478   102,458   252,848   335,724 
                        
Expenses                        
Advisory fees  664,387   852,870   2,072,582   3,028,616   782,328   720,773 
Sponsor fees  486,701   568,766   1,469,837   1,941,753   582,709   495,032 
Administrator’s fees  52,785   63,526   160,567   226,120   62,256   54,230 
Professional fees and other  45,155   38,516   148,056   479,690   76,750   46,801 
Total expenses  1,249,028   1,523,678   3,851,042   5,676,179   1,504,043   1,316,836 
Net investment loss of the Fund  (1,171,550)  (1,421,220)  (3,598,194)  (5,340,455)  (1,392,048)  (1,227,764)
                        
Net income (loss)  20,151,263   (7,628,335)  1,645,943   7,744,650   14,708,068   (19,677,219)
                        
Incentive allocation              2,920,022    
                        
Net income (loss) available for pro-rata allocation to
all members
 $20,151,263  $(7,628,335) $1,645,943  $7,744,650 
Net income available for pro-rata allocation to all members $11,788,046  $(19,677,219)

See accompanying notes.
 
1514

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the ninethree months ended September 30,March 31, 2015 and 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  Class 0  Class 2  Class M  Total 
 Units  Capital  Units  Capital  Units  Capital  Capital  Units  Capital  Units  Capital  Units  Capital  Capital 
                                          
Members’ capital, December 31, 2013  1,093,036.786  $139,603,019   407,013.551  $40,053,854   4,671.470  $920,232  $180,577,105   1,093,036.786  $139,603,019   407,013.551  $40,053,854   4,671.470  $920,232  $180,577,105 
Subscriptions  43,982.787   5,119,787   90,020.783   8,039,515         13,159,302   19,116.971   2,270,079   19,683.797   1,884,010         4,154,089 
Redemptions  (305,032.529)  (36,018,540)  (71,107.304)  (6,353,547)        (42,372,087)  (52,521.247)  (6,038,497)  (26,451.209)  (2,369,405)        (8,407,902)
Incentive allocation                                          
Net loss     (15,006,933)     (4,576,717)     (93,569)  (19,677,219)
Members’ capital, March 31, 2014  1,059,632.510  $120,827,668   400,246.139  $34,991,742   4,671.470  $826,663  $156,646,073 
                            
 Class 0  Class 2  Class M  Total 
 Units  Capital  Units  Capital  Units  Capital  Capital 
                            
Members’ capital, December 31, 2014  812,590.118  $121,377,790   408,116.011  $46,354,391   4,671.470  $1,129,481  $168,861,662 
Subscriptions  5,771.777   899,644   9,160.212   1,091,900         1,991,544 
Redemptions  (6,026.308)  (950,968)  (9,941.126)  (1,199,260)     (2,920,022)  (5,070,250)
Incentive allocation     (2,147,427)     (772,595)     2,920,022    
Net income     791,978      808,037      45,928   1,645,943      10,737,288      3,863,239      107,541   14,708,068 
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 
Members’ capital, March 31, 2015  812,335.587  $129,916,327   407,335.097  $49,337,675   4,671.470  $1,237,022  $180,491,024 

See accompanying notes.
 
1615

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

 
Nine Months Ended
September 30,
  Three Months Ended March 31, 
 2014  2013  2015  2014 
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 (loss) $14,708,068  $(19,677,219)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:        
Net (income) loss allocated from investments in Master Funds  (16,100,116)  18,449,455 
Net income allocated from investment in Graham Cash Assets LLC  (252,848)  (335,724)  (111,995)  (89,072)
Proceeds from sale of investments in Master Funds  179,274,652   231,980,828   61,383,114   73,261,609 
Proceeds from sale of investments in Graham Cash Assets LLC  142,348,843   257,264,825   45,468,484   59,218,104 
Investments in Master Funds  (169,577,770)  (198,525,687)  (43,544,130)  (78,091,187)
Investments in Graham Cash Assets LLC  (121,373,667)  (175,262,636)  (54,417,686)  (49,086,938)
Changes in assets and liabilities:                
Accrued commission reimbursements     165,510 
Accrued brokerage fees     (568,525)
Accrued advisory fees  (45,000)  (221,300)  10,815   (35,001)
Accrued sponsor fees  (17,677)  (64,853)  8,449   (23,065)
Accrued professional fees  (123,342)  230,964   (27,147)  (16,911)
Accrued administrator’s fee  (2,346)  19,976   822   (2,532)
Net cash provided by operating activities  26,632,651   109,342,923   7,378,678   3,907,243 
                
Cash flows used in financing activities                
Subscriptions  13,159,302   8,816,683   1,991,544   4,154,089 
Redemptions  (39,791,953)  (118,159,606)  (9,370,222)  (8,061,332)
Net cash used in financing activities  (26,632,651)  (109,342,923)  (7,378,678)  (3,907,243)
                
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.
 
1716

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

September 30, 2014
March 31, 2015
 
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 a commodity pool, and as such is subject to the oversight and jurisdiction of the U.S. 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 are the primary investors of GAIT. Graham Alternative Investment III Ltd. was an investor of GAIT for the 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, Codification Topic 946, 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.
 
1817

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 periodyear ended September 30,December 31, 2014 certain Master Funds in which GAIT invested consolidated their assets under Graham Commodity Strategies LLC, ceased operations, and then ceased operations.were dissolved. The amount of assets that were transferred in-kind in connection with this consolidation totals $6,005,778. The dates of the consolidation and dissolution were as follows:
 
Master FundConsolidation DateDissolution Date
Graham Macro Directional LLCAugust 21, 2014October 30, 2014
Graham Global Monetary Policy LLCAugust 26, 2014October 30, 2014

Due from Brokers
Due from brokers on the Master Funds’ financial statements primarily consist of cash balances carried as margin deposits with clearing brokers for the purpose of trading in futures contracts, foreign currency contracts and other derivative instruments, and receivables for unsettled transactions. A portion of the Master Funds’ cash and investments are held as collateral by its brokers to secure derivative instruments.
Revenue Recognition
All financial instruments are recorded on the trade date at fair value. Net unrealized gain or loss on open positions is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at the end of the period. Any change in net unrealized gain or loss from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends are recorded on the ex-dividend date and are net of related withholding taxes.
Brokerage Commissions and Fees
Brokerage commissions and fees on the Master Funds’ financial statements represent all brokerage commissions and other fees incurred in connection with the Master Funds’ trading activity.
Foreign Currency Translation
Assets and liabilities denominated in foreign currencies on the Master Funds’ financial statements are translated using the exchange rates at March 31, 2015 and December 31, 2014. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices held. Currency translation gains and losses are included in the statement of operations within net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments.
18

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
2. Summary of Significant Accounting Policies (continued)
 
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 ninethree months ended September 30, 2014March 31, 2015 or the year ended December 31, 20132014 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.
 
19

Index
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.
19

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
Derivative Instruments (continued)
 
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.
 
20

Index
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.
20

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
Derivative Instruments (continued)
 
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 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.amount. The payment flows are usually netted against each other, with the difference being paid by one party to another.
21

Index
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.
21

Graham Alternative Investment Trading LLC

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

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.
 
Credit Risk Related Contingent Features
OTC Derivative Instruments are subject to 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 these instruments could demand liquidation of the outstanding positions. During the three months ended March 31, 2015 and 2014 no events occurred which caused the Master Funds to violate any of these provisions. At March 31, 2015 the fair value of Derivative Instruments subject to credit risk related contingent features in a net liability position for Graham K4D Trading Ltd., a Master Fund in which GAIT invests, was $10,392,630. There were no Derivative Instruments subject to credit risk related contingent features in a net liability position for Graham Commodity Strategies LLC at March 31, 2015, or for any of the Master Funds at December 31, 2014.
New York Mercantile Exchange Corporate Membership
 
Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, 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 September 30, 2014March 31, 2015 and December 31, 2013,2014, the two NYMEX memberships were valued at $507,000$356,000 and $440,500,$480,000, respectively, and the 30,000 shares of CME Group were valued at $2,398,650$2,841,300 and $2,353,800,$2,659,500, respectively, both of which are contained within Exchange membership, at fair valueMemberships on Graham Commodity Strategies LLC’s statements of financial condition.
 
22

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., a Master Fund in which GAIT invests, is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat. Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of September 30, 2014March 31, 2015 and December 31, 2013,2014, the B-1/Full memberships were valued at $536,000$511,000 and $547,000,$570,000, respectively, and the B-2/Associate memberships were valued at $95,250$88,500 and $87,250,$97,500, respectively, both of which are included in Exchange membership, at fair valueCME Membership on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns a Chicago Mercantile Exchange seat valued at $305,000$290,500 and $220,000$390,000 at September 30, 2014March 31, 2015 and December 31, 2013,2014, respectively, which is also included in Exchange membership, at fair valueMembership on the statements of financial conditioncondition.
Recent Accounting Pronouncements
In August 2014, the Financial Accounting Standards Board issued Accounting Standards Update 2014-15 – Presentation of Graham K4D Trading Ltd.Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of GAIT’s ability to continue as a going concern even if GAIT’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about GAIT’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that GAIT will be unable to meet its obligations as they become due. Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the financial statements.
In May 2015, the Financial Accounting Standards Board issued Accounting Standards Update 2015-07 – Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The pronouncement removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share (or its equivalent) practical expedient. Additionally, the pronouncement also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Accounting Standards Update 2015-07 is effective for fiscal years beginning after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact that this pronouncement will have on the financial statements.
 
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. At March 31, 2015 and December 31, 2014 no accruals have been recorded by GAIT for indemnifications.
 
23

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds
 
As of September 30, 2014March 31, 2015 and December 31, 2013,2014, 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.
 
September 30, 2014 
Investment – Objective 
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.  9.69% $14,834,821  $5,752,759  $3,535,124 
                 
Global Macro Funds
                
Graham Commodity Strategies LLC  9.47%  14,487,048   14,332,744   6,598,154 
Other Global Macro Funds (2)  0.00%  -   1,237,310   (4,889,141)
   19.16% $29,321,869  $21,322,813  $5,244,137 
December 31, 2013 
March 31, 2015March 31, 2015 
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)
  
Percent of
Members’
Capital
  Fair Value  
Net Income
(three months ended)
 
              
Systematic Macro Funds
              
Graham K4D Trading Ltd.  9.16% $16,532,784  $3,757,481  $9,396,030   6.46% $11,664,280  $8,936,822 
                            
Global Macro Funds
                            
Graham Commodity Strategies LLC  6.47%  11,687,704   (6,877,034)  2,111,065   4.75%  8,566,089   7,163,294 
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   11.21% $20,230,369  $16,100,116 

December 31, 2014 
Investment – Objective 
Percent of
Members’
Capital
  Fair Value  
Net Loss
(three months ended
March 31, 2014)
 
       
Systematic Macro Funds
      
Graham K4D Trading Ltd.  5.44% $9,193,522  $(9,156,537)
             
Global Macro Funds
            
Graham Commodity Strategies LLC  7.57%  12,775,274   (5,314,137)
Other Global Macro Funds (2)  0.00%  -   (3,978,781)
   13.01% $21,968,796  $(18,449,455)

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 September 30, 2014:March 31, 2015:

 
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
  
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
 
Assets:        
Due from brokers $256,486,730  $69,231,893  $53,406,984  $102,878,252 
Derivative financial instruments, at fair value  71,757,554   71,128,726   88,340,658   21,623,975 
Exchange membership, at fair value  2,905,650   936,250   3,197,300   890,000 
Dividends receivable  9,870   - 
Total assets  331,159,804   141,296,869   144,944,942   125,392,227 
                
Liabilities:                
Derivative financial instruments, at fair value  1,858,701   -   -   10,392,630 
Due to brokers  -   -   -   - 
Total liabilities  1,858,701   -   -   10,392,630 
Net assets $329,301,103  $141,296,869  $144,944,942  $114,999,597 
                
Percentage of Master Fund held by GAIT  4.40%  10.50%  5.91%  10.14%
 
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 March 31, 2015.
Description 
Number of
Contracts / Notional
Amounts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC      
Derivative financial instruments      
Long contracts      
Futures 
Commodity   $(8,604,370)  (5.94)%
Foreign bond    165,879   0.11%
Foreign index    2,446,956   1.69%
Interest rate    4,963,058   3.42%
U.S. bond    40,219   0.03%
U.S. index    8,500   0.01%
Total futures    (979,758)  (0.68)%
           
Swaps          
Interest rate    (7,271,755)  (5.02)%
Total swaps    (7,271,755)  (5.02)%
           
Forwards          
Euro / U.S. dollar 04/09/2015 EUR100,000,000   (28,684,872)  (19.79)%
Other foreign currency    (662,250)  (0.46)%
Total forwards    (29,347,122)  (20.25)%
           
Options (cost $169,509,852)          
Crude oil futures 06/30/2015 - 12/31/2016, $65.00 - $105.00 Call  3   390,000   0.27%
Crude oil futures 05/31/2015 - 06/30/2015, $42.50 - $50.00 Put  6   11,201,000   7.73%
Other commodity futures      20,428,636   14.09%
Euro / U.S. dollar 01/04/2016, $1.35 Call  1   8,310   0.01%
Euro / U.S. dollar 05/15/2015, $1.04 Put  3   7,456,400   5.14%
Euro / U.S. dollar 05/15/2015, $1.10 Put  2   20,020,500   13.81%
Euro / U.S. dollar 05/15/2015, $1.33 Put  1   7,608,462   5.25%
Euro / U.S. dollar 06/23/2015, $1.10 Put  1   7,651,440   5.28%
Euro / U.S. dollar 04/01/2015 - 01/10/2017, $0.95 - $1.22 Put  18   27,485,135   18.96%
U.S. dollar / Canadian dollar 04/10/2015, $1.22 Call  1   7,291,620   5.03%
U.S. dollar / Canadian dollar 04/10/2015 - 01/06/2016, $1.24 - $1.31 Call  13   15,459,778   10.67%
U.S. dollar / Japanese yen 04/07/2015 $119.00 Put  1   246,320   0.17%
U.S. dollar / Japanese yen 04/13/2015 - 12/03/2015, $121.00 - $131.68 Call  14   10,293,448   7.10%
Other currency      28,528,012   19.68%
Foreign index      1,300,699   0.90%
Eurodollar futures 06/30/2015 - 03/31/2016, $98.63 - $99.38 Put  6   5,003,125   3.45%
Eurodollar futures 06/30/2015 - 12/31/2015, $99.00 - $99.75 Call  5   8,840,625   6.10%
Other interest rate futures      828,166   0.57%
Total options      180,041,676   124.21%
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 March 31, 2015.
Description 
Number of
Contracts / Notional Amounts
  Fair Value  
Percentage
of Members’ Capital of Master Fund
 
Graham Commodity Strategies LLC (continued)      
Derivative financial instruments (continued)      
Short contracts      
Futures      
Commodity   $9,517,325   6.57%
Foreign index    73,949   0.05%
Interest rate    (2,555,957)  (1.76)%
U.S. bond    (405,875)  (0.28)%
U.S. index    (63,375)  (0.04)%
Total futures    6,566,067   4.54%
           
Swaps          
Natural gas futures 01/31/2016 – 12/31/2016  12   8,130,750   5.61%
Total swaps      8,130,750   5.61%
             
Forwards            
U.S. dollar / Euro 04/09/2015 EUR(100,000,000  28,784,343   19.86%
Other foreign currency      287,877   0.20%
Total forwards      29,072,220   20.06%
             
Options (proceeds $15,318,750)            
Crude oil futures 05/31/2015 – 06/30/2015, $37.50 - $42.00 Put  5   (7,034,000)  (4.85)%
Crude oil futures 06/30/2015 – 12/31/2016, $80.00 - $120.00 Call  2   (395,000)  (0.27)%
Other commodity futures      (9,691,130)  (6.69)%
Euro / U.S. dollar 05/15/2015, $1.04 Put  2   (7,456,400)  (5.14)%
Euro / U.S. dollar 05/15/2015, $1.10 Put  3   (20,020,500)  (13.81)%
Euro / U.S. dollar 04/01/2015 – 06/23/2015, $0.99 - $1.09 Put  9   (8,747,918)  (6.04)%
Euro / U.S. dollar 04/03/2015 – 01/04/2016, $1.09 - $1.10 Call  3   (1,970,022)  (1.36)%
U.S. dollar / Canadian dollar 04/10/2015, $1.22 Call  1   (7,291,620)  (5.03)%
U.S. dollar / Canadian dollar 04/10/2015 - 05/29/2015, $1.22 - $1.34 Call  11   (8,527,009)  (5.88)%
Other currency      (14,185,721)  (9.79)%
Eurodollar futures 06/30/15 - 03/31/16, $98.88 - $99.00 Put  4   (4,000,000)  (2.76)%
Eurodollar futures 06/30/15 - 12/31/15, $99.13 - $99.75 Call  4   (8,093,750)  (5.58)%
Other interest rate futures      (458,350)  (0.32)%
Total options      (97,871,420)  (67.52)%
Total derivative financial instruments     $88,340,658   60.95%
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 September 30, 2014.March 31, 2015.
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
  Fair Value  Percentage of Net Assets of Master Fund 
Graham Commodity Strategies LLC      
Graham K4D Trading Ltd.    
Derivative financial instruments          
Long contracts          
Futures          
Commodity   $(16,567,082)  (5.03)% $(179,083)  (0.16)%
Currency  (431,201)  (0.37)%
Foreign bond    193,739   0.06%  9,263,665   8.06%
Foreign index    210,930   0.06%  4,870,850   4.24%
Interest rate    323,091   0.10%  1,414,631   1.23%
U.S. bond    (105,016)  (0.03)%  2,340,158   2.03%
U.S. index    (163,100)  (0.05)%  1,166,253   1.01%
Total futures    (16,107,438)  (4.89)%  18,445,273   16.04%
                  
Swaps          
Forwards        
Foreign currency  (3,083,892)  (2.68)%
Total forwards  (3,083,892)  (2.68)%
        
Short contracts        
Futures        
Commodity  3,780,036   3.29%
Currency  (197,726)  (0.17)%
Foreign bond  (248,430)  (0.22)%
Foreign index  95,620   0.08%
Interest rate    (6,001,762)  (1.82)%  (82,984)  (0.07)%
Total swaps    (6,001,762)  (1.82)%
U.S. bond  (73,507)  (0.06)%
U.S. index  (94,306)  (0.08)%
Total futures  3,178,703   2.77%
                  
Forwards                  
Foreign currency    (28,535,348)  (8.67)%  (7,308,739)  (6.36)%
Total forwards    (28,535,348)  (8.67)%  (7,308,739)  (6.36)%
          
Options (cost $123,492,849)          
Commodity futures    33,810,707   10.27%
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      30,519,161   9.27%
Interest rate futures      5,557,724   1.69%
U.S. index futures      576,250   0.17%
Total options      274,517,939   83.37%
Total derivative financial instruments $11,231,345   9.77%
 
2628

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 of September 30, 2014.
Description 
Number of
Contracts
  Fair Value  
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd.      
Derivative financial instruments      
Long contracts      
Futures      
Commodity   $(7,675,518)  (5.43)%
Currency    1,909,080   1.35%
Foreign bond    5,849,530   4.14%
Foreign index    (43,036)  (0.03)%
Interest rate    342,402   0.24%
U.S. bond    (1,638,175)  (1.16)%
U.S. index    (3,290,119)  (2.33)%
Total futures    (4,545,836)  (3.22)%
           
Forwards          
Foreign currency    (13,536,351)  (9.58)%
Total forwards    (13,536,351)  (9.58)%
           
Short contracts          
Futures          
Corn December 2014  (1,956)  8,848,222   6.26%
Wheat December 2014  (1,834)  10,180,435   7.21%
Commodity      29,562,645   20.92%
Currency      1,567,945   1.11%
Foreign bond      (378,401)  (0.27)%
Foreign index      365,144   0.26%
Interest rate      665,227   0.47%
U.S. bond      131,400   0.10%
U.S. index      606,807   0.43%
Total futures      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 table shows the fair value classification of each investment type by Master Fund as of September 30, 2014:March 31, 2015:

 
Graham
Commodity
Strategies LLC
  
Graham K4D
Trading Ltd.
  
Graham
Commodity
Strategies LLC
  
Graham K4D
Trading Ltd.
 
Assets        
Level 1:        
Commodity futures $21,919,942  $51,016,846  $11,386,105  $12,014,817 
Commodity futures options  33,930,707   -   32,019,636   - 
Commodity swaps  524,875   -   8,130,750   - 
Currency futures  -   3,780,415   -   21,934 
Foreign bond futures  194,611   7,321,917   290,609   9,334,986 
Foreign index futures  1,219,678   4,579,983   2,625,923   6,619,255 
Foreign index futures options  1,300,699   - 
Interest rate futures  836,493   1,196,635   5,002,331   1,414,780 
Interest rate futures options  5,557,724   -   14,671,916   - 
U.S. bond futures  421,266   224,116   40,219   2,604,676 
U.S. index futures  1,453,500   609,569   8,500   1,488,864 
U.S. index futures options  576,250   - 
Total Level 1  66,635,046   68,729,481   75,476,688   33,499,312 
                
Level 2:                
Foreign currency forwards  35,579,571   37,805,112   34,597,345   5,933,152 
Foreign currency options  234,573,258   -   132,049,424   - 
Interest rate swaps  912,620   - 
Total Level 2  271,065,449   37,805,112   166,646,769   5,933,152 
Total investment related assets $337,700,495  $106,534,593  $242,123,457  $39,432,464 
                
Liabilities                
Level 1:                
Commodity futures $(20,431,405) $(10,101,062) $(10,473,150) $(8,413,864)
Commodity futures options  (39,772,842)  -   (17,120,130)  - 
Commodity swaps  (811,375)  - 
Currency futures  -   (303,390)  -   (650,861)
Foreign bond futures  (972,375)  (1,850,788)  (124,730)  (319,751)
Foreign index futures  (764,902)  (4,257,875)  (105,018)  (1,652,785)
Interest rate futures  (309,143)  (189,006)  (2,595,230)  (83,133)
Interest rate futures options  (2,377,726)  -   (12,552,100)  - 
U.S. bond futures  (307,625)  (1,730,891)  (405,875)  (338,025)
U.S. index futures  (166,225)  (3,292,881)  (63,375)  (416,917)
U.S. index futures options  (61,250)  - 
Total Level 1  (65,974,868)  (21,725,893)  (43,439,608)  (11,875,336)
                
Level 2:                
Foreign currency forwards  (33,780,789)  (13,679,974)  (34,872,247)  (16,325,783)
Foreign currency options  (162,044,223)  -   (68,199,189)  - 
Interest rate swaps  (6,001,762)  -   (7,271,755)  - 
Total Level 2  (201,826,774)  (13,679,974)  (110,343,191)  (16,325,783)
Total investment related liabilities $(267,801,642) $(35,405,867) $(153,782,799) $(28,201,119)
 
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 categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts andfor the three months ended March 31, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at September 30, 2014March 31, 2015 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the period.risk. 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 $268,630,568   3,230  $(369,698,201)  (5,660) $21,919,942  $(20,431,405) $252,174,980   8,439  $(338,118,500)  (8,135) $11,386,105  $(10,473,150)
Options(a)
  272,054,706   13,303   (338,483,800)  (17,275)  33,930,707   (39,772,842)
Options(a)  323,892,593   56,271   (443,497,712)  (34,090)  32,019,636   (17,120,130)
Swaps  -   -   (48,924,000)  (4,800)  524,875   (811,375)  -   -   (28,019,250)  (3,600)  8,130,750   - 
  540,685,274   16,533   (757,106,001)  (27,735)  56,375,524   (61,015,622)  576,067,573   64,710   (809,635,462)  (45,825)  51,536,491   (27,593,280)
Equity price                                                
Futures  124,736,858   1,512   (268,034,402)  (2,887)  2,673,178   (931,127)  111,585,284   1,533   (85,349,045)  (1,039)  2,634,423   (168,393)
Options(a)
  5,713,935   2   (29,522,026)  (3)  576,250   (61,250)
Options(a)  24,214,672   1,000   -   -   1,300,699   - 
  130,450,793   1,514   (297,556,428)  (2,890)  3,249,428   (992,377)  135,799,956   2,533   (85,349,045)  (1,039)  3,935,122   (168,393)
Foreign currency
exchange rate
                        Foreign currency exchange rate                     
Forwards  1,525,083,131   N/A  (1,807,138,092)  N/A   35,579,571   (33,780,789)  975,183,901   N/A  (1,973,755,018)  N/A   34,597,345   (34,872,247)
Options(a)
  7,368,959,578   139   (7,243,200,245)  (146)  234,573,258   (162,044,223)
Options(a)  2,670,261,070   77   (2,870,081,925)  (88)  132,049,424   (68,199,189)
  8,894,042,709   139   (9,050,338,337)  (146)  270,152,829   (195,825,012)  3,645,444,971   77   (4,843,836,943)  (88)  166,646,769   (103,071,436)
Interest rate                                                
Futures  4,811,073,812   18,258   (2,510,105,204)  (11,351)  1,452,370   (1,589,143)  10,980,426,942   38,159   (6,057,778,557)  (25,152)  5,333,159   (3,125,835)
Options(a)
  1,483,144,663   18   (2,473,157,345)  (19)  5,557,724   (2,377,726)
Options(a)  1,709,568,947   64,500   (1,542,186,312)  (62,000)  14,671,916   (12,552,100)
Swaps  1,258,329,586   7   (1,258,329,586)  (7)  912,620   (6,001,762)  644,657,769   4   (644,657,769)  (4)  -   (7,271,755)
  7,552,548,061   18,283   (6,241,592,135)  (11,377)  7,922,714   (9,968,631)  13,334,653,658   102,663   (8,244,622,638)  (87,156)  20,005,075   (22,949,690)
Total $17,117,726,837   36,469  $(16,346,592,901)  (42,148) $337,700,495  $(267,801,642) $17,691,966,158   169,983  $(13,983,444,088)  (134,108) $242,123,457  $(153,782,799)
             
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.
(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)
 
The following table displays the gross volume of derivative activities categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts andfor the three months ended March 31, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at September 30, 2014March 31, 2015 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the period.risk. 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.  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 $262,927,295   4,069  $(730,958,673)  (12,246) $51,016,846  $(10,101,062) $196,354,505   4,047  $(608,965,109)  (12,858) $12,014,817  $(8,413,864)
  262,927,295   4,069   (730,958,673)  (12,246)  51,016,846   (10,101,062)  196,354,505   4,047   (608,965,109)  (12,858)  12,014,817   (8,413,864)
                                                
Equity price                                                
Futures  828,682,906   9,286   (55,148,854)  (586)  5,189,552   (7,550,756)  930,261,165   9,465   (52,785,847)  (565)  8,108,119   (2,069,702)
  828,682,906   9,286   (55,148,854)  (586)  5,189,552   (7,550,756)  930,261,165   9,465   (52,785,847)  (565)  8,108,119   (2,069,702)
                                                
Foreign currency
exchange rate
                        Foreign currency exchange rate                     
Forwards  754,252,020   N/A   (1,583,354,524)  N/A   37,805,112   (13,679,974)  596,062,233   N/A  (1,164,772,094)  N/A   5,933,152   (16,325,783)
Futures  174,679,359   1,944   (83,017,560)  (669)  3,780,415   (303,390)  79,320,712   815   (44,865,831)  (484)  21,934   (650,861)
  928,931,379   1,944   (1,666,372,084)  (669)  41,585,527   (13,983,364)  675,382,945   815   (1,209,637,925)  (484)  5,955,086   (16,976,644)
                                                
Interest rate                                                
Futures  5,764,106,720   30,432   (1,657,675,266)  (7,435)  8,742,668   (3,770,685)  5,726,745,650   32,057   (164,812,829)  (905)  13,354,442   (740,909)
  5,764,106,720   30,432   (1,657,675,266)  (7,435)  8,742,668   (3,770,685)  5,726,745,650   32,057   (164,812,829)  (905)  13,354,442   (740,909)
Total $7,784,648,300   45,731  $(4,110,154,877)  (20,936) $106,534,593  $(35,405,867) $7,528,744,265   46,384  $(2,036,201,710)  (14,812) $39,432,464  $(28,201,119)
 
31

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 September 30, 2014March 31, 2015 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 $337,700,495  $(265,942,941) $71,757,554  $-  $71,757,554  $242,123,457  $(153,782,799) $88,340,658  $-  $88,340,658 
Derivative liabilities  (267,801,642)  265,942,941   (1,858,701)  1,858,701   -   (153,782,799)  153,782,799   -   -   - 
                                        
Graham K4D Trading Ltd.2
                                        
Derivative assets  106,534,593   (35,405,867)  71,128,726   -   71,128,726   39,432,464   (17,808,489)  21,623,975   -   21,623,975 
Derivative liabilities  (35,405,867)  35,405,867   -   -   -   (28,201,119)  17,808,489   (10,392,630)  10,392,630   - 
                    
 
1 Net derivative asset and liability amounts presented in the statement of financial condition are held with three counterparties. The Master Fund has pledged offsettingdid not receive collateral to one offrom these counterparties that is eligible tomay have been used offset the derivative liability amountamounts as of September 30, 2014.March 31, 2015. At September 30, 2014March 31, 2015 additional collateral pledged in the amount of $254,628,029$53,406,984 was posted in support of derivative positions and is included in due from 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 did not receivehas pledged offsetting collateral fromto one of these counterparties that may have been usedis eligible to offset thesethe derivative amountsliability amount as of September 30, 2014.March 31, 2015. At September 30, 2014March 31, 2015 additional collateral pledged in the amount of $69,231,893$92,485,622 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
32

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 nine month periodsmonths ended September 30, 2014:March 31, 2015:
 
  Three Months Ended September 30, 2014 
  
Graham
Commodity
Strategies LLC
  
Graham
Global Monetary
Policy LLC *
  
Graham K4D
Trading Ltd.
  
Graham Macro
Directional
LLC **
 
         
Net investment loss $(8,345) $(1,984) $(24,555) $(19,401)
                 
Net realized gain (loss) on investments  242,727,655   (2,745,543)  17,198,682   41,231,330 
Net increase (decrease) in unrealized appreciation on investments  85,512,029   3,051,230   37,132,200   (12,799,692)
Brokerage commissions and fees  (3,452,347)  (806,770)  (294,946)  (313,883)
Net gain (loss) on investments  324,787,337   (501,083)  54,035,936   28,117,755 
Net income (loss) $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

  Nine Months Ended September 30, 2014 
  
Graham
Commodity
Strategies LLC
  
Graham
Global Monetary
Policy LLC *
  
Graham K4D
Trading Ltd.
  
Graham Macro
Directional
LLC **
 
         
Net investment loss $(33,512) $(22,173) $(63,389) $(28,701)
                 
Net realized loss on investments  164,279,172   (57,094,567)  (1,429,215)  (44,103,713)
Net increase (decrease) in unrealized appreciation on investments  39,370,150   (23,545,189)  29,540,503   (22,432,629)
Brokerage commissions and fees  (8,560,074)  (3,839,651)  (907,459)  (1,191,772)
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
  
Graham
Commodity
Strategies LLC
  
Graham K4D
Trading Ltd.
 
     
Net investment loss $(18,350) $(11,029)
         
Net realized gain (loss) on investments  124,394,094   130,023,341 
Net increase (decrease) in unrealized appreciation on investments  434,484   (43,080,517)
Brokerage commissions and fees  (3,603,352)  (312,217)
Net gain (loss) on investments  121,225,226   86,630,607 
Net income (loss) $121,206,876  $86,619,578 
 
33

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 periodmonths ended September 30, 2014:March 31, 2015:
 
  
Graham
Commodity
Strategies LLC
  
Graham
Global
Monetary
Policy LLC *
  
Graham
K4D Trading
Ltd.
  
Graham
Macro
Directional
LLC **
 
Commodity price        
Futures $503,663  $(141,637) $4,995,681  $(716,138)
Options  891,208   -   -   (4,500)
Swaps  (2,633,630)  -   -   - 
   (1,238,759)  (141,637)  4,995,681   (720,638)
Equity price                
Equities  347,150   -   42,250   - 
Futures  3,087,606   (4,593,659)  (8,674,499)  (1,508,902)
Options  (1,111,928)  -   -   - 
   2,322,828   (4,593,659)  (8,632,249)  (1,508,902)
Foreign currency
exchange rate
                
Forwards  219,296,154   (55,759)  31,526,278   24,434,098 
Futures  561,561   -   5,178,328   - 
Options  116,221,458   577,467   -   - 
   336,079,173   521,708   36,704,606   24,434,098 
Interest rate                
Futures  236,994   4,706,775   21,262,844   6,102,081 
Options  (5,263,011)  (187,500)  -   124,999 
Swaps  (3,897,541)  -   -   - 
   (8,923,558)  4,519,275   21,262,844   6,227,080 
Total $328,239,684  $305,687  $54,330,882  $28,431,638 

* - For the period from July 1, 2014 through August 26, 2014
** - For the period from July 1, 2014 through August 21, 2014
  
Graham
Commodity
Strategies LLC
  
Graham
K4D Trading
Ltd.
 
Commodity price    
Futures $(11,448,048) $(7,796,168)
Options  3,171,997   - 
Swaps  3,132,000   - 
   (5,144,051)  (7,796,168)
Equity price        
Equities  57,800   (167,500)
Futures  19,751,060   29,601,184 
Options  2,399,491   - 
   22,208,351   29,433,684 
Foreign currency exchange rate        
Forwards  57,127,461   24,727,587 
Futures  -   9,403,836 
Options  47,313,942   - 
   104,441,403   34,131,423 
Interest rate        
Futures  4,643,447   31,173,885 
Options  689,668   - 
Swaps  (2,010,240)  - 
   3,322,875   31,173,885 
Total $124,828,578  $86,942,824 
 
34

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 nine month period ended September 30, 2014:
  
Graham
Commodity
Strategies LLC
  
Graham
Global
Monetary
Policy LLC *
  
Graham
K4D Trading
Ltd.
  
Graham
Macro
Directional 
LLC **
 
Commodity price        
Futures $(11,139,456) $(3,089,460) $(67,188,481) $1,314,685 
Options  6,448,946   -   -   61,906 
Swaps  (3,372,638)  -   -   - 
   (8,063,148)  (3,089,460)  (67,188,481)  1,376,591 
Equity price                
Equities  111,350   -   82,000   - 
Futures  4,641,180   (30,078,139)  (24,817,100)  (8,605,315)
Options  (19,490,358)  -   -   - 
   (14,737,828)  (30,078,139)  (24,735,100)  (8,605,315)
Foreign currency
exchange rate
                
Forwards  222,863,979   (36,524,821)  48,493,433   (55,372,285)
Futures  909,430   -   3,578,325   - 
Options  26,438,551   6,079,596   -   (1,889,306)
   250,211,960   (30,445,225)  52,071,758   (57,261,591)
Interest rate                
Futures  (3,558,054)  (13,469,290)  67,963,111   (2,466,339)
Options  (14,007,811)  (3,557,642)  -   420,312 
Swaps  (6,195,797)  -   -   - 
   (23,761,662)  (17,026,932)  67,963,111   (2,046,027)
Total $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
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)
 
Assets:      
Due from brokers $129,230,754  $102,705,866  $127,824,315 
Derivative financial instruments, at fair value  80,129,304   13,304,071   41,566,974 
Exchange membership, at fair value  2,794,300   -   854,250 
Dividends receivable  64,050   -   - 
Other assets  -   118   - 
Total assets  212,218,408   116,010,055   170,245,539 
             
Liabilities:            
Derivative financial instruments, at fair value  -   9,593,764   - 
Total liabilities  -   9,593,764   - 
Net assets $212,218,408  $106,416,291  $170,245,539 
             
Percentage of Master Fund held by GAIT  5.51%  5.20%  9.71%
2014:
 
  
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
 
Assets:    
Due from brokers $83,528,234  $66,195,100 
Derivative financial instruments, at fair value  68,381,520   54,146,429 
Exchange membership, at fair value  3,139,500   1,057,500 
Dividends receivable  51,870   - 
Total assets  155,101,124   121,399,029 
         
Liabilities:        
Derivative financial instruments, at fair value  -   - 
Due to brokers  -   - 
Total liabilities  -   - 
Net assets $155,101,124  $121,399,029 
         
Percentage of Master Fund held by GAIT  5.93%  10.52%
36
35

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, 2013.2014.
Description 
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)%
Foreign bond    (336,590)  (0.16)%
Foreign index    331,430   0.16%
Interest rate    (223,204)  (0.11)%
U.S. bond    (230,703)  (0.11)%
Total futures    (512,087)  (0.24)%
           
Swaps          
Interest rate    (1,938,332)  (0.91)%
Total swaps    (1,938,332)  (0.91)%
           
Forwards          
Japanese yen / U.S. dollar 01/15/14 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)%
Other foreign currency    12,395,703   5.84%
Total forwards    (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%
U.S. dollar / Chinese yuan 03/07/14, $6.30 Put  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%
Other U.S. dollar / Chinese yuan 03/07/14 - 12/31/14, $6.10 - $6.17 Put      9,123,219   4.30%
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%
Other U.S. dollar / Japanese yen 01/02/14 - 01/06/14, $103.00 Put      29,469   0.01%
Other currency      12,463,768   5.87%
Foreign bond futures      206,193   0.10%
Foreign index futures      3,813,777   1.80%
U.S. bond futures      781,250   0.37%
U.S. index futures      3,250,000   1.53%
Total options      124,872,951   58.84%
Description 
Number of
Contracts / Notional
Amounts
  Fair Value  
Percentage
of Members'
Capital of
Master Fund
 
Graham Commodity Strategies LLC
Derivative financial instruments
Long contracts      
Futures      
Coffee March 2015  700  $(8,553,900)  (5.52)%
Other commodity      (8,001,987)  (5.16)%
Foreign bond      2,283,244   1.47%
Foreign index      179,085   0.12%
Interest rate      31,106   0.02%
U.S. bond      471,562   0.30%
U.S. index      256,188   0.17%
Total futures      (13,334,702)  (8.60)%
             
Swaps            
Interest rate      (8,099,610)  (5.22)%
Total swaps      (8,099,610)  (5.22)%
             
Forwards            
Swiss franc / U.S. dollar 03/02/15 CHF182,595,000   (16,076,171)  (10.36)%
Other Swiss franc / U.S. dollar 01/05/15 - 01/06/15 CHF 114,126,268   (414,594)  (0.27)%
Euro / U.S. dollar 04/09/15 EUR100,000,000   (14,993,597)  (9.67)%
Other Euro / U.S. dollar 01/02/15 - 02/23/15 EUR1,037,300,000   (5,915,527)  (3.81)%
Mexican peso / U.S. dollar 01/02/15 MXN6,999,980,000   (25,268,297)  (16.29)%
Other foreign currency      (3,007,519)  (1.94)%
Total forwards      (65,675,705)  (42.34)%
             
Options (cost $34,120,840)            
U.S. dollar / Japanese yen 01/23/15, $110.00 Call  1   8,225,790   5.30%
U.S. dollar / Japanese yen 01/23/15, $109.00 Call  1   13,585,305   8.76%
U.S. dollar / Japanese yen 01/23/15, $115.00 Call  1   10,454,850   6.74%
Other U.S. dollar / Japanese yen 01/05/15 - 12/15/15, $110.50 - $150.00 Call  13   29,792,846   19.21%
Euro / U.S. dollar 01/16/15, $1.24 Put  2   13,814,595   8.91%
Other Euro / U.S. dollar 01/09/15 - 08/17/15, $1.15 - $1.33 Put  17   38,010,122   24.50%
Australian dollar / U.S. dollar 02/05/15 - 05/27/15, $0.81 - $0.83 Put  5   11,440,031   7.38%
Other currency      15,269,762   9.85%
Eurodollar future December 2015, $98.75 - $99.25 Put  2   10,187,500   6.57%
Eurodollar future June 2015, $99.38  - $99.75 Put  2   350,000   0.23%
Other interest rate futures2,875,0001.85%
 
3736

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%
2014.
 
38
Description 
Number of
Contracts / Notional
Amounts
  Fair Value  
Percentage
of Members'
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued)      
Derivative financial instruments (continued)      
Long contracts (continued)      
Options (continued)      
Coffee future February 2015, $167.50 Put  1  $23,344   0.02%
Coffee future March 2015, $250.00 Call  1   20,250   0.01%
Commodity futures      11,346,439   7.31%
Total options      165,395,834   106.64%
             
Short contracts            
Futures            
Coffee July 2015  (965)  11,849,513   7.64%
Other commodity      14,805,620   9.54%
Foreign index      (639,795)  (0.41)%
Interest rate      709,760   0.46%
U.S. bond      (433,813)  (0.28)%
U.S. index      (274,750)  (0.18)%
Total futures      26,016,535   16.77%
             
Swaps            
Interest rate      1,056,548   0.68%
Total swaps      1,056,548   0.68%
             
Forwards            
U.S. dollar / Swiss franc 03/02/15 $(189,700,000)  8,919,465   5.75%
Other U.S. dollar / Swiss franc 01/05/15 - 01/06/15  (178,277,512)  711,835   0.46%
U.S. dollar / Euro 04/09/15  (100,000,000)  15,093,067   9.73%
Other U.S. dollar / Euro 01/02/15 - 01/05/15  (1,822,601,926)  9,029,043   5.82%
Other foreign currency      29,453,365   18.99%
Total forwards      63,206,775   40.75%
             
Options (proceeds $15,318,750)            
U.S. dollar / Japanese yen 01/23/15, $110.00 Call  (1)  (8,225,790)  (5.30)%
U.S. dollar / Japanese yen 01/23/15, $109.00 Call  (1)  (13,585,305)  (8.76)%
U.S. dollar / Japanese yen 01/23/15, $115.00 Call  (1)  (10,454,850)  (6.74)%
Other U.S. dollar / Japanese yen 01/05/15 - 05/01/15, $110.50 - $130.00 Call  (8)  (14,193,955)  (9.15)%
U.S. dollar / Japanese yen 03/23/15 - 05/12/15, $104.20 - $109.80 Put  (1)  (54,928)  (0.04)%
Euro / U.S. dollar 01/09/15 - 05/01/15, $1.12 - $1.30 Put  (12)  (19,853,521)  (12.80)%

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 December 31, 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 (continued)      
Options (continued)      
Other currency   $(14,091,653)  (9.09)%
Coffee futures February 2015, $162.50 Put  (1)  (211,500)  (0.14)%
Coffee futures March 2015, $275.00 Call  (1)  (4,594)  (0.00)%
Other commodity futures      (7,758,059)  (5.00)%
Eurodollar future December 2015, $99.00 Put  (1)  (9,000,000)  (5.80)%
Eurodollar future June 2015, $99.63 Call  (1)  (500,000)  (0.32)%
Eurodollar future June 2015, $99.00 Put  (1)  (50,000)  (0.03)%
Other interest rate futures      (2,200,000)  (1.42)%
Total options      (100,184,155)  (64.59)%
Total derivative financial instruments     $68,381,520   44.09%

38

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, 2013.2014.
 
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  $128,850   0.12%  $(7,717,424)  (6.36)%
Currency   1,154,672   0.95%
Foreign bond   802,342   0.75%   20,545,048   16.92%
Foreign index   2,765,027   2.60%   (1,731,587)  (1.43)%
Interest rate   (3,880,963)  (3.64)%   1,060,406   0.87%
U.S. bond   3,368,832   2.78%
U.S. index   3,250,338   3.05%   5,498,375   4.53%
Total futures   3,065,594   2.88%   22,178,322   18.26%
                  
Forwards                  
Foreign currency   3,290,191   3.09%   (573,341)  (0.47)%
Total forwards   3,290,191   3.09%   (573,341)  (0.47)%
                  
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%   26,804,210   22.08%
Currency   911,143   0.75%
Foreign bond   1,047,621   0.98%   (447,050)  (0.37)%
Foreign index   (1,017,217)  (0.96)%   (1,618,985)  (1.33)%
Interest rate   6,236,193   5.87%   38,574   0.03%
U.S. bond   3,700,384   3.48%   (157,336)  (0.13)%
U.S. index   (353,135)  (0.29)%
Total futures   10,233,981   9.62%   25,177,421   20.74%
                  
Forwards                  
Foreign currency   (1,978,963)  (1.86)%   7,364,027   6.07%
Total forwards   (1,978,963)  (1.86)%   7,364,027   6.07%
         
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%  $54,146,429   44.60%
 

39

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%
40

Index
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)
2014:
 
41
  
Graham
Commodity
Strategies LLC
  
Graham K4D
Trading Ltd.
 
Assets    
Level 1:    
Commodity futures $27,633,798  $29,282,344 
Commodity futures options  11,390,033   - 
Currency futures  -   2,171,127 
Foreign bond futures  2,283,244   20,545,048 
Foreign index futures  645,049   1,864,196 
Interest rate futures  2,497,781   1,665,293 
Interest rate futures options  13,412,500   - 
U.S. bond futures  471,562   4,244,516 
U.S. index futures  261,001   5,559,393 
Total Level 1  58,594,968   65,331,917 
         
Level 2:        
Foreign currency forwards  76,278,028   8,077,680 
Foreign currency options  140,593,301   - 
Interest rate swaps  1,056,548   - 
Total Level 2  217,927,877   8,077,680 
Total investment related assets $276,522,845  $73,409,597 
         
Liabilities        
Level 1:        
Commodity futures $(17,534,552) $(10,195,558)
Commodity futures options  (7,974,153)  - 
Currency futures  -   (105,312)
Foreign bond futures  -   (447,050)
Foreign index futures  (1,105,759)  (5,214,768)
Interest rate futures  (1,756,915)  (566,313)
Interest rate futures options  (11,750,000)  - 
U.S. bond futures  (433,813)  (1,033,020)
U.S. index futures  (279,563)  (414,153)
Total Level 1  (40,834,755)  (17,976,174)
         
Level 2:        
Foreign currency forwards  (78,746,958)  (1,286,994)
Foreign currency options  (80,460,002)  - 
Interest rate swaps  (8,099,610)  - 
Total Level 2  (167,306,570)  (1,286,994)
Total investment related liabilities $(208,141,325) $(19,263,168)
40

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 categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts andfor the year ended December 31, 2014. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 20132014 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the year.risk. 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) $183,681,221   3,188  $(212,148,221)  (4,366) $27,633,798  $(17,534,552)
Options(a)  160,621,354   9,042   (179,833,578)  (9,615)  11,390,033   (7,974,153)
Swaps  7,604,787   800   (15,483,911)  (1,762)  -   - 
  1,023,155   27   (86,736,500)  (875)  555,340   (56,320)  351,907,362   13,030   (407,465,710)  (15,743)  39,023,831   (25,508,705)
Equity price                                                
Futures  27,916,083   243   -   -   331,430   -   106,188,081   1,836   (135,709,856)  (1,482)  906,050   (1,385,322)
Options(a)
  242,380,248   7,250   -   -   7,063,777   - 
Options(a)  18,988,942   2,550   (30,681,556)  (2,550)  -   - 
  270,296,331   7,493   -   -   7,395,207   -   125,177,023   4,386   (166,391,412)  (4,032)  906,050   (1,385,322)
Foreign currency
exchange rate
                        Foreign currency exchange rate                     
Forwards  10,443,360,550   N/A   (10,140,658,387)  N/A   63,466,694   (36,606,872)  2,537,892,170   N/A  (3,436,406,268)  N/A  76,278,028   (78,746,958)
Options(a)
  3,352,679,978   55   (3,877,669,196)  (60)  116,821,732   (69,676,038)
Futures  2,374,377   30   -   -   -   - 
Options(a)  3,464,244,621   82   (3,405,730,397)  (54)  140,593,301   (80,460,002)
  13,796,040,528   55   (14,018,327,583)  (60)  180,288,426   (106,282,910)  6,004,511,168   112   (6,842,136,665)  (54)  216,871,329   (159,206,960)
Interest rate                                                
Futures  4,218,339,506   8,393   (417,593,882)  (2,917)  94,969   (962,372)  3,679,302,974   15,235   (2,440,223,091)  (10,578)  5,252,587   (2,190,728)
Options(a)
  73,143,121   5,500   (93,712,500)  (4,000)  987,443   (312,500)
Options(a)  1,976,567,695   44,656   (2,517,178,746)  (47,875)  13,412,500   (11,750,000)
Swaps  1,461,834,808   7   (1,461,834,808)  (7)  654,860   (2,232,839)  840,593,936   5   (826,080,726)  (4)  1,056,548   (8,099,610)
  5,753,317,435   13,900   (1,973,141,190)  (6,924)  1,737,272   (3,507,711)  6,496,464,605   59,896   (5,783,482,563)  (58,457)  19,721,635   (22,040,338)
Total $19,820,677,449   21,475  $(16,078,205,273)  (7,859) $189,976,245  $(109,846,941) $12,978,060,158   77,424  $(13,199,476,350)  (78,286) $276,522,845  $(208,141,325)
             
Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2).  $(1,577,979)

(a)(a) – Notional amounts for options are based on the delta-adjusted positions.
 
4241

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 categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts andfor the year ended December 31, 2014. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 20132014 categorized by primary underlying risk and is representative of the derivative instruments held by the Master Funds throughout the year.risk. 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 $23,376,150   300  $(8,683,200)  (80) $542,100  $(146,250) $398,132,519   5,751  $(464,713,344)  (8,537) $29,282,344  $(10,195,558)
  23,376,150   300   (8,683,200)  (80)  542,100   (146,250)  398,132,519   5,751   (464,713,344)  (8,537)  29,282,344   (10,195,558)
                        
Equity price                                                
Futures  210,629,836   2,475   (38,274,091)  (2,210)  6,015,365   (1,017,217)  848,537,897   8,854   (74,316,710)  (875)  7,423,589   (5,628,921)
  210,629,836   2,475   (38,274,091)  (2,210)  6,015,365   (1,017,217)  848,537,897   8,854   (74,316,710)  (875)  7,423,589   (5,628,921)
                        
Foreign currency
exchange rate
                        Foreign currency exchange rate                     
Forwards  92,022,916,376   N/A  (38,009,941,739)  N/A  19,384,491   (18,073,263)  809,287,149   N/A  (850,132,838)  N/A  8,077,680   (1,286,994)
Options(a)
  2,049,580   43   (12,950,080)  (43)  2,049,584   (12,950,080)
Futures  107,908,942   1,119   (129,233,377)  (1,352)  2,171,127   (105,312)
  917,196,091   1,119   (979,366,215)  (1,352)  10,248,807   (1,392,306)
  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)  5,696,623,466   28,567   (1,199,073,059)  (6,297)  26,454,857   (2,046,383)
  3,982,239,026   14,619   (3,336,191,401)  (16,810)  11,959,961   (4,054,384)  5,696,623,466   28,567   (1,199,073,059)  (6,297)  26,454,857   (2,046,383)
Total $96,241,210,968   17,437  $(41,406,040,511)  (19,143) $39,951,501  $(36,241,194) $7,860,489,973   44,291  $(2,717,469,328)  (17,061) $73,409,597  $(19,263,168)

(a)Notional amounts for options are based on the delta-adjusted positions.
4342

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)
44

Index
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, 20132014 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 FundFunds 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 $189,976,245  $(109,846,941) $80,129,304  $-  $80,129,304  $276,522,845  $(208,141,325) $68,381,520  $-  $68,381,520 
Derivative liabilities  (109,846,941)  109,846,941   -   -   -   (208,141,325)  208,141,325   -   -   - 
                                        
Graham Global Monetary Policy LLC2
                    
Graham K4D Trading Ltd.2
                    
Derivative assets  39,951,501   (26,647,430)  13,304,071   -   13,304,071   73,409,597   (19,263,168)  54,146,429   -   54,146,429 
Derivative liabilities  (36,241,194)  26,647,430   (9,593,764)  9,593,764   -   (19,263,168)  19,263,168   -   -   - 
                    
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 hasdid not receivedreceive collateral from these counterparties that is eligiblemay have been used 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, 2013.2014. At December 31, 20132014 additional collateral pledged in the amount of $129,230,754$83,528,234 was posted in support of derivative positions and is included in due from 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 offsettingdid not receive collateral from these counterparties that may have been used to oneoffset these derivative amounts as of these counterparties.December 31, 2014. At December 31, 20132014 additional collateral pledged in the amount of $93,112,102$66,195,100 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.
4543

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 yearthree month period ended DecemberMarch 31, 2013:2014:
 
  
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 
46

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
  
Graham
Commodity
Strategies LLC
  
Graham Macro
Directional LLC
  
Graham
Global Monetary
Policy LLC
  
Graham K4D
Trading Ltd.
 
         
Net investment loss $(16,904) $(2,706) $(15,351) $(29,712)
                 
Net realized loss on investments  (60,677,901)  (33,954,795)  (29,906,674)  (49,207,734)
Net decrease in unrealized appreciation on investments  (24,823,212)  (23,189,213)  (18,555,113)  (41,552,938)
Brokerage commissions and fees  (2,696,906)  (302,725)  (1,684,300)  (336,253)
Net loss on investments  (88,198,019)  (57,446,733)  (50,146,087)  (91,096,925)
Net loss $(88,214,923) $(57,449,439) $(50,161,438) $(91,126,637)
 
The following table shows the gross gains and losses on all financial instruments held by the Master Funds reported in net realized gainloss and net increasedecrease in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the yearthree month period ended DecemberMarch 31, 2013:2014:

 
Graham
Commodity
Strategies LLC
  
Graham
Global
Monetary
Policy LLC
  
Graham K4D
Trading Ltd.
  
Graham
Commodity
Strategies LLC
  
Graham Macro
Directional LLC
  
Graham
Global Monetary
Policy LLC
  
Graham K4D
Trading Ltd.
 
Commodity price              
Futures $(53,579,007) $(5,104,883) $22,390,945  $(10,973,148) $2,779,058  $(870,593) $(60,129,414)
Options  (1,216,750)  -   -   (1,226,372)  136,906   -   - 
Swaps  2,633,906   -   (577,404)  (1,928,127)  -   -   - 
  (52,161,851)  (5,104,883)  21,813,541   (14,127,647)  2,915,964   (870,593)  (60,129,414)
Equity price                            
Equities  (166,000)  -   -   (24,250)
Futures  (6,426,914)  11,906,544   233,196,965   3,048,083   (5,305,578)  (15,944,671)  (43,952,520)
Equities  794,000   -   60,994 
Options  5,308,495   89,030   -   (8,422,645)  -   -   - 
  (324,419)  11,995,574   233,257,959   (5,540,562)  (5,305,578)  (15,944,671)  (43,976,770)
Foreign currency
exchange rate
                            
Forwards  12,431,877   (45,345,490)  (38,464,833)  12,128,452 
Futures  (3,199,215)  -   (3,993,100)  -   -   -   (2,625,688)
Forwards  136,702,422   2,814,065   (16,548,454)
Options  32,993,122   12,861,563   -   (64,812,433)  (911,824)  6,927,752   - 
  166,496,329   15,675,628   (20,541,554)  (52,380,556)  (46,257,314)  (31,537,081)  9,502,764 
Interest rate                            
Bonds  16,147   -   42,352 
Futures  15,085,869   39,523,590   (77,113,654)  (10,030,331)  (8,497,080)  522,417   3,842,748 
Options  523,654   (2,529,709)  -   178,223   -   (631,859)  - 
Swaps  (3,404,467)  -   -   (3,600,240)  -   -   - 
  12,221,203   36,993,881   (77,071,302)  (13,452,348)  (8,497,080)  (109,442)  3,842,748 
Total $126,231,262  $59,560,200  $157,458,644  $(85,501,113) $(57,144,008) $(48,461,787) $(90,760,672)
 
4744

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 nineteentwenty-seven 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 nine months ended September 30, 2014,March 31, 2015, the total amounts recognized by GAIT with respect to its investment in Cash Assets were $77,478 and $252,848, respectively. For the three and nine months ended September 30, 2013, the total amountsamount recognized by GAIT with respect to its investment in Cash Assets was $102,458 and $335,724, respectively.$111,995. For the three months ended March 31, 2014, the total amount recognized by GAIT with respect to its investment in Cash Assets was $89,072. These amounts are included in interest income in the statements of operations and incentive allocation. At September 30, 2014March 31, 2015 and December 31, 2013,2014, GAIT owned approximately 6.03%4.83% and 4.36%4.79%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of September 30, 2014March 31, 2015 and December 31, 2013:2014:
 
 September 30, 2014  December 31, 2013  March 31, 2015  December 31, 2014 
Assets:        
Cash and cash equivalents $708,663,039  $1,011,694,165  $1,158,818,615  $1,074,800,890 
Investments in fixed income securities (cost $1,482,810,325 and
$2,493,161,454, respectively)
  1,482,810,325   2,493,161,454 
Investments in fixed income securities (cost $2,249,243,577 and
$2,173,381,831, respectively)
  2,249,243,577   2,173,381,831 
Accrued interest receivable  5,623,469   6,806,338   5,994,683   4,912,030 
Total assets  2,197,096,833   3,511,661,957   3,414,056,875   3,253,094,751 
                
Liabilities:                
Other liabilities  -   15,004   -   - 
Total liabilities  -   15,004   -   - 
Net assets $2,197,096,833  $3,511,646,953  $3,414,056,875  $3,253,094,751 
 
The following table summarizes the results of operations of Cash Assets for the three months ended March 31, 2015 and nine month periods ended September 30, 2014 and 2013:2014:
 
 
Three Months Ended
September 30,
  
Nine Months Ended
September 30,
 
 2014  2013  2014  2013  2015  2014 
Investment income            
Interest income $1,403,319  $2,331,345  $5,058,145  $6,571,736  $2,332,063  $1,923,369 
Total investment income  1,403,319   2,331,345   5,058,145   6,571,736   2,332,063   1,923,369 
                        
Expenses:                        
Bank fee expense  5,866   7,210   33,082   66,174   9,854   11,285 
Total expenses  5,866   7,210   33,082   66,174   9,854   11,285 
Net investment income  1,397,453   2,324,135   5,025,063   6,505,562   2,322,209   1,912,084 
Net income $1,397,453  $2,324,135  $5,025,063  $6,505,562  $2,322,209  $1,912,084 
 
4845

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 September 30, 2014:March 31, 2015:
 
Description 
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
  
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities
(cost $1,482,810,325)
      
Investments in Fixed Income Securities
(cost $2,249,243,577)
      
United States            
Government Bonds (cost $1,482,810,325)      
U.S. Treasury 2.38% due 10/31/14 $150,000,000  $150,486,496   6.85%
Other U.S. Treasury 0.25% – 4.00% due 10/31/14 – 01/31/16      1,332,323,829   60.64%
Government Bonds (cost $2,249,243,577)      
U.S. Treasury 0.25% – 4.00% due 04/15/15 – 06/30/17 $2,240,000,000  $2,249,243,577   65.88%
Total Government Bonds      1,482,810,325   67.49%      2,249,243,577   65.88%
            
Total United States      2,249,243,577   65.88%
Total Investments in Fixed Income Securities     $1,482,810,325   67.49%     $2,249,243,577   65.88%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2013:2014:
 
Description 
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
  
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities
(cost $2,493,161,454)
      
Investments in Fixed Income Securities
(cost $2,173,381,831)
      
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%
Government Bonds (cost $2,173,381,831)      
U.S. Treasury 0.25% – 4.00% due 01/15/15 – 1/31/17 $2,165,000,000  $2,173,381,831   66.81%
Total Government Bonds      2,493,161,454   71.00%      2,173,381,831   66.81%
            
Total United States      2,173,381,831   66.81%
Total Investments in Fixed Income Securities     $2,493,161,454   71.00%     $2,173,381,831   66.81%

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 September 30, 2014March 31, 2015 and December 31, 2013:2014:
 
 September 30, 2014  December 31, 2013  March 31, 2015  December 31, 2014 
Assets        
Level 2:        
Fixed income securities        
Government Bonds $1,482,810,325  $2,493,161,454  $2,249,243,577  $2,173,381,831 
Total fixed income securities  1,482,810,325   2,493,161,454   2,249,243,577   2,173,381,831 
Total Level 2  1,482,810,325   2,493,161,454   2,249,243,577   2,173,381,831 
Total assets $1,482,810,325  $2,493,161,454  $2,249,243,577  $2,173,381,831 

4946

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 ninethree months ended September 30,March 31, 2015 and 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.
 
5047

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
6. Fees and Related Party Transactions (continued)
 
Sponsor Fees
 
For the ninethree months ended September 30,March 31, 2015 and 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.
 
Class Annual Rate 
   
Class 0 0.75%
Class 2 2.75%
 
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. The Incentive Allocation was $2,920,022 and $0 for the three months ended March 31, 2015 and 2014, respectively.
 
Administrator’s Fee
 
For the ninethree months ended September 30,March 31, 2015 and 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. The total administrator’s fees, including out-of-pocket expenses, incurred by GAIT for the three months ended March 31, 2015 and 2014 were $62,256 and $54,230, respectively, of which $21,701 and $18,182 was accrued as of March 31, 2015 and 2014, respectively
 
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.
 
5148

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.year and GAIT identifies its major tax jurisdictions as U.S. Federal and Connecticut State. 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 for open tax years 2011 through 2014 or expected to be taken in GAIT’s 2015 tax returns. 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 periodsmonths ended September 30, 2014March 31, 2015 and 2013:2014:
 
  Class 0  Class 2 
Per unit operating performance    
Net asset value per unit, December 31, 2013 $127.72  $98.41 
Net loss:        
Net investment loss  (0.76)  (1.05)
Net loss on investments  (12.93)  (9.93)
Net loss  (13.69)  (10.98)
Net asset value per unit, March 31, 2014 $114.03  $87.43 

  Class 0  Class 2 
Per unit operating performance    
Net asset value per unit, June 30, 2013 $121.13  $94.28 
Net loss:        
Net investment loss  (0.76)  (1.06)
Net loss on investments  (3.67)  (2.85)
Net loss  (4.43)  (3.91)
Net asset value per unit, September 30, 2013 $116.70  $90.37 
         
Net asset value per unit, June 30, 2014 $115.00  $87.73 
Net income:        
Net investment loss  (0.81)  (1.07)
Net gain on investments  17.42   13.23 
Net income  16.61   12.16 
Net asset value per unit, September 30, 2014 $131.61  $99.89 
Net asset value per unit, December 31, 2014 $149.37  $113.58 
Net income:        
Net investment loss  (1.04)  (1.41)
Net gain on investments  11.60   8.95 
Net income  10.56   7.54 
Net asset value per unit, March 31, 2015 $159.93  $121.12 
 
5249

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 periodsmonths ended September 30, 2014March 31, 2015 and 2013:2014:
 
  Class 0  Class 2 
  2014  2013  2014  2013 
         
Total return before Incentive Allocation  14.44%  (3.66)%  13.86%  (4.15)%
Incentive Allocation  0.00   0.00   0.00   0.00 
Total return after Incentive Allocation  14.44%  (3.66)%  13.86%  (4.15)%
                 
Net investment loss before Incentive Allocation  (0.68)%  (0.63)%  (1.18)%  (1.12)%
Incentive Allocation  0.00   0.00   0.00   0.00 
Net investment loss after Incentive Allocation  (0.68)%  (0.63)%  (1.18)%  (1.12)%
                 
Total expenses before Incentive Allocation  0.73%  0.69%  1.24%  1.20%
Incentive Allocation  0.00   0.00   0.00   0.00 
Total expenses after Incentive Allocation  0.73%  0.69%  1.24%  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 loss:        
Net investment loss  (2.33)  (3.17)
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 
53

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 nine month periods ended September 30, 2014 and 2013:
 Class 0  Class 2  Class 0  Class 2 
 2014  2013  2014  2013  2015  2014  2015  2014 
                
Total return before Incentive Allocation  3.05%  1.58%  1.50%  0.09%  8.84%  (10.72)%  8.31%  (11.16)%
Incentive Allocation  0.00   0.00   0.00   0.00   (1.77)  0.00   (1.67)  0.00 
Total return after Incentive Allocation  3.05%  1.58%  1.50%  0.09%  7.07%  (10.72)%  6.64%  (11.16)%
                                
Net investment loss before Incentive Allocation  (1.96)%  (2.11)%  (3.49)%  (3.57)%  (0.67)%  (0.63)%  (1.18)%  (1.13)%
Incentive Allocation  0.00   0.00   0.00   0.00   (1.69)  0.00   (1.60)  0.00 
Net investment loss after Incentive Allocation  (1.96)%  (2.11)%  (3.49)%  (3.57)%  (2.36)%  (0.63)%  (2.78)%  (1.13)%
                                
Total expenses before Incentive Allocation  2.13%  2.27%  3.65%  3.73%  0.73%  0.68%  1.25%  1.19%
Incentive Allocation  0.00   0.00   0.00   0.00   1.69   0.00   1.60   0.00 
Total expenses after Incentive Allocation  2.13%  2.27%  3.65%  3.73%  2.42%  0.68%  2.85%  1.19%

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 nine month periodsmonths ended September 30, 2014March 31, 2015 and 2013.
 
9. Subsequent Events
 
GAIT had subscriptions of approximately $7.2$3.6 million and redemptions of approximately $4.8$0.4 million from April 1, 2015 through NovemberMay 14, 2014,2015, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.
 
5450

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, 20132014 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 28, 2014.30, 2015. 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 September 30, 2014March 31, 2015 the Blended Strategies Portfolio’s net asset value increased by $898,953$6,142,569 or 1.1%6.9%. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $375,218$1,257,000 or 0.5%1.4% and net income of $11,453,464$6,203,516 or 13.6%7.0% partially offset by redemptions totaling $10,929,729$1,317,947 or -13.0%-1.5%, for the period.

For the ninethree months ended September 30,March 31, 2014 the Blended Strategies Portfolio’s net asset value decreased by $14,079,739$12,587,713 or -14.3%-12.7%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $8,334,507$2,691,289 or 8.4% and net income of $1,331,584 or 1.3%2.7% offset by redemptions totaling $23,745,830$4,503,624 or -24.0% for the period.
For the three months ended September 30, 2013 the Blended Strategies Portfolio’s net asset value decreased by $12,628,996 or -11.2%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $375,000 or 0.3% offset by redemptions totaling $8,768,435 or -7.8%-4.5% and a net loss of $4,235,561$10,775,378 or -3.7%,-10.9% for the period.

For the nine months ended September 30, 2013 the Blended Strategies Portfolio’s net asset value decreased $67,582,069 or -40.4%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $5,616,886 or 3.3% and net income of $6,004,926 or 3.6% offset by redemptions totaling $79,473,881 or –47.3%, for the period.
55

 (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
51

2015 Summary

Three Months Ended September 30, 2014March 31, 2015

For the three months ended September 30, 2014,March 31, 2015, the Blended Strategies Portfolio experienced net trading gains of $12,256,194.$8,630,974. The trading results are attributable to the following sectors:

Agriculture / Softs $1,202,565  $231,006 
Base metals  (494,111)  (37,105)
Energy  (835,153)  (310,849)
Equities  (642,322)  2,285,896 
Foreign exchange  11,388,136   5,178,746 
Long term / Intermediate rates  1,750,775   1,190,454 
Precious metals  396,508   (483,980)
Short term rates  (510,204)  576,806 
 $12,256,194  $8,630,974 

The Blended Strategies Portfolio recorded a net gain for the thirdfirst quarter of 2014.2015. The portfolio recorded gains primarily from tradingpositions in foreign exchange, in particularparticularly from a long bias in the U.S. dollar versus the euro, Japanese yen,Euro, Canadian dollar, British sterling and to a lesser extent,Australian dollar. Additional gains resulted from long positions in Asian and European equity index futures as prices rallied during the New Zealand dollar. Thequarter. In long term / intermediate rates, the portfolio also benefittedrecorded more gains from positions in European, fixed incomeCanadian and Australian bond futures. The portfolio recorded modestexperienced losses in commodities as gains from trading natural gas, copper and wheat were offset by losses in commodity futures, as profits in agriculture/softs commodities and precious metals, gas oil and heating oil.

Advisory, Sponsor Fees, 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 March 31, 2015, Advisory Fees increased by $18,316 or 4.6%, Sponsor Fees increased by $48,754 or 18.1%, and Administrator’s Fees increased by $3,109 or 10.5% in the Fund over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and net income partially offset by redemptions for the period. During the same period, interest income increased by $10,229 or 21.0%. Interest was earned on free cash at an average annualized yield of 0.30% for the three months ended March 31, 2015 compared to 0.26% for the same period in 2014.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2015 the Incentive Allocation increased by $1,550,824. This was the result of a higher net gain before incentive allocation for the three months ended March 31, 2015 compared to the three months ended March 31, 2014. For the three months ended March 31, 2014, the portfolio had not yet recovered previous losses. As a result, there was no Incentive Allocation for that period.
52

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2015 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 / Softs14.6%
Base metals(6.6)%
Energy26.7%
Equities32.8%
Foreign exchange(26.1)%
Long term / Intermediate rates54.3%
Precious metals(4.7)%
Short term rates9.0%
100.0%

2014 Summary

Three Months Ended March 31, 2014

For the three months ended March 31, 2014, the Blended Strategies Portfolio experienced net trading losses of $9,953,647. The trading results are attributable to the following sectors:

Agriculture / Softs $(1,598,226)
Base metals  (101,263)
Energy  (1,345,672)
Equities  (2,923,974)
Foreign exchange  (2,631,146)
Long term / Intermediate rates  (313,593)
Precious metals  (869,397)
Short term rates  (170,376)
  $(9,953,647)

The Blended Strategies Portfolio recorded a net loss for the first quarter of 2014.  The portfolio recorded losses from positions in commodities, particularly in agriculture / softs with additional losses in the energy and metals markets. The portfolio recorded losses from positions in equity index futures, particularly during January as global benchmark indices reversed and moved sharply lower. Performance was also impacted by currency trading as gains from the Canadian and New Zealand dollars were more than offset by losses in energyfrom trading the Japanese yen, Australian dollar and base metals. Losses resultedEuropean currencies.  In fixed income futures, the portfolio recorded gains from positions on the long end of the yield curve in European, U.K., and U.S. equity sectors.Europe.

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 September 30,March 31, 2014, Advisory Fees decreased by $95,474$303,253 or -20.1%-43.3%, Sponsor Fees decreased by $39,889$154,943 or -12.6%-36.6%, and Administrator’s Fees decreased by $5,246$22,381 or -14.9%-43.0% 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 redemptions partially offset by subscriptions and net income for the period. During the same period, interest income decreased by $12,816 or -22.5%. Interest was earned on free cash at an average annualized yield of 0.26% for the three months ended September 30, 2014 compared to 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 September 30, 2014 and 2013 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.
56

Nine Months Ended September 30, 2014

For the nine months ended September 30, 2014, the Blended Strategies Portfolio experienced net trading gains of $3,756,468. The trading results are attributable to the following sectors:

Agriculture / Softs $(753,170)
Base metals  (1,251,560)
Energy  (2,519,902)
Equities  (3,287,701)
Foreign exchange  9,002,877 
Long term / Intermediate rates  4,136,776 
Precious metals  (1,069,630)
Short term rates  (501,222)
  $3,756,468 

The Blended Strategies Portfolio posted a net gain for the first three quarters of 2014. Gains resulted primarily from trading foreign exchange, most notably from a long bias in the U.S. dollar versus the euro, New Zealand dollar, Canadian dollar, and Japanese yen. The portfolio also 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 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 nine months ended September 30, 2014, Advisory Fees decreased by $646,824 or -35.7%, Sponsor Fees decreased by $322,098 or -28.2%, and Administrator’s Fees decreased by $45,000 or -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 redemptions partially offset by subscriptions and net income for the period. During the same period, interest income decreased by $58,386 or -29.2%. Interest was earned on free cash at an average annualized yield of 0.25% for the nine months ended September 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 nine months ended September 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 September 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 / Softs18.3%
Base metals(7.5)%
Energy7.1%
Equities(0.1)%
Foreign exchange72.2%
Long term / Intermediate rates1.0%
Precious metals7.9%
Short term rates1.1%
100.0%

57

2013 Summary

Three Months Ended September 30, 2013

For the three months ended September 30, 2013, the Blended Strategies Portfolio experienced net trading losses of $3,328,641. The trading results are attributable to the following sectors:

Agriculture / Softs $533,363 
Base metals  (509,333)
Energy  (1,605,694)
Equities  1,935,320 
Foreign exchange  (3,117,035)
Long term / Intermediate rates  39,943 
Precious metals  (1,201,726)
Short term rates  596,521 
  $(3,328,641)

The Blended Strategies Portfolio recorded a net loss for the third quarter of 2013. The losses resulted primarily from positions in commodities, including energy and metals. The portfolio also recorded losses from positions in foreign exchange, 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 September 30, 2013, Advisory Fees decreased by $663,307 or -58.2%, Brokerage Fees decreased by $1,304,776 or -100.0% and Sponsor Fees decreased by $253,651 or -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 $59,492$29,250 or -51.1%-37.5%. Interest was earned on free cash at an average annualized yield of 0.25%0.26% for the three months ended September 30, 2013March 31, 2014 compared to 0.25%0.23% for the same period in 2012.2013.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30,March 31, 2014 and 2013 and 2012 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.
 

5853

Nine Months Ended September 30, 2013

For the nine months ended September 30, 2013, the Blended Strategies Portfolio experienced net trading gains of $9,824,708 attributable to the following sectors:

Agriculture / Softs $2,023,624 
Base metals  63,891 
Energy  (8,464,356)
Equities  16,340,207 
Foreign exchange  124,986 
Long term / Intermediate rates  (6,469,972)
Precious metals  4,252,133 
Short term rates  1,954,195 
  $9,824,708 

Blended Strategies Portfolio posted a net gain for the first three quarters of 2013. The majority of the gains were driven by trading equity index futures, particularly in the U.S., Asia and U.K.  The portfolio also recorded gains from trading precious metals, with smaller gains in agricultural/softs commodities. Losses were experienced from trading in the energy sector, with smaller losses in long term/intermediate rates futures.  These losses offset a portion of the overall year-to-date gains through the third 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 nine months ended September 30, 2013, Brokerage Fees decreased by $4,221,823 or -100.0%, Advisory Fees decreased by $1,872,727 or -50.8% and Sponsor Fees decreased by $701,793 or -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 beginning 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 $176,817 or -47.0%. Interest was earned on free cash at an average annualized yield of 0.23% for the nine months ended September 30, 2013 compared to 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 nine months ended September 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 September 30, 2013March 31, 2014 based on the fair value of the underlying assets and liabilities in each master fundMaster Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs  39.71,251.5%
Base metals  (5.4172.2)%
Energy  (31.6434.9)%
Equities  0.2(83.0)%
Foreign exchange  65.1(1,227.8)%
Long term / Intermediate rates  (9.9464.3)%
Precious metals  2.8(52.5)%
Short term rates  39.110.2%
   100.0%
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, Sponsor, and SponsorAdministrator’s 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 ActCEA and with U.S. Commodity Futures Trading CommissionCFTC 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 OTCFX clearing broker.broker, on an almost daily basis. The Manager generally expresses its margin requirements for the portfolios in terms of the aggregate of the margin requirements for the underlying strategies plus the net option premium costs for the underlying strategies as a percentage of net assets.strategies. The following table shows these amounts as of the date indicated:

September 30,
Blended Strategies
Portfolio
March 31, 201511.28%
December 31, 2014  18.1412.51%%
DecemberMarch 31, 20132014  17.61%
September 30, 201312.35% 14.48%

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 September 30, 2014,March 31, 2015, 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.
 
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.
 
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.year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. 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.statements for open tax years 2011 through 2014 or expected to be taken in the Fund’s 2015 tax returns. 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.
 
(v)         Off-Balance Sheet Arrangements

The Fund does not engage in off-balance sheet arrangements with other entities.
 
6256

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.

6357

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’sFund has established 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 September 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 September 30, 2014, to ensure that the information required to be disclosed by the Fund in the reports that it files or submits under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission’sSEC 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.

Based on their evaluation as of March 31, 2015, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the Manager’s disclosure controls and procedures with respect to the Fund (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) were effective.

Changes in Internal Control Over Financial Reporting

There were no changes to the Fund’s internal controls over financial reporting during the thirdfirst quarter of 20142015 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal controls over financial reporting.
 
6458

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 September 30, 2014,March 31, 2015, the Fund issued 3,917.2829,523.156 Units in exchange for $375,218$1,257,000 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 506(b)506 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.

Period (as of) 
Blended Strategies Portfolio
Total
Number of
Units Issued
JulyJanuary 1, 2014
2015
  1,773.805502.103 
AugustFebruary 1, 20142015  605.614829.665 
SeptemberMarch 1, 20142015  1,537.8638,191.388 
 
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
Date
 
(a) Total Number
of Units
Purchased1
  
(b) Average
Price Paid
per Unit
  
(c) Total Number of
Units Purchased as
Part of Publicly
Announced Plans
or Programs
  
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
 
January 31, 2015  2,422.673   139.63   N/A   N/A 
February 28, 2015  4,363.240   137.85   N/A   N/A 
March 31, 2015  2,505.683   140.53   N/A   N/A 
TOTAL  9,291.596   139.34   N/A   N/A 

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 – Not applicable
None

Item 5.
Other Information – None
 
6559

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 OperatingPrincipal Executive Officer)
Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)
Section 1350 Certification (Certification of Chief OperatingPrincipal Executive 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
 
6660

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: NovemberMay 14, 20142015
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
BLENDED STRATEGIES PORTFOLIO
By:GRAHAM CAPITAL MANAGEMENT, L.P.
its Manager
By:/s/ Paul Sedlack
 Paul Sedlack, Chief OperatingPrincipal Executive Officer
 
 By:/s/ Brian Douglas
 Brian Douglas, Chief Financial Officer

 
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