4. Fees and Related Party Transactions

Advisory Fees

Each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital 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 affected with respect to Units of such Class during the month. For the ~~three~~six months ended ~~March 31,~~June 30, 2021 and 2020, the Advisory Fees allocated to the Fund by each Class of GAIT totaled ~~$109,921~~$223,602 and ~~$99,742,~~$202,868, respectively.

Sponsor Fees

Each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital 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~~six months ended ~~March 31,~~June 30, 2021 and 2020, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled ~~$58,823~~$119,431 and ~~$53,811,~~$109,548, respectively.

Class 0	Class 2
0.50%	1.25%

~~See attached financial statements of Graham Alternative Investment Trading LLC.~~

See attached financial statements of Graham Alternative Investment Trading LLC.

~~Index~~

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

~~Graham Alternative Investment Fund I LLC~~

~~Blended Strategies Portfolio~~

~~Notes to Unaudited Financial Statements (continued)~~

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

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of 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 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 Members’ Capital redeemed from such class bears to the Members’ Capital 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 Graham Capital LLC. For the ~~three~~six months ended ~~March 31,~~June 30, 2021 and 2020, Incentive Allocation of ~~$345,626~~$429,807 and ~~$67,842,~~$73,579, respectively were allocated to the Fund by GAIT.

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

Administrator’s Fee

For the ~~three~~six months ended ~~March 31,~~June 30, 2021 and 2020, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, 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~~six months ended ~~March 31,~~June 30, 2021 and 2020 were ~~$9,312~~$18,948 and ~~$8,445,~~$17,503, respectively.

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 income 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. The Fund identifies its major tax jurisdictions as the U.S. for Federal tax purposes and Connecticut for state tax purposes. 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 for all open tax years. 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. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations. No such interest and/or penalties were assessed to the Fund for the ~~three~~six months ended ~~March 31,~~June 30, 2021 and 2020.

~~See attached financial statements of Graham Alternative Investment Trading LLC.~~

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Risk Factors

Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak could have a significant impact on the Fund’s performance. The extent of the impact will depend on future developments, including (i) the duration and spread of the outbreak, (ii) any restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. The Advisor is monitoring these developments and continually assessing the potential impact on the performance and operations of the Fund, including the terms of brokerage agreements, ISDAs, and other trading agreements with the Fund. The Advisor has enacted the appropriate portions of its business continuity plans and adapted its workflow accordingly.

7. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended ~~March 31,~~June 30, 2021 and 2020:

	Class 0			Class 2			Class 0			Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2019	$	152.04		$	108.35
Net asset value per Unit, March 31, 2020							$	159.32		$	113.79
Net income (loss):
Net investment loss								(0.54	)		(0.56	)
Net gain on investments								0.76			0.55
Net income (loss)								0.22			(0.01	)
Net asset value per Unit, June 30, 2020							$	159.54		$	113.78

Net asset value per Unit, March 31, 2021							$	181.44		$	130.05
Net income:
Net investment loss		(1.03	)		(0.47	)		(1.82	)		(1.57	)
Net gain on investments		8.31			5.91			3.82			2.80
Net income		7.28			5.44			2.00			1.23
Net asset value per Unit, March 31, 2020	$	159.32		$	113.79

Net asset value per Unit, December 31, 2020	$	173.06		$	124.23
Net income:
Net investment loss		(3.08	)		(2.40	)
Net gain on investments		11.46			8.22
Net income		8.38			5.82
Net asset value per Unit, March 31, 2021	$	181.44		$	130.05
Net asset value per Unit, June 30, 2021							$	183.44		$	131.28

~~See attached financial statements of Graham Alternative Investment Trading LLC.~~

See attached financial statements of Graham Alternative Investment Trading LLC.

1011

~~Index~~

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights (continued)

~~Graham Alternative Investment Fund I LLC~~

~~Blended Strategies Portfolio~~

~~Notes to Unaudited Financial Statements (continued)~~

~~7. Financial Highlights (continued)~~

The following represents ratios to average Members’ Capital and total return for the three months ended ~~March 31,~~June 30, 2021 and 2020:

	Class 0						Class 2						Class 0						Class 2
	2021			2020			2021			2020			2021			2020			2021			2020

Total return before Incentive Allocation		6.07	%		5.21	%		5.87	%		5.02	%		1.40	%		0.18	%		1.25	%		(0.01	)%
Incentive Allocation		(1.23	)		(0.43	)		(1.18	)		0.00			(0.30	)		(0.04	)		(0.30	)		0.00
Total return after Incentive Allocation		4.84	%		4.78	%		4.69	%		5.02	%		1.10	%		0.14	%		0.95	%		(0.01	)%

Net investment loss before Incentive Allocation		(0.56	)%		(0.25	)%		(0.75	)%		(0.43	)%		(0.71	)%		(0.30	)%		(0.90	)%		(0.49	)%
Incentive Allocation		(1.19	)		(0.43	)		(1.16	)		0.00			(0.28	)		(0.04	)		(0.28	)		0.00
Net investment loss after Incentive Allocation		(1.75	)%		(0.68	)%		(1.91	)%		(0.43	)%		(0.99	)%		(0.34	)%		(1.18	)%		(0.49	)%

Total expenses before Incentive Allocation		0.60	%		0.64	%		0.79	%		0.83	%		0.72	%		0.64	%		0.92	%		0.83	%
Incentive Allocation		1.19			0.43			1.16			0.00			0.28			0.04			0.28			0.00
Total expenses after Incentive Allocation		1.79	%		1.07	%		1.95	%		0.83	%		1.00	%		0.68	%		1.20	%		0.83	%

The following is the per Unit operating performance calculation for the six months ended June 30, 2021 and 2020:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2019	$	152.04		$	108.35
Net income:
Net investment loss		(1.58	)		(1.03	)
Net gain on investments		9.08			6.46
Net income		7.50			5.43
Net asset value per Unit, June 30, 2020	$	159.54		$	113.78

Net asset value per Unit, December 31, 2020	$	173.06		$	124.23
Net income:
Net investment loss		(4.92	)		(3.99	)
Net gain on investments		15.30			11.04
Net income		10.38			7.05
Net asset value per Unit, June 30, 2021	$	183.44		$	131.28

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights (continued)

The following represents ratios to average Members’ Capital and total return for the six months ended June 30, 2021 and 2020:

	Class 0						Class 2
	2021			2020			2021			2020

Total return before Incentive Allocation		7.60	%		5.39	%		7.27	%		5.01	%
Incentive Allocation		(1.60	)		(0.46	)		(1.60	)		0.00
Total return after Incentive Allocation		6.00	%		4.93	%		5.67	%		5.01	%

Net investment loss before Incentive Allocation		(1.27	)%		(0.55	)%		(1.66	)%		(0.93	)%
Incentive Allocation		(1.47	)		(0.46	)		(1.45	)		0.00
Net investment loss after Incentive Allocation		(2.74	)%		(1.01	)%		(3.11	)%		(0.93	)%

Total expenses before Incentive Allocation		1.32	%		1.28	%		1.71	%		1.66	%
Incentive Allocation		1.47			0.46			1.45			0.00
Total expenses after Incentive Allocation		2.79	%		1.74	%		3.16	%		1.66	%

Total return is calculated for Class 0 and Class 2 Units taken as a whole and is not annualized. 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 six months ended ~~March 31,~~June 30, 2021 and 2020 and are not annualized.

8. Subsequent Events

The Fund had no0 subscriptions and redemptions of approximately $0.1 million from ~~April~~July 1, 2021 through ~~May 17,~~August 16, 2021, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

See attached financial statements of Graham Alternative Investment Trading LLC.

Graham Alternative Investment Trading ~~LLC.~~

LLC

Statements of Financial Condition

	June 30, 2021 (Unaudited)		December 31, 2020 (Audited)
Assets
Investments in Master Funds, at fair value	$	8,088,983	$	6,446,067
Investment in Graham Cash Assets LLC, at fair value		53,133,401		54,304,841
Receivable from Master Funds		246		3
Total assets	$	61,222,630	$	60,750,911

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	992,436	$	757,071
Accrued professional fees		81,467		128,331
Accrued advisory fees		73,275		75,035
Accrued sponsor fees		38,448		39,910
Accrued administrator’s fee		6,356		6,618
Payable to Master Funds		23		95
Total liabilities		1,192,005		1,007,060

Members’ capital:
Class 0 Units (195,624.743 and 203,816.771 units issued and outstanding at $183.44 and $173.06 per unit, respectively)		35,884,619		35,272,482
Class 2 Units (171,052.515 and 184,460.524 units issued and outstanding at $131.28 and $124.23 per unit, respectively)		22,456,147		22,915,191
Class M Units (4,671.470 units issued and outstanding at $361.74 and $333.12 per unit, respectively)		1,689,859		1,556,178
Total members’ capital		60,030,625		59,743,851
Total liabilities and members’ capital	$	61,222,630	$	60,750,911

See accompanying notes.

1114

Index

Graham Alternative Investment Trading LLC

~~Statements of Financial Condition~~

March 31, 2021
(Unaudited)

December 31, 2020
(Audited)

Assets
Investments in Master Funds, at fair value $ 5,834,232 $ 6,446,067
Investment in Graham Cash Assets LLC, at fair value 57,253,709
54,304,841

Receivable from Master Funds 33
3

Total assets $ 63,087,974 $ 60,750,911

Liabilities and members’ capital
Liabilities:
Redemptions payable $ 1,162,556 $ 757,071
Accrued professional fees 136,249
128,331

Accrued advisory fees 78,074
75,035

Accrued sponsor fees 41,458
39,910

Accrued administrator’s fee 6,726
6,618

Payable to Master Funds –
95

Total liabilities 1,425,063
1,007,060

Members’ capital:
Class 0 Units (200,773.252 and 203,816.771 units issued and outstanding at $181.44 and $173.06 per unit, respectively) 36,428,408
35,272,482

Class 2 Units (181,281.877 and 184,460.524 units issued and outstanding at $130.05 and $124.23 per unit, respectively) 23,575,660
22,915,191

Class M Units (4,671.470 units issued and outstanding at $355.10 and $333.12 per unit, respectively) 1,658,843
1,556,178

Total members’ capital 61,662,911
59,743,851

Total liabilities and members’ capital $ 63,087,974 $ 60,750,911

~~See accompanying notes.~~

~~Index~~

~~Graham Alternative Investment Trading LLC~~

Condensed Schedules of Investments

	March 31, 2021 (Unaudited)					December 31, 2020 (Audited)					June 30, 2021 (Unaudited)					December 31, 2020 (Audited)
Description	Fair Value		Percentage of Members’ Capital			Fair Value		Percentage of Members’ Capital			Fair Value		Percentage of Members’ Capital			Fair Value		Percentage of Members’ Capital

Investments in Master Funds, at fair value
Graham Commodity Strategies LLC	$	2,822,995		4.58	%	$	2,103,213		3.52	%	$	3,964,962		6.60	%	$	2,103,213		3.52	%
Graham K4D Trading Ltd.		3,011,237		4.88	%		4,342,854		7.27	%		4,124,021		6.87	%		4,342,854		7.27	%
Total investments in Master Funds	$	5,834,232		9.46	%	$	6,446,067		10.79	%	$	8,088,983		13.47	%	$	6,446,067		10.79	%

See accompanying notes.

1315

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of ~~Operations~~Operations and Incentive Allocation

	Three Months Ended March 31,						Three Months Ended June 30,						Six Months Ended June 30,
	2021			2020			2021			2020			2021			2020
Net gain allocated from investments in Master Funds:
Net realized gain on investments	$	5,095,467		$	1,191,386		$	1,516,330		$	1,633,430		$	6,611,797		$	2,824,816
Net (decrease) increase in unrealized appreciation on investments		(1,122,610	)		1,879,868			(152,855	)		(1,310,212	)		(1,275,465	)		569,656
Brokerage commissions and fees		(37,646	)		(101,748	)		(46,615	)		(52,775	)		(84,261	)		(154,523	)
Net gain allocated from investments in Master Funds		3,935,211			2,969,506			1,316,860			270,443			5,252,071			3,239,949

Net investment (loss) income allocated from investments in Master Funds		(237	)		17,733			(764	)		12,836			(1,001	)		30,569

Investment income:
Interest income		22,358			198,834			10,276			175,321			32,634			374,155
Total investment income		22,358			198,834

Expenses:
Advisory fees		219,830			201,293			228,390			205,807			448,220			407,100
Sponsor fees		116,640			107,597			120,584			109,817			237,224			217,414
Professional fees		36,351			55,179			106,696			55,919			143,047			111,098
Administrator’s fee		19,124			17,460			19,904			18,529			39,028			35,989
Interest expense		3,479			3,344			3,472			3,448			6,951			6,792
Total expenses		395,424			384,873			479,046			393,520			874,470			778,393
Net investment loss of the Fund		(373,066	)		(186,039	)
Net investment loss of GAIT								(468,770	)		(218,199	)		(841,836	)		(404,238	)

Net income		3,561,908			2,801,200			847,326			65,080			4,409,234			2,866,280

Incentive allocation		(692,262	)		(139,069	)		(163,263	)		(11,712	)		(855,525	)		(150,781	)

Net income available for pro-rata allocation to all members	$	2,869,646		$	2,662,131		$	684,063		$	53,368		$	3,553,709		$	2,715,499

See accompanying notes.

1416

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three and Six Months Ended ~~March 31,~~June 30, 2021 ~~and 2020~~

Class 0 Class 2 Class M Total
Units Capital Units Capital Units Capital Capital

Members’ capital, December 31, 2019
213,162.414
$ 32,409,897
201,355.180

$
21,816,766

4,671.470

$
1,307,992

$
55,534,655

Subscriptions
–

–

–

–

–

–

–

Redemptions
(5,366.145
)

(816,202
)

(6,097.039
)

(673,152
)

–

(139,069
)

(1,628,423
)
Incentive allocation
–

(139,069
)

–

–

–

139,069

–

Net income
–

1,650,675

–

1,075,378

–

75,147

2,801,200

Members’ capital, March 31, 2020
207,796.269
$ 33,105,301
195,258.141

$
22,218,992

4,671.470

$
1,383,139

$
56,707,432

Class 0 Class 2 Class M Total
Units Capital Units Capital Units Capital Capital

Members’ capital, December 31, 2020
203,816.771
$ 35,272,482
184,460.524

$
22,915,191

4,671.470

$
1,556,178

$
59,743,851

Subscriptions – – – – – – –
Redemptions (3,043.519 ) (538,957 ) (3,178.647 ) (411,629 ) – (692,262 ) (1,642,848 )
Incentive allocation – (424,238 ) – (268,024 ) – 692,262 –
Net income – 2,119,121 – 1,340,122 – 102,665 3,561,908
Members’ capital, March 31, 2021
200,773.252 $ 36,428,408 181,281.877 $ 23,575,660 4,671.470 $ 1,658,843 $ 61,662,911

~~See accompanying notes.~~

~~Index~~

~~Graham Alternative Investment Trading LLC~~

~~Unaudited Statements of Cash Flows~~

Three Months Ended March 31,
2021 2020
Cash flows provided by operating activities
Net income
$ 3,561,908 $ 2,801,200
Adjustments to reconcile net income to net cash provided by operating activities:

Net (income) allocated from investments in Master Funds (3,934,974 )
(2,987,239
)
Net (income) allocated from investment in Graham Cash Assets LLC (22,358 )
(198,834
)
Proceeds from sale of investments in Master Funds 20,606,296
19,043,220

Proceeds from sale of investment in Graham Cash Assets LLC 11,764,515
9,733,960

Purchases of investments in Master Funds (16,059,612 )
(13,714,245
)
Purchases of investment in Graham Cash Assets LLC (14,691,025 )
(13,359,889
)
Changes in assets and liabilities:
Increase (decrease) in accrued professional fees 7,918
(80,998
)
Increase in accrued advisory fees 3,039
1,700

Increase in accrued sponsor fees 1,548
908

Increase in accrued administrator’s fee 108
166

Net cash provided by operating activities
1,237,363
1,239,949

Cash flows used in financing activities
Subscriptions –
–

Redemptions (1,237,363 )
(1,239,896
)
Net cash used in financing activities
(1,237,363 )
(1,239,896
)

Net change in cash and cash equivalents
–
53

Cash and cash equivalents, beginning of period
–
–

Cash and cash equivalents, end of period
$ – $ 53

Supplemental cash flow information
Interest paid $ 3,479 $ 3,344

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital

Members’ capital, December 31, 2020		203,816.771		$	35,272,482			184,460.524		$	22,915,191			4,671.470	$	1,556,178		$	59,743,851
Subscriptions		–			–			–			–			–		–			–
Redemptions		(3,043.519	)		(538,957	)		(3,178.647	)		(411,629	)		–		(692,262	)		(1,642,848	)
Incentive allocation		–			(424,238	)		–			(268,024	)		–		692,262			–
Net income		–			2,119,121			–			1,340,122			–		102,665			3,561,908
Members’ capital, March 31, 2021		200,773.252		$	36,428,408			181,281.877		$	23,575,660			4,671.470	$	1,658,843		$	61,662,911
Subscriptions		–			–			–			–			–		–			–
Redemptions		(5,148.509	)		(949,508	)		(10,229.362	)		(1,366,841	)		–		(163,263	)		(2,479,612	)
Incentive allocation		–			(101,431	)		–			(61,832	)		–		163,263			–
Net income		–			507,150			–			309,160			–		31,016			847,326
Members’ capital, June 30, 2021		195,624.743		$	35,884,619			171,052.515		$	22,456,147			4,671.470	$	1,689,859		$	60,030,625

See accompanying notes.

1617

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Six Months Ended June 30, 2020

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital

Members’ capital, December 31, 2019		213,162.414		$	32,409,897			201,355.180		$	21,816,766			4,671.470	$	1,307,992		$	55,534,655
Subscriptions		–			–			–			–			–		–			–
Redemptions		(5,366.145	)		(816,202	)		(6,097.039	)		(673,152	)		–		(139,069	)		(1,628,423	)
Incentive allocation		–			(139,069	)		–			–			–		139,069			–
Net income		–			1,650,675			–			1,075,378			–		75,147			2,801,200
Members’ capital, March 31, 2020		207,796.269			33,105,301			195,258.141			22,218,992			4,671.470		1,383,139			56,707,432
Subscriptions		–			–			–			–			–		–			–
Redemptions		(1,773.039	)		(282,562	)		(2,988.460	)		(339,451	)		–		(11,712	)		(633,725	)
Incentive allocation		–			(11,712	)		–			–			–		11,712			–
Net income (loss)		–			58,386			–			(2,677	)		–		9,371			65,080
Members’ capital, June 30, 2020		206,023.230		$	32,869,413			192,269.681		$	21,876,864			4,671.470	$	1,392,510		$	56,138,787

See accompanying notes.

Index~~Notes~~

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Six Months Ended June 30,
	2021			2020
Cash flows provided by operating activities
Net income	$	4,409,234		$	2,866,280
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) allocated from investments in Master Funds		(5,251,070	)		(3,270,518	)
Net (income) allocated from investment in Graham Cash Assets LLC		(32,634	)		(374,155	)
Proceeds from sale of investments in Master Funds		35,557,695			32,747,567
Proceeds from sale of investment in Graham Cash Assets LLC		28,466,809			22,911,926
Purchases of investments in Master Funds		(31,949,856	)		(28,650,545	)
Purchases of investment in Graham Cash Assets LLC		(27,262,735	)		(23,689,846	)
Changes in assets and liabilities:
Decrease in accrued professional fees		(46,864	)		(101,107	)
Decrease in accrued advisory fees		(1,760	)		(2,013	)
Decrease in accrued sponsor fees		(1,462	)		(1,174	)
Decrease in accrued administrator’s fee		(262	)		(35	)
Net cash provided by operating activities		3,887,095			2,436,380

Cash flows used in financing activities
Subscriptions		–			–
Redemptions (net of redemptions payable)		(3,887,095	)		(2,436,380	)
Net cash used in financing activities		(3,887,095	)		(2,436,380	)

Net change in cash and cash equivalents		–			–

Cash and cash equivalents, beginning of period		–			–
Cash and cash equivalents, end of period	$	–		$	–

Supplemental cash flow information
Interest paid	$	6,951		$	6,792

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

~~March 31,~~June 30, 2021

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 with the Securities and Exchange Commission as an investment adviser. GAIT is a commodity pool, and as such is subject to the oversight and jurisdiction of the 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 (“OTC”).

Graham Alternative Investment Fund I LLC Blended Strategies Portfolio and Graham Alternative Investment Fund II LLC Blended Strategies Portfolio (through its investment in Graham Alternative Investment Ltd.) are the primary investors of GAIT.

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”) ~~of the Fund.~~.

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 (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. 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.

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.

1720

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Due from/to Brokers

Due from/to 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 financial instruments and securities, and receivables/payables for unsettled transactions. Substantially all of the Master Funds’ cash and investments are held as collateral by its brokers to secure derivative instruments and securities.

Revenue Recognition

All positions in financial instruments are recorded on the trade date at fair value. Net unrealized appreciation or depreciation on open derivative financial instruments is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at year end. Any change in net unrealized appreciation or depreciation 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 applicable withholding taxes. All other expenses are recorded on the accrual basis. Realized gains and losses are calculated based on the specific identification method.

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 and are recorded on the accrual basis.

Foreign Currency Translation

Assets and liabilities denominated in foreign currencies are translated using the exchange rates at ~~March 31,~~June 30, 2021 and December 31, 2020. 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. The Master Funds’ currency translation gains and losses are included in the statements of operations and incentive allocation within net realized gain and net (decrease) increase in unrealized appreciation on investments.

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.

1821

Index

Graham Alternative Investment Trading LLC

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.

Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.

GAIT’s investments in the Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, these investments are excluded from categorization in the fair value hierarchy. GAIT’s investments in the Master Funds and Cash Assets are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the ~~three~~six months ended ~~March 31,~~June 30, 2021 or the year ended December 31, 2020 by GAIT, the Master Funds, or Cash Assets.

Derivative Instruments

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

Unrealized appreciation and depreciation 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 realized 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.

1922

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Futures Contracts (continued)

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 appreciation and depreciation 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.

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 appreciation and depreciation.

2023

Index

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 appreciation or depreciation 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 Master Funds’ 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 appreciation 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.

An interest rate swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another. Interest rate swap positions are generally valued as the present value of the net future cash flows as estimated by the Manager using a discount curve constructed from independently obtained future interest rate assumptions.

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. Total return swaps are generally valued based upon the value of the underlying instruments as determined by the primary exchange on which they are traded.

Exchange-traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Changes in fair value of each swap are recognized as unrealized appreciation or depreciation. The Master Funds record realized gains or losses when a swap contract resets or is terminated.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

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.

When purchasing options, 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 appreciation 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.

Selling uncovered options may subject the Master Funds to unlimited risk of loss. As the writer of an option, the Master Funds bear the market risk of an unfavorable change in the price of the underlying instrument.

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 the 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 or rate of return and provide limits with respect to any decline in 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. There were no events that occurred throughout the ~~three~~six months ended ~~March 31,~~June 30, 2021 and the year ended December 31, 2020 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $0 and $901,487 at ~~March 31,~~June 30, 2021 and December 31, 2020, respectively. Graham Commodity Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at ~~March 31,~~June 30, 2021 and December 31, 2020.

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 seats and the shares of the CME Group at fair value. As of ~~March 31,~~June 30, 2021 and December 31, 2020, the two NYMEX seats were valued at ~~$350,000~~$350,500 and $283,000, respectively, and the 30,000 shares of CME Group were valued at ~~$6,126,900~~$6,380,400 and $5,461,500, respectively, all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

2225

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Mercantile Exchange Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Mercantile Exchange (“CME”). As a result of its membership, Graham Commodity Strategies LLC owns two CME seats and 2,232 shares of the CME Group. Graham Commodity Strategies LLC’s policy is to value the CME seats and the shares of the CME Group at fair value. As of ~~March 31,~~June 30, 2021 and December 31, 2020, the two CME seats were valued at ~~$355,500~~$399,250 and $295,050, respectively. As of ~~March 31,~~June 30, 2021 and December 31, 2020, the 2,232 shares of CME Group were valued at ~~$455,841~~$474,702 and $406,336, respectively. The CME seats and shares are included within Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The CME seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is also a member of the ~~Chicago Mercantile Exchange (“CME”).~~CME. As a result of its membership, Graham K4D Trading Ltd. owns one CME seat and 4,085 shares of the CME Group. Graham K4D Trading Ltd.’s policy is to value the CME seat and the shares of the CME Group at fair value. As of ~~March 31,~~June 30, 2021 and December 31, 2020, the CME seat was valued at ~~$46,000~~$61,000 and $51,000, respectively. As of ~~March 31,~~June 30, 2021 and December 31, 2020, the 4,085 shares of the CME Group were valued at ~~$834,280~~$868,797 and $743,674, respectively. The CME seats and shares are included in Exchange memberships on Graham K4D Trading Ltd.’s statement of financial condition. The CME seat and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Chicago Board of Trade Membership

Graham K4D Trading Ltd. is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat (collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of ~~March 31,~~June 30, 2021 and December 31, 2020, the two B-1/Full seats were valued at a total of ~~$370,000~~$414,000 and $373,000, respectively, and the B-2/Associate seat was valued at ~~$27,000~~$28,250 and $32,250, respectively, all of which are included in Exchange memberships on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns 970 shares of the CME Group as a result of its CBOT membership. Graham K4D Trading Ltd.’s policy is to value the CME Group shares at fair value. As of ~~March 31,~~June 30, 2021 and December 31, 2020, the 970 shares of the CME Group were valued at ~~$198,103~~$206,300 and $176,589, respectively. The CBOT memberships and shares of the CME Group are considered Level 1 assets as described in the Fair Value section of Note 2.

As of ~~March 31,~~June 30, 2021, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the CBOT under Rule 106.S and owns 3,265 shares of the CME Group as a result of its CBOT membership. Graham Commodity Strategies LLC’s policy is to value the CME shares at fair value. As of ~~March 31,~~June 30, 2021 and December 31, 2020, the 3,265 shares of the CME Group were valued at ~~$666,811~~$694,400 and $594,393, respectively. The CME Group shares are included in Exchange memberships on Graham Commodity LLC’s statement of financial condition. The CBOT memberships and CME seat are considered Level 1 assets as described in the Fair Value section of Note 2.

Commodity Exchange Membership

As of ~~March 31,~~June 30, 2021, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Commodity Exchange (“COMEX”) and owns two COMEX seats. Graham Commodity Strategies LLC’s policy is to value the COMEX seats at fair value. As of ~~March 31,~~June 30, 2021 and December 31, 2020, the two COMEX seats were valued at ~~$110,000~~$167,500 and $177,000, respectively. The COMEX seats are included in Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The COMEX seats are considered Level 1 assets as described in the Fair Value section of Note 2.

2326

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fixed Income Securities

The fixed income securities positions are valued at the mean between the last reported bid and ask quotations received from independent brokers. GAIT is exposed to credit risk relating to whether the issuers will meet their obligations when they come due until the fixed income securities are sold or reach maturity.

Cash and Cash Equivalents

GAIT classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents. Cash deposited with a bank is subject to credit risk. In the event of the ~~bank’s~~bank's insolvency, recovery of the GAIT’s cash would be limited to account insurance or other protection afforded by such deposit. At ~~March 31,~~June 30, 2021 and December 31, 2020, GAIT did not have any cash or cash equivalents.

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,~~June 30, 2021 and December 31, 2020, no accruals have been recorded by GAIT for indemnifications.

3. Investments in Master Funds

As of ~~March 31,~~June 30, 2021 and December 31, 2020, 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. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management fees or incentive allocation, and all offer monthly subscriptions and redemptions.

March 31, 2021
June 30, 2021								June 30, 2021
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months ended March 2021)			Percent of Members’ Capital			Fair Value		Net Income (six months ended June 2021)

Global Macro Funds
Graham Commodity Strategies LLC		4.58	%	$	2,822,995	$	3,765,855			6.60	%	$	3,964,962	$	3,854,656

Systematic Macro Funds
Graham K4D Trading Ltd.		4.88	%		3,011,237		169,119			6.87	%		4,124,021		1,396,414
		9.46	%	$	5,834,232	$	3,934,974			13.47	%	$	8,088,983	$	5,251,070

December 31, 2020	December 31, 2020									December 31, 2020
Investment – Objective		Percent of Members’ Capital			Fair Value		Net Income (Loss) (three months ended March 2020)				Percent of Members’ Capital			Fair Value		Net Income (Loss) (six months ended June 2020)

Global Macro Funds
Graham Commodity Strategies LLC			3.52	%	$	2,103,213	$	5,693,182				3.52	%	$	2,103,213	$	5,339,793

Systematic Macro Funds
Graham K4D Trading Ltd.			7.27	%		4,342,854		(2,727,516	)			7.27	%		4,342,854		(2,090,848	)
			10.79	%	$	6,446,067	$	2,965,666				10.79	%	$	6,446,067	$	3,248,945

2427

Index

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 ~~March 31,~~June 30, 2021:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $27,488,878)	$	–		$	27,499,251
Fixed income securities, at fair value (cost $27,500,000)							$	–		$	27,499,806
Due from brokers		61,506,232			4,413,888			118,378,764			23,540,984
Derivative financial instruments, at fair value		23,555,888			4,608,785			12,354,726			1,539,203
Exchange memberships, at fair value		8,065,052			1,475,383			8,466,752			1,578,347
Interest receivable		1,109			368			4,087			1,521
Total assets		93,128,281			37,997,675			139,204,329			54,159,861

Liabilities:
Derivative financial instruments, at fair value		–			1,690,104			3,033,856			–
Interest payable		12,851			1,305			19,112			3,202
Total liabilities		12,851			1,691,409			3,052,968			3,202
Members’ Capital / Net Assets	$	93,115,430		$	36,306,266		$	136,151,361		$	54,156,659

Percentage of Master Fund held by GAIT		3.03	%		8.29	%		2.91	%		7.61	%

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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,~~June 30, 2021:

Description	Number of Contracts		Fair Value			Percentage of Members’ Capital of Master Fund			Number of Contracts	Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Exchange memberships (cost $3,649,411)
United States (cost $3,649,411)
Financial services (cost $3,649,411)			$	8,065,052			8.66	%
Financial services (cost $3,649,411)										$	8,466,752			6.22	%
Total exchange memberships			$	8,065,052			8.66	%		$	8,466,752			6.22	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	(2,490,306	)		(2.67	)%		$	2,377,996			1.75	%
Foreign bond				243,745			0.26	%			189,408			0.14	%
Foreign index				1,189,197			1.28	%			(568,473	)		(0.42	)%
Interest rate				(288,175	)		(0.31	)%			159,963			0.12	%
U.S. bond
U.S. long bond September 2021											360,781			0.26	%
U.S. 10 yr note September 2021											(1,297	)		(0.00	)%
U.S. index				(516,913	)		(0.56	)%			5,210,203			3.83	%
Total futures				(1,862,452	)		(2.00	)%			7,728,581			5.68	%

Forwards
Foreign currency				(4,402,732	)		(4.73	)%			(3,224,103	)		(2.37	)%
Total forwards				(4,402,732	)		(4.73	)%			(3,224,103	)		(2.37	)%

Options (cost $33,259,925)
Options (cost $33,266,987)
Commodity futures				1,470,075			1.58	%			3,126,301			2.30	%
Currency futures											9,414,502			6.91	%
U.S. dollar / Japanese yen April 2021 - September 2021, $108.00 - $114.25 Call		6		8,740,911			9.39	%
U.S. dollar / Japanese yen April 2021, $96.02 - $102.02 Put		3		4			0.00	%
Other currency futures				16,317,417			17.52	%
Interest rate futures											6,562,881			4.82	%
Euro dollar 2 yr midcurve December 2021, $98.75 - $99.00 Put		2		8,236,844			8.85	%
Other interest rate futures				245,987			0.26	%
U.S. bond futures
U.S. 10 yr May 2021, $133.00 Call		1		143,828			0.15	%
U.S. 10 yr May 2021 - June 2021, $131.00 Put		2		4,058,547			4.36	%
U.S. 5 yr May 2021, $123.50 Put		1		1,633,477			1.75	%
U.S. 10 yr September 2021, $130.50 - $131.00 Put									2		920,156			0.68	%
U.S. 5 yr September 2021, $122.25 - $123.25 Put									2		1,734,148			1.27	%
U.S. index futures				1,234,685			1.33	%			5,282,980			3.88	%
Total options				42,081,775			45.19	%			27,040,968			19.86	%

2629

Index

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,~~June 30, 2021:

Description	Number of Contracts / Notional Amounts			Fair Value			Percentage of Members’ Capital of Master Fund			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				$	(153,424	)		(0.16	)%				$	(429,900	)		(0.32	)%
Foreign bond					(99,976	)		(0.11	)%					(1,528,550	)		(1.12	)%
Foreign index					(400,804	)		(0.43	)%					111,196			0.08	%
Interest rate					406,413			0.44	%					665,740			0.49	%
U.S. bond
U.S. 10 yr Ultra June 2021		(2,449	)		873,000			0.94	%
U.S. long bond June 2021		(522	)		(999,656	)		(1.07	)%
U.S. 10 yr note June 2021		(4,518	)		3,510,203			3.76	%
U.S. Ultra bond June 2021		(761	)		917,719			0.99	%
U.S. 5 yr note September 2021											(10,446	)		(199,797	)		(0.15	)%
U.S. 10 yr note September 2021											(16,941	)		(5,713,344	)		(4.20	)%
U.S. 10 yr Ultra bond September 2021											(202	)		(520,781	)		(0.39	)%
U.S. long bond September 2021											(670	)		(137,969	)		(0.10	)%
U.S. Ultra September 2021											(617	)		(2,031,906	)		(1.49	)%
U.S. index					(384,277	)		(0.41	)%					(1,690,848	)		(1.24	)%
Total futures					3,669,198			3.95	%					(11,476,159	)		(8.44	)%

Forwards
Foreign currency					3,932,672			4.22	%					1,847,187			1.36	%
Total forwards					3,932,672			4.22	%					1,847,187			1.36	%

Options (proceeds $16,521,145)
Options (proceeds $17,561,248)
Commodity futures					(1,075,340	)		(1.15	)%					(1,653,338	)		(1.21	)%
Currency futures														(1,366,933	)		(1.00	)%
U.S. dollar / Japanese yen April 2021 - September 2021, $108.00 – $112.50 Call		(6	)		(5,857,258	)		(6.29	)%
U.S. dollar / Japanese yen April 2021, $97.80 Put		(1	)		–			0.00	%
Other currency futures					(4,056,897	)		(4.35	)%
Interest rate futures														(5,102,388	)		(3.75	)%
Euro dollar 2 yr midcurve December 2021, $98.50 Put		(1	)		(4,746,656	)		(5.10	)%
Other interest rate futures					(111,814	)		(0.12	)%
U.S. bond futures
U.S. 10 yr May 2021, $134.00 Call		(1	)		(61,641	)		(0.07	)%
U.S. 10 yr May 2021 - June 2021, $123.00 - $130.00 Put		(3	)		(3,646,367	)		(3.92	)%
U.S. 10 yr September 2021, $134.00 Call											(1	)		(142,500	)		(0.10	)%
U.S. 10 yr September 2021, $128.00 - $130.00 Put											(3	)		(621,781	)		(0.46	)%
U.S. 5 yr September 2021, $122.75 Put											(1	)		(1,552,969	)		(1.14	)%
U.S. index futures					(306,600	)		(0.33	)%					(2,155,695	)		(1.58	)%
Total options					(19,862,573	)		(21.33	)%					(12,595,604	)		(9.24	)%
Total derivative financial instruments				$	23,555,888			25.30	%				$	9,320,870			6.85	%

2730

Index

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,~~June 30, 2021:

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund			Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities owned (cost $27,488,878)
Government bonds (cost $27,488,878)
United States (cost $27,488,878)
Treasury Bonds (cost $27,488,878)
Fixed income securities owned (cost $27,500,000)
Government bonds (cost $27,500,000)
United States (cost $27,500,000)
Treasury Bonds (cost $27,500,000)
U.S. Treasury bond 0.00% due 07/08/2021	$	27,500,000	$	27,499,251			75.74	%	$	27,500,000	$	27,499,806			50.78	%
Total United States				27,499,251			75.74	%				27,499,806			50.78	%
Total government bonds				27,499,251			75.74	%				27,499,806			50.78	%
Total fixed income securities owned			$	27,499,251			75.74	%			$	27,499,806			50.78	%

Exchange memberships (cost $1,924,208)
United States (cost $1,924,208)
Financial services (cost $1,924,208)			$	1,475,383			4.06	%			$	1,578,347			2.91	%
Total exchange memberships			$	1,475,383			4.06	%			$	1,578,347			2.91	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	(1,500,013	)		(4.13	)%
Copper September 2021										1	$	213			0.00	%
LME Copper September 2021										220		(3,047,948	)		(5.63	)%
Other commodity												4,250,085			7.85	%
Currency				(41,555	)		(0.11	)%				(44,028	)		(0.08	)%
Foreign bond				(100,360	)		(0.28	)%				48,538			0.09	%
Foreign index				1,070,999			2.95	%				(500,347	)		(0.92	)%
Interest rate				(751,344	)		(2.07	)%				(426,872	)		(0.79	)%
U.S. bond				(922,237	)		(2.54	)%				(490,763	)		(0.91	)%
U.S. index				443,633			1.22	%				2,067,009			3.82	%
Total futures				(1,800,877	)		(4.96	)%				1,855,887			3.43	%

Forwards
Japanese yen / U.S. dollar 06/16/21	JPY	2,423,862,000		(294,874	)		(0.81	)%
Other foreign currency				(1,146,020	)		(3.16	)%
Foreign currency												(4,941,330	)		(9.12	)%
Total forwards				(1,440,894	)		(3.97	)%				(4,941,330	)		(9.12	)%

2831

Index

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,~~June 30, 2021:

Description	Number of Contracts / Notional Amounts			Fair Value			Percentage of Net Assets of Master Fund			Number of Contracts / Notional Amounts			Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	(94,209	)		(0.26	)%
LME Copper September 2021											(160	)	$	1,304,320			2.41	%
Other commodity														(1,220,840	)		(2.26	)%
Currency					(38,444	)		(0.11	)%					(14,900	)		(0.03	)%
Foreign bond					(327,343	)		(0.90	)%					(756,327	)		(1.40	)%
Foreign index					(669,536	)		(1.84	)%					(50,924	)		(0.09	)%
Interest rate														(18,679	)		(0.04	)%
U.S. bond					1,240,305			3.42	%					(1,527,414	)		(2.82	)%
Total futures					110,773			0.31	%					(2,284,764	)		(4.23	)%

Forwards
U.S. dollar / Japanese yen 06/16/2021	JPY	(18,596,684,000	)		3,230,386			8.89	%
Foreign currency					2,819,293			7.77	%					6,909,410			12.76	%
Total forwards					6,049,679			16.66	%					6,909,410			12.76	%
Total derivative financial instruments				$	2,918,681			8.04	%				$	1,539,203			2.84	%

2932

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 ~~March 31,~~June 30, 2021:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.			Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	546,428		$	3,955,267		$	2,931,566		$	5,858,258
Commodity futures options		1,470,075			–			3,126,301			–
Currency futures		–			55,954			–			63,288
Exchange memberships		8,065,052			1,475,383			8,466,752			1,578,347
Foreign bond futures		243,745			123,847			261,383			96,055
Foreign index futures		1,194,209			1,160,802			111,196			44,887
Interest rate futures		406,413			75			1,344,353			50,293
Interest rate futures options		8,482,830			–			6,562,881			–
U.S. bond futures		5,417,891			1,240,304			447,788			23,624
U.S. bond futures options		5,835,852			–			2,654,304			–
U.S. index futures		363,557			486,131			5,216,303			2,151,063
U.S. index futures options		1,234,685			–			5,282,980			–
Total Level 1		33,260,737			8,497,763			36,405,807			9,865,815

Level 2:
Foreign currency forwards		9,757,957			7,282,221			5,594,247			7,396,514
Foreign currency futures options		25,058,333			–			9,414,502			–
Government bonds*		–			27,499,251			–			27,499,806
Total Level 2		34,816,290			34,781,472			15,008,749			34,896,320
Total investment related assets	$	68,077,027		$	43,279,235		$	51,414,556		$	44,762,135

Liabilities
Level 1:
Commodity futures	$	(3,190,158	)	$	(5,549,489	)	$	(983,470	)	$	(4,572,428	)
Commodity futures options		(1,075,340	)		–			(1,653,338	)		–
Currency futures		–			(135,953	)		–			(122,216	)
Foreign bond futures		(99,976	)		(551,550	)		(1,600,525	)		(803,844	)
Foreign index futures		(405,816	)		(759,339	)		(568,473	)		(596,158	)
Interest rate futures		(288,175	)		(751,419	)		(518,650	)		(495,844	)
Interest rate futures options		(4,858,469	)		–			(5,102,388	)		–
U.S. bond futures		(1,116,625	)		(922,236	)		(8,692,101	)		(2,041,801	)
U.S. bond futures options		(3,708,008	)		–			(2,317,250	)		–
U.S. index futures		(1,264,747	)		(42,498	)		(1,696,948	)		(84,054	)
U.S. index futures options		(306,600	)		–			(2,155,695	)		–
Total Level 1		(16,313,914	)		(8,712,484	)		(25,288,838	)		(8,716,345	)

Level 2:
Foreign currency forwards		(10,228,017	)		(2,673,436	)		(6,971,163	)		(5,428,434	)
Foreign currency futures options		(9,914,156	)		–			(1,366,933	)		–
Total Level 2		(20,142,173	)		(2,673,436	)		(8,338,096	)		(5,428,434	)
Total investment related liabilities	$	(36,456,087	)	$	(11,385,920	)	$	(33,626,934	)	$	(14,144,779	)

* See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.

3033

Index

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 Graham Commodity Strategies LLC based on its average quarterly notional amounts and number of contracts for the ~~three~~six months ended ~~March 31,~~June 30, 2021. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at March 31, 2021 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative 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.

Long exposure Short exposure
Notional
amounts
Number
of
contracts

Notional
amounts

Number
of
contracts

Derivative
Assets

Derivative
Liabilities

Commodity price
Futures
$
119,543,333

1,782

$
(21,355,958
)

(391
)

$
546,428

$
(3,190,158
)
Options (a)
75,946,701

1,884

(19,193,515
)

(1,869
)

1,470,075

(1,075,340
)

195,490,034

3,666

(40,549,473
)

(2,260
)

2,016,503

(4,265,498
)

Equity price
Futures
330,877,198

3,386

(64,976,853
)

(1,004
)

1,557,766

(1,670,563
)
Options (a)
59,115,404

1,127

(9,687,796
)

(876
)

1,234,685

(306,600
)

389,992,602

4,513

(74,664,649
)

(1,880
)

2,792,451

(1,977,163
)
Foreign currency exchange rate
Forwards
1,219,171,584

N/A

(1,159,285,096
)

N/A

9,757,957

(10,228,017
)
Options (a)
1,115,519,116

43

(1,032,508,318
)

(60
)

25,058,333

(9,914,156
)

2,334,690,700

43

(2,191,793,414
)

(60
)

34,816,290

(20,142,173
)

Interest rate
Futures
852,199,452

4,246

(1,851,754,577
)

(10,730
)

6,068,049

(1,504,776
)
Options (a)
2,059,595,961

23,707

(2,223,598,636
)

(25,088
)

14,318,682

(8,566,477
)

2,911,795,413

27,953

(4,075,353,213
)

(35,818
)

20,386,731

(10,071,253
)
Total

$
5,831,968,749

36,175

$
(6,382,360,749
)

(40,018
)

$
60,011,975

$
(36,456,087
)

~~(a)~~

~~Notional amounts for options are based on the delta-adjusted positions.~~

~~Index~~

~~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 Graham K4D Trading Ltd. based on its quarterly notional amounts and number of contracts for the three months ended March 31, 2021. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at March 31,June 30, 2021 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative 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.

		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		$	191,299,105		3,240	$	(62,287,293	)		(499	)	$	3,955,267	$	(5,549,489	)		$	136,799,221		2,083	$	(22,549,868	)		(393	)	$	2,931,566	$	(983,470	)
Options (a)																			59,280,796		2,033		(21,014,976	)		(2,129	)		3,126,301		(1,653,338	)
			191,299,105		3,240		(62,287,293	)		(499	)		3,955,267		(5,549,489	)			196,080,017		4,116		(43,564,844	)		(2,522	)		6,057,867		(2,636,808	)

Equity price
Futures			188,526,395		1,374		(20,303,960	)		(192	)		1,646,933		(801,837	)			326,282,526		2,614		(79,767,132	)		(1,232	)		5,327,499		(2,265,421	)
Options (a)																			138,545,364		2,913		(52,604,982	)		(2,891	)		5,282,980		(2,155,695	)
			188,526,395		1,374		(20,303,960	)		(192	)		1,646,933		(801,837	)			464,827,890		5,527		(132,372,114	)		(4,123	)		10,610,479		(4,421,116	)
Foreign currency exchange rate	Foreign currency exchange rate																Foreign currency exchange rate
Forwards			217,733,693		N/A		(467,289,454	)		N/A			7,282,221		(2,673,436	)			1,180,755,654		N/A		(1,083,319,784	)		N/A			5,594,247		(6,971,163	)
Futures			3,943,588		31		(12,314,593	)		(137	)		55,954		(135,953	)
Options (a)																			850,261,308		39		(714,257,351	)		(47	)		9,414,502		(1,366,933	)
			221,677,281		31		(479,604,047	)		(137	)		7,338,175		(2,809,389	)			2,031,016,962		39		(1,797,577,135	)		(47	)		15,008,749		(8,338,096	)

Interest rate
Futures			1,979,165,524		8,904		(303,079,094	)		(1,970	)		1,364,226		(2,225,205	)			1,644,605,021		7,237		(5,413,492,112	)		(30,083	)		2,053,524		(10,811,276	)
Options (a)																			1,567,631,108		31,415		(1,797,039,738	)		(33,022	)		9,217,185		(7,419,638	)
			1,979,165,524		8,904		(303,079,094	)		(1,970	)		1,364,226		(2,225,205	)			3,212,236,129		38,652		(7,210,531,850	)		(63,105	)		11,270,709		(18,230,914	)
Total		$	2,580,668,305		13,549	$	(865,274,394	)		(2,798	)	$	14,304,601	$	(11,385,920	)		$	5,904,160,998		48,334	$	(9,184,045,943	)		(69,797	)	$	42,947,804	$	(33,626,934	)

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

3234

Index

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 Graham K4D Trading Ltd. based on its average quarterly notional amounts and number of contracts for the six months ended June 30, 2021. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at June 30, 2021 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative 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.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	238,095,367		3,478	$	(99,318,379	)		(990	)	$	5,858,258	$	(4,572,428	)
		238,095,367		3,478		(99,318,379	)		(990	)		5,858,258		(4,572,428	)

Equity price
Futures		236,663,038		1,444		(12,652,513	)		(144	)		2,195,950		(680,212	)
		236,663,038		1,444		(12,652,513	)		(144	)		2,195,950		(680,212	)
Foreign currency exchange rate
Forwards		238,114,128		N/A		(447,972,174	)		N/A			7,396,514		(5,428,434	)
Futures		3,291,669		29		(13,398,498	)		(145	)		63,288		(122,216	)
		241,405,797		29		(461,370,672	)		(145	)		7,459,802		(5,550,650	)

Interest rate
Futures		1,631,705,573		7,131		(506,139,869	)		(3,377	)		169,972		(3,341,489	)
		1,631,705,573		7,131		(506,139,869	)		(3,377	)		169,972		(3,341,489	)
Total	$	2,347,869,775		12,082	$	(1,079,481,433	)		(4,656	)	$	15,683,982	$	(14,144,779	)

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 ~~March 31,~~June 30, 2021 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 derivative 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	Graham Commodity Strategies LLC¹														Graham Commodity Strategies LLC¹
Derivative assets		$	60,011,975		$	(36,456,087	)	$	23,555,888		$	–	$	23,555,888		$	42,947,804		$	(30,593,078	)	$	12,354,726		$	–	$	12,354,726
Derivative liabilities			(36,456,087	)		36,456,087			–			–		–			(33,626,934	)		30,593,078			(3,033,856	)		3,033,856		–

Graham K4D Trading Ltd.²
Derivative assets		$	14,304,601		$	(9,695,816	)	$	4,608,785		$	–	$	4,608,785		$	15,683,982		$	(14,144,779	)	$	1,539,203		$	–	$	1,539,203
Derivative liabilities			(11,385,920	)		9,695,816			(1,690,104	)		1,690,104		–			(14,144,779	)		14,144,779			–			–		–

¹Net derivative asset amounts presented in the statements of financial condition are held with three counterparties. At March 31, 2021, additional collateral pledged in the amount of $61,483,869 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

²Net derivative asset and liability amounts presented in the statements of financial condition are held with ~~two~~three counterparties. At ~~March 31,~~June 30, 2021, additional collateral pledged in the amount of ~~$2,723,784~~$115,322,545 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

²Net derivative asset amounts presented in the statements of financial condition are held with two counterparties. At June 30, 2021, additional collateral pledged in the amount of $23,540,984 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

Index

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 months ended ~~March 31,~~June 30, 2021:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.			Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment (loss)	$	(2,215	)	$	(1,894	)
Net investment loss							$	(23,520	)	$	(93	)

Net realized gain on investments		138,893,184			17,766,111			11,119,651			14,394,114
Net increase (decrease) in unrealized appreciation on investments		9,806,624			(15,583,260	)
Net decrease in unrealized appreciation on investments								(8,703,090	)		(1,099,277	)
Brokerage commissions and fees		(1,174,935	)		(69,436	)		(1,353,248	)		(76,167	)
Net gain on investments		147,524,873			2,113,415			1,063,313			13,218,670
Net income	$	147,522,658		$	2,111,521		$	1,039,793		$	13,218,577

The following table summarizes the results of operations of each Master Fund for the six months ended June 30, 2021:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment loss	$	(25,735	)	$	(1,987	)

Net realized gain on investments		150,012,835			32,160,225
Net increase (decrease) in unrealized appreciation on investments		1,103,534			(16,682,537	)
Brokerage commissions and fees		(2,528,183	)		(145,603	)
Net gain on investments		148,588,186			15,332,085
Net income	$	148,562,451		$	15,330,098

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all derivative financial instruments held by the Master Funds reported in net realized gain and net decrease in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended June 30, 2021:

	Graham Commodity Strategies LLC						Graham K4D Trading Ltd.
	Net realized gain (loss) on investments			Net increase (decrease) in unrealized appreciation on investments			Net realized gain (loss) on investments			Net increase (decrease) in unrealized appreciation on investments
Commodity price
Futures	$	24,544,523		$	4,591,827		$	15,201,247		$	2,919,023
Options		2,564,635			573,766			–			–
		27,109,158			5,165,593			15,201,247			2,919,023
Equity price
Futures		16,579,751			3,174,872			8,639,313			623,449
Options		344,493			539,230			–			–
		16,924,244			3,714,102			8,639,313			623,449
Foreign currency exchange rate
Forwards		4,677,541			3,404,408			(1,319,772	)		(2,632,153	)
Futures		–			–			(249,772	)		8,936
Options		(10,066,430	)		(6,034,713	)		–			–
		(5,388,889	)		(2,630,305	)		(1,569,544	)		(2,623,217	)
Interest rate
Futures		(24,630,424	)		(13,535,102	)		(7,888,024	)		(2,110,930	)
Options		(2,894,438	)		(1,819,078	)		–			–
		(27,524,862	)		(15,354,180	)		(7,888,024	)		(2,110,930	)
Total	$	11,119,651		$	(9,104,790	)	$	14,382,992		$	(1,191,675	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all derivative financial instruments held by the Master Funds reported in net realized gain 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~~six months ended ~~March 31,~~June 30, 2021:

	Graham Commodity Strategies LLC						Graham K4D Trading Ltd.						Graham Commodity Strategies LLC						Graham K4D Trading Ltd.
	Net realized gain (loss)			Net increase (decrease) in unrealized appreciation on investments			Net realized gain (loss)			Net increase (decrease) in unrealized appreciation on investments			Net realized gain (loss) on investments			Net increase (decrease) in unrealized appreciation on investments			Net realized gain (loss) on investments			Net increase (decrease) in unrealized appreciation on investments
Commodity price
Futures	$	2,503,326		$	(6,195,506	)	$	18,616,257		$	(13,504,895	)	$	27,047,849		$	(1,603,679	)	$	33,817,504		$	(10,585,872	)
Options		(1,301,862	)		1,010,316			–			–			1,262,773			1,584,082			–			–
		1,201,464			(5,185,190	)		18,616,257			(13,504,895	)		28,310,622			(19,597	)		33,817,504			(10,585,872	)
Equity price
Futures		27,780,064			(954,906	)		14,129,733			(5,639,093	)		44,359,815			2,219,966			22,769,046			(5,015,644	)
Options		(2,139,341	)		1,693,318			–			–			(1,794,848	)		2,232,548			–			–
		25,640,723			738,412			14,129,733			(5,639,093	)		42,564,967			4,452,514			22,769,046			(5,015,644	)
Foreign currency exchange rate
Forwards		8,248,143			(1,381,872	)		(3,914,165	)		5,505,995			12,925,684			2,022,536			(5,233,937	)		2,873,842
Futures		–			–			(79,408	)		(171,708	)		–			–			(329,180	)		(162,772	)
Options		4,563,655			(2,263,513	)		–			–			(5,502,775	)		(8,298,226	)		–			–
		12,811,798			(3,645,385	)		(3,993,573	)		5,334,287			7,422,909			(6,275,690	)		(5,563,117	)		2,711,070
Interest rate
Futures		96,371,602			7,686,430			(11,018,255	)		(1,850,881	)		71,741,178			(5,848,672	)		(18,906,279	)		(3,961,811	)
Options		9,279,435			2,952,746		��	–			–			6,384,997			1,133,668			–			–
		105,651,037			10,639,176			(11,018,255	)		(1,850,881	)		78,126,175			(4,715,004	)		(18,906,279	)		(3,961,811	)
Total	$	145,305,022		$	2,547,013		$	17,734,162		$	(15,660,582	)	$	156,424,673		$	(6,557,777	)	$	32,117,154		$	(16,852,257	)

3439

Index

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, 2020:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $15,290,650)	$	–		$	15,299,973		$	–		$	15,299,973
Due from brokers		53,351,844			13,045,449			53,351,844			13,045,449
Derivative financial instruments, at fair value		19,688,505			19,267,599			19,688,505			19,267,599
Exchange memberships, at fair value		7,217,279			1,376,513			7,217,279			1,376,513
Dividends receivable								62,120			8,846
Interest receivable		62,120			8,846			1,123			379
Dividends receivable		1,123			379
Total assets		80,320,871			48,998,759			80,320,871			48,998,759

Liabilities:
Derivative financial instruments, at fair value		–			901,032			–			901,032
Interest payable		26,417			2,940			26,417			2,940
Total liabilities		26,417			903,972			26,417			903,972
Members’ Capital / Net Assets	$	80,294,454		$	48,094,787		$	80,294,454		$	48,094,787

Percentage of Master Fund held by GAIT		2.62	%		9.03	%		2.62	%		9.03	%

3540

Index

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, 2020:

Description	Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital			Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital
Graham Commodity Strategies LLC
Exchange memberships (cost $3,649,411)
United States (cost $3,649,411)
Financial services (cost $3,649,411)			$	7,217,279			8.99	%			$	7,217,279			8.99	%
Total exchange memberships			$	7,217,279			8.99	%			$	7,217,279			8.99	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	3,605,184			4.49	%			$	3,605,184			4.49	%
Foreign index				86,848			0.11	%				86,848			0.11	%
Interest rate				(1,593,877	)		(1.99	)%				(1,593,877	)		(1.99	)%
U.S. index				945,270			1.18	%				945,270			1.18	%
Total futures				3,043,425			3.79	%				3,043,425			3.79	%

Forwards
Euro dollar / U.S. dollar 01/04/2021 - 01/05/2021	EUR	996,045,395		(6,213,377	)		(7.74	)%	EUR	996,045,395		(6,213,377	)		(7.74	)%
Other foreign currency				8,418,948			10.49	%				8,418,948			10.49	%
Total forwards				2,205,571			2.75	%				2,205,571			2.75	%

Options (cost $34,126,355)
Commodity futures				2,853,904			3.55	%				2,853,904			3.55	%
Currency futures
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 - $1.21 Put		2		201,977			0.25	%		2		201,977			0.25	%
Euro dollar / U.S. dollar January 2021 - June 2021, $1.21 - $1.29 Call		22		7,930,615			9.88	%		22		7,930,615			9.88	%
Other currency futures				15,258,361			19.01	%				15,258,361			19.01	%
Foreign bond futures				(474,329	)		(0.59	)%				(474,329	)		(0.59	)%
Interest rate futures				(353,350	)		(0.44	)%				(353,350	)		(0.44	)%
U.S. bond futures
U.S. 10 yr. January 2021 - February 2021, $137.00 Put		2		613,781			0.76	%
U.S. 10 yr January 2021 - February 2021, $137.00 Put										2		613,781			0.76	%
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put		3		4,750,609			5.92	%		3		4,750,609			5.92	%
U.S. index futures				156,243			0.19	%				156,243			0.19	%
Total options				30,937,811			38.53	%				30,937,811			38.53	%

3641

Index

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, 2020:

Description	Number of Contracts			Fair Value			Percentage of Members’ Capital
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	(112,721	)		(0.14	)%
Foreign bond					(231,767	)		(0.29	)%
Foreign index					(190,008	)		(0.24	)%
Interest rate					(774,012	)		(0.96	)%
U.S. bond
U.S. long bond (CBT) March 2021		(359	)		(7,469	)		(0.01	)%
U.S. Ultra bond (CBT) March 2021		(281	)		(413,531	)		(0.52	)%
Total futures					(1,729,508	)		(2.16	)%

Forwards
Foreign currency					(4,255,973	)		(5.30	)%
Total forwards					(4,255,973	)		(5.30	)%

Options (proceeds $15,848,231)
Commodity futures					(1,158,990	)		(1.44	)%
Currency futures
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 - $1.21 Put		(2	)		(424,428	)		(0.53	)%
Euro dollar / U.S. dollar January 2021 - February 2021, $1.23 - $1.27 Call		(9	)		(3,657,297	)		(4.55	)%
Other currency futures					(1,619,819	)		(2.02	)%
Interest rate futures					88,338			0.11	%
U.S. bond futures
U.S. 10 yr January 2021 - February 2021, $137.00 Put		(1	)		(81,844	)		(0.10	)%
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put		(2	)		(3,658,781	)		(4.56	)%
Total options					(10,512,821	)		(13.09	)%
Total derivative financial instruments				$	19,688,505			24.52	%

3742

Index

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, 2020:

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets
Graham K4D Trading Ltd.
Fixed income securities owned (cost $15,290,650)
Government bonds (cost $15,290,650)
United States (cost $15,290,650)
Treasury bills (cost $15,290,650)
U.S. Treasury bills 0.00% due 01/07/2021	$	15,300,000	$	15,299,973			31.81	%
Total Treasury Bills				15,299,973			31.81	%
Total fixed income securities owned			$	15,299,973			31.81	%

Exchange memberships (cost $1,924,208)
United States (cost $1,924,208)
Financial services (cost $1,924,208)			$	1,376,513			2.86	%
Total exchange memberships			$	1,376,513			2.86	%

Derivative financial instruments
Long contracts
Futures
Commodity
Copper March 2021		2	$	(188	)		(0.00	)%
LME Copper March 2021		148		3,338,829			6.94	%
Soybean March 2021		244		3,274,653			6.81	%
Soybean Meal March 2021		128		486,331			1.01	%
Soybean Oil March 2021		104		297,162			0.62	%
Other commodity				5,029,748			10.46	%
Currency				17,648			0.04	%
Foreign bond				712,283			1.48	%
Foreign index				3,707,132			7.71	%
Interest rate				218,418			0.45	%
U.S. bond				(176,241	)		(0.37	)%
U.S. index				2,684,392			5.58	%
Total futures				19,590,167			40.73	%

Forwards
Foreign currency				1,990,729			4.14	%
Total forwards				1,990,729			4.14	%

3843

Index

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, 2020:

Description	Principal Amount / Number of Contracts			Fair Value			Percentage of Net Assets
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity
LME Copper March 2021		(28	)	$	(26,265	)		(0.05	)%
Other commodity					(567,408	)		(1.18	)%
Currency					72,159			0.15	%
Foreign bond					236,444			0.49	%
Foreign index					180,289			0.37	%
Interest rate					(44,120	)		(0.09	)%
U.S. bond					(173,211	)		(0.36	)%
Total futures					(322,112	)		(0.67	)%

Forwards
Foreign currency					(2,892,217	)		(6.01	)%
Total forwards					(2,892,217	)		(6.01	)%
Total derivative financial instruments				$	18,366,567			38.19	%

3944

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, 2020:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.			Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	4,747,408		$	12,876,497		$	4,747,408		$	12,876,497
Commodity futures options		2,853,904			–			2,853,904			–
Currency futures		–			98,453			–			98,453
Exchange memberships		7,217,279			1,376,513			7,217,279			1,376,513
Foreign bond futures		–			1,002,520			–			1,002,520
Foreign index futures		784,870			4,009,649			784,870			4,009,649
Interest rate futures		–			268,741			–			268,741
Interest rate futures options		88,338			–			88,338			–
U.S. bond futures		–			179,111			–			179,111
U.S. bond future options		5,364,390			–
U.S. bond futures options								5,364,390			–
U.S. index futures		1,654,860			2,684,392			1,654,860			2,684,392
U.S. index futures options		156,243			–			156,243			–
Total Level 1		22,867,292			22,495,876			22,867,292			22,495,876

Level 2:
Foreign currency forwards		16,048,079			2,161,662			16,048,079			2,161,662
Foreign currency options		23,390,952			–			23,390,952			–
Government bonds*		–			15,299,973			–			15,299,973
Total Level 2		39,439,031			17,461,635			39,439,031			17,461,635
Total investment related assets	$	62,306,323		$	39,957,511		$	62,306,323		$	39,957,511

Liabilities
Level 1:
Commodity futures	$	(1,254,945	)	$	(1,043,635	)	$	(1,254,945	)	$	(1,043,635	)
Commodity futures options		(1,158,990	)		–			(1,158,990	)		–
Currency futures		–			(8,646	)		–			(8,646	)
Foreign bond futures		(231,767	)		(53,793	)		(231,767	)		(53,793	)
Foreign bond futures options		(474,329	)		–			(474,329	)		–
Foreign index futures		(888,030	)		(122,228	)		(888,030	)		(122,228	)
Interest rate futures		(2,367,889	)		(94,443	)		(2,367,889	)		(94,443	)
Interest rate futures options		(353,350	)		–			(353,350	)		–
U.S. bond futures		(421,000	)		(528,563	)		(421,000	)		(528,563	)
U.S. bond future options		(3,740,625	)		–
U.S. bond futures options								(3,740,625	)		–
U.S. index futures		(709,590	)		–			(709,590	)		–
Total Level 1		(11,600,515	)		(1,851,308	)		(11,600,515	)		(1,851,308	)

Level 2:
Foreign currency forwards		(18,098,481	)		(3,063,150	)		(18,098,481	)		(3,063,150	)
Foreign currency options		(5,701,543	)		–			(5,701,543	)		–
Total Level 2		(23,800,024	)		(3,063,150	)		(23,800,024	)		(3,063,150	)
Total investment related liabilities	$	(35,400,539	)	$	(4,914,458	)	$	(35,400,539	)	$	(4,914,458	)

*	~~See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.~~

* See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.

4045

Index

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 Graham Commodity Strategies LLC based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2020. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at December 31, 2020 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative 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.

		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		$	291,947,987		3,666	$	(22,208,833	)		(848	)	$	4,747,408	$	(1,254,945	)		$	291,947,987		3,666	$	(22,208,833	)		(848	)	$	4,747,408	$	(1,254,945	)
Options (a)			166,938,932		9,926		(71,048,077	)		(9,418	)		2,853,904		(1,158,990	)			166,938,932		9,926		(71,048,077	)		(9,418	)		2,853,904		(1,158,990	)
			458,886,919		13,592		(93,256,910	)		(10,266	)		7,601,312		(2,413,935	)			458,886,919		13,592		(93,256,910	)		(10,266	)		7,601,312		(2,413,935	)
Equity price
Futures			228,334,088		2,646		(183,175,537	)		(2,528	)		2,439,730		(1,597,620	)			228,334,088		2,646		(183,175,537	)		(2,528	)		2,439,730		(1,597,620	)
Options (a)			56,160,681		4,956		(41,895,632	)		(3,627	)		156,243		–				56,160,681		4,956		(41,895,632	)		(3,627	)		156,243		–
			284,494,769		7,602		(225,071,169	)		(6,155	)		2,595,973		(1,597,620	)			284,494,769		7,602		(225,071,169	)		(6,155	)		2,595,973		(1,597,620	)
Foreign currency exchange rate	Foreign currency exchange rate																Foreign currency exchange rate
Forwards			1,740,877,419		N/A		(1,442,685,488	)		N/A			16,048,079		(18,098,481	)			1,740,877,419		N/A		(1,442,685,488	)		N/A			16,048,079		(18,098,481	)
Options (a)			1,057,757,240		68		(2,263,871,198	)		(55	)		23,390,952		(5,701,543	)			1,057,757,240		68		(821,185,710	)		(55	)		23,390,952		(5,701,543	)
			2,798,634,659		68					(55	)		39,439,031		(23,800,024	)			2,798,634,659		68		(2,263,871,198	)		(55	)		39,439,031		(23,800,024	)
Interest rate							(1,399,855,375	)
Futures			4,702,409,114		16,250		(2,314,949,508	)		(5,972	)		–		(3,020,656	)			4,702,409,114		16,250		(1,399,855,375	)		(5,972	)		–		(3,020,656	)
Options (a)		��	1,626,301,542		125,103		(3,714,804,883	)		(28,892	)		5,452,728		(4,568,304	)			1,626,301,542		125,103		(2,314,949,508	)		(28,892	)		5,452,728		(4,568,304	)
			6,328,710,656		141,353		(1,442,685,488	)		(34,864	)		5,452,728		(7,588,960	)			6,328,710,656		141,353		(3,714,804,883	)		(34,864	)		5,452,728		(7,588,960	)
Total		$	9,870,727,003		162,615	$	(6,297,004,160	)		(51,340	)	$	55,089,044	$	(35,400,539	)		$	9,870,727,003		162,615	$	(6,297,004,160	)		(51,340	)	$	55,089,044	$	(35,400,539	)

(a)

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

4146

Index

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 Graham K4D Trading Ltd. based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2020. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at December 31, 2020 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative 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.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	82,444,396		1,103	$	(63,476,837	)		(1,616	)	$	12,876,497	$	(1,043,635	)
		82,444,396		1,103		(63,476,837	)		(1,616	)		12,876,497		(1,043,635	)

Equity price
Futures		153,648,082		1,257		(17,798,393	)		(212	)		6,694,041		(122,228	)
		153,648,082		1,257		(17,798,393	)		(212	)		6,694,041		(122,228	)

Foreign currency exchange rate
Forwards		227,502,442		N/A		(185,401,425	)		N/A			2,161,662		(3,063,150	)
Futures		2,482,513		25		(4,648,985	)		(52	)		98,453		(8,646	)
		229,984,955		25		(190,050,410	)		(52	)		2,260,115		(3,071,796	)

Interest rate
Futures		975,188,403		5,167		(169,048,132	)		(830	)		1,450,372		(676,799	)
		975,188,403		5,167		(169,048,132	)		(830	)		1,450,372		(676,799	)
Total	$	1,441,265,836		7,552	$	(440,373,772	)		(2,710	)	$	23,281,025	$	(4,914,458	)

4247

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, 2020 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 derivative 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

Graham Commodity Strategies LLC¹
Derivative assets	$	55,089,044		$	(35,400,539	)	$	19,688,505		$	–	$	19,688,505
Derivative liabilities		(35,400,539	)		35,400,539			–			–		–

Graham K4D Trading Ltd.²
Derivative assets	$	23,281,025		$	(4,013,426	)	$	19,267,599		$	–	$	19,267,599
Derivative liabilities		(4,914,458	)		4,013,426			(901,032	)		901,032		–

¹Net derivative asset amounts presented in the statement of financial condition are held with three counterparties. At December 31, 2020, additional collateral pledged in the amount of $53,268,604 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

²Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. The Fund has pledged collateral to both of those counterparties as of December 31, 2020. At December 31, 2020, additional collateral pledged in the amount of $12,144,417 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

4348

Index

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 months ended ~~March 31,~~June 30, 2020:

Graham
Commodity
Strategies LLC

Graham K4D
Trading Ltd.

Net investment income
$ 328,410 $ 133,182

Net realized gain (loss) on investments

230,629,768

(53,213,576
)
Net increase in unrealized appreciation on investments

16,825,784

16,645,152

Brokerage commissions and fees

(4,012,669
)

(72,065
)
Net gain (loss) on investments

243,442,883

(36,640,489
)
Net income (loss)

$
243,771,293

$
(36,507,307
)

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment income	$	85,499		$	142,431

Net realized gain on investments		6,795,935			17,622,419
Net decrease in unrealized appreciation on investments		(18,768,602	)		(9,503,719	)
Brokerage commissions and fees		(1,858,701	)		(54,551	)
Net (loss) gain on investments		(13,831,368	)		8,064,149
Net (loss) income	$	(13,745,869	)	$	8,206,580

The following table summarizes the results of operations of each Master Fund for the six months ended June 30, 2020:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment income	$	413,909		$	275,613

Net realized gain (loss) on investments		237,425,703			(35,591,157	)
Net (decrease) increase in unrealized appreciation on investments		(1,942,818	)		7,141,433
Brokerage commissions and fees		(5,871,370	)		(126,616	)
Net gain (loss) on investments		229,611,515			(28,576,340	)
Net income (loss)	$	230,025,424		$	(28,300,727	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all derivative 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 months ended ~~March 31,~~June 30, 2020:

	Graham Commodity Strategies LLC						Graham K4D Trading Ltd.					Graham Commodity Strategies LLC						Graham K4D Trading Ltd.
	Net realized gain (loss)			Net increase (decrease) in unrealized appreciation on investments			Net realized gain (loss)			Net increase (decrease) in unrealized appreciation on investments		Net realized gain (loss) on investments			Net increase (decrease) in unrealized appreciation on investments			Net realized gain (loss) on investments			Net increase (decrease) in unrealized appreciation on investments
Commodity price
Futures	$	33,334,714		$	(14,508,769	)	$	1,792,847		$	5,470,825	$	19,435,758		$	15,878,062		$	5,501,252		$	(5,799,274	)
Options		8,545,395			(2,092,465	)		–			–		(3,934,105	)		2,667,719			–			–
		41,880,109			(16,601,234	)		1,792,847			5,470,825		15,501,653			18,545,781			5,501,252			(5,799,274	)
Equity price
Futures		85,621,333			(27,320	)		(77,344,267	)		792,998		(23,815,601	)		5,570,264			13,955,994			(450,058	)
Options		(11,881,545	)		(2,011,800	)		–			–		(5,489,525	)		735,232			–			–
		73,739,788			(2,039,120	)		(77,344,267	)		792,998		(29,305,126	)		6,305,496			13,955,994			(450,058	)
Foreign currency exchange rate
Forwards		47,724,233			7,106,424			(6,008,918	)		2,300,025		5,950,015			(10,812,288	)		(6,358,072	)		(97,914	)
Futures		(2,697	)		(11,107	)		81,766			41,648		–			–			(263,013	)		(78,742	)
Options		(7,447,368	)		(5,576,786	)		–			–		(14,547,330	)		3,120,835			–			–
		40,274,168			1,518,531			(5,927,152	)		2,341,673		(8,597,315	)		(7,691,453	)		(6,621,085	)		(176,656	)
Interest rate
Futures		58,672,559			29,476,694			27,837,352			8,250,390		33,545,862			(30,711,693	)		4,786,258			(2,931,487	)
Options		16,320,180			5,315,714			–			–		(4,349,139	)		(4,851,633	)		–			–
Swaps		(257,037	)		–			–			–
		74,735,702			34,792,408			27,837,352			8,250,390		29,196,723			(35,563,326	)		4,786,258			(2,931,487	)
Total	$	230,629,767		$	17,670,585		$	(53,641,220	)	$	16,855,886	$	6,795,935		$	(18,403,502	)	$	17,622,419		$	(9,357,475	)

4450

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all derivative financial instruments held by the Master Funds reported in net realized gain (loss) and net (decrease) increase in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the six months ended June 30, 2020:

	Graham Commodity Strategies LLC						Graham K4D Trading Ltd.
	Net realized gain (loss) on investments			Net increase (decrease) in unrealized appreciation on investments			Net realized gain (loss) on investments			Net increase (decrease) in unrealized appreciation on investments
Commodity price
Futures	$	52,770,472		$	1,369,293		$	7,294,099		$	(328,449	)
Options		4,611,290			575,254			–			–
		57,381,762			1,944,547			7,294,099			(328,449	)
Equity price
Futures		61,805,732			5,542,944			(63,388,273	)		342,940
Options		(17,371,070	)		(1,276,568	)		–			–
		44,434,662			4,266,376			(63,388,273	)		342,940
Foreign currency exchange rate
Forwards		53,674,248			(3,705,864	)		(12,366,990	)		2,202,111
Futures		(2,697	)		(11,107	)		(181,247	)		(37,094	)
Options		(21,994,698	)		(2,455,951	)		–			–
		31,676,853			(6,172,922	)		(12,548,237	)		2,165,017
Interest rate
Futures		92,218,421			(1,234,999	)		32,623,610			5,318,903
Options		11,971,042			464,081			–			–
Swaps		(257,037	)		–			–			–
		103,932,426			(770,918	)		32,623,610			5,318,903
Total	$	237,425,703		$	(732,917	)	$	(36,018,801	)	$	7,498,411

Index

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 generally range in maturity from one to ~~thirty~~thirty-four 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’s investment in Cash Assets at ~~March 31,~~June 30, 2021 and December 31, 2020 is ~~$57,253,709~~$53,133,401 and $54,304,841 which represents a percentage of GAIT’s Members’ Capital of ~~92.85%~~88.51% and 90.90%, respectively.

GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three and six months ended ~~March 31,~~June 30, 2021, the total amount recognized by GAIT with respect to its investment in Cash Assets was $10,276 and $32,634, respectively. For the three and six months ended June 30, 2020, the total amount recognized by GAIT with respect to its investment in Cash Assets was ~~$22,358~~$175,321 and ~~$198,834,~~$374,155, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At ~~March 31,~~June 30, 2021 and December 31, 2020, GAIT owned approximately ~~0.97%~~0.88% and 0.97%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of ~~March 31,~~June 30, 2021 and December 31, 2020:

	March 31, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Assets:
Cash and cash equivalents	$	373,930,382	$	597,659,902	$	498,221,086	$	597,659,902
Investments in fixed income securities (amortized cost $5,534,680,940 and $4,972,093,470, respectively)		5,534,680,940		4,972,093,470
Investments in fixed income securities (amortized cost $5,531,589,357 and $4,972,093,470, respectively)						5,531,589,357		4,972,093,470
Interest receivable		23,232,915		14,546,327		20,477,813		14,546,327
Total assets		5,931,844,237		5,584,299,699		6,050,288,256		5,584,299,699

Members’ capital	$	5,931,844,237	$	5,584,299,699	$	6,050,288,256	$	5,584,299,699

4552

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following table summarizes the results of operations of Cash Assets for the three and six months ended ~~March~~June 31, 2021 and 2020:

					Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020		2021		2020
Net gain on investment
Net realized gain	$	-	$	2,283,203
Net realized gain on investments					$	-	$	-	$	-	$	2,283,203
Net gain on investments						-		-		-		2,283,203

Investment income
Interest income		2,447,157		23,266,626		1,127,838		17,917,443		3,574,995		41,184,069
Total investment income						1,127,838		17,917,443		3,574,995		41,184,069

Expenses:
Bank fee expense		52,414		66,301		50,692		67,449		103,106		133,750
Total expenses		52,414		66,301		50,692		67,449		103,106		133,750
Net investment income		2,394,743		23,200,325		1,077,146		17,849,994		3,471,889		41,050,319
Net income	$	2,394,743	$	25,483,528	$	1,077,146	$	17,849,994	$	3,471,889	$	43,333,522

The following represents the condensed schedule of investments of Cash Assets as of ~~March 31,~~June 30, 2021:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital			Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $5,534,680,940)
Investments in Fixed Income Securities (amortized cost $5,531,589,357)
United States
Government Bonds (amortized cost $4,634,699,304)
Government Bonds (amortized cost $5,531,589,357)
U.S. Treasury bonds 1.13% due 7/31/2021	$	350,000,000	$	351,216,340		5.92	%	$	350,000,000	$	350,309,070		5.79	%
U.S. Treasury bonds 1.38% due 5/31/2021		300,000,000		300,632,836		5.07	%
U.S. Treasury bonds 1.50% due 8/31/2021		350,000,000		352,069,097		5.94	%		350,000,000		350,838,457		5.80	%
U.S. Treasury bonds 1.50% due 9/30/2021		350,000,000		352,481,241		5.94	%		350,000,000		351,247,400		5.81	%
U.S. Treasury bonds 1.50% due 11/30/2021		300,000,000		302,866,207		5.11	%		400,000,000		402,405,630		6.65	%
U.S. Treasury bonds 1.63% due 6/30/2021		300,000,000		301,142,075		5.08	%
U.S. Treasury bonds 2.00% due 12/31/2021		300,000,000		304,322,574		5.13	%		400,000,000		403,871,280		6.68	%
U.S. Treasury bonds 2.63% due 5/15/2021		300,000,000		300,935,677		5.07	%
U.S. Treasury bonds 2.63% due 6/15/2021		300,000,000		301,587,339		5.08	%
U.S. Treasury bonds 2.88% due 10/15/2021		300,000,000		304,509,928		5.13	%		300,000,000		302,437,183		5.00	%
U.S. Treasury bonds 1.25% – 2.88% due 4/30/2021 – 12/15/2021		1,450,000,000		1,462,935,990		24.66	%
U.S. Treasury bonds 0.13% – 2.88% due 7/15/2021 – 4/30/2023									3,350,000,000		3,370,480,337		55.70	%
Total Government Bonds				4,634,699,304		78.13	%				5,531,589,357		91.43	%

Treasury Bills (amortized cost $899,981,636)
U.S. Treasury bill 0.00% due 4/08/2021		400,000,000		399,999,533		6.74	%
U.S. Treasury bills 0.00% due 4/01/2021 – 4/22/2021		500,000,000		499,982,103		8.43	%
Total Treasury Bills				899,981,636		15.17	%
Total United States				5,534,680,940		93.30	%				5,531,589,357		91.43	%
Total Investments in Fixed Income Securities			$	5,534,680,940		93.30	%			$	5,531,589,357		91.43	%

4653

Index

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 December 31, 2020:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $4,972,093,470)
United States
Government Bonds (amortized cost $3,372,351,436)
U.S. Treasury bonds 1.38% due 5/31/2021	$	300,000,000	$	301,566,528		5.40	%
U.S. Treasury bonds 1.63% due 6/30/2021		300,000,000		302,271,599		5.41	%
U.S. Treasury bonds 2.63% due 5/15/2021		300,000,000		302,807,030		5.42	%
U.S. Treasury bonds 2.63% due 6/15/2021		300,000,000		303,467,081		5.43	%
U.S. Treasury bonds 1.13% – 2.63% due 1/15/2021 – 10/31/2021		2,150,000,000		2,162,239,198		38.73	%
Total Government Bonds				3,372,351,436		60.39	%

Treasury Bills (amortized cost $1,599,742,034)
U.S. Treasury bills 0.00% due 1/07/2021 – 4/22/2021		1,600,000,000		1,599,742,034		28.65	%
Total Treasury Bills				1,599,742,034		28.65	%
Total United States				4,972,093,470		89.04	%
Total Investments in Fixed Income Securities			$	4,972,093,470		89.04	%

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 ~~March 31,~~June 30, 2021 and December 31, 2020:

	March 31, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Assets
Level 2:
Fixed income securities
Government bonds	$	4,634,699,304	$	3,372,351,436	$	5,531,589,357	$	3,372,351,436
Treasury bills		899,981,636		1,599,742,034		-		1,599,742,034
Total fixed income securities		5,534,680,940		4,972,093,470		5,531,589,357		4,972,093,470
Total Level 2		5,534,680,940		4,972,093,470		5,531,589,357		4,972,093,470
Total assets	$	5,534,680,940	$	4,972,093,470	$	5,531,589,357	$	4,972,093,470

4754

Index

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 Members’ Capital account is equal to the initial contribution to GAIT with respect to the Class to which such capital account relates. Each Members’ 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

Each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital 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 affected with respect to Units of such Class during the month. The Advisory Fees paid to the Manager for the ~~three~~six months ended ~~March 31,~~June 30, 2021 and 2020 were ~~$219,830~~$448,220 and ~~$201,293,~~$407,100, respectively.

Sponsor Fees

Each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital 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. The Sponsor Fees paid to the Manager for the ~~three~~six months ended ~~March 31,~~June 30, 2021 and 2020 were ~~$116,640~~$237,224 and ~~$107,597,~~$217,414, respectively.

Class 0	Class 2
0.50%	1.25%

4855

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of 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. The Incentive Allocation for the ~~three~~six months ended ~~March 31,~~June 30, 2021 and 2020 was ~~$692,262~~$855,525 and ~~$139,069,~~$150,781, 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.

Administrator’s Fee

For the ~~three~~six months ended ~~March 31,~~June 30, 2021 and 2020, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, 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 were ~~$19,124~~$39,028 and ~~$17,460,~~$35,989, respectively.

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 income 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 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. GAIT identifies its major tax jurisdictions as the U.S. for Federal tax purposes and Connecticut for state tax purposes. 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 all open tax years. 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. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations and incentive allocation. No such interest and/or penalties were assessed to GAIT for the ~~three~~six months ended ~~March 31,~~June 30, 2021 and 2020.

4956

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Risk Factors

Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak could have a significant impact on GAIT’s performance. The extent of the impact will depend on future developments, including (i) the duration and spread of the outbreak, (ii) any restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. The Manager is monitoring these developments and continually assessing the potential impact on the performance and operations of GAIT, including the terms of brokerage agreements, ISDAs, and other trading agreements with GAIT. The Manager has enacted the appropriate portions of its business continuity plans and adapted its workflow accordingly.

9. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended ~~March 31,~~June 30, 2021 and 2020:

Class 0 Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2019
$ 152.04 $ 108.35
Net income: ��
Net investment loss
(1.03
)

(0.47
)
Net gain on investments
8.31

5.91

Net income
7.28

5.44

Net asset value per Unit, March 31, 2020
$ 159.32 $ 113.79

Net asset value per Unit, December 31, 2020 $ 173.06 $ 124.23
Net income:
Net investment loss (3.08 ) (2.40 )
Net gain on investments 11.46 8.22
Net income 8.38 5.82
Net asset value per Unit, March 31, 2021
$ 181.44 $ 130.05

~~Index~~

~~Graham Alternative Investment Trading LLC~~

~~Notes to Unaudited Financial Statements (continued)~~

~~9. Financial Highlights (continued)~~

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, March 31, 2020	$	159.32		$	113.79
Net income (loss):
Net investment loss		(0.54	)		(0.56	)
Net gain on investments		0.76			0.55
Net income (loss)		0.22			(0.01	)
Net asset value per Unit, June 30, 2020	$	159.54		$	113.78
Net asset value per Unit, March 31, 2021	$	181.44		$	130.05
Net income:
Net investment loss		(1.80	)		(1.54	)
Net gain on investments		3.80			2.77
Net income		2.00			1.23
Net asset value per Unit, June 30, 2021	$	183.44		$	131.28

The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the three months ended ~~March 31,~~June 30, 2021 and 2020:

	Class 0						Class 2						Class 0						Class 2
	2021			2020			2021			2020			2021			2020			2021			2020

Total return before Incentive Allocation		6.06	%		5.21	%		5.88	%		5.02	%		1.38	%		0.18	%		1.22	%		(0.01	)%
Incentive Allocation		(1.22	)		(0.43	)		(1.19	)		0.00			(0.28	)		(0.04	)		(0.27	)		0.00
Total return after Incentive Allocation		4.84	%		4.78	%		4.69	%		5.02	%		1.10	%		0.14	%		0.95	%		(0.01	)%

Net investment loss before Incentive Allocation		(0.56	)%		(0.25	)%		(0.75	)%		(0.43	)%		(0.70	)%		(0.30	)%		(0.90	)%		(0.49	)%
Incentive Allocation		(1.20	)		(0.43	)		(1.16	)		0.00			(0.28	)		(0.04	)		(0.27	)		0.00
Net investment loss after Incentive Allocation		(1.76	)%		(0.68	)%		(1.91	)%		(0.43	)%		(0.98	)%		(0.34	)%		(1.17	)%		(0.49	)%

Total expenses before Incentive Allocation		0.60	%		0.64	%		0.79	%		0.83	%		0.72	%		0.64	%		0.91	%		0.83	%
Incentive Allocation		1.20			0.43			1.16			0.00			0.28			0.04			0.27			0.00
Total expenses after Incentive Allocation		1.80	%		1.07	%		1.95	%		0.83	%		1.00	%		0.68	%		1.18	%		0.83	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights (continued)

The following is the per Unit operating performance calculation for the six months ended June 30, 2021 and 2020:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2019	$	152.04		$	108.35
Net income:
Net investment loss		(1.58	)		(1.03	)
Net gain on investments		9.08			6.46
Net income		7.50			5.43
Net asset value per Unit, June 30, 2020	$	159.54		$	113.78
Net asset value per Unit, December 31, 2020	$	173.06		$	124.23
Net income:
Net investment loss		(4.90	)		(3.96	)
Net gain on investments		15.28			11.01
Net income		10.38			7.05
Net asset value per Unit, June 30, 2021	$	183.44		$	131.28

The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the six months ended June 30, 2021 and 2020:

	Class 0						Class 2
	2021			2020			2021			2020

Total return before Incentive Allocation		7.55	%		5.40	%		7.23	%		5.01	%
Incentive Allocation		(1.55	)		(0.47	)		(1.56	)		0.00
Total return after Incentive Allocation		6.00	%		4.93	%		5.67	%		5.01	%

Net investment loss before Incentive Allocation		(1.27	)%		(0.55	)%		(1.65	)%		(0.93	)%
Incentive Allocation		(1.46	)		(0.47	)		(1.43	)		0.00
Net investment loss after Incentive Allocation		(2.73	)%		(1.02	)%		(3.08	)%		(0.93	)%

Total expenses before Incentive Allocation		1.32	%		1.28	%		1.71	%		1.66	%
Incentive Allocation		1.46			0.47			1.43			0.00
Total expenses after Incentive Allocation		2.78	%		1.75	%		3.14	%		1.66	%

Total return is calculated for Class 0 and Class 2 units taken as a whole and is not annualized. 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 six months ended ~~March 31,~~June 30, 2021 and ~~2020.~~2020 and are not annualized.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

10. Subsequent Events

GAIT had no ~~subscriptions~~subscriptions and redemptions of approximately ~~$0.3~~$0.4 million from ~~April~~July 1, 2021 through ~~May 17,~~August 16, 2021, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

5159

Index

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, including the risks and uncertainties described in our Annual Report on Form 10-K for the year ended December 31, 2020 and in this Quarterly Report under the headings “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations.” 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

~~(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, 2020 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 30, 2021. 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 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 fixed income positions, 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 ~~March 31,~~June 30, 2021, the Blended Strategies Portfolio’s Members’ Capital decreased by $1,512,790 or -5.0%. The net decrease in the Blended Strategies Portfolio was attributable to redemptions totaling $1,849,508 or -6.1% partially offset by net income of $336,718 or 1.1%, for the period.

For the six months ended June 30, 2021, the Blended Strategies Portfolio’s Members’ Capital decreased by $701,370 or -2.4%. The net decrease in the Blended Strategies Portfolio was attributable to redemptions totaling $2,418,525 or -8.3% partially offset by net income of $1,717,155 or 5.9%, for the period.

For the three months ended June 30, 2020, the Blended Strategies Portfolio’s Members’ Capital decreased by $171,347 or -0.6%. The net decrease in the Blended Strategies Portfolio was attributable to redemptions totaling $193,211 or -0.7% and offset by net income of $21,864 or 0.01%, for the period.

For the six months ended June 30, 2020, the Blended Strategies Portfolio’s Members’ Capital increased by ~~$811,420~~$592,983 or ~~2.8%~~2.2%. The net increase in the Blended Strategies Portfolio was attributable to net income of ~~$1,380,437~~$1,305,095 or ~~4.7%~~4.8% and offset by redemptions totaling ~~$569,017~~$712,112 or ~~-1.9%~~-2.6%, for the period.

For the three months ended March 31, 2020, the Blended Strategies Portfolio’s Members’ Capital increased by $764,330 or 2.8%. The net increase in the Blended Strategies Portfolio was attributable to net income

Index

(i) Results of ~~$1,283,231 or 4.8% offset by redemptions totaling $518,901 or -2.0%, for the period.~~Operations

~~(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.

~~Index~~

2021 Summary

Three Months Ended ~~March 31,~~June 30, 2021

For the three months ended ~~March 31,~~June 30, 2021, the Blended Strategies Portfolio experienced net trading gains of ~~$1,931,070.~~$676,264. The trading results are attributable to the following sectors:

Agriculture / Softs	$	126,681		$	467,878
Base Metals		171,832			197,499
Energy		29,429			651,314
Equities		734,594			758,761
Foreign Exchange		162,439			(319,032	)
Long Term / Intermediate Rates		827,808			(1,165,956	)
Precious Metals		(179,631	)		15,608
Short Term Rates		57,918			87,859
Weather					(17,667	)
	$	1,931,070		$	676,264

The Blended Strategies Portfolio recorded a net gain for the ~~first~~second quarter of 2021. The majority of gains ~~resulted~~came from commodity futures, most notably from positions in energy with further profits in grains and metals. The portfolio also posted gains in equity index futures, primarily from positions in U.S. benchmark indices. The Fund experienced losses in fixed income futures, ~~particularly~~mostly from positions on the long end of the yield curve in the U.S. ~~Further profits resulted~~Smaller losses came from ~~equity indices, most notably from positions in U.S. and, to a lesser extent, Asian benchmark indices. In commodities, gains resulted from positions in base metals and grains. In~~ currencies ~~the portfolio recorded gains primarily~~ from positions in the ~~Japanese yen,~~British pound sterling, New Zealand dollar, and Swiss franc ~~and Australian dollar~~ versus the U.S. dollar.

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 ~~March 31,~~June 30, 2021, Advisory Fees increased by ~~$10,179~~$10,555 or 10.2%, Sponsor Fees increased by ~~$5,012~~$4,871 or ~~9.3%~~8.7%, and Administrator’s Fees increased by ~~$867~~$578 or ~~10.3%~~6.4% in the Fund over the corresponding period of the preceding year. These increases are attributable to higher net assets of the portfolio resulting from net income ~~of $1,380,437~~ and partially offset by redemptions ~~totaling $569,017~~ for the period. During the same period, interest income decreased by ~~$93,893~~$87,402 or ~~-89.6%~~-95.0%. Interest was earned on free cash at an average annualized yield of ~~0.16%~~0.07% for the three months ended ~~March 31,~~June 30, 2021 compared to ~~1.76%~~1.37% for the same period in 2020.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended ~~March 31,~~June 30, 2021 and 2020, the Incentive Allocation increased by ~~$277,784~~$78,444 or ~~409.5%~~1,367.3%. This increase was the result of a larger net gain before incentive allocation for the three months ended ~~March 31,~~June 30, 2021 ~~while the net gain for~~as compared to the three months ended ~~March 31, 2020 was partially subject to a loss carryforward from previous periods.~~June 30, 2020.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2021 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

~~Agriculture / Softs~~	~~(1.0~~	)%
~~Base Metals~~	~~3.4~~	%
~~Energy~~	~~(6.8~~	)%
~~Equities~~	~~4.6~~	%
~~Foreign Exchange~~	~~37.8~~	%
~~Long Term / Intermediate Rates~~	~~20.8~~	%
~~Precious Metals~~	~~(4.4~~	)%
~~Short Term Rates~~	~~45.6~~	%
	~~100.0~~	%

5361

Index

~~2020 Summary~~

~~Three~~Six Months Ended ~~March 31, 2020~~June 30, 2021

For the ~~three~~six months ended ~~March 31, 2020,~~June 30, 2021, the Blended Strategies Portfolio experienced net trading gains of ~~$1,485,848.~~$2,607,334. The trading results are attributable to the following sectors:

Agriculture / Softs	$	28,304		$	580,375
Base Metals		201,106			364,732
Energy		(25,619	)		671,131
Equities		(2,100,427	)		1,476,560
Foreign Exchange		344,420			(144,004	)
Long Term / Intermediate Rates		1,198,524			(289,391	)
Precious Metals		415,229			(166,653	)
Short Term Rates		1,424,311			143,514
Weather					(28,930	)
	$	1,485,848		$	2,607,334

The Blended Strategies Portfolio recorded ~~profits~~a net gain for the first ~~quarter~~half of ~~2020.~~2021. The majority of gains came from equity index futures, particularly from positions in U.S. benchmark indices with smaller gains in Asia. The portfolio also recorded ~~gains~~profits in commodity futures from positions in energy, grains, and base metals. In currencies, the portfolio experienced modest losses primarily from positions in the New Zealand dollar and British pound sterling versus the U.S. dollar. The portfolio also experienced losses in fixed income futures ~~most notably~~as losses in Canadian, Australian, Asian, and European bonds more than offset gains from positions across the curve in the U.S. with smaller gains in Australian and Canadian bonds and U.K. short rates. Smaller gains resulted in commodities, particularly from positions in metals. In currencies, the portfolio recorded gains from positions in the Japanese yen, Australian dollar, and Euro versus the U.S. dollar. The portfolio experienced losses in equity index futures, primarily in European and Asian benchmark indices.

For the six months ended June 30, 2021, Advisory Fees increased by $20,734 or 10.2%, Sponsor Fees increased by $9,883 or 9.0%, and Administrator’s Fees increased by $1,445 or 8.3 % in the Fund over the corresponding period of the preceding year. These increases are attributable to higher net assets of the portfolio resulting from net income partially offset by redemptions for the period. During the same period, interest income decreased by $181,295 or -92.1%. Interest was earned on free cash at an average annualized yield of 0.12% for the six months ended June 30, 2021 compared to 1.56% for the same period in 2020.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the six months ended June 30, 2021 and 2020, the Incentive Allocation increased by $356,228 or 484.1%. This increase was the result of a larger net gain before incentive allocation for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of June 30, 2021 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	8.7	%
Base Metals	(1.6	)%
Energy	12.3	%
Equities	35.2	%
Foreign Exchange	38.4	%
Long Term / Intermediate Rates	(30.5	)%
Precious Metals	0.9	%
Short Term Rates	36.6	%
	100.0	%

Index

2020 Summary

Three Months Ended June 30, 2020

For the three months ended ~~March 31,~~June 30, 2020, the Blended Strategies Portfolio experienced net trading gains of $158,373. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(12,192	)
Base Metals		62,190
Energy		(138,919	)
Equities		223,901
Foreign Exchange		(563,029	)
Long Term / Intermediate Rates		(39,340	)
Precious Metals		599,022
Short Term Rates		23,726
Weather		3,014
	$	158,373

The Blended Strategies Portfolio recorded a modest trading gain for the second quarter of 2020. The portfolio recorded gains in commodities, particularly from positions in metals. The portfolio also recorded gains in equity index futures, most notably in the U.S. with smaller gains in Asia. Losses resulted in currencies from positions in the British pound sterling, Japanese yen, and Korean won versus the U.S. dollar. The portfolio finished the period virtually flat in fixed income futures as gains in short rates were offset by losses further out on the curve in the U.S.

For the three months ended June 30, 2020, Advisory Fees decreased by ~~$12,063~~$4,401 or ~~-10.8%~~-4.1%, Sponsor Fees decreased by ~~$6,046~~$1,994 or ~~-10.1%~~-3.5%, and Administrator’s Fees decreased by ~~$1,687~~$349 or ~~-16.7%~~-3.7% in the Fund over the corresponding period of the preceding year. These decreases are attributable to lower net assets of the portfolio resulting from redemptions and partially offset by net income for the period. During the same period, interest income decreased by ~~$42,511~~$55,335 or ~~-28.9%~~-37.6%. Interest was earned on free cash at an average annualized yield of ~~1.76%~~1.37% for the three months ended ~~March 31,~~June 30, 2020 compared to ~~1.97%~~2.11% for the same period in 2019.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended ~~March 31,~~June 30, 2020 and 2019, the Incentive Allocation was ~~$67,842~~$5,737 and $0, respectively.

Index

Six Months Ended June 30, 2020

For the six months ended June 30, 2020, the Blended Strategies Portfolio experienced net trading gains of $1,644,221. The trading results are attributable to the following sectors:

Agriculture / Softs	$	17,535
Base Metals		259,481
Energy		(151,791	)
Equities		(1,918,437	)
Foreign Exchange		(162,475	)
Long Term / Intermediate Rates		1,174,823
Precious Metals		962,327
Short Term Rates		1,460,026
Weather		2,732
	$	1,644,221

The Blended Strategies Portfolio recorded a gain for the first half of 2020. The portfolio recorded gains in fixed income futures, primarily from positions across the yield curve in the U.S. with smaller gains in Australian and Canadian bonds. The portfolio recorded further gains in commodities, primarily from positions in precious metals with smaller profits in base metals. In equity index futures, the portfolio experienced losses from positions in European and Asian benchmark indices. Smaller losses resulted in currencies, mostly from positions in the British pound sterling, New Zealand dollar, and Korean won versus the U.S. dollar.

For the six months ended June 30, 2020, Advisory Fees decreased by $16,464 or -7.5%, Sponsor Fees decreased by $8,040 or -6.8%, and Administrator’s Fees decreased by $2,036 or -10.4% in the Fund over the corresponding period of the preceding year. These decreases are attributable to lower net assets of the portfolio resulting from redemptions and partially offset by net income for the period. During the same period, interest income decreased by $97,846 or -33.2%. Interest was earned on free cash at an average annualized yield of 1.56% for the six months ended June 30, 2020 compared to 2.05% for the same period in 2019.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the six months ended June 30, 2020 and 2019, the Incentive Allocation was $73,579 and $0, respectively.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of ~~March 31,~~June 30, 2020 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	~~0.0~~3.0	%
Base Metals	~~4.6~~0.2	%
Energy	~~3.7~~(0.8	)%
Equities	~~2.1~~13.4	%
Foreign Exchange	~~13.7~~12.5	%
Long Term / Intermediate Rates	~~11.6~~4.3	%
Precious Metals	~~(8.1~~25.7	)%
Short Term Rates	~~72.4~~41.7	%
	100.0	%

5464

Index

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 fixed income positions, 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 Administrator’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)~~

(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 CEA and with CFTC 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 FX clearing 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. The following table shows these amounts as of the date indicated:

		Blended Strategies Portfolio
~~March 31,~~ June 30, 2021	~~9.27%~~		13.26	%
December 31, 2020	~~10.72%~~		10.72	%
~~March 31,~~ June 30, 2020	~~8.53%~~		11.33	%

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 ~~March 31,~~June 30, 2021, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

5565

Index

~~(iii)~~

(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)~~

(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 financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.

Investment Company – The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Codification Topic 946 Update 2013-08, Financial Services – Investment Companies, 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.

Index

Income Taxes – No 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 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 for all open tax years. 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)~~

(v) Off-Balance Sheet Arrangements

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

5667

Index

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.

5768

Index

Item 4.

Controls and Procedures

Evaluation of Disclosure Control and Procedures

The Fund has established disclosure controls and procedures 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 SEC rules and forms and that such information is accumulated and communicated 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,~~June 30, 2021, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the Fund’s disclosure controls and procedures (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 control over financial reporting during the ~~first~~second quarter of 2021 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

5869

Index

PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None

Item 1A.

Risk Factors

~~Item 1A.~~ ~~Risk Factors~~

There have been no material changes to the risk factors disclosed in our 2020 Form 10-K.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

For the three months ended ~~March 31,~~June 30, 2021, the Fund issued no Units with respect to the Blended Strategies Portfolio.

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
January 1 – January 31, 2021
546.667 $ 169.28 N/A N/A
February 1 – February 28, 2021
2,367.517 $ 163.78 N/A N/A
March 1 – March 31, 2021
682.235 $ 130.05 N/A N/A
TOTAL 3,596.419 $ 158.22 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
April 1 – April 30, 2021	565.268	$ 184.56	N/A	N/A
May 1 – May 31, 2021	7,792.277	$ 141.72	N/A	N/A
June 1 – June 30, 2021	3,493.670	$ 183.44	N/A	N/A
TOTAL	11,851.215	$ 156.06	N/A	N/A

¹Represents 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 – None

Item 5.

Other Information – None

5970

Index

Item 6.

Exhibits

* 3.1	Certificate of Formation of Graham Alternative Investment Fund I LLC
** 3.1(a)	Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
** 3.2	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC
*** 31.1	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
*** 31.2	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
*** 32.1	Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer)
*** 101.INS	Inline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document)
*** 101.SCH	Inline XBRL Taxonomy Extension Schema Document
*** 101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document
*** 101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document
*** 101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document
*** 101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document
*** 104	Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)

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

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

***

Filed herewith

6071

Index

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: ~~May 17,~~August 16, 2021	GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
	BLENDED STRATEGIES PORTFOLIO

	By:	GRAHAM CAPITAL MANAGEMENT, L.P. ~~its Manager~~

	~~By:~~	~~/s/ Brian Douglas~~
		its Manager

By: /s/ Brian Douglas

		Brian Douglas, Principal Executive Officer

By:

~~/s/~~ /s/ George Schrade

George Schrade, Principal Financial Officer

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

	March 31, 2021 (Unaudited)		December 31, 2020 (Audited)		June 30, 2021 (Unaudited)		December 31, 2020 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	30,006,236	$	29,194,816	$	28,493,446	$	29,194,816
Redemptions receivable from Graham Alternative Investment Trading LLC		88,725		233,089		640,865		233,089
Total assets	$	30,094,961	$	29,427,905	$	29,134,311	$	29,427,905

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	88,725	$	233,089	$	640,865	$	233,089
Total liabilities		88,725		233,089		640,865		233,089

Members’ capital:
Class 0 Units (98,617.932 and 100,881.333 units issued and outstanding at $181.44 and $173.06, respectively)		17,893,287		17,458,496
Class 2 Units (93,140.816 and 94,473.834 units issued and outstanding at $130.05 and $124.23, respectively)		12,112,949		11,736,320
Class 0 Units (93,469.423 and 100,881.333 units issued and outstanding at $183.44 and $173.06, respectively)						17,145,652		17,458,496
Class 2 Units (86,438.110 and 94,473.834 units issued and outstanding at $131.28 and $124.23, respectively)						11,347,794		11,736,320
Total members’ capital		30,006,236		29,194,816		28,493,446		29,194,816
Total liabilities and members’ capital	$	30,094,961	$	29,427,905	$	29,134,311	$	29,427,905

	Three Months Ended March 31,						Three Months Ended June 30,						Six Months Ended June 30,
	2021			2020			2021			2020			2021			2020
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
Net realized gain on investment	$	2,483,792		$	576,045		$	737,956		$	796,313		$	3,221,748		$	1,372,358
Net (decrease) increase in unrealized appreciation on investment		(552,722	)		909,803			(61,692	)		(637,940	)		(614,414	)		271,863
Brokerage commissions and fees		(18,330	)		(49,215	)		(22,532	)		(25,796	)		(40,862	)		(75,011	)
Net gain allocated from investment in Graham Alternative Investment Trading LLC		1,912,740			1,436,633			653,732			132,577			2,566,472			1,569,210

Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
Investment income:
Interest income		10,862			104,755			4,607			92,009			15,469			196,764

Expenses:
Advisory fees								113,681			103,126			223,602			202,868
Incentive allocation		345,626			67,842			84,181			5,737			429,807			73,579
Advisory fees		109,921			99,742
Sponsor fees		58,823			53,811			60,608			55,737			119,431			109,548
Professional fees		17,789			26,699			51,834			27,337			69,623			54,036
Administrator’s fees		9,312			8,445			9,636			9,058			18,948			17,503
Interest expense		1,694			1,618			1,681			1,727			3,375			3,345
Total expenses		543,165			258,157			321,621			202,722			864,786			460,879
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC		(532,303	)		(153,402	)		(317,014	)		(110,713	)		(849,317	)		(264,115	)
Net income	$	1,380,437		$	1,283,231		$	336,718		$	21,864		$	1,717,155		$	1,305,095

	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, 2019		103,946.549		$	15,804,368			102,244.827		$	11,078,195		$	26,882,563
Members’ capital, December 31, 2020																	100,881.333		$	17,458,496			94,473.834		$	11,736,320		$	29,194,816
Subscriptions		–			–			–			–			–			0			0			0			0			0
Redemptions		(2,339.429	)		(355,086	)		(1,542.303	)		(163,815	)		(518,901	)		(2,263.401	)		(397,412	)		(1,333.018	)		(171,605	)		(569,017	)
Net income		–			738,375			–			544,856			1,283,231			–			832,203			–			548,234			1,380,437
Members’ capital, March 31, 2020		101,607.120		$	16,187,657			100,702.524		$	11,459,236		$	27,646,893
Members’ capital, March 31, 2021																	98,617.932			17,893,287			93,140.816			12,112,949			30,006,236
Subscriptions																	0			0			0			0			0
Redemptions																	(5,148.509	)		(949,508	)		(6,702.706	)		(900,000	)		(1,849,508	)
Net income																	–			201,873			–			134,845			336,718
Members’ capital, June 30, 2021																	93,469.423		$	17,145,652			86,438.110		$	11,347,794		$	28,493,446

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital

Members’ capital, December 31, 2019		103,946.549		$	15,804,368			102,244.827		$	11,078,195		$	26,882,563
Subscriptions		0			0			0			0			0
Redemptions		(2,339.429	)		(355,086	)		(1,542.303	)		(163,815	)		(518,901	)
Net income		–			738,375			–			544,856			1,283,231
Members’ capital, March 31, 2020		101,607.120			16,187,657			100,702.524			11,459,236			27,646,893
Subscriptions		0			0			0			0			0
Redemptions		(401.697	)		(64,067	)		(1,135.107	)		(129,144	)		(193,211	)
Net income (loss)		–			22,950			–			(1,086	)		21,864
Members’ capital, June 30, 2020		101,205.423		$	16,146,540			99,567.417		$	11,329,006		$	27,475,546

	Title of each class		Trading Symbol(s)		Name of each exchange on which registered
	None		N/A		None

				Page ~~Number~~
				Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund I LLC Blended Strategies Portfolio

		Statements of Financial Condition at ~~March 31,~~June 30, 2021 (Unaudited) and December 31, 2020 (Audited)		1

		Unaudited Statements of Operations for the Three and Six Months Ended ~~March 31,~~June 30, 2021 and 2020		2

		Unaudited Statements of Changes in Members’ Capital for the Three and Six Months Ended ~~March 31,~~June 30, 2021 and 2020		3

		Unaudited Statements of Cash Flows for the ~~Three~~Six Months Ended ~~March 31,~~June 30, 2021 and 2020	4	5

		Notes to Unaudited Financial Statements	5	6

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at ~~March 31,~~June 30, 2021 (Unaudited) and December 31, 2020 (Audited)	12	14

		Condensed Schedules of Investments at ~~March 31,~~June 30, 2021 (Unaudited) and December 31, 2020 (Audited)	13	15

		Unaudited Statements of Operations and Incentive Allocation for the Three and Six Months Ended ~~March 31,~~June 30, 2021 and 2020	14	16

		Unaudited Statements of Changes in Members’ Capital for the Three and Six Months Ended ~~March 31,~~June 30, 2021 and 2020	15	17

		Unaudited Statements of Cash Flows for the ~~Three~~Six Months Ended ~~March 31,~~June 30, 2021 and 2020	16	19

		Notes to Unaudited Financial Statements	17	20

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	52	60

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	57	68

	Item 4.	Controls and Procedures		69

PART II - Other Information			70

Exhibits			71

	~~Item 4.~~	~~Controls and Procedures~~	58


EX - 31.1	Certification
	EX - 31.2	Certification
	EX - 32.1	Certification

	Three Months Ended March 31,
	2021			2020
Cash flows provided by operating activities
Net income	$	3,561,908		$	2,801,200
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) allocated from investments in Master Funds		(3,934,974	)		(2,987,239	)
Net (income) allocated from investment in Graham Cash Assets LLC		(22,358	)		(198,834	)
Proceeds from sale of investments in Master Funds		20,606,296			19,043,220
Proceeds from sale of investment in Graham Cash Assets LLC		11,764,515			9,733,960
Purchases of investments in Master Funds		(16,059,612	)		(13,714,245	)
Purchases of investment in Graham Cash Assets LLC		(14,691,025	)		(13,359,889	)
Changes in assets and liabilities:
Increase (decrease) in accrued professional fees		7,918			(80,998	)
Increase in accrued advisory fees		3,039			1,700
Increase in accrued sponsor fees		1,548			908
Increase in accrued administrator’s fee		108			166
Net cash provided by operating activities		1,237,363			1,239,949

Cash flows used in financing activities
Subscriptions		–			–
Redemptions		(1,237,363	)		(1,239,896	)
Net cash used in financing activities		(1,237,363	)		(1,239,896	)

Net change in cash and cash equivalents		–			53

Cash and cash equivalents, beginning of period		–			–
Cash and cash equivalents, end of period	$	–		$	53