UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-Q

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) of the
SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 20212022

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

For the transition period from          to          

Commission File Number 0-53965

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

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

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

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

Securities registered pursuant to Section 12(b) of the Act:

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

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

Yes ☒  No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes ☒  No ☐

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

Large accelerated filer ☐Accelerated filer ☐Non-accelerated filer ☐Smaller reporting company ☒Emerging Growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

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

Yes ☐  No ☒

As of August 1, 2021, 179,332.4382022, 160,436.096 Units of the Blended StrategiesCore Macro Portfolio were outstanding.

Index
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
 
BLENDED STRATEGIESCORE MACRO PORTFOLIO
FORM 10-Q

INDEX

  Page
  Number
 
   
PART I - Financial Information:
 
 
 
 
 
 
Item 1.
Financial Statements:
 
 
 
 
 
  
Graham Alternative Investment Fund I LLC Blended StrategiesCore Macro Portfolio
 
    
 
 
1
 
 
 
 
 
 
2
    
  3
    
  5
 
 
 
 
 
 
6
    
  
Graham Alternative Investment Trading LLC
 
    
  14
    
  15
    
  16
    
  17
    
  19
  
 
 
  20
    
 
Item 2.
6063
 
 
 
 
 
Item 3.
6871
 
 
 
 
 
Item 4.
6972

7073
   
Exhibits
 7174
    
 
Certification
 
 
Certification
 
 
Certification
 

Index

PART I

Item 1.
Item 1.Financial Statements

Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies PortfolioPortfolio)

Statements of Financial Condition

 
June 30, 2021
(Unaudited)
  
December 31, 2020
(Audited)
  
June 30, 2022
(Unaudited)
  
December 31, 2021
(Audited)
 
Assets            
Investment in Graham Alternative Investment Trading LLC, at fair value $28,493,446  $29,194,816  $29,711,303  $25,597,490 
Redemptions receivable from Graham Alternative Investment Trading LLC  640,865
   233,089
   170,976
   253,800
 
Total assets $29,134,311  $29,427,905  $29,882,279  $25,851,290 
                
Liabilities and members’ capital                
Liabilities:                
Redemptions payable $640,865  $233,089  $170,976  $253,800 
Total liabilities  640,865
   233,089
   170,976
   253,800
 
                
Members’ capital:                
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
 
Class 0 Units (76,169.919 and 83,586.118 units issued and outstanding at $217.96 and $176.27, respectively)
  16,602,091
   14,734,016
 
Class 2 Units (84,548.290 and 86,438.110 units issued and outstanding at $155.05 and $125.68, respectively)
  13,109,212
   10,863,474
 
Total members’ capital  28,493,446
   29,194,816
   29,711,303
   25,597,490
 
Total liabilities and members’ capital $29,134,311  $29,427,905  $29,882,279  $25,851,290 

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

1
Index
Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies PortfolioPortfolio)

Unaudited Statements of Operations

 
Three Months Ended
June 30,
  
Six Months Ended
June 30,
  
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 2021  2020  2021  2020  2022  2021  2022  2021 
Net gain allocated from investment in Graham Alternative Investment Trading LLC:                        
Net realized gain on investment $737,956  $796,313  $3,221,748  $1,372,358  $4,320,243  $737,956  $7,974,186  $3,221,748 
Net (decrease) increase in unrealized appreciation on investment  (61,692)  (637,940)  (614,414)  271,863 
Net decrease in unrealized appreciation on investment  (1,109,404)  (61,692)  (455,460)  (614,414)
Brokerage commissions and fees  (22,532)  (25,796)  (40,862)  (75,011)  (29,839)  (22,532)  (52,656)  (40,862)
Net gain allocated from investment in Graham Alternative Investment Trading LLC  653,732   132,577   2,566,472   1,569,210   3,181,000   653,732   7,466,070   2,566,472 
                                
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:                                
Investment income:                                
Interest income  4,607   92,009   15,469   196,764   37,514   4,607   47,180   15,469 
                                
Expenses:                                
Incentive allocation  596,349   84,181   1,198,354   429,807 
Advisory fees  113,681   103,126   223,602   202,868   112,856   113,681   215,874   223,602 
Incentive allocation  84,181   5,737   429,807   73,579 
Sponsor fees  60,608   55,737   119,431   109,548   62,109   60,608   118,332   119,431 
Professional fees  51,834   27,337   69,623   54,036   49,325   51,834   81,453   69,623 
Administrator’s fees  9,636   9,058   18,948   17,503 
Administrator’s fee  9,362   9,636   18,103   18,948 
Interest expense  1,681   1,727   3,375   3,345   1,581   1,681   3,184   3,375 
Operating expenses  1,538   0   1,538   0 
Total expenses  321,621   202,722   864,786   460,879   833,120   321,621   1,636,838   864,786 
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC  (317,014)  (110,713)  (849,317)  (264,115)  (795,606)  (317,014)  (1,589,658)  (849,317)
Net income $336,718  $21,864  $1,717,155  $1,305,095  $2,385,394  $336,718  $5,876,412  $1,717,155 

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

2
Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies Portfolio)

Unaudited Statements of Changes in Members’ Capital

For the Three and Six Months Ended June 30, 2022

  Class 0 Units  Class 2 Units    
  Units  Capital  Units  Capital  Total Members’ Capital 
                
Members’ capital, December 31, 2021
  83,586.118
  $14,734,016   86,438.110
  $10,863,474  $25,597,490 
Subscriptions  0
   0
   0
   0
   0
 
Redemptions  (2,813.134)  (531,377)  (1,889.820)  (250,000)  (781,377)
Net income  –
   2,012,269
   –
   1,478,749
   3,491,018
 
Members’ capital, March 31, 2022  80,772.984
   
16,214,908
   84,548.290
   
12,092,223
   
28,307,131
 
Subscriptions  0
   0
   0
   0
   0
 
Redemptions  (4,603.065)  (981,222)  0  0  (981,222)
Net income  –
   1,368,405
   –
   1,016,989
   2,385,394
 
Members’ capital, June 30, 2022
  76,169.919
  $16,602,091   84,548.290
  $13,109,212 ��$29,711,303 

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

3
Index
Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies Portfolio)

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Six Months Ended June 30, 2021

  Class 0 Units  Class 2 Units    
  Units  Capital  Units  Capital  Total Members’ Capital 
                
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  (2,263.401)  (397,412)  (1,333.018)  (171,605)  (569,017)
Net income  –
   832,203
   –
   548,234
   1,380,437
 
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 

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

3
Index
Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Six Months Ended June 30, 2020

  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 

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

4
Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies PortfolioPortfolio)

Unaudited Statements of Cash Flows

 
Six Months Ended
June 30,
  
Six Months Ended
June 30,
 
 2021
  2020
  2022
  2021
 
Cash flows provided by operating activities            
Net income $1,717,155  $1,305,095  $5,876,412  $1,717,155 
Adjustments to reconcile net income to net cash provided by operating activities:                
Net (income) allocated from investment in Graham Alternative Investment Trading LLC  (1,717,155)  (1,305,095
)
  (5,876,412)  (1,717,155
)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC  2,010,749   779,764   1,845,423   2,010,749 
Net cash provided by operating activities  2,010,749   779,764   1,845,423   2,010,749 
                
Cash flows used in financing activities                
Subscriptions  0   0   0   0 
Redemptions (net of redemptions payable)
  (2,010,749)  (779,764
)
  (1,845,423)  (2,010,749
)
Net cash used in financing activities  (2,010,749)  (779,764
)
  (1,845,423)  (2,010,749
)
                
Net change in cash and cash equivalents  0   0   0   0 
                
Cash and cash equivalents, beginning of period  0   0   0   0 
Cash and cash equivalents, end of period 
$
0
  $0  
$
0
  $0 

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

5
Index
Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies PortfolioPortfolio)

Notes to Unaudited Financial Statements

June 30, 20212022

1. Organization and Business
 
The Blended StrategiesCore Macro Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. Prior to March 28, 2013, GAIF I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF I is registered as a commodity pool and as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission (“CFTC”). Effective May 2, 2022, the Fund name was changed from the Blended Strategies Portfolio to Core Macro Portfolio.
 
As a Series Limited Liability Company each series is legally segregated, and the assets associated with each series are held separately and accounted for in separate and distinct records from the assets of any other series of GAIF I. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not against the assets of GAIF I generally or any other series thereof. Further, none of the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to GAIF I are enforceable against the assets of any other series.  As of June 30, 2021 and June 30, 2020, only the Blended Strategies Portfolio is open and available to investors.

The Fund offers members Class 0 and Class 2 Units (collectively the “Units”). The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. GAIT invests in various master trading vehicles (“Master Funds”) and Graham Cash Assets LLC (“Cash Assets”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Manager is the manager and the sole investment advisor of GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the CFTC and is a member of the National Futures Association. The Manager is also registered with the Securities and Exchange Commission as an investment adviser. The Fund’s Units are registered under Section 12 of the Securities Exchange Act of 1934.
 
The investment objective of the Fund is to achieve long-term capital appreciation through professionally managed trading in both U.S. and foreign markets primarily in futures contracts, forwards contracts, spot currency contracts, and associated derivative instruments, such as options and swaps, through its investment in GAIT, which in turn invests in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.
 
SEI Global Services, Inc. (“SEI”) is the Fund’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of the Fund.
 
The Fund will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Amended and Restated Limited Liability Company Agreement (“LLC Agreement”) of the Fund.
 
The performance of the Fund is directly affected by the performance of GAIT; therefore, these financial statements should be read in conjunction with the attached financial statements of GAIT, including the condensed schedules of investments.

See attached financial statements of Graham Alternative Investment Trading LLC.

6
Index
Graham Alternative Investment Fund I LLC
Core Macro Portfolio (formerly known as Blended Strategies Portfolio)
Notes to Unaudited Financial Statements (continued)
1. Organization and Business (continued)

Duties of the Manager

Subject to the terms and conditions of the LLC Agreement, the Manager has complete and exclusive responsibility for managing and administering the affairs of the Fund and for directing the investment and reinvestment of the assets of the Fund and GAIT.
See attached financial statements of Graham Alternative Investment Trading LLC.

6

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies
 
These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“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.
 
Investment in Graham Alternative Investment Trading LLC
 
The Fund records its investment in GAIT at fair value based upon the Fund’s proportionate share of GAIT’s reported net asset value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in the Master Funds and Cash Assets at fair value based upon GAIT’s proportionate share of the Master Funds’ and Cash AssetsAssets’ reported net asset value. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis and includes them in the statements of operations. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.
 
GAIT charges its investors, including the Fund, an advisory fee, sponsor fee, and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however, each investor in the Fund indirectly bears a portion of the advisory fee, sponsor fee, and incentive allocation charged by GAIT.

At June 30, 20212022 and December 31, 2020,2021, the Fund owned 47.46%45.83% and 48.87%46.20%, respectively of GAIT.

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

See attached financial statements of Graham Alternative Investment Trading LLC.


7
Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Graham Alternative Investment Fund I LLC
Core Macro Portfolio (formerly known as Blended Strategies Portfolio)
Notes to Unaudited Financial Statements (continued)
2. Summary of Significant Accounting Policies (continued)

Fair Value (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.

The Fund’s investment in GAIT has been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, this investment is excluded from categorization in the fair value hierarchy. There were no Level 3 assets or liabilities held at any point during the six months ended June 30, 20212022 or the year ended December 31, 20202021 by the Fund, GAIT, the Master Funds or Cash Assets.
 
Cash and Cash Equivalents
 
The Fund classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents on the statements of financial condition. Cash deposited with a bank is subject to credit risk. In the event of the bank’sbank's insolvency, recovery of the Fund’sFund's cash would be limited to account insurance or other protection afforded by such deposit, which could be substantially less than the amount deposited. At June 30, 20212022 and December 31, 2020,2021, the Fund did not have any cash or cash equivalents.
 
Indemnifications
 
In the normal course of business, the Master Funds, GAIT, Cash Assets, and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At June 30, 20212022 and December 31, 2020,2021, no accruals have been recorded by the Fund for indemnifications.

3. Capital Accounts
                                    
The Fund offers 2 classes (each a “Class”) of Units, being Class 0 Units and Class 2 Units. The Fund may issue additional Classes in the future subject to different fees, expenses, or other terms, or may invest in other investment programs or combinations of investment programs managed by the Manager.
 
A separate capital account is maintained for each member with respect to each member’s Class of Units. The initial balance of each Members’ CapitalMember’s capital account is equal to the initial subscription to the Fund by such member with respect to the Class to which such capital account relates. Each Members’ CapitalMember’s capital account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of the Fund are allocated among the Members’ Capital accounts in proportion to the balance that each capital account bears to the balance of all capital as of the beginning of such fiscal period.

See attached financial statements of Graham Alternative Investment Trading LLC.


8
Index
Graham Alternative Investment Fund I LLC
Core Macro Portfolio (formerly known as Blended Strategies Portfolio)
Notes to Unaudited Financial Statements (continued)
3. Capital Accounts (continued)

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

3. Capital Accounts (continued)
Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $10,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000. Any initial or additional cash received prior to or on June 30, 2022, if any, for Fund shares related to the subsequent period is considered a subscription received in advance on June 30, 2022. The new subscription does not receive an allocation of income or expense from the Fund and is recorded as a liability on the statement of financial condition as subscriptions received in advance.

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.
 
Redemption of Units
 
Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $10,000. The redemption proceeds will normally be remitted within 15 business days after the Valuation Day, without interest for the period from the Valuation Day to the payment date. Redemptions paid after the end of a period, based upon end-of-period share values, if any, are reflected as redemptions payable on the Statement of Financial Condition.
 
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 six months ended June 30, 20212022 and 2020,2021, the Advisory Fees allocated to the Fund by each Class of GAIT totaled $223,602$215,874 and $202,868,$223,602, 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 six months ended June 30, 20212022 and 2020,2021, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $119,431$118,332 and $109,548,$119,431, respectively.
 
Class 0Class 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.

9
Index
Graham Alternative Investment Fund I LLC
Core Macro Portfolio (formerly known as 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 six months ended June 30, 20212022 and 2020,2021, Incentive Allocation of $429,807$1,198,354 and $73,579,$429,807, 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 six months ended June 30, 20212022 and 2020,2021, 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 six months ended June 30, 2022 and 2021 were $18,103 and 2020$18,948, respectively.

Professional Fees

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s audit, tax and legal fees (“professional fees”). The total professional fees allocated to the Fund by GAIT for the six months ended June 30, 2022 and 2021 were $18,948$81,453 and $17,503,$69,623, respectively.

Operating Expenses

In accordance with the LLC Agreement dated May 2, 2022, GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s investments, operations and business (“operating expenses”).  For the period from June 1, 2022 through June 30, 2022, GAIT reimbursed the Manager for operating expenses which were comprised of market data and technology costs associated with its assets allocated to the various Master Funds. The total operating expenses allocated to the Fund by GAIT for the period from June 1, 2022 through June 30, 2022 was $1,538. There were 0 such expenses allocated to the Fund by GAIT for the six months ended June 30, 2021.
 
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.

See attached financial statements of Graham Alternative Investment Trading LLC.

10
Index
Graham Alternative Investment Fund I LLC
Core Macro Portfolio (formerly known as Blended Strategies Portfolio)
Notes to Unaudited Financial Statements (continued)
5. Income Taxes (continued)
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Fund identifies its major tax jurisdictions as the U.S. for Federal tax purposes, and Connecticut for state tax purposes.purposes and various international jurisdictions. The Manager has evaluated the Fund’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the financial statements for all open tax years.statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. 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 six months ended June 30, 20212022 and 2020.2021.

See attached financial statements of Graham Alternative Investment Trading LLC.

10

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Risk Factors

Certain impactsGlobal economic, political and market conditions may adversely affect the Fund’s operations. The current global financial market situation, as well as various social and political circumstances in the United States and around the world (including wars and other forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics), may contribute to public health conditions particularincreased market volatility and economic uncertainties or deterioration in the United States and worldwide. For example, the outbreak of coronavirus, or COVID-19, in many countries continues to the coronavirus (COVID-19)adversely impact global commercial activity and has contributed to significant volatility in financial markets. The outbreak couldof COVID-19 and any continued volatility or economic downturn related to it may have a significantmaterial adverse 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.operations.

7. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended June 30, 20212022 and 2020:2021:
 
 Class 0  Class 2  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  $181.44  $130.05 
Net income:                
Net investment loss  (1.82)  (1.57)  (1.82)  (1.57)
Net gain on investments  3.82
   2.80
   3.82
   2.80
 
Net income  2.00
   1.23
   2.00
   1.23 
Net asset value per Unit, June 30, 2021
 $183.44  $131.28  $183.44  $131.28 
        
Net asset value per Unit, March 31, 2022 $200.75  $143.02 
Net income:        
Net investment loss  (5.66)  (4.19)
Net gain on investments  22.87  16.22
Net income
  17.21  12.03
Net asset value per Unit, June 30, 2022
 $217.96  $155.05 

See attached financial statements of Graham Alternative Investment Trading LLC.


11
Index
Graham Alternative Investment Fund I LLC
Core Macro Portfolio (formerly known as 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 June 30, 20212022 and 2020:2021:
 
 Class 0 Class 2 Class 0
 Class 2
 
 2021 2020 2021 2020 2022 2021 2022 2021 
                         
Total return before Incentive Allocation  1.40
%
  0.18
%
  1.25
%
  (0.01)%  10.81%  1.40%  10.52%  1.25% 
Incentive Allocation  (0.30)  (0.04)  (0.30)  0.00
   (2.24)  (0.30)  (2.11)  (0.30) 
Total return after Incentive Allocation  1.10
%
  0.14
%
  0.95
%
  (0.01)%  8.57%  1.10%  8.41%  0.95% 
                                 
Net investment loss before Incentive Allocation
  (0.71)%  (0.30)%  (0.90)%  (0.49)%  (0.60)%
  (0.71)%
  (0.79)%
  (0.90)%
 
Incentive Allocation  (0.28)  (0.04)  (0.28)  0.00
   (2.09)  (0.28)  (2.01)  (0.28) 
Net investment loss after Incentive Allocation  (0.99)%  (0.34)%  (1.18)%  (0.49)%  (2.69)%
  (0.99)%
  (2.80)%
  (1.18)%
 
                                 
Total expenses before Incentive Allocation  0.72
%
  0.64
%
  0.92
%
  0.83
%
  0.73%  0.72%  0.92%  0.92% 
Incentive Allocation  0.28
   0.04
   0.28
   0.00
   2.09
   0.28
   2.01
   0.28
  
Total expenses after Incentive Allocation  1.00
%
  0.68
%
  1.20
%
  0.83
%
  2.82%  1.00%  2.93%  1.20% 

The following is the per Unit operating performance calculation for the six months ended June 30, 20212022 and 2020:2021:
 
 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 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  $173.06  $124.23 
Net income:                
Net investment loss  (4.92)  (3.99)  (4.92)  (3.99)
Net gain on investments  15.30
   11.04
   15.30
   11.04
 
Net income  10.38
   7.05
   10.38
   7.05
 
Net asset value per Unit, June 30, 2021
 $183.44  $131.28  $183.44  $131.28 
        
Net asset value per Unit, December 31, 2021
 $176.27  $125.68 
Net income:        
Net investment loss  (11.19)  (8.22)
Net gain on investments  52.88
   37.59
 
Net income  41.69
   29.37
 
Net asset value per Unit, June 30, 2022
 $217.96  $155.05 

See attached financial statements of Graham Alternative Investment Trading LLC.


12
Index
Graham Alternative Investment Fund I LLC
Core Macro Portfolio (formerly known as Blended Strategies Portfolio)
Notes to Unaudited Financial Statements (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 six months ended June 30, 20212022 and 2020:2021:
 
 Class 0 Class 2 Class 0 Class 2 
 2021 2020 2021 2020 2022 2021 2022 2021 
                         
Total return before Incentive Allocation  7.60
%
  5.39
%
  7.27
%
  5.01
%
  28.83%  7.60%  28.10%  7.27% 
Incentive Allocation  (1.60)  (0.46)  (1.60)  0.00
   (5.18)  (1.60)  (4.73)  (1.60) 
Total return after Incentive Allocation  6.00
%
  4.93
%
  5.67
%
  5.01
%
  23.65%  6.00%  23.37%  5.67% 
                                 
Net investment loss before Incentive Allocation  (1.27)%  (0.55)%  (1.66)%  (0.93)%  (1.24)%  (1.27)%  (1.62)%  (1.66)% 
Incentive Allocation  (1.47)  (0.46)  (1.45)  0.00
   (4.39)  (1.47)  (4.18)  (1.45) 
Net investment loss after Incentive Allocation  (2.74)%  (1.01)%  (3.11)%  (0.93)%  (5.63)%  (2.74)%  (5.80)%  (3.11)% 
                                 
Total expenses before Incentive Allocation  1.32
%
  1.28
%
  1.71
%
  1.66
%
  1.41%  1.32%  1.78%  1.71% 
Incentive Allocation  1.47
   0.46
   1.45
   0.00
   4.39
   1.47
   4.18
   1.45
  
Total expenses after Incentive Allocation  2.79
%
  1.74
%
  3.16
%
  1.66
%
  5.80%  2.79%  5.96%  3.16% 

Total return is calculated for Class 0 and Class 2 Units taken as a whole and is not annualized.whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses, and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0 and Class 2 Units of the Fund for the three and six months ended June 30, 20212022 and 20202021 and are not annualized.

8. Subsequent Events
 
The Fund had 0 subscriptions and redemptions of approximately $0.1$0.06 million from July 1, 20212022 through August 16, 2021,15, 2022, 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.


13
Graham Alternative Investment Trading LLC

Statements of Financial Condition

  June 30, 2022 (Unaudited)  
December 31, 2021
(Audited)
 
Assets      
Investments in Master Funds, at fair value $4,188,818  
$
4,769,945
 
Investment in Graham Cash Assets LLC, at fair value  62,896,150   
51,121,197
 
Receivable from Master Funds  40   
44
 
Total assets
 $67,085,008  
$
55,891,186
 
         
Liabilities and members’ capital        
Liabilities:
        
Redemptions payable $2,016,186  
$
263,800
 
Accrued professional fees  109,479   
114,472
 
Accrued advisory fees  79,894   
68,959
 
Accrued sponsor fees  42,780   
36,436
 
Accrued administrator’s fee  6,968   
6,154
 
Accrued operating expenses  3,371   
–
 
Payable to Master Funds  23   
825
 
Total liabilities
  2,258,701   
490,646
 
         
Members’ capital:
        
Class 0 Units (169,982.846 and 185,533.074 units issued and outstanding at $217.96 and $176.27 per unit, respectively)  37,049,688   
32,704,572
 
Class 2 Units (165,367.572 and 167,534.772 units issued and outstanding at $155.05 and $125.68 per unit, respectively)  25,640,210   
21,055,621
 
Class M Units (4,671.470 units issued and outstanding at $457.33 and $351.14 per unit, respectively)  2,136,409   
1,640,347
 
Total members’ capital
  64,826,307   
55,400,540
 
Total liabilities and members’ capital
 $67,085,008  
$
55,891,186
 

See accompanying notes.

14
Graham Alternative Investment Trading 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.
14
Index
Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

 
June 30, 2021
(Unaudited)
 
December 31, 2020
(Audited)
 
June 30, 2022
(Unaudited)
  
December 31, 2021
(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 $3,964,962  6.60% 
$
2,103,213
  
3.52
%
 $1,957,811   3.01%
 
$
1,849,637
   3.34%

Graham Derivatives Strategies LLC 470,490   0.73%
 
–
   0.00%

Graham K4D Trading Ltd.  4,124,021  6.87%  
4,342,854
  
7.27
%
 1,760,517   2.72%
 
2,920,308
   5.27%

Total investments in Master Funds $8,088,983   13.47% 
$
6,446,067
   
10.79
%
 $4,188,818   6.46%
 
$
4,769,945
   8.61%

 
See accompanying notes.
 
15
Graham Alternative Investment Trading LLC

Unaudited Statements of OperationsOperations and Incentive Allocation

 Three Months Ended
June 30,		  Six Months Ended
June 30,		  
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 2021  2020  2021  2020  2022  2021  2022  2021 
Net gain allocated from investments in Master Funds:                        
Net realized gain on investments $1,516,330  
$
1,633,430
  $6,611,797  
$
2,824,816
  $9,492,282  
$
1,516,330
  $17,473,733  
$
6,611,797
 
Net (decrease) increase in unrealized appreciation on investments (152,855) 
(1,310,212
)
 (1,275,465) 
569,656
 
Net decrease in unrealized appreciation on investments (2,438,962) 
(152,855
)
 (1,016,446) 
(1,275,465
)
Brokerage commissions and fees  (46,615)  
(52,775
)
  (84,261)  
(154,523
)
  (65,652)  
(46,615
)
  (115,508)  
(84,261
)
Net gain allocated from investments in Master Funds 1,316,860  
270,443
  5,252,071  
3,239,949
  6,987,668  
1,316,860
  16,341,779  
5,252,071
 
                        
Net investment (loss) income allocated from investments in Master Funds (764) 
12,836
  (1,001) 
30,569
 
Net investment income (loss) allocated from investments in Master Funds 232  
(764
)
 (3,574) 
(1,001
)
                        
Investment income:                        
Interest income 10,276  
175,321
  32,634  
374,155
  82,257  
10,276
  107,069  
32,634
 
                        
Expenses:                        
Advisory fees 228,390  
205,807
  448,220  
407,100
  240,555  
228,390
  458,706  
448,220
 
Sponsor fees 120,584  
109,817
  237,224  
217,414
  128,084  
120,584
  243,490  
237,224
 
Professional fees 106,696  
55,919
  143,047  
111,098
  108,449  
106,696
  177,834  
143,047
 
Administrator’s fee 19,904  
18,529
  39,028  
35,989
  20,606  
19,904
  39,689  
39,028
 
Interest expense  3,472  
3,448
   6,951  
6,792
  3,479  
3,472
  6,979  
6,951
 
Operating expenses  3,371  
–
   3,371  
–
 
Total expenses  479,046   
393,520
   874,470   
778,393
   504,544  
479,046
   930,069  
874,470
 
Net investment loss of GAIT  (468,770) 
(218,199
)
  (841,836) 
(404,238
)
Net investment loss of the Fund  (422,287)  
(468,770
)
  (823,000) 
(841,836
)
                        
Net income 847,326  
65,080
  4,409,234  
2,866,280
  6,565,613  
847,326
  15,515,205  
4,409,234
 
                        
Incentive allocation  (163,263) 
(11,712
)
  (855,525) 
(150,781
)
  (1,269,671)  
(163,263
)
  (2,550,314)  
(855,525
)
                        
Net income available for pro-rata allocation to all members $684,063  
$
53,368
  $3,553,709  
$
2,715,499
  $5,295,942  
$
684,063
  $12,964,891  
$
3,553,709
 

See accompanying notes.

16
Index
Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three and Six Months Ended June 30, 2021


 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.
17
Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three and Six Months Ended June 30, 2022

  Class 0  Class 2  Class M  Total 
  Units  Capital  Units  Capital  Units  Capital  Capital 
                      
Members’ capital, December 31, 2021  
185,533.074
  
$
32,704,572
   
167,534.772
  
$
21,055,621
   
4,671.470
  
$
1,640,347
  
$
55,400,540
 
Subscriptions  
–
   
–
   
–
   
–
   
–
   
–
   
–
 
Redemptions  
(2,813.134
)
  
(531,377
)
  
(2,167.200
)
  
(287,440
)
  
–
   
(1,280,643
)
  
(2,099,460
)
Incentive allocation  
–
   
(794,593
)
  
–
   
(486,050
)
  
–
   
1,280,643
   
–
 
Net income  
–
   
5,301,831
   
–
   
3,368,961
   
–
   
278,800
   
8,949,592
 
Members’ capital, March 31, 2022  
182,719.940
   
36,680,433
   
165,367.572
  
$
23,651,092
   
4,671.470
  
$
1,919,147
  
$
62,250,672
 
Subscriptions  –   –   –   –   –   –   – 
Redemptions  (12,737.094)  (2,720,307)  –   –   –   (1,269,671)  (3,989,978)
Incentive allocation  –   (772,392)  –   (497,279)  –   1,269,671   – 
Net income  –   3,861,954   –   2,486,397   –   217,262   6,565,613 
Members’ capital, June 30, 2022  169,982.846  $37,049,688   165,367.572  $25,640,210   4,671.470  $2,136,409  $64,826,307 
See accompanying notes.
17
Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Six Months Ended June 30, 20202021


 Class 0  Class 2  Class M Total  Class 0  Class 2  Class M Total 
Units Capital  Units  Capital  Units  Capital Capital  Units Capital  Units  Capital  Units  Capital Capital 
                                     
Members’ capital, December 31, 2019
 
213,162.414
 
$
32,409,897
  
201,355.180
  
$
21,816,766
  
4,671.470
  
$
1,307,992
 
$
55,534,655
 
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 
(5,366.145
)
 
(816,202
)
 
(6,097.039
)
 
(673,152
)
 
–
  
(139,069
)
 
(1,628,423
)
 
(3,043.519
)
 
(538,957
)
 
(3,178.647
)
 
(411,629
)
 
–
  
(692,262
)
 
(1,642,848
)
Incentive allocation 
–
 
(139,069
)
 
–
  
–
  
–
  
139,069
 
–
  
–
 
(424,238
)
 
–
  
(268,024
)
 
–
  
692,262
 
–
 
Net income  
–
  
1,650,675
   
–
   
1,075,378
   
–
   
75,147
  
2,801,200
   
–
  
2,119,121
   
–
   
1,340,122
   
–
   
102,665
  
3,561,908
 
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
 
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 
(1,773.039
)
 
(282,562
)
 
(2,988.460
)
 
(339,451
)
 
–
  
(11,712
)
 
(633,725
)
 
(5,148.509
)
 
(949,508
)
 
(10,229.362
)
 
(1,366,841
)
 
–
  
(163,263
)
 
(2,479,612
)
Incentive allocation 
–
 
(11,712
)
 
–
  
–
  
–
  
11,712
 
–
  
–
 
(101,431
)
 
–
  
(61,832
)
 
–
  
163,263
 
–
 
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
 
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.
 
18
Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

 Six Months Ended June 30,  Six Months Ended June 30, 
 2021  2020  2022  2021 
Cash flows provided by operating activities            
Net income
 $4,409,234  
$
2,866,280
  $15,515,205  
$
4,409,234
 
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
)
 (16,338,205) 
(5,251,070
)
Net (income) allocated from investment in Graham Cash Assets LLC (32,634) 
(374,155
)
 (107,069) 
(32,634
)
Proceeds from sale of investments in Master Funds 35,557,695  
32,747,567
  39,890,240  
35,557,695
 
Proceeds from sale of investment in Graham Cash Assets LLC 28,466,809  
22,911,926
  18,117,424  
28,466,809
 
Purchases of investments in Master Funds (31,949,856) 
(28,650,545
)
 (22,971,706) 
(31,949,856
)
Purchases of investment in Graham Cash Assets LLC (27,262,735) 
(23,689,846
)
 (29,785,308) 
(27,262,735
)
Changes in assets and liabilities:            
Decrease in accrued professional fees (46,864) 
(101,107
)
 (4,993) 
(46,864
)
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
)
Increase (decrease) in accrued advisory fees 10,935  
(1,760
)
Increase (decrease) in accrued sponsor fees 6,344  
(1,462
)
Increase (decrease) in accrued administrator’s fee 814  
(262
)
Increase in accrued operating expenses  3,371  – 
Net cash provided by operating activities
  3,887,095  
2,436,380
   4,337,052   
3,887,095
 
            
Cash flows used in financing activities            
Subscriptions –  
–
  –  
–
 
Redemptions (net of redemptions payable)  (3,887,095) 
(2,436,380
)
  (4,337,052)  
(3,887,095
)
Net cash used in financing activities
  (3,887,095)  
(2,436,380
)
  (4,337,052) 
(3,887,095
)
            
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
 

Supplemental cash flow information      
Interest paid $6,979  
$
6,951
 
See accompanying notes.
 
19
Graham Alternative Investment Trading LLC

NotesNotes to Unaudited Financial Statements

June 30, 20212022

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 Core Macro Portfolio (formerly known as Blended Strategies PortfolioPortfolio) and Graham Alternative Investment Fund II LLC Core Macro Portfolio (formerly known as Blended Strategies PortfolioPortfolio) (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”).
 
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.
 
20
Index

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, if any, 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 June 30, 20212022 and December 31, 2020.2021. 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 of investments 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.
 
21
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 six months ended June 30, 20212022 or the year ended December 31, 20202021 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 and net decrease in unrealized appreciation 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.

22
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 potentially 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.
 
23
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.condition of the Master Funds. 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.

24
Index

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 six months ended June 30, 20212022 and the year ended December 31, 20202021 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$2,342,440 at June 30, 20212022 and December 31, 2020,2021, respectively. Graham Commodity Strategies LLC had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $0 and $280,016 at June 30, 2022 and December 31, 2021. Graham Derivatives Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at June 30, 2021 and December 31, 2020.2022.
 
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 June 30, 20212022 and December 31, 2020,2021, the two NYMEX seats were valued at $350,500$297,000 and $283,000,$315,000, respectively, and the 30,000 shares of CME Group were valued at $6,380,400$6,141,000 and $5,461,500,$6,853,800, 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.
 
25
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 June 30, 20212022 and December 31, 2020,2021, the two CME seats were valued at $399,250$512,250 and $295,050, respectively.  As of June 30, 2021$464,500, respectively, and December 31, 2020, the 2,232 shares of CME Group were valued at $474,702$456,890 and $406,336, respectively.  The CME seats and shares$509,923, respectively, all of which 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 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 June 30, 20212022 and December 31, 2020,2021, the CME seat was valued at $61,000$158,250 and $51,000, respectively. As of June 30, 2021$112,000, respectively, and December 31, 2020, the 4,085 shares of the CME Group were valued at $868,797$836,200 and $743,674, respectively. The CME seats and shares$933,259, respectively, all of which 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
 
As of June 30, 2022, Graham K4D Trading Ltd.Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Board of Trade (“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 June 30, 2022 and December 31, 2021, the 3,265 shares of the CME Group were valued at $668,346 and $745,922, respectively, all of which are included in Exchange memberships on Graham Commodity LLC’s statement of financial condition. The CME 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, is also a member of the 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 June 30, 20212022 and December 31, 2020,2021, the two B-1/Full seats were valued at a total of $414,000$550,000 and $373,000,$413,500, respectively, and the B-2/Associate seat was valued at $28,250$79,000 and $32,250,$47,500, 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 June 30, 20212022 and December 31, 2020,2021, the 970 shares of the CME Group were valued at $206,300$198,559 and $176,589,$221,606, 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 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 June 30, 2021 and December 31, 2020, the 3,265 shares of the CME Group were valued at $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 June 30, 2021,2022, 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 June 30, 20212022 and December 31, 2020,2021, the two COMEX seats were valued at $167,500$193,000 and $177,000, respectively.  The COMEX seats are$196,000 in total and is 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.
 
26
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 held by the Master Funds, when applicable, 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 held by the Master Funds 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 insolvency, recovery of the GAIT’s cash would be limited to account insurance or other protection afforded by such deposit.  At June 30, 20212022 and December 31, 2020,2021, 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 June 30, 20212022 and December 31, 2020,2021, no accruals have been recorded by GAIT for indemnifications.
 
27
Index
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds
 
As of June 30, 20212022 and December 31, 2020,2021, 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.
 
June 30, 2021
 
June 30, 2022June 30, 2022 
Investment – Objective 
Percent of
Members’
Capital
 Fair Value  
Net Income
(six months ended
June 2021)
  
Percent of
Members’ Capital
  Fair Value  
Net Income
(six months ended
June 2022)
 
                  
Global Macro Funds                  
Graham Commodity Strategies LLC 6.60% $3,964,962  $3,854,656   3.01%
 $1,957,811  $7,005,331 
Graham Derivatives Strategies LLC  0.73%
 470,490  2,155,661 
                   
Systematic Macro Funds                   
Graham K4D Trading Ltd.  6.87% 4,124,021  1,396,414   2.72%
 1,760,517  7,177,213 
  13.47% $8,088,983  $5,251,070   6.46%
 $4,188,818  $16,338,205 

December 31, 2020
 
December 31, 2021December 31, 2021 
Investment – Objective 
Percent of
Members’
Capital
 Fair Value  
Net Income (Loss)
(six months ended
June 2020)
  
Percent of
Members’ Capital
  Fair Value  
Net Income
(six months ended
June 2021)
 
                  
Global Macro Funds                  
Graham Commodity Strategies LLC 
3.52
%
 
$
2,103,213
  
$
5,339,793
   3.34%

 
$
1,849,637
  
$
3,854,656
 
                   
Systematic Macro Funds                   
Graham K4D Trading Ltd.  
7.27
%
 
4,342,854
  
(2,090,848
)
  5.27%

 
2,920,308
  
1,396,414
 
  
10.79
%
 
$
6,446,067
  
$
3,248,945
   8.61%

 
$
4,769,945
  
$
5,251,070
 

2728
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 June 30, 2021:2022:
 
 
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
  
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham
Derivatives
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
 
Assets:               
Fixed income securities, at fair value (cost $27,500,000) 
$
–
  
$
27,499,806
 
Due from brokers 
118,378,764
  
23,540,984
  
$
71,053,716
  
$
3,290,536
  
$
27,042,207
 
Derivative financial instruments, at fair value 
12,354,726
  
1,539,203
  
6,311,153
  
16,014,901
  
1,466,427
 
Exchange memberships, at fair value 
8,466,752
  
1,578,347
  
8,268,486
  
–
  
1,822,009
 
Interest receivable  
4,087
  
1,521
   
17,720
   
3,194
   
10,164
 
Total assets
  
139,204,329
  
54,159,861
   
85,651,075
   
19,308,631
   
30,340,807
 
               
Liabilities:               
Derivative financial instruments, at fair value 
3,033,856
  
–
  
3,606,289
  
–
  
6,911,736
 
Interest payable  
19,112
  
3,202
   
12,056
   
3,044
   
11,161
 
Total liabilities
  
3,052,968
   
3,202
   
3,618,345
   
3,044
   
6,922,897
 
Members’ Capital / Net Assets
 
$
136,151,361
  
$
54,156,659
  
$
82,032,730
  
$
19,305,587
  
$
23,417,910
 
               
Percentage of Master Fund held by GAIT
  
2.91
%
 
7.61
%
  
2.39
%
  
2.44
%
  
7.52
%

2829
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 June 30, 2021:2022:
 
Description
Number of
Contracts
 Fair Value  
Percentage
of Members’
Capital of
Master Fund
  
Number of
Contracts / National
Amounts
  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)
  
$
8,466,752
  
6.22
%
   
$
8,268,486
  
10.08
%
Total exchange memberships  $8,466,752 6.22%   $8,268,486 10.08%
             
Derivative financial instruments             
Long contracts             
Futures             
Commodity  
$
2,377,996
 
1.75
%
   
$
(6,302,267
)
 
(7.68
)%
Foreign bond  
189,408
 
0.14
%
       
Euro-Bund September 2022 
229
 
628,722
 
0.77
%
Other foreign bond   
324,452
 
0.40
%
Foreign index  
(568,473
)
 
(0.42
)%
   
13,171
 
0.02
%
Interest rate  
159,963
 
0.12
%
   
360,396
 
0.44
%
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. 10yr Note September 2022 
3,539
 
4,873,514
 
5.94
%
U.S. 5yr Note September 2022 
4,110
 
3,815,595
 
4.65
%
U.S. long bond CBT September 2022 
17
 
11,625
 
0.01
%
U.S. index   
5,210,203
 
3.83
%
    
1,135,540
 
1.38
%
Total futures   
7,728,581
  
5.68
%
    
4,860,748
 
5.93
%
             
Forwards             
Foreign currency   
(3,224,103
)
 
(2.37
)%
Korean won / U.S. dollar 07/08/2022 - 09/21/2022 
KRW 134,385,588,416
 
308,108
 
0.38
%
Other foreign currency    
(7,946,803
)
 
(9.69
)%
Total forwards   
(3,224,103
)
  
(2.37
)%
    
(7,638,695
)
  
(9.31
)%
             
Options (cost $33,266,987)      
Options (cost $5,250,147)       
Commodity futures  
3,126,301
 
2.30
%
   
146,500
 
0.18
%
Currency futures  
9,414,502
 
6.91
%
   
305,512
 
0.37
%
Interest rate futures  
6,562,881
 
4.82
%
   
(1,970,938
)
 
(2.40
)%
U.S. bond futures      
U.S. 10 yr September 2021, $130.50 - $131.00 Put2 
920,156
 
0.68
%
U.S. 5 yr September 2021, $122.25 - $123.25 Put2 
1,734,148
 
1.27
%
U.S. index futures   
5,282,980
 
3.88
%
    
4,038,280
 
4.92
%
Total options   
27,040,968
  
19.86
%
    
2,519,354
 
3.07
%

2930
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 June 30, 2022:
Description 
Number of
Contracts / Notional
Amounts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued)         
Derivative financial instruments (continued)         
Short contracts         
Futures         
Commodity    
$
(214,095
)
  
(0.26
)%
Foreign bond           
Euro-Bobl September 2022  
(3,900
)
  
(6,852,621
)
  
(8.35
)%
Euro-Bund September 2022  
(1,840
)
  
(4,596,987
)
  
(5.60
)%
Euro-Schatz September 2022  
(2,597
)
  
(60,718
)
  
(0.07
)%
Other foreign bond      
(576,682
)
  
(0.71
)%
Foreign index      
647,197
   
0.79
%
Interest rate      
(61,782
)
  
(0.08
)%
U.S. bond            
U.S. 10yr Ultra bond September 2022  
(453
)
  
149,125
   
0.18
%
U.S. index      
3,930,150
   
4.79
%
Total futures      
(7,636,413
)
  
(9.31
)%
             
Forwards            
U.S. dollar / Korean won 7/08/2022 - 9/21/2022 KRW (269,531,843,646)   
5,250,177
   
6.40
%
Other foreign currency      
5,570,085
   
6.79
%
Total forwards      
10,820,262
   
13.19
%
             
Options (proceeds $470,301)            
Commodity futures      
(32,500
)
  
(0.04
)%
Interest rate futures      
995,988
   
1.21
%
U.S. index futures      
(1,183,880
)
  
(1.44
)%
Total options      
(220,392
)
  
(0.27
)%
Total derivative financial instruments     $2,704,864   
3.30
%

31
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 June 30, 2021:2022:
 
Description 
Number of
Contracts /
Notional Amounts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued)         
Derivative financial instruments (continued)         
Short contracts         
Futures         
Commodity    
$
(429,900
)
  
(0.32
)%
Foreign bond     
(1,528,550
)
  
(1.12
)%
Foreign index     
111,196
   
0.08
%
Interest rate     
665,740
   
0.49
%
U.S. bond           
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      
(1,690,848
)
  
(1.24
)%
Total futures      
(11,476,159
)
  
(8.44
)%
             
Forwards            
Foreign currency      
1,847,187
   
1.36
%
Total forwards      
1,847,187
   
1.36
%
             
Options (proceeds $17,561,248)            
Commodity futures      
(1,653,338
)
  
(1.21
)%
Currency futures      
(1,366,933
)
  
(1.00
)%
Interest rate futures      
(5,102,388
)
  
(3.75
)%
U.S. bond futures            
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      
(2,155,695
)
  
(1.58
)%
Total options      
(12,595,604
)
  
(9.24
)%
Total derivative financial instruments     $9,320,870   6.85%
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Derivatives Strategies LLC         
Derivative financial instruments         
Long contracts         
Futures         
U.S. bond         
U.S 10yr Note September 2022  
64
  
$
18,812
   
0.10
%
U.S. index      
(16,450
)
  
(0.09
)%
Total futures      
2,362
   
0.01
%
             
Forwards            
Foreign currency      
(654,145
)
  
(3.39
)%
Total forwards      
(654,145
)
  
(3.39
)%
             
Options (cost $52,491,672)            
Commodity futures            
Crude oil December 2022, $57.50 Put  
1
   
1,793,220
   
9.29
%
Crude oil December 2022, $70.50 Put  
1
   
3,579,600
   
18.54
%
Crude oil December 2022, $85.50 Put  
1
   
8,162,400
   
42.28
%
Currency futures            
Euro / U.S. dollar November 2022, $0.97 Put  
1
   
1,190,045
   
6.16
%
Euro / U.S. dollar April 2023, $0.95 Put  
1
   
1,260,261
   
6.53
%
Euro / U.S. dollar July 2022 - November 2022, $0.97 - $1.04 Put  
3
   
1,208,378
   
6.26
%
Euro / U.S. dollar July 2022, $1.22 Call  
1
   
–
   
0.00
%
U.S. dollar / Japanese yen July 2022, $125.25 Call  
1
   
14,377,005
   
74.47
%
U.S. dollar / Japanese yen July 2022, $128.25 Call  
1
   
10,370,089
   
53.72
%
U.S. dollar / Japanese yen July 2022 - April 2023, $136.25 - $140.50 Call  
4
   
2,447,349
   
12.68
%
U.S. dollar / Japanese yen October 2022, $139.50 Call  
1
   
2,155,698
   
11.17
%
U.S. dollar / Japanese yen October 2022, $127.00 Put  
1
   
1,111,221
   
5.76
%
U.S. dollar / Japanese yen November 2022, $131.50 Put  
1
   
653,999
   
3.39
%
U.S. dollar / Mexican peso April 2023, $18.75 Put  
1
   
759,400
   
3.93
%
U.S. dollar / Mexican peso November 2022, $19.40 Put  
1
   
1,659,339
   
8.60
%
Other currency futures      
2,108,053
   
10.91
%
Interest rate futures            
IMM Euro December 2022, $98.75 Call  
1
   
875,219
   
4.53
%
U.S. bond futures            
U.S. 10yr future August 2022, $118.50 Call  
1
   
3,621,875
   
18.76
%
U.S. index futures            
S&P E-mini July 2022, $3,600.00 Put  
1
   
2,062,925
   
10.69
%
S&P E-mini September 2022, $3,600.00 Put  
1
   
4,151,500
   
21.50
%
S&P E-mini September 2022, $4,300.00 Call  
1
   
560,500
   
2.90
%
S&P E-mini July 2022, $3,605.00 Put  
1
   
553,613
   
2.87
%
Total options      
64,661,689
   
334.94
%

3032
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 June 30, 2021:2022:
 
Description 
Principal Amount /
Number of Contracts
  Fair Value  
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd.         
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
  
$
27,499,806
   
50.78
%
Total United States      
27,499,806
   
50.78
%
Total government bonds      
27,499,806
   
50.78
%
Total fixed income securities owned     $27,499,806   50.78%
             
Exchange memberships (cost $1,924,208)            
United States (cost $1,924,208)            
Financial services (cost $1,924,208)     
$
1,578,347
   
2.91
%
Total exchange memberships     $1,578,347   2.91%
             
Derivative financial instruments            
Long contracts            
Futures            
Commodity            
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      
(44,028
)
  
(0.08
)%
Foreign bond      
48,538
   
0.09
%
Foreign index      
(500,347
)
  
(0.92
)%
Interest rate      
(426,872
)
  
(0.79
)%
U.S. bond      
(490,763
)
  
(0.91
)%
U.S. index      
2,067,009
   
3.82
%
Total futures      
1,855,887
   
3.43
%
             
Forwards            
Foreign currency      
(4,941,330
)
  
(9.12
)%
Total forwards      
(4,941,330
)
  
(9.12
)%
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Derivatives Strategies LLC (continued)         
Derivative financial instruments (continued)         
Short contracts         
Futures         
S&P 500 E-mini September 2022  (38) 
$
43,500
   
0.23
%
Total futures      
43,500
   
0.23
%
             
Forwards            
Foreign currency      
180,366
   
0.93
%
Total forwards      
180,366
   
0.93
%
             
Options (proceeds $37,329,502)            
Commodity futures            
Crude oil December 2022, $50.50 Put  
(1
)
  
(1,128,600
)
  
(5.85
)%
Crude oil December 2022, $75.50 Put  
(1
)
  
(6,988,960
)
  
(36.20
)%
Crude oil December 2022, $80.50 Put  
(1
)
  
(3,350,080
)
  
(17.35
)%
Currency futures            
Euro / U.S. dollar August 2022, $1.00 Put  
(1
)
  
(129,276
)
  
(0.67
)%
U.S. dollar / Japanese yen July 2022, $125.25 Call  
(1
)
  
(14,377,005
)
  
(74.47
)%
U.S. dollar / Japanese yen July 2022, $128.25 Call  
(1
)
  
(10,370,089
)
  
(53.72
)%
U.S. dollar / Japanese yen July 2022 - August 2022, $136.25 - $143.25 Call  
(3
)
  
(1,383,048
)
  
(7.16
)%
U.S. dollar / Japanese yen October 2022, $139.50 Call  
(1
)
  
(2,155,698
)
  
(11.17
)%
U.S. dollar / Japanese yen November 2022, $128.50 Put  
(1
)
  
(341,396
)
  
(1.77
)%
U.S. dollar / Mexican peso November 2022, $18.95 Put  
(1
)
  
(868,502
)
  
(4.50
)%
Other currency futures      
(870,397
)
  
(4.50
)%
Interest rate futures            
IMM Euro December 2022, $98.50 Call  
(1
)
  
(1,003,950
)
  
(5.20
)%
U.S. bond futures            
U.S. 10yr August 2022, $120.50 Call  
(1
)
  
(1,068,750
)
  
(5.54
)%
U.S. index futures            
S&P E-mini September 2022, $3,400.00 Put  
(1
)
  
(2,394,000
)
  
(12.40
)%
S&P E-mini September 2022, $4,200.00 Call  
(1
)
  
(997,500
)
  
(5.17
)%
S&P E-mini July 2022, $3,450.00 Put  
(1
)
  
(735,300
)
  
(3.81
)%
S&P E-mini July 2022, $3,505.00 Put  
(1
)
  
(56,320
)
  
(0.29
)%
Total options      
(48,218,871
)
  
(249.77
)%
Total derivative financial instruments     $16,014,901   82.95%

3133
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 June 30, 2021:2022:
 
Description 
Number of
Contracts / Notional
Amounts
  Fair Value  
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd. (continued)         
Derivative financial instruments (continued)         
Short contracts         
Futures         
Commodity         
LME Copper September 2021  
(160
)
 
$
1,304,320
   
2.41
%
Other commodity      
(1,220,840
)
  
(2.26
)%
Currency      
(14,900
)
  
(0.03
)%
Foreign bond      
(756,327
)
  
(1.40
)%
Foreign index      
(50,924
)
  
(0.09
)%
Interest rate      
(18,679
)
  
(0.04
)%
U.S. bond      
(1,527,414
)
  
(2.82
)%
Total futures      
(2,284,764
)
  
(4.23
)%
             
Forwards            
Foreign currency      
6,909,410
   
12.76
%
Total forwards      
6,909,410
   
12.76
%
Total derivative financial instruments     $1,539,203   2.84%
Description 
Number of
Contracts / Notional
Amounts
  Fair Value  
Percentage
of Net Assets
of Master
Fund
 
Graham K4D Trading Ltd.         
Exchange memberships (cost $1,924,208)         
United States (cost $1,924,208)         
Financial services (cost $1,924,208)    
$
1,822,009
   
7.78
%
Total exchange memberships    $1,822,009   7.78%
            
Derivative financial instruments           
Long contracts           
Futures           
Commodity           
Brent Crude September 2022  
109
  
$
(673,417
)
  
(2.88
)%
Gasoline Rbob August 2022  
102
   
(1,074,003
)
  
(4.59
)%
Low Sulphur Gasoil August 2022  
101
   
(1,267,250
)
  
(5.41
)%
Natural Gas August 2022  
102
   
(1,763,486
)
  
(7.53
)%
NY Harbor ULSD August 2022  
69
   
(1,272,503
)
  
(5.43
)%
WTI Crude August 2022  
100
   
(860,160
)
  
(3.67
)%
Other commodity      
(6,066,616
)
  
(25.91
)%
Currency      
123,823
   
0.53
%
Foreign bond      
199,071
   
0.85
%
Foreign index      
(756,171
)
  
(3.23
)%
Interest rate      
388,861
   
1.66
%
U.S. bond      
1,385,832
   
5.92
%
U.S. index      
(162,973
)
  
(0.70
)%
Total futures      
(11,798,992
)
  
(50.39
)%
             
Forwards            
British pound / U.S. dollar 9/21/2022 GBP 7,383,000   
93,742
   
0.40
%
Euro dollar / U.S. dollar  9/21/2022 EUR 7,838,000   
27,597
   
0.12
%
Other foreign currency      
(1,173,920
)
  
(5.01
)%
Total forwards      
(1,052,581
)
  
(4.49
)%

3234
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 June 30, 2022:
Description
Notional
Amounts
 Fair Value  
Percentage
of Net Assets
of Master
Fund
 
Graham K4D Trading Ltd. (continued)       
Derivative financial instruments (continued)       
Short contracts       
Futures       
Commodity  
$
1,198,368
   
5.12
%
Currency   
69,841
   
0.30
%
Foreign bond   
1,470,616
   
6.28
%
Foreign index   
1,161,828
   
4.96
%
Interest rate   
(489,752
)
  
(2.09
)%
U.S. bond   
(4,258
)
  
(0.02
)%
U.S. index   
187,887
   
0.80
%
Total futures   
3,594,530
   
15.35
%
          
Forwards         
U.S. dollar / British pound 9/21/2022GBP (49,429,000)  
1,569,824
   
6.70
%
U.S. dollar / Euro dollar 9/21/2022 EUR (59,187,000)  
1,386,325
   
5.92
%
Other foreign currency   
855,585
   
3.66
%
Total forwards   
3,811,734
   
16.28
%
Total derivative financial instruments  $(5,445,309)  (23.25)%

35
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 June 30, 2021:2022:
 
 
Graham
Commodity
Strategies LLC
  
Graham K4D
Trading Ltd.
  
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham
K4D Trading Ltd.
 
Assets               
Level 1:
               
Commodity futures 
$
2,931,566
  
$
5,858,258
  
$
604,348
  
$
–
  
$
1,341,708
 
Commodity futures options 
3,126,301
  
–
  
146,500
  
13,535,220
  
–
 
Currency futures 
–
  
63,288
  
–
  
–
  
222,249
 
Exchange memberships 
8,466,752
  
1,578,347
 
Exchange memberships* 
8,268,486
  
–
  
1,822,009
 
Foreign bond futures 
261,383
  
96,055
  
1,395,403
  
–
  
1,670,195
 
Foreign index futures 
111,196
  
44,887
  
731,287
  
–
  
1,175,070
 
Interest rate futures 
1,344,353
  
50,293
  
360,396
  
–
  
388,861
 
Interest rate futures options 
6,562,881
  
–
  
1,049,025
  
875,219
  
–
 
U.S. bond futures 
447,788
  
23,624
  
8,849,859
  
18,812
  
1,399,590
 
U.S. bond futures options 
2,654,304
  
–
  
–
  
3,621,875
  
–
 
U.S. index futures 
5,216,303
  
2,151,063
  
5,065,690
  
43,500
  
206,410
 
U.S. index futures options  
5,282,980
  
–
   
4,038,280
   
7,328,538
   
–
 
Total Level 1
  
36,405,807
   
9,865,815
   
30,509,274
   
25,423,164
   
8,226,092
 
               
Level 2:
               
Foreign currency forwards 
5,594,247
  
7,396,514
  
12,433,627
  
317,189
  
5,556,411
 
Foreign currency futures options 
9,414,502
  
–
   
305,512
   
39,300,838
   
–
 
Government bonds*  
–
  
27,499,806
 
Total Level 2
  
15,008,749
   
34,896,320
   
12,739,139
   
39,618,027
   
5,556,411
 
Total investment related assets
 
$
51,414,556
  
$
44,762,135
  
$
43,248,413
  
$
65,041,191
  
$
13,782,503
 
               
Liabilities               
Level 1:
               
Commodity futures 
$
(983,470
)
 
$
(4,572,428
)
 
$
(7,120,710
)
 
$
–
  
$
(13,120,775
)
Commodity futures options 
(1,653,338
)
 
–
  
(32,500
)
 
(11,467,640
)
 
–
 
Currency futures 
–
  
(122,216
)
 
–
  
–
  
(28,585
)
Foreign bond futures 
(1,600,525
)
 
(803,844
)
 
(12,529,237
)
 
–
  
(508
)
Foreign index futures 
(568,473
)
 
(596,158
)
 
(70,919
)
 
–
  
(769,413
)
Interest rate futures 
(518,650
)
 
(495,844
)
 
(61,782
)
 
–
  
(489,752
)
Interest rate futures options 
(5,102,388
)
 
–
  
(2,023,975
)
 
(1,003,950
)
 
–
 
U.S. bond futures 
(8,692,101
)
 
(2,041,801
)
 
–
  
–
  
(18,016
)
U.S. bond futures options 
(2,317,250
)
 
–
  
–
  
(1,068,750
)
 
–
 
U.S. index futures 
(1,696,948
)
 
(84,054
)
 
–
  
(16,450
)
 
(181,496
)
U.S. index futures options  
(2,155,695
)
 
–
   
(1,183,880
)
  
(4,183,120
)
  
–
 
Total Level 1
  
(25,288,838
)
  
(8,716,345
)
  
(23,023,003
)
  
(17,739,910
)
  
(14,608,545
)
               
Level 2:
               
Foreign currency forwards 
(6,971,163
)
 
(5,428,434
)
 
(9,252,060
)
 
(790,968
)
 
(2,797,258
)
Foreign currency futures options  
(1,366,933
)
 
–
   
–
   
(30,495,412
)
  
–
 
Total Level 2
  
(8,338,096
)
 
(5,428,434
)
  
(9,252,060
)
  
(31,286,380
)
  
(2,797,258
)
Total investment related liabilities
 
$
(33,626,934
)
 
$
(14,144,779
)
 
$
(32,275,063
)
 
$
(49,026,290
)
 
$
(17,405,803
)

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

3336
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 six months ended June 30, 2022. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at June 30, 2022 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 
$
199,662,721
   
2,433
  
$
(18,278,186
)
  
(586
)
 
$
604,348
  
$
(7,120,710
)
Options (a)  
13,373,826
   
1,072
   
(5,762,599
)
  
(575
)
  
146,500
   
(32,500
)
   
213,036,547
   
3,505
   
(24,040,785
)
  
(1,161
)
  
750,848
   
(7,153,210
)
                         
Equity price                        
Futures  
38,310,404
   
820
   
(198,521,617
)
  
(2,503
)
  
5,796,977
   
(70,919
)
Options (a)  
1,428,384
   
3,111
   
(1,428,384
)
  
(3,111
)
  
4,038,280
   
(1,183,880
)
   
39,738,788
   
3,931
   
(199,950,001
)
  
(5,614
)
  
9,835,257
   
(1,254,799
)
Foreign currency exchange rate                     
Forwards  
1,053,811,011
   
N/A
   
(1,286,119,454
)
  
N/A
   
12,433,627
   
(9,252,060
)
Options (a)  
46,546,578
   
8
   
(36,330,813
)
  
(7
)
  
305,512
   
–
 
   
1,100,357,589
   
8
   
(1,322,450,267
)
  
(7
)
  
12,739,139
   
(9,252,060
)
                         
Interest rate                        
Futures  
904,233,652
   
6,704
   
(2,574,819,169
)
  
(13,274
)
  
10,605,658
   
(12,591,019
)
Options (a)  
1,207,904,723
   
24,268
   
(1,371,950,988
)
  
(24,268
)
  
1,049,025
   
(2,023,975
)
   
2,112,138,375
   
30,972
   
(3,946,770,157
)
  
(37,542
)
  
11,654,683
   
(14,614,994
)
Total
 
$
3,465,271,299
   
38,416
  
$
(5,493,211,210
)
  
(44,324
)
 
$
34,979,927
  
$
(32,275,063
)
(a)
Notional amounts for options are based on the delta-adjusted positions.

37
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 CommodityDerivatives Strategies LLC based on its average quarterly notional amounts and number of contracts for the six months ended June 30, 2022. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at June 30, 2022 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 
$
551,540
   
6
  
$
–
   
–
  
$
–
  
$
–
 
Options (a)  
102,641,829
   
3,416
   
(78,353,119
)
  
(3,425
)
  
13,535,220
   
(11,467,640
)
   
103,193,369
   
3,422
   
(78,353,119
)
  
(3,425
)
  
13,535,220
   
(11,467,640
)
                         
Equity price                        
Futures  
10,784,847
   
48
   
(7,465,900
)
  
(32
)
  
43,500
   
(16,450
)
Options (a)  
56,920,496
   
2,924
   
(111,685,945
)
  
(2,501
)
  
7,328,538
   
(4,183,120
)
   
67,705,343
   
2,972
   
(119,151,845
)
  
(2,533
)
  
7,372,038
   
(4,199,570
)
Foreign currency exchange rate                        
Forwards  
50,039,680
   
N/A
   
(64,922,109
)
  
N/A
   
317,189
   
(790,968
)
Options (a)  
592,130,585
   
21
   
(637,534,474
)
  
(19
)
  
39,300,838
   
(30,495,412
)
   
642,170,265
   
21
   
(702,456,583
)
  
(19
)
  
39,618,027
   
(31,286,380
)
                         
Interest rate                        
Futures  
296,348,513
   
810
   
(336,830,409
)
  
(1,441
)
  
18,812
   
–
 
Options (a)  
389,504,761
   
20,704
   
(305,634,839
)
  
(20,779
)
  
4,497,094
   
(2,072,700
)
   
685,853,274
   
21,514
   
(642,465,248
)
  
(22,220
)
  
4,515,906
   
(2,072,700
)
Total 
$
1,498,922,251
   
27,929
  
$
(1,542,426,795
)
  
(28,197
)
 
$
65,041,191
  
$
(49,026,290
)
(a)Notional amounts for options are based on the delta-adjusted positions.
38
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, 2022. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at June 30, 2022 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 
$
172,886,892
   
2,264
  
$
(41,700,362
)
  
(325
)
 
$
1,341,708
  
$
(13,120,775
)
   
172,886,892
   
2,264
   
(41,700,362
)
  
(325
)
  
1,341,708
   
(13,120,775
)
                         
Equity price                        
Futures  
70,368,676
   
718
   
(55,158,269
)
  
(424
)
  
1,381,480
   
(950,909
)
   
70,368,676
   
718
   
(55,158,269
)
  
(424
)
  
1,381,480
   
(950,909
)
Foreign currency exchange rate                        
Forwards  
209,085,358
   
N/A
   
(405,302,435
)
  
N/A
   
5,556,411
   
(2,797,258
)
Futures  
9,383,350
   
96
   
(3,948,716
)
  
(39
)
  
222,249
   
(28,585
)
   
218,468,708
   
96
   
(409,251,151
)
  
(39
)
  
5,778,660
   
(2,825,843
)
                         
Interest rate                        
Futures  
212,310,072
   
881
   
(510,172,499
)
  
(2,654
)
  
3,458,646
   
(508,276
)
   
212,310,072
   
881
   
(510,172,499
)
  
(2,654
)
  
3,458,646
   
(508,276
)
Total
 
$
674,034,348
   
3,959
  
$
(1,016,282,281
)
  
(3,442
)
 
$
11,960,494
  
$
(17,405,803
)
39
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 June 30, 2022 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 
$
34,979,927
  
$
(28,668,774
)
 
$
6,311,153
  
$
–
  
$
6,311,153
 
Derivative liabilities 
$
(32,275,063
)
 
$
28,668,774
  
$
(3,606,289
)
 
$
3,606,289
  
$
–
 
                     
Graham Derivatives Strategies LLC2
                    
Derivative assets 
$
65,041,191
  
$
(49,026,290
)
 
$
16,014,901
  
$
–
  
$
16,014,901
 
Derivative liabilities 
$
(49,026,290
)
 
$
49,026,290
  
$
–
  
$
–
  
$
–
 
                     
Graham K4D Trading Ltd.3
                    
Derivative assets 
$
11,960,494
  
$
(10,494,067
)
 
$
1,466,427
  
$
–
  
$
1,466,427
 
Derivative liabilities 
$
(17,405,803
)
 
$
10,494,067
  
$
(6,911,736
)
 
$
6,911,736
  
$
–
 
1 Net derivative asset and liability amounts presented in the statements of financial condition are held with three counterparties. At June 30, 2022, additional collateral pledged in the amount of $67,422,578 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.
2 Net derivative asset amounts presented in the statements of financial condition are held with two counterparties. At June 30, 2022, additional collateral pledged in the amount of $3,290,536 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.
3 Net derivative asset and liability amounts presented in the statements of financial condition are held with two counterparties. At June 30, 2022, additional collateral pledged in the amount of $20,130,471 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.
40
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 June 30, 2022:
  
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
 
          
Net investment income (loss) 
$
40,751
  
$
(1,390
)
 
$
(9,901
)
             
Net realized gain on investments  
146,523,902
   
50,617,178
   
61,988,515
 
Net decrease in unrealized appreciation on investments  
(20,393,341
)
  
(1,937,631
)
  
(24,082,221
)
Brokerage commissions and fees  
(649,267
)
  
(1,839,184
)
  
(47,037
)
Net gain on investments  
125,481,294
   
46,840,363
   
37,859,257
 
Net income
 
$
125,522,045
  
$
46,838,973
  
$
37,849,356
 

The following table summarizes the results of operations of each Master Fund for the six months ended June 30, 2022:
  
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
 
          
Net investment income (loss) 
$
17,039
  
$
(8,746
)
 
$
(58,844
)
             
Net realized gain on investments  
291,180,689
   
89,149,283
   
115,801,414
 
Net (decrease) increase in unrealized appreciation on investments  
(5,663,335
)
  
887,075
   
(7,646,196
)
Brokerage commissions and fees  
(1,274,638
)
  
(3,115,536
)
  
(103,501
)
Net gain on investments  
284,242,716
   
86,920,822
   
108,051,717
 
Net income 
$
284,259,755
  
$
86,912,076
  
$
107,992,873
 

41
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 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, 2022:
  
Graham Commodity
Strategies LLC
  
Graham Derivatives
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)
  
Net increase
(decrease) in
unrealized
appreciation on
investments
 
Commodity price                  
Futures 
$
610,152
  
$
(6,064,989
)
 
$
(887,492
)
 
$
34,290
  
$
20,430,289
  
$
(18,008,110
)
Options  
1,090,658
   
(490,299
)
  
(592,033
)
  
(3,321,034
)
  
–
   
–
 
   
1,700,810
   
(6,555,288
)
  
(1,479,525
)
  
(3,286,744
)
  
20,430,289
   
(18,008,110
)
Equity price                        
Futures  
23,515,268
   
11,176,731
   
1,478,341
   
52,105
   
(1,172,523
)
  
(2,687,237
)
Options  
(376,999
)
  
1,114,519
   
13,224,783
   
1,084,930
   
–
   
–
 
   
23,138,269
   
12,291,250
   
14,703,124
   
1,137,035
   
(1,172,523
)
  
(2,687,237
)
Foreign currency exchange rate                        
Forwards  
39,211,226
   
(9,083,717
)
  
14,463,033
   
(850,179
)
  
19,220,921
   
236,116
 
Futures  
–
   
–
   
–
   
–
   
719,511
   
164,190
 
Options  
840,776
   
(2,629,092
)
  
14,568,451
   
(399,567
)
  
–
   
–
 
   
40,052,002
   
(11,712,809
)
  
29,031,484
   
(1,249,746
)
  
19,940,432
   
400,306
 
Interest rate                        
Futures  
79,244,967
   
(10,176,569
)
  
5,421,377
   
(385,358
)
  
22,790,317
   
(3,710,556
)
Options  
2,387,854
   
(3,005,094
)
  
2,940,718
   
1,847,182
   
–
   
–
 
   
81,632,821
   
(13,181,663
)
  
8,362,095
   
1,461,824
   
22,790,317
   
(3,710,556
)
Total 
$
146,523,902
  
$
(19,158,510
)
 
$
50,617,178
  
$
(1,937,631
)
 
$
61,988,515
  
$
(24,005,597
)

42
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 instruments held by the Master Funds reported in net realized gain 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, 2022:
  
Graham Commodity
Strategies LLC
  
Graham Derivatives
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)
  
Net increase
(decrease) in
unrealized
appreciation on
investments
 
Commodity price                  
Futures 
$
18,712,905
  
$
(7,736,696
)
 
$
(2,124,210
)
 
$
–
  
$
83,791,454
  
$
(16,433,863
)
Options  
933,353
   
678,687
   
(3,120,053
)
  
228,840
   
–
   
–
 
Swaps  
(5,991,484
)
  
280,016
   
–
   
–
   
–
   
–
 
   
13,654,774
   
(6,777,993
)
  
(5,244,263
)
  
228,840
   
83,791,454
   
(16,433,863
)
                         
Equity price                        
Futures  
61,939,318
   
9,278,326
   
8,005,065
   
27,050
   
(3,128,971
)
  
342,464
 
Options  
(1,175,824
)
  
1,716,474
   
12,939,033
   
940,367
   
–
   
–
 
   
60,763,494
   
10,994,800
   
20,944,098
   
967,417
   
(3,128,971
)
  
342,464
 
Foreign currency exchange rate                        
Forwards  
47,645,333
   
(239,825
)
  
25,392,433
   
(439,434
)
  
20,568,935
   
5,104,163
 
Futures  
–
   
–
   
–
   
–
   
997,796
   
270,315
 
Options  
(2,049,906
)
  
879,404
   
14,913,899
   
(2,184,608
)
  
–
   
–
 
   
45,595,427
   
639,579
   
40,306,332
   
(2,624,042
)
  
21,566,731
   
5,374,478
 
Interest rate                        
Futures  
165,935,704
   
(8,521,654
)
  
20,341,471
   
18,812
   
13,572,200
   
2,976,582
 
Options  
5,231,290
   
(1,181,408
)
  
12,801,645
   
2,296,048
   
–
   
–
 
   
171,166,994
   
(9,703,062
)
  
33,143,116
   
2,314,860
   
13,572,200
   
2,976,582
 
Total 
$
291,180,689
  
$
(4,846,676
)
 
$
89,149,283
  
$
887,075
  
$
115,801,414
  
$
(7,740,339
)

43
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, 2021:
  
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
 
Assets:      
Due from brokers 
$
54,219,749
  
$
46,687,074
 
Derivative financial instruments, at fair value  
10,252,299
   
5,746,495
 
Exchange memberships, at fair value  
9,085,145
   
1,727,865
 
Dividends receivable  
80,756
   
11,500
 
Interest receivable  
1,197
   
293
 
Total assets  
73,639,146
   
54,173,227
 
         
Liabilities:        
Derivative financial instruments, at fair value  
280,016
   
3,448,896
 
Interest payable  
11,382
   
17,478
 
Total liabilities  
291,398
   
3,466,374
 
Members’ Capital / Net Assets 
$
73,347,748
  
$
50,706,853
 
         
Percentage of Master Fund held by GAIT  
2.52
%
  
5.76
%

44
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, 2021:
Description 
Number of
Contracts
  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)    
$
9,085,145
   
12.39
%
Total exchange memberships    $9,085,145   12.39%
            
Derivative financial instruments           
Long contracts           
Futures           
Commodity    
$
1,237,134
   
1.68
%
Interest rate     
(476,955
)
  
(0.65
)%
U.S. bond     
130,375
   
0.18
%
U.S. index     
(1,226,851
)
  
(1.67
)%
Total futures     
(336,297
)
  
(0.46
)%
            
Forwards           
Foreign currency     
1,113,521
   
1.52
%
Total forwards     
1,113,521
   
1.52
%
            
Options (cost $26,424,623)           
Commodity futures     
1,442,372
   
1.97
%
Currency futures     
3,844,021
   
5.24
%
Foreign bond futures     
272,025
   
0.37
%
Interest rate futures           
IMM Euro September 2022 - December 2022, $99.63 - $99.75 Call  
3
   
1,073,538
   
1.46
%
IMM Euro December 2022, $98.25 - $98.88 Put  
3
   
5,652,300
   
7.71
%
Other interest rate futures      
(252,463
)
  
(0.35
)%
U.S. bond futures      
796,750
   
1.09
%
U.S. index futures      
1,249,360
   
1.70
%
Total options      
14,077,903
   
19.19
%
             
Swaps            
Commodity      
(280,016
)
  
(0.38
)%
Total swaps
      
(280,016
)
  
(0.38
)%

45
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, 2021:
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital
 
Graham Commodity Strategies LLC (continued)         
Derivative financial instruments (continued)         
Short contracts         
Futures         
Commodity    
$
(16,800
)
  
(0.02
)%
Foreign bond     
5,234,595
   
7.13
%
Foreign index     
(2,318,737
)
  
(3.16
)%
Interest rate     
901,827
   
1.23
%
U.S. bond     
746,453
   
1.02
%
U.S. index     
(6,680
)
  
(0.01
)%
Total futures     
4,540,658
   
6.19
%
            
Forwards           
Foreign currency     
70,145
   
0.10
%
Total forwards     
70,145
   
0.10
%
            
Options (proceeds $16,986,308)           
Commodity futures     
(708,089
)
  
(0.97
)%
Currency futures     
(722,252
)
  
(0.98
)%
Foreign bond futures     
(28,061
)
  
(0.04
)%
Interest rate futures           
IMM Euro September 2022 - December 2022, $99.50 - $99.88 Call  
3
   
(1,296,569
)
  
(1.77
)%
IMM Euro December 2022, $98.50 - $98.63 Put  
2
   
(4,705,788
)
  
(6.42
)%
Other interest rate futures      
(24,356
)
  
(0.03
)%
U.S. bond futures      
(1,344,516
)
  
(1.83
)%
U.S. index futures      
(384,000
)
  
(0.52
)%
Total options      
(9,213,631
)
  
(12.56
)%
Total derivative financial instruments     $9,972,283   13.60%

46
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, 2021:
Description
 Fair Value  
Percentage of
Net Assets
 
Graham K4D Trading Ltd.       
Exchange memberships (cost $1,924,208)       
United States (cost $1,924,208)       
Financial services (cost $1,924,208)
  
$
1,727,865
   
3.41
%
Total exchange memberships  $1,727,865   3.41%
          
Derivative financial instruments         
Long contracts         
Futures         
Commodity  
$
6,111,606
   
12.05
%
Currency   
(70,744
)
  
(0.14
)%
Foreign bond   
(1,394,892
)
  
(2.75
)%
Foreign index   
516,782
   
1.02
%
Interest rate   
(2,126
)
  
(0.00
)%
U.S. bond   
(444,578
)
  
(0.88
)%
U.S. index   
2,296,230
   
4.53
%
Total futures   
7,012,278
   
13.83
%
          
Forwards         
Foreign currency   
1,328,234
   
2.62
%
Total forwards   
1,328,234
   
2.62
%
Short contracts      
Futures      
Commodity  
(1,456,810
)
  
(2.87
)%
Currency  
(5,907
)
  
(0.01
)%
Foreign bond  
(111
)
  
(0.00
)%
Foreign index  
(2,140,421
)
  
(4.22
)%
Interest rate  
1,816,526
   
3.57
%
U.S. bond  
(1,031
)
  
(0.00
)%
U.S. index  
(584,485
)
  
(1.15
)%
Total futures  
(2,372,239
)
  
(4.68
)%
         
Forwards        
Foreign currency  
(3,670,674
)
  
(7.24
)%
Total forwards  
(3,670,674
)
  
(7.24
)%
Total derivative financial instruments $2,297,599   4.53%

47
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, 2021:
  
Graham
Commodity
Strategies LLC
  
Graham K4D
Trading Ltd.
 
Assets      
Level 1:      
Commodity futures 
$
4,113,190
  
$
7,152,836
 
Commodity futures options  
1,442,372
   
–
 
Currency futures  
–
   
12,605
 
Exchange memberships*  
9,085,145
   
1,727,865
 
Foreign bond futures  
5,234,595
   
1,102,214
 
Foreign bond futures options  272,025   
–
 
Foreign index futures  
–
   
516,782
 
Interest rate futures  
901,826
   
1,821,016
 
Interest rate futures options  
9,001,768
   
–
 
U.S. bond futures  
1,114,625
   
11,938
 
U.S. bond future options  
796,750
   
–
 
U.S. index futures  
1,190,740
   
2,296,230
 
U.S. index futures options  
1,249,360
   
–
 
Total Level 1  
34,402,396
   
14,641,486
 
         
Level 2:        
Foreign currency forwards  
3,203,077
   
3,484,404
 
Foreign currency options  
3,844,020
   
–
 
Total Level 2  
7,047,097
   
3,484,404
 
Total investment related assets 
$
41,449,493
  
$
18,125,890
 
         
Liabilities        
Level 1:        
Commodity futures 
$
(2,892,856
)
 
$
(2,498,040
)
Commodity futures options  
(708,089
)
  
–
 
Currency futures  
–
   
(89,256
)
Foreign bond futures  
–
   
(2,497,217
)
Foreign bond futures options  
(28,061
)
  
–
 
Foreign index futures  
(2,318,737
)
  
(2,140,421
)
Interest rate futures  
(476,954
)
  
(6,616
)
Interest rate futures options  
(8,555,106
)
  
–
 
U.S. bond futures  
(237,797
)
  
(457,547
)
U.S. bond future options  
(1,344,516
)
  
–
 
U.S. index futures  
(2,424,271
)
  
(584,485
)
U.S. index futures options  
(384,000
)
  
–
 
Total Level 1  
(19,370,387
)
  
(8,273,582
)
         
Level 2:        
Commodity swaps  
(280,016
)
  
–
 
Foreign currency forwards  
(2,019,411
)
  
(5,826,844
)
Foreign currency options  
(722,251
)
  
–
 
Total Level 2  
(3,021,678
)
  
(5,826,844
)
Total investment related liabilities 
$
(22,392,065
)
 
$
(14,100,426
)
*  See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.
48
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, 2021. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at June 30,December 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        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 
$
136,799,221
 
2,083
 
$
(22,549,868
)
 
(393
)
 
$
2,931,566
  
$
(983,470
)
 
$
160,157,100
 
2,478
 
$
(17,824,150
)
 
(294
)
 
$
4,113,190
 
$
(2,892,856
)
Options (a)  
59,280,796
 
2,033
  
(21,014,976
)
 
(2,129
)
  
3,126,301
  
(1,653,338
)
 
51,917,266
 
2,529
 
(25,606,504
)
 
(2,187
)
 
1,442,372
 
(708,089
)
  
196,080,017
  
4,116
  
(43,564,844
)
  
(2,522
)
  
6,057,867
   
(2,636,808
)
Swaps  
74,719,984
  
400,930
  
-
  
-
   
-
  
(280,016
)
                 
286,794,350
 
405,937
  
(43,430,654
)
 
(2,481
)
  
5,555,562
 
(3,880,961
)
Equity price                             
Futures 
326,282,526
 
2,614
 
(79,767,132
)
 
(1,232
)
 
5,327,499
  
(2,265,421
)
 
189,776,655
 
1,808
 
(142,021,171
)
 
(1,378
)
 
1,190,740
 
(4,743,008
)
Options (a)  
138,545,364
  
2,913
  
(52,604,982
)
  
(2,891
)
  
5,282,980
   
(2,155,695
)
  
87,618,175
 
2,939
  
(28,825,458
)
 
(2,194
)
  
1,249,360
 
(384,000
)
  
464,827,890
 
5,527
  
(132,372,114
)
 
(4,123
)
  
10,610,479
  
(4,421,116
)
  
277,394,830
 
4,747
  
(170,846,629
)
 
(3,572
)
  
2,440,100
 
(5,127,008
)
Foreign currency exchange rateForeign currency exchange rate                         
Forwards 
1,180,755,654
 
N/A
 
(1,083,319,784
)
 
N/A
  
5,594,247
  
(6,971,163
)
 
1,008,305,622
 
N/A
 
(818,213,619
)
 
N/A
  
3,203,077
 
(2,019,411
)
Options (a)  
850,261,308
  
39
  
(714,257,351
)
  
(47
)
  
9,414,502
   
(1,366,933
)
  
587,964,589
  
27
  
(523,304,530
)
  
(37
)
  
3,844,020
  
(722,251
)
  
2,031,016,962
 
39
  
(1,797,577,135
)
 
(47
)
  
15,008,749
  
(8,338,096
)
  
1,596,270,211
 
27
  
(1,341,518,149
)
 
(37
)
  
7,047,097
 
(2,741,662
)
               
Interest rate                             
Futures 
1,644,605,021
 
7,237
 
(5,413,492,112
)
 
(30,083
)
 
2,053,524
  
(10,811,276
)
 
2,879,608,916
 
11,873
 
(6,021,325,916
)
 
(33,248
)
 
7,251,046
 
(714,751
)
Options (a)  
1,567,631,108
 
31,415
  
(1,797,039,738
)
 
(33,022
)
  
9,217,185
  
(7,419,638
)
  
1,499,806,595
 
40,301
  
(1,722,139,616
)
 
(41,722
)
  
10,070,543
 
(9,927,683
)
  
3,212,236,129
  
38,652
  
(7,210,531,850
)
  
(63,105
)
  
11,270,709
   
(18,230,914
)
  
4,379,415,511
 
52,174
  
(7,743,465,532
)
 
(74,970
)
  
17,321,589
 
(10,642,434
)
Total
 
$
5,904,160,998
 
48,334
 
$
(9,184,045,943
)
 
(69,797
)
 
$
42,947,804
  
$
(33,626,934
)
 
$
6,539,874,902
  
462,885
 
$
(9,299,260,964
)
  
(81,060
)
 
$
32,364,348
 
$
(22,392,065
)

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

3449
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 monthsyear ended June 30,December 31, 2021. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at June 30,December 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        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 
$
238,095,367
  
3,478
 
$
(99,318,379
)
  
(990
)
 
$
5,858,258
  
$
(4,572,428
)
 
$
229,290,080
  
3,427
 
$
(87,412,380
)
  
(780
)
 
$
7,152,836
  
$
(2,498,040
)
  
238,095,367
 
3,478
  
(99,318,379
)
 
(990
)
  
5,858,258
  
(4,572,428
)
  
229,290,080
 
3,427
  
(87,412,380
)
 
(780
)
  
7,152,836
  
(2,498,040
)
                              
Equity price                              
Futures  
236,663,038
  
1,444
  
(12,652,513
)
  
(144
)
  
2,195,950
   
(680,212
)
  
253,211,004
  
1,455
  
(50,035,289
)
  
(380
)
  
2,813,012
   
(2,724,906
)
  
253,211,004
 
1,455
  
(50,035,289
)
 
(380
)
  
2,813,012
  
(2,724,906
)
  
236,663,038
 
1,444
  
(12,652,513
)
 
(144
)
  
2,195,950
  
(680,212
)
               
Foreign currency exchange rateForeign currency exchange rate                          
Forwards 
238,114,128
 
N/A
 
(447,972,174
)
 
N/A
  
7,396,514
  
(5,428,434
)
 
197,256,363
 
N/A
 
(550,659,993
)
 
N/A
  
3,484,404
  
(5,826,844
)
Futures  
3,291,669
  
29
  
(13,398,498
)
  
(145
)
  
63,288
   
(122,216
)
  
6,531,283
 
66
  
(8,079,620
)
 
(87
)
 
12,605
  
(89,256
)
  
241,405,797
 
29
  
(461,370,672
)
 
(145
)
  
7,459,802
  
(5,550,650
)
  
203,787,646
  
66
  
(558,739,613
)
  
(87
)
  
3,497,009
   
(5,916,100
)
                              
Interest rate                              
Futures  
1,631,705,573
  
7,131
  
(506,139,869
)
  
(3,377
)
  
169,972
   
(3,341,489
)
  
1,521,988,805
 
7,496
  
(545,462,419
)
 
(3,036
)
  
2,935,168
  
(2,961,380
)
  
1,631,705,573
 
7,131
  
(506,139,869
)
 
(3,377
)
  
169,972
  
(3,341,489
)
  
1,521,988,805
  
7,496
  
(545,462,419
)
  
(3,036
)
  
2,935,168
   
(2,961,380
)
Total
 
$
2,347,869,775
  
12,082
 
$
(1,079,481,433
)
  
(4,656
)
 
$
15,683,982
  
$
(14,144,779
)
 
$
2,208,277,535
 
12,444
 
$
(1,241,649,701
)
 
(4,283
)
 
$
16,398,025
  
$
(14,100,426
)

3550
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 June 30,December 31, 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 
$
42,947,804
  
$
(30,593,078
)
 
$
12,354,726
  
$
–
  
$
12,354,726
  
$
32,364,348
  
$
(22,112,049
)
 
$
10,252,299
  
$
–
  
$
10,252,299
 
Derivative liabilities 
(33,626,934
)
 
30,593,078
  
(3,033,856
)
 
3,033,856
  
–
  
$
(22,392,065
)
 
$
22,112,049
  
$
(280,016
)
 
$
280,016
  
$
–
 
                              
Graham K4D Trading Ltd.2
                              
Derivative assets 
$
15,683,982
  
$
(14,144,779
)
 
$
1,539,203
  
$
–
  
$
1,539,203
  
$
16,398,025
  
$
(10,651,530
)
 
$
5,746,495
  
$
–
  
$
5,746,495
 
Derivative liabilities 
(14,144,779
)
 
14,144,779
  
–
  
–
  
–
  
$
(14,100,426
)
 
$
10,651,530
  
$
(3,448,896
)
 
$
3,448,896
  
$
–
 
               

1 Net derivative asset and liability amounts presented in the statementsstatement of financial condition are held with three counterparties. At June 30,December 31, 2021, additional collateral pledged in the amount of $115,322,545$53,836,615 was posted in support of derivative positions and is included in due from brokers on the statementsstatement of financial condition.

2 Net derivative assetand liability amounts presented in the statementsstatement of financial condition are held with two counterparties. The Fund has pledged collateral to both of those counterparties as of December 31, 2021. At June 30,December 31, 2021, additional collateral pledged in the amount of $23,540,984$43,238,178 was posted in support of derivative positions and is included in due from brokers on the statementsstatement of financial condition.

3651
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 June 30, 2021:
 
  
Graham
Commodity
Strategies LLC
  
Graham K4D
Trading Ltd.
 
       
Net investment loss 
$
(23,520
)
 
$
(93
)
         
Net realized gain on investments  
11,119,651
   
14,394,114
 
Net decrease in unrealized appreciation on investments  
(8,703,090
)
  
(1,099,277
)
Brokerage commissions and fees  
(1,353,248
)
  
(76,167
)
Net gain on investments  
1,063,313
   
13,218,670
 
Net income 
$
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
 

3752
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.
  
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
  
Net realized
gain (loss)
  
Net increase
(decrease) in
unrealized
appreciation on
investments
  
Net realized
gain (loss)
  
Net increase
(decrease) in
unrealized
appreciation on
investments
 
Commodity price                        
Futures 
$
24,544,523
  
$
4,591,827
  
$
15,201,247
  
$
2,919,023
  
$
24,544,523
  
$
4,591,827
  
$
15,201,247
  
$
2,919,023
 
Options  
2,564,635
  
573,766
   
–
  
–
   
2,564,635
  
573,766
   
–
  
–
 
  
27,109,158
   
5,165,593
   
15,201,247
   
2,919,023
   
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
  
16,579,751
  
3,174,872
  
8,639,313
  
623,449
 
Options  
344,493
  
539,230
   
–
  
–
   
344,493
  
539,230
   
–
  
–
 
  
16,924,244
  
3,714,102
   
8,639,313
  
623,449
   
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
)
 
4,677,541
  
3,404,408
  
(1,319,772
)
 
(2,632,153
)
Futures 
–
  
–
  
(249,772
)
 
8,936
  
–
  
–
  
(249,772
)
 
8,936
 
Options  
(10,066,430
)
  
(6,034,713
)
  
–
   
–
   
(10,066,430
)
  
(6,034,713
)
  
–
   
–
 
  
(5,388,889
)
 
(2,630,305
)
  
(1,569,544
)
 
(2,623,217
)
  
(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
)
 
(24,630,424
)
 
(13,535,102
)
 
(7,888,024
)
 
(2,110,930
)
Options  
(2,894,438
)
 
(1,819,078
)
  
–
  
–
   
(2,894,438
)
 
(1,819,078
)
  
–
  
–
 
  
(27,524,862
)
 
(15,354,180
)
  
(7,888,024
)
 
(2,110,930
)
  
(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
)
 
$
11,119,651
  
$
(9,104,790
)
 
$
14,382,992
  
$
(1,191,675
)

3853
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 six months ended June 30, 2021:
 

 
Graham Commodity
Strategies LLC
  
Graham K4D
Trading Ltd.
  
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
  
Net realized
gain (loss)
  
Net increase
(decrease) in
unrealized
appreciation on
investments
  
Net realized
gain (loss)
  
Net increase
(decrease) in
unrealized
appreciation on
investments
 
Commodity price                        
Futures 
$
27,047,849
  
$
(1,603,679
)
 
$
33,817,504
  
$
(10,585,872
)
 
$
27,047,849
  
$
(1,603,679
)
 
$
33,817,504
  
$
(10,585,872
)
Options  
1,262,773
  
1,584,082
   
–
  
–
   
1,262,773
  
1,584,082
   
–
  
–
 
  
28,310,622
   
(19,597
)
  
33,817,504
   
(10,585,872
)
  
28,310,622
   
(19,597
)
  
33,817,504
   
(10,585,872
)
Equity price                        
Futures 
44,359,815
  
2,219,966
  
22,769,046
  
(5,015,644
)
 
44,359,815
  
2,219,966
  
22,769,046
  
(5,015,644
)
Options  
(1,794,848
)
 
2,232,548
   
–
  
–
   
(1,794,848
)
 
2,232,548
   
–
  
–
 
  
42,564,967
   
4,452,514
   
22,769,046
   
(5,015,644
)
  
42,564,967
   
4,452,514
   
22,769,046
   
(5,015,644
)
Foreign currency exchange rate                       
Forwards 
12,925,684
  
2,022,536
  
(5,233,937
)
 
2,873,842
  
12,925,684
  
2,022,536
  
(5,233,937
)
 
2,873,842
 
Futures 
–
  
–
  
(329,180
)
 
(162,772
)
 
–
  
–
  
(329,180
)
 
(162,772
)
Options  
(5,502,775
)
  
(8,298,226
)
  
–
   
–
   
(5,502,775
)
  
(8,298,226
)
  
–
   
–
 
  
7,422,909
  
(6,275,690
)
  
(5,563,117
)
 
2,711,070
   
7,422,909
  
(6,275,690
)
  
(5,563,117
)
 
2,711,070
 
Interest rate                        
Futures 
71,741,178
  
(5,848,672
)
 
(18,906,279
)
 
(3,961,811
)
 
71,741,178
  
(5,848,672
)
 
(18,906,279
)
 
(3,961,811
)
Options  
6,384,997
  
1,133,668
   
–
  
–
   
6,384,997
  
1,133,668
   
–
  
–
 
  
78,126,175
  
(4,715,004
)
  
(18,906,279
)
 
(3,961,811
)
  
78,126,175
  
(4,715,004
)
  
(18,906,279
)
 
(3,961,811
)
Total
 
$
156,424,673
  
$
(6,557,777
)
 
$
32,117,154
  
$
(16,852,257
)
 
$
156,424,673
  
$
(6,557,777
)
 
$
32,117,154
  
$
(16,852,257
)

3954
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)
 
Assets:      
Fixed income securities, at fair value (cost $15,290,650) 
$
–
  
$
15,299,973
 
Due from brokers  
53,351,844
   
13,045,449
 
Derivative financial instruments, at fair value  
19,688,505
   
19,267,599
 
Exchange memberships, at fair value  
7,217,279
   
1,376,513
 
Dividends receivable  
62,120
   
8,846
 
Interest receivable  
1,123
   
379
 
Total assets
  
80,320,871
   
48,998,759
 
         
Liabilities:        
Derivative financial instruments, at fair value  
–
   
901,032
 
Interest payable  
26,417
   
2,940
 
Total liabilities
  
26,417
   
903,972
 
Members’ Capital / Net Assets
 
$
80,294,454
  
$
48,094,787
 
         
Percentage of Master Fund held by GAIT
  
2.62
%
  
9.03
%

40
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
 
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
%
Total exchange memberships    $7,217,279   8.99%
            
Derivative financial instruments           
Long contracts           
Futures           
Commodity    
$
3,605,184
   
4.49
%
Foreign index     
86,848
   
0.11
%
Interest rate     
(1,593,877
)
  
(1.99
)%
U.S. index     
945,270
   
1.18
%
Total futures     
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
)%
Other foreign currency     
8,418,948
   
10.49
%
Total forwards     
2,205,571
   
2.75
%
            
Options (cost $34,126,355)           
Commodity futures     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
%
Euro dollar / U.S. dollar January 2021 - June 2021, $1.21 - $1.29 Call  
22
   
7,930,615
   
9.88
%
Other currency futures      
15,258,361
   
19.01
%
Foreign bond futures      
(474,329
)
  
(0.59
)%
Interest rate futures      
(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. bond February 2021 - March 2021, $168.00 - $173.00 Put  
3
   
4,750,609
   
5.92
%
U.S. index futures      
156,243
   
0.19
%
Total options      
30,937,811
   
38.53
%

41
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%

42
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
%

43
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%

44
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.
 
Assets      
Level 1:
      
Commodity futures 
$
4,747,408
  
$
12,876,497
 
Commodity futures options  
2,853,904
   
–
 
Currency futures  
–
   
98,453
 
Exchange memberships  
7,217,279
   
1,376,513
 
Foreign bond futures  
–
   
1,002,520
 
Foreign index futures  
784,870
   
4,009,649
 
Interest rate futures  
–
   
268,741
 
Interest rate futures options  
88,338
   
–
 
U.S. bond futures  
–
   
179,111
 
U.S. bond futures options  
5,364,390
   
–
 
U.S. index futures  
1,654,860
   
2,684,392
 
U.S. index futures options  
156,243
   
–
 
Total Level 1
  
22,867,292
   
22,495,876
 
         
Level 2:
        
Foreign currency forwards  
16,048,079
   
2,161,662
 
Foreign currency options  
23,390,952
   
–
 
Government bonds*  
–
   
15,299,973
 
Total Level 2
  
39,439,031
   
17,461,635
 
Total investment related assets
 
$
62,306,323
  
$
39,957,511
 
         
Liabilities        
Level 1:
        
Commodity futures 
$
(1,254,945
)
 
$
(1,043,635
)
Commodity futures options  
(1,158,990
)
  
–
 
Currency futures  
–
   
(8,646
)
Foreign bond futures  
(231,767
)
  
(53,793
)
Foreign bond futures options  
(474,329
)
  
–
 
Foreign index futures  
(888,030
)
  
(122,228
)
Interest rate futures  
(2,367,889
)
  
(94,443
)
Interest rate futures options  
(353,350
)
  
–
 
U.S. bond futures  
(421,000
)
  
(528,563
)
U.S. bond futures options  
(3,740,625
)
  
–
 
U.S. index futures  
(709,590
)
  
–
 
Total Level 1
  
(11,600,515
)
  
(1,851,308
)
         
Level 2:
        
Foreign currency forwards  
(18,098,481
)
  
(3,063,150
)
Foreign currency options  
(5,701,543
)
  
–
 
Total Level 2
  
(23,800,024
)
  
(3,063,150
)
Total investment related liabilities
 
$
(35,400,539
)
 
$
(4,914,458
)
*  See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.
45
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       
 
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
)
Options (a)  
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
)
Equity price                        
Futures  
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
   
–
 
   
284,494,769
   
7,602
   
(225,071,169
)
  
(6,155
)
  
2,595,973
   
(1,597,620
)
Foreign currency exchange rate                     
Forwards  
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
   
(821,185,710
)
  
(55
)
  
23,390,952
   
(5,701,543
)
   
2,798,634,659
   
68
   
(2,263,871,198
)
  
(55
)
  
39,439,031
   
(23,800,024
)
Interest rate                        
Futures  
4,702,409,114
   
16,250
   
(1,399,855,375
)
  
(5,972
)
  
–
   
(3,020,656
)
Options (a)  
1,626,301,542
   
125,103
   
(2,314,949,508
)
  
(28,892
)
  
5,452,728
   
(4,568,304
)
   
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
)

(a)
Notional amounts for options are based on the delta-adjusted positions.
46
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
)
47
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
   
–
 

1 Net 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.

2 Net 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.

48
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 June 30, 2020:
  
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
)

49
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, 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 
$
19,435,758
  
$
15,878,062
  
$
5,501,252
  
$
(5,799,274
)
Options  
(3,934,105
)
  
2,667,719
   
–
   
–
 
   
15,501,653
   
18,545,781
   
5,501,252
   
(5,799,274
)
Equity price                
Futures  
(23,815,601
)
  
5,570,264
   
13,955,994
   
(450,058
)
Options  
(5,489,525
)
  
735,232
   
–
   
–
 
   
(29,305,126
)
  
6,305,496
   
13,955,994
   
(450,058
)
Foreign currency exchange rate                
Forwards  
5,950,015
   
(10,812,288
)
  
(6,358,072
)
  
(97,914
)
Futures  
–
   
–
   
(263,013
)
  
(78,742
)
Options  
(14,547,330
)
  
3,120,835
   
–
   
–
 
   
(8,597,315
)
  
(7,691,453
)
  
(6,621,085
)
  
(176,656
)
Interest rate                
Futures  
33,545,862
   
(30,711,693
)
  
4,786,258
   
(2,931,487
)
Options  
(4,349,139
)
  
(4,851,633
)
  
–
   
–
 
   
29,196,723
   
(35,563,326
)
  
4,786,258
   
(2,931,487
)
Total
 
$
6,795,935
  
$
(18,403,502
)
 
$
17,622,419
  
$
(9,357,475
)

50
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
 

51
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-fourthirty 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 June 30, 20212022 and December 31, 20202021 is $53,133,401$62,896,150 and $54,304,841$51,121,197 which represents a percentage of GAIT’s Members’ Capital of 88.51%97.02% and 90.90%92.28%, respectively.
 
GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis.  For the three and six months ended June 30, 2021,2022, the total amount recognized by GAIT with respect to its investment in Cash Assets was $82,257 and $107,069, respectively.  For the three and six months ended 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 $175,321 and $374,155, respectively.respectively These amounts are included in interest income in the statements of operations and incentive allocation. At June 30, 20212022 and December 31, 2020,2021, GAIT owned approximately 0.88%0.93% and 0.97%0.85%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of June 30, 20212022 and December 31, 2020:2021:
 
 June 30, 2021  December 31, 2020  June 30, 2022  December 31, 2021 
Assets:
            
Cash and cash equivalents $498,221,086  
$
597,659,902
  $480,639,815  
$
782,211,779
 
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
 
Investments in fixed income securities (amortized cost $6,286,250,514 and $5,216,759,460, respectively) 6,286,250,514  
5,216,759,460
 
Interest receivable  20,477,813   
14,546,327
   9,420,562   
14,020,531
 
Total assets
 6,050,288,256  
5,584,299,699
  6,776,310,891  
6,012,991,770
 
             
Liabilities:      
Due to broker  12,833   
13,258
 
Total liabilities  12,833  
13,258
 
Members’ capital
 $6,050,288,256  
$
5,584,299,699
  $6,776,298,058  
$
6,012,978,512
 

5255
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 June 31, 202130, 2022 and 2020:2021:
 
 
Three Months Ended
June 30,
  
Six Months Ended
June 30,
  
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 2021  2020  2021  2020  2022  2021  2022  2021 
Net gain on investment            
Net realized gain on investments $
-
  
$
-
  $-  
$
2,283,203
 
Net gain on investments
 
-
  
-
  -  
2,283,203
 
                        
Investment income                        
Interest income  1,127,838   
17,917,443
   3,574,995   
41,184,069
   9,277,846  
1,127,838
   12,187,141  
3,574,995
 
Total investment income
 1,127,838  
17,917,443
  3,574,995  
41,184,069
  9,277,846  
1,127,838
  12,187,141  
3,574,995
 
                        
Expenses:                        
Bank fee expense  50,692   
67,449
   103,106   
133,750
   73,884  
50,692
   168,443  
103,106
 
Total expenses
  50,692  
67,449
   103,106  
133,750
   73,884  
50,692
   168,443  
103,106
 
Net investment income
  1,077,146   
17,849,994
   3,471,889   
41,050,319
   9,203,962  
1,077,146
   12,018,698  
3,471,889
 
Net income
 $1,077,146  
$
17,849,994
  $3,471,889  
$
43,333,522
  $9,203,962  
$
1,077,146
  $12,018,698  
$
3,471,889
 

The following represents the condensed schedule of investments of Cash Assets as of June 30, 2021:2022:
 
Description 
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
Investments in Fixed Income Securities (amortized cost $5,531,589,357)         
United States         
Government Bonds (amortized cost $5,531,589,357)         
U.S. Treasury bonds 1.13% due 7/31/2021 
$
350,000,000
  
$
350,309,070
   
5.79
%
U.S. Treasury bonds 1.50% due 8/31/2021  
350,000,000
   
350,838,457
   
5.80
%
U.S. Treasury bonds 1.50% due 9/30/2021  
350,000,000
   
351,247,400
   
5.81
%
U.S. Treasury bonds 1.50% due 11/30/2021  
400,000,000
   
402,405,630
   
6.65
%
U.S. Treasury bonds 2.00% due 12/31/2021  
400,000,000
   
403,871,280
   
6.68
%
U.S. Treasury bonds 2.88% due 10/15/2021  
300,000,000
   
302,437,183
   
5.00
%
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      
5,531,589,357
   
91.43
%
Total United States      
5,531,589,357
   
91.43
%
Total Investments in Fixed Income Securities
     
$
5,531,589,357
   
91.43
%
Description 
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities
(amortized cost $6,286,250,514)
         
United States         
Government Bonds (amortized cost $5,911,478,293)         
U.S. Treasury bonds 0.13% - 1.88% due 7/15/2022 – 12/31/2023 
$
5,950,000,000
  
$
5,911,478,293
   87.24%

Total Government Bonds      
5,911,478,293
   87.24%

             
Treasury Bills (amortized cost $374,772,221)            
U.S. Treasury bill 0.00% due 7/07/2022 – 8/25/2022  
375,000,000
   
374,772,221
   5.53%

Total Treasury Bills      
374,772,221
   5.53%

Total United States      
6,286,250,514
   92.77%

Total Investments in Fixed Income Securities     
$
6,286,250,514
   92.77%


5356
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, 2020:2021:
 
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
%
Description 
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities (amortized cost $5,216,759,460)         
United States         
Government Bonds (amortized cost $4,816,763,885)         
U.S. Treasury bonds 0.13% – 2.50% due 01/15/2022 – 05/31/2023 
$
4,800,000,000
  
$
4,816,763,885
   80.11%

Total Government Bonds      
4,816,763,885
   80.11%

             
Treasury Bills (amortized cost $399,995,575)            
U.S Treasury bills 0.00% due 01/20/2022 – 02/03/2022  
400,000,000
   
399,995,575
   6.65%

Total Treasury Bills      
399,995,575
   6.65%

Total United States      
5,216,759,460
   86.76%

Total Investments in Fixed Income Securities     
$
5,216,759,460
   86.76%


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 June 30, 20212022 and December 31, 2020:2021:
 
 June 30, 2021 December 31, 2020  June 30, 2022 December 31, 2021 
Assets          
Level 2:
          
Fixed income securities          
Government bonds $5,531,589,357 
$
3,372,351,436
  $5,911,478,293 
$
4,816,763,885
 
Treasury bills  - 
1,599,742,034
   374,772,221 
399,995,575
 
Total fixed income securities  5,531,589,357  
4,972,093,470
   6,286,250,514  
5,216,759,460
 
Total Level 2
  5,531,589,357 
4,972,093,470
   6,286,250,514 
5,216,759,460
 
Total assets
 $5,531,589,357 
$
4,972,093,470
  $6,286,250,514 
$
5,216,759,460
 

5457
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’Member’s Capital account is equal to the initial contribution to GAIT with respect to the Class to which such capital account relates. Each Members’Member’s Capital Account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of GAIT are allocated among the capital accounts of the members in proportion to the balance that each capital account bears to the balance of all capital accounts as of the beginning of such fiscal period.
 
Subscriptions
 
Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. There is no minimum subscription amount.
 
Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.
 
Redemptions
 
Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of the last business day of each month upon not less than three business days’ prior written notice to the administrator.
 
6. Fees and Related Party Transactions
 
Advisory Fees
 
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 six months ended June 30, 2022 and 2021 were $458,706 and 2020 were $448,220, and $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 six months ended June 30, 2022 and 2021 were $243,490 and 2020 were $237,224, and $217,414, respectively.
 
Class 0Class 2
0.50%1.25%

5558
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 six months ended June 30, 2022 and 2021 was $2,550,314 and 2020 was $855,525, and $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 six months ended June 30, 20212022 and 2020,2021, 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 $39,689 and $39,028, respectively.
Professional Fees
GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the GAIT’s audit, tax and $35,989,legal fees (“professional fees”). The total professional fees incurred by GAIT for the six months ended June 30, 2022 and 2021 were $177,834 and $143,047, respectively.
Operating Expenses
In accordance with the GAIF I LLC Agreement dated May 2, 2022, GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the GAIT’s investments, operations and business (“operating expenses”).  For the period from June 1, 2022 through June 30, 2022, GAIT reimbursed the Manager for operating expenses which were comprised of market data and technology costs associated with its assets allocated to the various Master Funds. The total operating expenses incurred by GAIT for the period from June 1, 2022 through June 30, 2022 was $3,371. There were no such expenses for the six months ended June 30, 2021.
 
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.
59
Index
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
7. Income Taxes (continued)
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. GAIT identifies its major tax jurisdictions as the U.S. for Federal tax purposes, and Connecticut for state tax purposes.purposes and various international jurisdictions. The Manager has evaluated GAIT’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the financial statements for all open tax years.statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. 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 six months ended June 30, 20212022 and 2020.2021.
 
56
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
8. Risk Factors

Certain impactsGlobal economic, political and market conditions may adversely affect GAIT’s operations. The current global financial market situation, as well as various social and political circumstances in the United States and around the world (including wars and other forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics), may contribute to public health conditions particularincreased market volatility and economic uncertainties or deterioration in the United States and worldwide. For example, the outbreak of coronavirus, or COVID-19, in many countries continues to the coronavirus (COVID-19)adversely impact global commercial activity and has contributed to significant volatility in financial markets. The outbreak couldof COVID-19 and any continued volatility or economic downturn related to it may have a significantmaterial adverse 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.operations.

9. Financial Highlights
 
The following is the per Unit operating performance calculation for the three months ended June 30, 20212022 and 2020:2021:
 
 Class 0  Class 2  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
  
$
181.44
  
$
130.05
 
Net income:            
Net investment loss (1.80) (1.54) 
(1.80
)
 
(1.54
)
Net gain on investments  3.80  2.77   
3.80
  
2.77
 
Net income  2.00   1.23   
2.00
   
1.23
 
Net asset value per Unit, June 30, 2021
 $183.44  $131.28  
$
183.44
  
$
131.28
 
      
Net asset value per Unit, March 31, 2022 
$
200.75
  
$
143.02
 
Net income:      
Net investment loss (5.66) (4.19)
Net gain on investments  22.87  16.22 
Net income  17.21  12.03 
Net asset value per Unit, June 30, 2022 $217.96  $155.05 

60
Index
Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
9. Financial Highlights (continued)
 
The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the three months ended June 30, 20212022 and 2020:2021:
 
 Class 0 Class 2 Class 0  Class 2  
 2021 2020 2021 2020 2022 2021 2022 2021 
                         
Total return before Incentive Allocation
 1.38% 
0.18
%
 1.22% 
(0.01
)%
 10.84% 
1.38
%
 10.52% 
1.22
%

Incentive Allocation
  (0.28) 
(0.04
)
 (0.27) 
0.00
   (2.28) 
(0.28
)
 (2.11) 
(0.27
)

Total return after Incentive Allocation
  1.10%  
0.14
%
  0.95%  
(0.01
)%
  8.56%  
1.10
%
  8.41%  
0.95
%

                         
Net investment loss before Incentive Allocation
 (0.70)% 
(0.30
)%
 (0.90)% 
(0.49
)%
 (0.61)% 
(0.70
)%
 (0.79)% 
(0.90
)%

Incentive Allocation
  (0.28) 
(0.04
)
 (0.27) 
0.00
   (2.09) 
(0.28
)
 (2.01) 
(0.27
)

Net investment loss after Incentive Allocation
  (0.98)%  
(0.34
)%
  (1.17)%  
(0.49
)%
  (2.70)%  
(0.98
)%
  (2.80)%  
(1.17
)%

                         
Total expenses before Incentive Allocation
 0.72% 
0.64
%
 0.91% 
0.83
%
 0.74% 
0.72
%
 0.92% 
0.91
%

Incentive Allocation
  0.28  
0.04
  0.27  
0.00
   2.09  
0.28
  2.01  
0.27
  
Total expenses after Incentive Allocation
  1.00%  
0.68
%
  1.18%  
0.83
%
  2.83%  
1.00
%
  2.93%  
1.18
%


The following is the per Unit operating performance calculation for the six months ended June 30, 2022 and 2021:
  Class 0  Class 2 
Per unit operating performance      
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
 
         
Net asset value per Unit, December 31, 2021 
$
176.27
  
$
125.68
 
Net income:        
Net investment loss  (11.20)  (8.23)
Net gain on investments  52.89   37.60 
Net income  41.69   29.37 
Net asset value per Unit, June 30, 2022 $217.96  $155.05 
 
5761
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, 20212022 and 2020:2021:
 
 Class 0 Class 2 Class 0  Class 2  
 2021 2020 2021 2020 2022 2021 2022 2021 
                         
Total return before Incentive Allocation
 7.55% 
5.40
%
 7.23% 
5.01
%
 28.88% 
7.55
%
 28.10% 
7.23
%

Incentive Allocation
  (1.55) 
(0.47
)
 (1.56) 
0.00
   (5.23) 
(1.55
)
 (4.73) 
(1.56
)

Total return after Incentive Allocation
  6.00%  
4.93
%
  5.67%  
5.01
%
  23.65%  
6.00
%
  23.37%  
5.67
%

                         
Net investment loss before Incentive Allocation
 (1.27)% 
(0.55
)%
 (1.65)% 
(0.93
)%
 (1.24)% 
(1.27
)%
 (1.61)% 
(1.65
)%

Incentive Allocation
  (1.46) 
(0.47
)
 (1.43) 
0.00
   (4.39) 
(1.46
)
 (4.18) 
(1.43
)

Net investment loss after Incentive Allocation
  (2.73)%  
(1.02
)%
  (3.08)%  
(0.93
)%
  (5.63)%  
(2.73
)%
  (5.79)%  
(3.08
)%

                         
Total expenses before Incentive Allocation
 1.32% 
1.28
%
 1.71% 
1.66
%
 1.41% 
1.32
%
 1.78% 
1.71
%

Incentive Allocation
  1.46  
0.47
  1.43  
0.00
   4.39  
1.46
  4.18  
1.43
  
Total expenses after Incentive Allocation
  2.78%  
1.75
%
  3.14%  
1.66
%
  5.80%  
2.78
%
  5.96%  
3.14
%


Total return is calculated for Class 0 and Class 2 units taken as a whole and is not annualized.whole. Total return is calculated as the change in total Members’ Capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and net investment loss and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of Members’ Capital of GAIT, excluding that of the Managing Member, for the three and six months ended June 30, 2022 and 2021 and 2020 and arehave not been annualized.

58
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
10. Subsequent Events

GAIT had no subscriptionssubscriptions and redemptions of approximately $0.4$0.23 million from July 1, 20212022 through August 16, 2021,15, 2022, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

5962
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, 20202021 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)
(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, 20202021 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 30, 2021.2022. 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 Core Macro Portfolio (formerly known as Blended Strategies PortfolioPortfolio) 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 June 30, 2022, the Core Macro Portfolio’s Members’ Capital increased by $1,404,172 or 5.0%. The net increase in the Core Macro Portfolio was attributable to net income of $2,385,394 or 8.5%, offset by redemptions totaling $981,222 or -3.5%, for the period.

For the six months ended June 30, 2022, the Core Macro Portfolio’s Members’ Capital increased by $4,113,813 or 16.1%. The net increase in the Core Macro Portfolio was attributable to net income of $5,876,412 or 23.0%, offset by redemptions totaling $1,762,599 or -6.9%, for the period.

For the three months ended June 30, 2021, the Blended StrategiesCore Macro Portfolio’s Members’ Capital decreased by $1,512,790 or -5.0%. The net decrease in the Blended StrategiesCore Macro 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 StrategiesCore Macro Portfolio’s Members’ Capital decreased by $701,370 or -2.4%. The net decrease in the Blended StrategiesCore Macro 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 $592,983 or 2.2%. The net increase in the Blended Strategies Portfolio was attributable to net income of $1,305,095 or 4.8% and offset by redemptions totaling $712,112 or -2.6%, for the period.

6063
(i)          
(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.

2022 Summary

Three Months Ended June 30, 2022

For the three months ended June 30, 2022, the Core Macro Portfolio experienced a net trading gain of $3,210,839. The trading results are attributable to the following sectors:

Agriculture / Softs 
$
(184,332
)
Base Metals  
(8,417
)
Energy  
396,493
 
Equities  
405,363
 
Foreign Exchange  
1,316,555
 
Long Term / Intermediate Rates  
1,367,628
 
Precious Metals  
(215,596
)
Short Term Rates  
133,145
 
  
$
3,210,839
 

The Core Macro Portfolio recorded a net gain for the second quarter of 2022. The majority of gains resulted from positions in fixed income futures, mainly from positions across the yield curve in the U.S. The portfolio also generated profits in currencies, most notably from positions in the Japanese yen and the euro versus the U.S. dollar, with further gains in the British pound, Korean won, and Swiss franc. In equity index futures, positions in U.S. benchmark indices led to positive performance. The portfolio experienced modest losses in commodities due to positions in metals and agricultural commodities, which were partially offset by gains from positions in energy.

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 June 30, 2022, Advisory Fees decreased by $825 or -0.7%, Sponsor Fees increased by $1,501 or 2.5%, and Administrator’s Fees decreased by $274 or -2.8% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income increased by $32,907 or 714.3%. Interest was earned on free cash at an average annualized yield of 0.54% for the three months ended June 30, 2022 compared to 0.07% for the same period in 2021.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended June 30, 2022 and 2021, the Incentive Allocation increased by $512,168 or 608.4%. This was the result of a higher net gain before incentive allocation for the three months ended June 30, 2022 compared to the three months ended June 30, 2021.

64
Six Months Ended June 30, 2022

For the six months ended June 30, 2022, the Core Macro Portfolio experienced a net trading gain of $7,518,726. The trading results are attributable to the following sectors:

Agriculture / Softs 
$
72,223
 
Base Metals  
112,908
 
Commodity Mix  
(63,403
)
Energy  
2,020,102
 
Equities  
947,271
 
Foreign Exchange  
1,811,472
 
Long Term / Intermediate Rates  
2,202,447
 
Precious Metals  
(159,098
)
Short Term Rates  
574,804
 
  
$
7,518,726
 

The Core Macro Portfolio recorded a net gain for the first half of 2022. The majority of profits resulted from positions in fixed income futures, particularly from positions across the yield curve in the U.S., with smaller gains from positions in European and Asian bonds. In commodities, the portfolio produced positive performance mainly from positions in energy. The portfolio also generated gains in currencies, primarily due to positions in the Japanese yen and the euro versus the U.S. dollar. In equity index futures, positions in U.S. and European benchmark indices led to further gains for the Portfolio.

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 six months ended June 30, 2022, Advisory Fees decreased by $7,728 or -3.5%, Sponsor Fees decreased by $1,099 or -0.9%, and Administrator’s Fees decreased by $845 or -4.5% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the six month period. During the same period, interest income increased by $31,711 or 205.0%. Interest was earned on free cash at an average annualized yield of 0.36% for the six months ended June 30, 2022 compared to 0.12% for the same period in 2021.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the six months ended June 30, 2022 and 2021, the Incentive Allocation increased by $768,547 or 178.8%. This was the result of a higher net gain before incentive allocation for the six months ended June 30, 2022 compared to the six months ended June 30, 2021.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of June 30, 2022 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
11.6
%
Base Metals
3.7
%
Energy
71.8
%
Equities
59.9
%
Foreign Exchange
43.4
%
Long Term / Intermediate Rates
136.1
%
Precious Metals
(17.4
)%
Short Term Rates
(209.1
)%
100.0
%

65
2021 Summary

Three Months Ended June 30, 2021

For the three months ended June 30, 2021, the Blended StrategiesCore Macro Portfolio experienced net trading gains of $676,264. The trading results are attributable to the following sectors:

Agriculture / Softs 
$
467,878
 
Base Metals  
197,499
 
Energy  
651,314
 
Equities  
758,761
 
Foreign Exchange  
(319,032
)
Long Term / Intermediate Rates  
(1,165,956
)
Precious Metals  
15,608
 
Short Term Rates  
87,859
 
Weather  
(17,667
)
  
$
676,264
 

The Blended StrategiesCore Macro Portfolio recorded a net gain for the second quarter of 2021.  The majority of gains 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, mostly from positions on the long end of the yield curve in the U.S. Smaller losses came from currencies from positions in the British pound sterling, New Zealand dollar, and Swiss franc 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 June 30, 2021, Advisory Fees increased by $10,555 or 10.2%, Sponsor Fees increased by $4,871 or 8.7%, and Administrator’s Fees increased by $578 or 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 and partially offset by redemptions for the period. During the same period, interest income decreased by $87,402 or -95.0%. Interest was earned on free cash at an average annualized yield of 0.07% for the three months ended June 30, 2021 compared to 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 June 30, 2021 and 2020, the Incentive Allocation increased by $78,444 or 1,367.3%. This increase was the result of a larger net gain before incentive allocation for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020.

6166
Six Months Ended June 30, 2021

For the six months ended June 30, 2021, the Blended StrategiesCore Macro Portfolio experienced net trading gains of $2,607,334. The trading results are attributable to the following sectors:

Agriculture / Softs 
$
580,375
 
Base Metals  
364,732
 
Energy  
671,131
 
Equities  
1,476,560
 
Foreign Exchange  
(144,004
)
Long Term / Intermediate Rates  
(289,391
)
Precious Metals  
(166,653
)
Short Term Rates  
143,514
 
Weather  
(28,930
)
  
$
2,607,334
 

The Blended StrategiesCore Macro Portfolio recorded a net gain for the first half of 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 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 as losses in Canadian, Australian, Asian, and European bonds more than offset gains from positions across the curve in the U.S.

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 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
%

6267
Index
2020 Summary

Three Months Ended June 30, 2020

For the three months ended 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.

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 June 30, 2020, Advisory Fees decreased by $4,401 or -4.1%, Sponsor Fees decreased by $1,994 or -3.5%, and Administrator’s Fees decreased by $349 or -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 $55,335 or -37.6%. Interest was earned on free cash at an average annualized yield of 1.37% for the three months ended June 30, 2020 compared to 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 June 30, 2020 and 2019, the Incentive Allocation was $5,737 and $0, respectively.

63
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.

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 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 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
3.0
%
Base Metals
0.2
%
Energy
(0.8
)%
Equities
13.4
%
Foreign Exchange
12.5
%
Long Term / Intermediate Rates
4.3
%
Precious Metals
25.7
%
Short Term Rates
41.7
%
100.0
%

64
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) 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 StrategiesCore Macro
Portfolio
June 30, 2021
2022		  
13.26
6.53		%
%
December 31, 2020
2021		  
10.72
8.63		%
%
June 30, 2020
2021		  
11.33
13.26		%
%

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 June 30, 2021,2022, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.
 
6568
(iii) Capital Resources
 
The Fund raises additional capital through the sale of Units and capital is increased through trading profits (if any) and interest income. The Fund may borrow money from brokers or their affiliates and other lenders. Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Fund should not have a significant impact on its operations, as the Fund has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses.
 
The Fund participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Fund’s brokers may require margin in excess of minimum exchange requirements. The Fund bears the risk of financial failure of the brokers through which it clears trades and maintains margin in respect of any such trades and of its counterparties for its foreign exchange and swap trades with whom it also maintains margin.
 
(iv) Critical Accounting PoliciesEstimates
 
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 StrategiesCore Macro 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 activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date. The 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 gainsappreciation and lossesdepreciation 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.
 
6669
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) Off-Balance Sheet Arrangements

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

6770
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.

6871
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 June 30, 2021,2022, 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 second quarter of 20212022 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

6972
PART II. OTHER INFORMATION

Item 1.Legal Proceedings

None

Item 1A.Risk Factors

There have been no material changes to the risk factors disclosed in our 20202021 Form 10-K.

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

For the three months ended June 30, 2021,2022, the Fund issued no Units with respect to the Blended StrategiesCore Macro 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
 
April 1 – April 30, 2021
565.268 $ 184.56N/AN/A
 
May 1 – May 31, 2021
7,792.277 $ 141.72N/AN/A
 
June 1 – June 30, 2021
3,493.670 $ 183.44N/AN/A
 TOTAL 11,851.215 $ 156.06N/AN/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, 2022
  2,911.409  

$  212.41   N/A   N/A 
 
May 1 – May 31, 2022
  907.226  

$  211.44   N/A   N/A 
 
June 1 – June 30, 2022
  784.430  

$  217.96   N/A   N/A 
 TOTAL  4,603.065  

$  213.17   N/A   N/A 

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

Item 3.
Defaults Upon Senior Securities – None

Item 4.
Mine Safety Disclosures – None

Item 5.
Other Information – None

7073
Item 6.Exhibits

Certificate of Formation of Graham Alternative Investment Fund I LLC
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 28, 2013
*** 3.2 (b)Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated May 2, 2022
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer)
***† 101.INS
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

 
***
Incorporated by reference to the Fund’s Form 8-K previously filed on May 10, 2022

†
Filed herewith

7174
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:  August 16, 202115, 2022
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
BLENDED STRATEGIESCORE MACRO PORTFOLIO
   
 
By:
By:
GRAHAM CAPITAL MANAGEMENT, L.P.
  
its Manager

 
By:  /s/ Brian Douglas
 
 

Brian Douglas, Principal Executive Officer

 
By:  /s/ George Schrade
 
 

George Schrade, Principal Financial Officer


7275