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 March 31,June 30, 2023

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
CORE 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 MayAugust 1, 2023, 153,062.986154,430.354 Units of the Core Macro Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
 
CORE MACRO PORTFOLIO
FORM 10-Q

INDEX

   
Page
Number
PART I - Financial Information: 
    
 Item 1.Financial Statements: 
    
  Graham Alternative Investment Fund I LLC Core Macro Portfolio 
    
  
Statements of Financial Condition at March 31,June 30, 2023 (Unaudited) and December 31, 2022 (Audited)
1
    
  
Unaudited Statements of Operations for the Three and Six Months Ended March 31,June 30, 2023 and 2022
2
    
  
Unaudited Statements of Changes in Members’ Capital for the Three and Six Months Ended March 31,June 30, 2023 and 2022
3
    
  
Unaudited Statements of Cash Flows for the ThreeSix Months Ended March 31,June 30, 2023 and 2022
45
    
  
Notes to Unaudited Financial Statements
56
    
  Graham Alternative Investment Trading LLC 
    
  
Statements of Financial Condition at March 31,June 30, 2023 (Unaudited) and December 31, 2022 (Audited)
1315
    
  
Condensed Schedules of Investments at March 31,June 30, 2023 (Unaudited) and December 31, 2022 (Audited)
1416
    
  
Unaudited Statements of Operations and Incentive Allocation for the Three and Six Months Ended March 31,June 30, 2023 and 2022
1517
    
  
Unaudited Statements of Changes in Members’ Capital for the Three and Months Ended March 31,June 30, 2023 and 2022
1618
    
  
Unaudited Statements of Cash Flows for the ThreeSix Months Ended March 31,June 30, 2023 and 2022
1720
    
  
Notes to Unaudited Financial Statements
1821
    
 Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
6268
    
 Item 3.
Quantitative and Qualitative Disclosures about Market Risk
6876
    
 Item 4.
Controls and Procedures
6977
    
7078
    
Exhibits
  7179
    

Certification
 
 
Certification
 
 
Certification
 

PART I

Item 1.Financial Statements

Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies Portfolio)

Statements of Financial Condition

 
March 31, 2023
(Unaudited)
  
December 31, 2022
(Audited)
  
June 30, 2023
(Unaudited)
  
December 31, 2022
(Audited)
 
Assets            
Investment in Graham Alternative Investment Trading LLC, at fair value $28,158,121  $28,825,841  $29,114,521  $28,825,841 
Cash and cash equivalents  230,000   – 
Redemptions receivable from Graham Alternative Investment Trading LLC  75,000
   519,852
   40,000
   519,852
 
Total assets $28,233,121  $29,345,693  $29,384,521  $29,345,693 
                
Liabilities and members’ capital                
Liabilities:                
Subscription received in advance $230,000  $– 
Redemptions payable $75,000  $519,852  
40,000  
519,852 
Total liabilities  75,000
   519,852
   270,000
   519,852
 
                
Members’ capital:                
Class 0 Units (69,724.514 and 70,066.654 units issued and outstanding at $219.21 and $224.59, respectively)
  15,284,180
   15,735,969
 
Class 2 Units (82,995.282 and 82,214.218 units issued and outstanding at $155.12 and $159.22, respectively)
  12,873,941
   13,089,872
 
Class 0 Units (71,391.814 and 70,066.654 units issued and outstanding at $223.94 and $224.59, respectively)
  15,987,381
   15,735,969
 
Class 2 Units (82,995.282 and 82,214.218 units issued and outstanding at $158.17 and $159.22, respectively)
  13,127,140
   13,089,872
 
Total members’ capital  28,158,121
   28,825,841
   29,114,521
   28,825,841
 
Total liabilities and members’ capital $28,233,121  $29,345,693  $29,384,521  $29,345,693 

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

1
Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies Portfolio)

Unaudited Statements of Operations

 
Three Months Ended
March 31,
  
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 
 2023  2022  2023  2022  2023  2022 
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC:      
Net realized gain on investments $281,524  $3,653,943 
Net (decrease) increase in unrealized appreciation on investments  (974,497)  653,944 
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC:            
Net realized (loss) gain on investment $(109,412) $4,320,243  $172,112  $7,974,186 
Net increase (decrease) in unrealized appreciation on investment  725,655   (1,109,404)  (248,842)  (455,460)
Brokerage commissions and fees  (24,704)  (22,817)  (15,955)  (29,839)  (40,659)  (52,656)
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC  (717,677)  4,285,070 
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC  600,288   3,181,000   (117,389)  7,466,070 
                        
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:                        
Investment income:                        
Interest income  191,178   9,666   239,342   37,514   430,520   47,180 
                        
Expenses:                        
Advisory fees  107,666   103,018   106,766   112,856   214,432   215,874 
Sponsor fees  60,409   56,223   59,848   62,109   120,257   118,332 
Professional fees  6,987   32,128   66,398   49,325   73,385   81,453 
Administrator’s fee  9,103   8,741   9,137   9,362   18,240   18,103 
Operating expenses  4,842   –   4,431   1,538   9,273   1,538 
Interest expense  1,652   1,603   1,650   1,581   3,302   3,184 
Incentive allocation  562   602,005   –   596,349   562   1,198,354 
Total expenses  191,221   803,718   248,230   833,120   439,451   1,636,838 
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC  (43)  (794,052)  (8,888)  (795,606)  (8,931)  (1,589,658)
Net (loss) income $(717,720) $3,491,018 
Net income (loss)
 $591,400  $2,385,394  $(126,320) $5,876,412 

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

2
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 March 31,June 30, 2023 and 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  –   –   –   –   – 
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 

 Class 0 Units  Class 2 Units     Class 0 Units  Class 2 Units    
 Units  Capital  Units  Capital  
Total Members’
Capital
  Units  Capital  Units  Capital  Total Members’ Capital 
                              
Members’ capital, December 31, 2022
  70,066.654  $15,735,969   82,214.218  $13,089,872  $28,825,841   70,066.654
  $15,735,969   82,214.218
  $13,089,872  $28,825,841 
Subscriptions  –   –   781.064   125,000   125,000   –
   –
   781.064
   125,000
   125,000
 
Redemptions  (342.140)  (75,000)  –   –   (75,000)  (342.140)  (75,000)  –   –   (75,000)
Net loss
  –   (376,789)  –   (340,931)  (717,720)  –
   (376,789)  –
   (340,931)  (717,720)
Members’ capital, March 31, 2023
  69,724.514  $15,284,180   82,995.282  $12,873,941  $28,158,121   69,724.514
   15,284,180
   82,995.282
   12,873,941
   28,158,121
 
Subscriptions  1,845.920
   405,000
   –
   –
   405,000
 
Redemptions  (178.620)  (40,000)  –   –   (40,000)
Net income  –
   338,201
   –
   253,199
   591,400
 
Members’ capital, June 30, 2023
  71,391.814
  $15,987,381   82,995.282
  $13,127,140  $29,114,521 

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

3
Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies Portfolio)

Unaudited Statements of Cash FlowsChanges in Members’ Capital (continued)

  
Three Months Ended
March 31,
 
  2023
  2022
 
Cash flows provided by operating activities      
Net (loss) income $(717,720) $3,491,018 
Adjustments to reconcile net (loss) income to net cash provided by operating activities:        
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC  717,720   (3,491,018
)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC  519,852   946,159 
Investment in Graham Alternative Investment Trading LLC  (125,000)  – 
Net cash provided by operating activities  394,852   946,159 
         
Cash flows used in financing activities        
Subscriptions  125,000   – 
Redemptions (net of redemptions payable)
  (519,852)  (946,159
)
Net cash used in financing activities  (394,852)  (946,159
)
         
Net change in cash and cash equivalents  –   – 
         
Cash and cash equivalents, beginning of period  –   – 
Cash and cash equivalents, end of period 
$
–
  $– 
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  –
   –
   –
   –
   –
 
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  –
   –
   –
   –
   –
 
Redemptions  (4,603.065)  (981,222)  –   –   (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.

4
Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Unaudited Statements of Cash Flows

  
Six Months Ended
June 30,
 
  2023
  2022
 
Cash flows provided by operating activities      
Net (loss) income $(126,320) $5,876,412 
Adjustments to reconcile net (loss) income to net cash provided by operating activities:        
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC  126,320   (5,876,412
)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC  594,852   1,845,423 
Investment in Graham Alternative Investment Trading LLC  (530,000)  – 
Net cash provided by operating activities  64,852   1,845,423 
         
Cash flows provided by (used in) financing activities        
Subscriptions (net of subscription received in advance)
  760,000   – 
Redemptions (net of redemptions payable)
  (594,852)  (1,845,423
)
Net cash  provided by (used in) financing activities  165,148  (1,845,423
)
         
Net change in cash and cash equivalents  230,000   – 
         
Cash and cash equivalents, beginning of period  –   – 
Cash and cash equivalents, end of period 
$
230,000
  $– 

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

5
Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies Portfolio)

Notes to Unaudited Financial Statements

March 31,June 30, 2023

1. Organization and Business
 
The Core 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 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.

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. The Fund may also trade futures on virtual currencies. 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.

56
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.

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 Assets’ 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 March 31,June 30, 2023 and December 31, 2022, the Fund owned 45.39%43.98% and 45.58%, 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.

67
Index

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)

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 threesix months ended March 31,June 30, 2023 or the year ended December 31, 2022 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's insolvency, recovery of the Fund'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 March 31,June 30, 2023 and December 31, 2022, the Fund did not have anyheld $230,000 and $0, respectively, in cash orand held no cash equivalents.
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 March 31,June 30, 2023 and December 31, 2022, no accruals have been recorded by the Fund for indemnifications.


3. Capital Accounts
                                    
The Fund offers two 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 invest in other investment programs or combinations of investment programs managed by the Manager.
 
A separate capital account is maintained for each member with respect to each member’s Class of Units. The initial balance of each Member’s capital account is equal to the initial subscription to the Fund by such member with respect to the Class to which such capital account relates. Each Member’s capital account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of the Fund are allocated among the Members’ Capital accounts in proportion to the balance that each capital account bears to the balance of all capital as of the beginning of such fiscal period.

See attached financial statements of Graham Alternative Investment Trading LLC.

78
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)

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 period end or on period end, if any, for Fund shares related to the subsequent period is considered a subscription received in advance on the period end date. 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 threesix months ended March 31,June 30, 2023 and 2022, the Advisory Fees allocated to the Fund by each Class of GAIT totaled $107,666$214,432 and $103,018,$215,874, 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 threesix months ended March 31,June 30, 2023 and 2022, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $60,409$120,257 and $56,223,$118,332, respectively.
 
Class 0Class 2
0.50%1.25%

See attached financial statements of Graham Alternative Investment Trading LLC.

89
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)

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 threesix months ended March 31,June 30, 2023 and 2022, Incentive Allocation of $562 and $602,005,$1,198,354, 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 threesix months ended March 31,June 30, 2023 and 2022, 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 threesix months ended March 31,June 30, 2023 and 2022 were $9,103$18,240 and $8,741,$18,103, 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 threesix months ended March 31,June 30, 2023 and 2022 were $6,987$73,385 and $32,128,$81,453, 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 threesix months ended March 31,June 30, 2023 and 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 threesix months endedMarch31, June 30, 2023 was $4,842. Thereand 2022 were no such expenses allocated to the Fund by GAIT for the three months ended March 31, 2022.$9,273 and $1,538, respectively.
 
See attached financial statements of Graham Alternative Investment Trading LLC.

910
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
 
No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of the Fund’s income and expenses for income tax purposes.
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Fund identifies its major tax jurisdictions as the U.S. for Federal tax purposes, Connecticut for state tax 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. 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 threesix months ended March 31,June 30, 2023 and 2022.


6. Risk Factors

Global 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 increased market volatility and economic uncertainties or deterioration in the United States and worldwide. For example, the outbreak of coronavirus, or COVID-19, in 2020 in many countries adversely impacted global commercial activity with profound impacts to broad economic factors and contributed to significant volatility in financial markets over a prolonged period of time. Globally, most notably in China, efforts to combat COVID-19 continued for an extended period of time, which have continued to impact global supply chains and employment markets, albeit to a lesser degree. Such impacts may affect the financial markets in which the Fund operates.


See attached financial statements of Graham Alternative Investment Trading LLC.

10
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

The following is the per Unit operating performance calculation for the three months ended March 31,June 30, 2023 and 2022:
 
 Class 0  Class 2  Class 0  Class 2 
Per unit operating performance            
Net asset value per Unit, December 31, 2021 $176.27  $125.68 
Net asset value per Unit, March 31, 2022 $200.75  $143.02 
Net income:                
Net investment loss  (5.51)  (4.03)  (5.66)  (4.19)
Net gain on investments  29.99   21.37   22.87   16.22 
Net income  24.48   17.34   17.21   12.03 
Net asset value per Unit, March 31, 2022 $200.75  $143.02 
Net asset value per Unit, June 30, 2022
 $217.96  $155.05 
                
Net asset value per Unit, December 31, 2022 $224.59  $159.22 
Net loss:        
Net asset value per Unit, March 31, 2023 $219.21  $155.12 
Net income:        
Net investment income (loss)  0.19   (0.16)  0.12   (0.21)
Net loss on investments  (5.57)  (3.94)
Net loss  (5.38)  (4.10)
Net asset value per Unit, March 31, 2023 $219.21  $155.12 
Net gain on investments  4.61   3.26 
Net income
  4.73   3.05 
Net asset value per Unit, June 30, 2023
 $223.94  $158.17 

The following represents ratios to average Members’ Capital and total return for the three months ended March 31,June 30, 2023 and 2022:
 
 Class 0 Class 2  Class 0
 Class 2
 
 2023
 2022
 2023
 2022
  2023 2022 2023 2022 
                          
Total return before Incentive Allocation
  (2.39)%  
16.37
%
  (2.58)%  
16.14
%
   2.16%  10.81%  1.97%  10.52% 
Incentive Allocation
  (0.01)  
(2.49
)
  0.00   
(2.34
)
   0.00   (2.24)  0.00   (2.11) 
Total return after Incentive Allocation
  (2.40)%  
13.88
%
  (2.58)%  
13.80
%
   2.16%  8.57%  1.97%  8.41% 
                                  
Net investment income (loss) before Incentive Allocation
  0.09%  
(0.64
)%
  (0.10)%  
(0.83
)%
   0.05%  (0.60)%  (0.13)%  (0.79)% 
Incentive Allocation
  (0.00)
  
(2.29
)
  0.00   
(2.18
)
   0.00
 
  (2.09)  0.00   (2.01) 
Net investment income (loss) after Incentive Allocation
  0.09%  
(2.93
)%
  (0.10)%  
(3.01
)%
   0.05%  (2.69)%  (0.13)%  (2.80)% 
                                  
Total expenses before Incentive Allocation
  0.57%  
0.67
%
  0.76%  
0.86
%
   0.79%  0.73%  0.97%  0.92% 
Incentive Allocation
  0.00   
2.29
   0.00   
2.18
    0.00
   2.09
   0.00
   2.01
  
Total expenses after Incentive Allocation
  0.57%  
2.96
%
  0.76%  
3.04
%
   0.79%  2.82%  0.97%  2.93% 

See attached financial statements of Graham Alternative Investment Trading LLC.

12
Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

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

The following is the per Unit operating performance calculation for the six months ended June 30, 2023 and 2022:
  Class 0  Class 2 
Per unit operating performance      
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 
         
Net asset value per Unit, December 31, 2022
 $224.59  $159.22 
Net loss:        
Net investment income (loss)  0.31   (0.37)
Net loss on investments  (0.96)  (0.68)
Net loss
  (0.65)  (1.05)
Net asset value per Unit, June 30, 2023
 $223.94  $158.17 

The following represents ratios to average Members’ Capital and total return for the six months ended June 30, 2023 and 2022:
  Class 0 Class 2 
  2023 2022 2023 2022 
              
Total return before Incentive Allocation  (0.28)%  28.83%  (0.66)%  28.10% 
Incentive Allocation  (0.01)  (5.18)  0.00   (4.73) 
Total return after Incentive Allocation  (0.29)%  23.65%  (0.66)%  23.37% 
                  
Net investment income (loss) before Incentive Allocation  0.14%  (1.24)%  (0.23)%  (1.62)% 
Incentive Allocation  (0.00)  (4.39)  0.00   (4.18) 
Net investment income (loss) after Incentive Allocation  0.14%  (5.63)%  (0.23)%  (5.80)% 
                  
Total expenses before Incentive Allocation  1.36%  1.41%  1.73%  1.78% 
Incentive Allocation  0.00
   4.39
   0.00
   4.18
  
Total expenses after Incentive Allocation  1.36%  5.80%  1.73%  5.96% 

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fee, and the Incentive Allocation. The net investment lossincome (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,income (loss), expenses, and Incentive Allocation. Net investment lossincome (loss) and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0 and Class 2 Units of the Fund for the three and six months ended March 31,June 30, 2023 and 2022 and are not annualized.

See attached financial statements of Graham Alternative Investment Trading LLC.

1113
Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio (formerly known as Blended Strategies Portfolio)

Notes to Unaudited Financial Statements (continued)

8. Subsequent Events
 
The Fund had subscriptions of approximately $0.1$0.44 million and no redemptionsredemptions of approximately $0.30 million from AprilJuly 1, 2023 through May 15,August 14, 2023, 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.

1214
Index

Graham Alternative Investment Trading LLC

Statements of Financial Condition


 
March 31, 2023
(Unaudited)
  
December 31, 2022
(Audited)
 
Assets      
Investments in Master Funds, at fair value $4,936,323  
$
6,078,610
 
Investment in Graham Cash Assets LLC, at fair value  57,470,028   
58,599,019
 
Receivable from Master Funds  69   
181
 
Total assets $62,406,420  
$
64,677,810
 
         
Liabilities and members’ capital        
Liabilities:        
Redemptions payable $152,247  
$
1,169,444
 
Accrued professional fees  92,106   
132,957
 
Accrued advisory fees  76,559   
79,343
 
Accrued sponsor fees  41,004   
42,803
 
Accrued administrator’s fees  6,655   
7,030
 
Accrued operating expenses  3,122   
3,223
 
Payable to Master Funds ‑   
102
 
Total liabilities  371,693   
1,434,902
 
         
Members’ capital:        
Class 0 Units (162,280.380 and 161,081.937 units issued and outstanding at $219.21 and $224.59 per unit, respectively)  35,573,195   
36,176,761
 
Class 2 Units (156,345.463 and 155,844.459 units issued and outstanding at $155.12 and $159.22 per unit, respectively)  24,251,739   
24,813,000
 
Class M Units (4,671.470 units issued and outstanding at $473.04 and $482.32 per unit, respectively)  2,209,793   
2,253,147
 
Total members’ capital
  62,034,727   
63,242,908
 
Total liabilities and members’ capital
 $62,406,420  
$
64,677,810
 

See accompanying notes.

13
Index
Graham Alternative Investment Trading LLC

Condensed SchedulesStatements of InvestmentsFinancial Condition

  
March 31, 2023
(Unaudited)
  
December 31, 2022
(Audited)
 
Description Fair Value  
Percentage of
Members’
Capital
  Fair Value  
Percentage of
Members’
Capital
 
               
Investments in Master Funds, at fair value              
Graham Commodity Strategies LLC $1,700,768   2.74%  
$
2,190,592
   
3.46
%
 
Graham Derivatives Strategies LLC  1,334,220   2.15%   
794,631
   
1.26
%
 
Graham K4D Trading Ltd.  1,901,335   3.07%   
3,093,387
   
4.89
%
 
Total investments in Master Funds $4,936,323   7.96%  
$
6,078,610
   
9.61
%
 

 
June 30, 2023
(Unaudited)
  
December 31, 2022
(Audited)
 
Assets      
Investments in Master Funds, at fair value $5,766,414  
$
6,078,610
 
Investment in Graham Cash Assets LLC, at fair value  60,766,554   
58,599,019
 
Receivable from Master Funds  58   
181
 
Total assets $66,533,026  
$
64,677,810
 
         
Liabilities and members’ capital        
Liabilities:        
Redemptions payable $202,158  
$
1,169,444
 
Accrued professional fees  4,105   
132,957
 
Accrued advisory fees  79,212   
79,343
 
Accrued sponsor fees  41,658   
42,803
 
Accrued administrator’s fees  6,964   
7,030
 
Accrued operating expenses  3,368   
3,223
 
Payable to Master Funds ‑   
102
 
Total liabilities  337,465   
1,434,902
 
         
Members’ capital:        
Class 0 Units (175,385.898 and 161,081.937 units issued and outstanding at $223.94 and $224.59 per unit, respectively)  39,275,689   
36,176,761
 
Class 2 Units (155,854.783 and 155,844.459 units issued and outstanding at $158.17 and $159.22 per unit, respectively)  24,651,098   
24,813,000
 
Class M Units (4,671.470 units issued and outstanding at $485.66 and $482.32 per unit, respectively)  2,268,774   
2,253,147
 
Total members’ capital  66,195,561   
63,242,908
 
Total liabilities and members’ capital $66,533,026  
$
64,677,810
 

See accompanying notes.

1415
Index

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments


 
June 30, 2023
(Unaudited)
  
December 31, 2022
(Audited)
 
Description Fair Value  
Percentage of
Members’
Capital
  Fair Value  
Percentage of
Members’
Capital
 
               
Investments in Master Funds, at fair value              
Graham Commodity Strategies LLC $1,407,163   2.13%  
$
2,190,592
   
3.46
%
 
Graham Derivatives Strategies LLC  1,139,312   1.72%   
794,631
   
1.26
%
 
Graham K4D Trading Ltd.  3,219,939   4.86%   
3,093,387
   
4.89
%
 
Total investments in Master Funds $5,766,414   8.71%  
$
6,078,610
   
9.61
%
 

See accompanying notes.

16
Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation


 
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 

 2023  2022  2023  2022 
Net (loss) gain allocated from investments in Master Funds:            
Net realized (loss) gain on investments $(233,069) 
$
9,492,282
  $377,282  
$
17,473,733
 
Net increase (decrease) in unrealized appreciation on investments  1,637,920   
(2,438,962
)
  (514,279)  
(1,016,446
)
Brokerage commissions and fees  (35,964)  
(65,652
)
  (90,177)  
(115,508
)
Net gain (loss) allocated from investments in Master Funds  1,368,887   
6,987,668
   (227,174)  
16,341,779
 
                 
Net investment income (loss) allocated from investments in Master Funds  39,877   
232
   95,642   
(3,574
)
                 
Investment income:                
Interest income  499,316   
82,257
   863,185   
107,069
 
                 
Expenses:                
Advisory fees  232,229   
240,555
   460,118   
458,706
 
Sponsor fees  123,061   
128,084
   245,314   
243,490
 
Professional fees  149,466   
108,449
   164,780   
177,834
 
Administrator’s fee  20,588   
20,606
   40,566   
39,689
 
Operating expenses  9,985   
3,371
   20,612   
3,371
 
Interest expense  3,717   
3,479
   7,343   
6,979
 
Total expenses  539,046   
504,544
   938,733   
930,069
 
Net investment loss of the Fund  (39,730)  
(422,287
)
  (75,548)  
(823,000
)
                 
Net income (loss)  1,369,034   
6,565,613
   (207,080)  
15,515,205
 
                 
Incentive allocation ‑   
(1,269,671
)
  (132)  
(2,550,314
)
                 
Net income (loss) available for pro-rata allocation to all members $1,369,034  
$
5,295,942
  $(207,212) 
$
12,964,891
 

See accompanying notes.

17
Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive AllocationChanges in Members’ Capital

  
Three Months Ended
March 31,
 
  2023  2022 
Net (loss) gain allocated from investments in Master Funds:      
Net realized gain on investments $610,351  
$
7,981,451
 
Net (decrease) increase in unrealized appreciation on investments  (2,152,199)  
1,422,516
 
Brokerage commissions and fees  (54,213)  
(49,856
)
Net (loss) gain allocated from investments in Master Funds  (1,596,061)  
9,354,111
 
         
Net investment income (loss) allocated from investments in Master Funds  55,765   
(3,806
)
         
Investment income:        
Interest income  363,869   
24,812
 
Total investment income  363,869   
24,812
 
         
Expenses:        
Advisory fees  227,889   
218,151
 
Sponsor fees  122,253   
115,406
 
Professional fees  15,314   
69,385
 
Administrator’s fee  19,978   
19,083
 
Operating expenses  10,627  ‑ 
Interest expense  3,626   
3,500
 
Total expenses
  399,687   
425,525
 
Net investment loss of the Fund  (35,818)  
(400,713
)
         
Net (loss) income  (1,576,114)  
8,949,592
 
         
Incentive allocation
  (132)  
(1,280,643
)
         
Net (loss) income available for pro-rata allocation to all members $(1,576,246) 
$
7,668,949
 
For the Three and Six Months Ended June 30, 2023

  Class 0  Class 2  Class M  Total 
  Units  Capital  Units  Capital  Units  Capital  Capital 
                      
Members’ capital, December 31, 2022  
161,081.937
  
$
36,176,761
   
155,844.459
  
$
24,813,000
   
4,671.470
  
$
2,253,147
  
$
63,242,908
 
Subscriptions  
2,107.202
   
490,000
   
781.064
   
125,000
   
–
   
–
   
615,000
 
Redemptions  
(908.759
)
  
(202,115
)
  
(280.060
)
  
(44,820
)
  
–
   
(132
)
  
(247,067
)
Incentive allocation  
–
   
(132
)
  
–
   
–
   
–
   
132
   
–
 
Net loss  
–
   
(891,319
)
  
–
   
(641,441
)
  
–
   
(43,354
)
  
(1,576,114
)
Members’ capital, March 31, 2023  
162,280.380
   
35,573,195
   
156,345.463
   
24,251,739
   
4,671.470
   
2,209,793
   
62,034,727
 
Subscriptions  14,208.945   3,114,000   –   –   –   –   3,114,000 
Redemptions  (1,103.427)  (245,476)  (490.680)  (76,724)  –   –   (322,200)
Incentive allocation  –   –   –   –   –   –   – 
Net income  –   833,970   –   476,083   –   58,981   1,369,034 
Members’ capital, June 30, 2023  175,385.898  $39,275,689   155,854.783  $24,651,098   4,671.470  $2,268,774  $66,195,561 
See accompanying notes.

1518
Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Six Months Ended March 31, 2023 andJune 30, 2022

 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, 2021
 
185,533.074
 
$
32,704,572
  
167,534.772
  
$
21,055,621
  
4,671.470
  
$
1,640,347
 
$
55,400,540
  
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
)
 
(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
 
–
  
–
 
(794,593
)
 
–
  
(486,050
)
 
–
  
1,280,643
 
–
 
Net income  
–
  
5,301,831
   
–
   
3,368,961
   
–
   
278,800
  
8,949,592
   
–
  
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
  
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
 

  Class 0  Class 2  Class M  Total 
  Units  Capital  Units  Capital  Units  Capital  Capital 
                             
Members’ capital, December 31, 2022  
161,081.937
  
$
36,176,761
   
155,844.459
  
$
24,813,000
   
4,671.470
  
$
2,253,147
  
$
63,242,908
 
Subscriptions  2,107.202   490,000   781.064   125,000   –   –   615,000 
Redemptions  (908.759)  (202,115)  (280.060)  (44,820)  –   (132)  (247,067)
Incentive allocation  –   (132)  –   –   –   132   – 
Net loss  –   (891,319)  –   (641,441)  –   (43,354)  (1,576,114)
Members’ capital, March 31, 2023  162,280.380  $35,573,195   156,345.463  $24,251,739   4,671.470  $2,209,793  $62,034,727 
See accompanying notes.

1619
Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

 Three Months Ended March 31,  Six Months Ended June 30, 
 2023  2022  2023  2022 
Cash flows provided by operating activities      
Cash flows (used in) provided by operating activities      
Net (loss) income $(1,576,114) 
$
8,949,592
  $(207,080) 
$
15,515,205
 
Adjustments to reconcile net (loss) income to net cash provided by operating activities:      
Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities:        
Net loss (income) allocated from investments in Master Funds 1,540,296  
(9,350,305
)
  131,532   
(16,338,205
)
Net (income) allocated from investment in Graham Cash Assets LLC (363,869) 
(24,812
)
  (863,185)  
(107,069
)
Proceeds from sale of investments in Master Funds 19,692,648  
21,067,184
   34,373,956   
39,890,240
 
Proceeds from sale of investment in Graham Cash Assets LLC 14,816,838  
6,508,136
   24,009,710   
18,117,424
 
Purchases of investments in Master Funds (20,090,647) 
(11,150,718
)
  (34,193,271)  
(22,971,706
)
Purchases of investment in Graham Cash Assets LLC (13,323,978) 
(15,022,066
)
  (25,314,060)  
(29,785,308
)
Changes in assets and liabilities:              
(Decrease) increase in accrued professional fees (40,851) 
909
 
(Decrease) in accrued professional fees  (128,852)  
(4,993
)
(Decrease) increase in accrued advisory fees (2,784) 
9,797
   (131)  
10,935
 
(Decrease) increase in accrued sponsor fees (1,799) 
5,226
   (1,145)  
6,344
 
(Decrease) increase in accrued administrator’s fee (375) 
656
   (66)  
814
 
(Decrease) in accrued operating expenses  (101) 
–
 
Net cash provided by operating activities  649,264   
993,599
 
Increase in accrued operating expenses  145   
3,371
 
Net cash (used in) provided by operating activities  (2,192,447)  
4,337,052
 
              
Cash flows used in financing activities      
Cash flows provided by (used in) financing activities        
Subscriptions 615,000  
–
   3,729,000   
–
 
Redemptions (net of redemptions payable)  (1,264,264)  
(993,599
)
  (1,536,553)  
(4,337,052
)
Net cash used in financing activities  (649,264) 
(993,599
)
Net cash provided by (used in) financing activities  2,192,447   
(4,337,052
)
              
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 $3,626  
$
3,500  $7,343  
$
6,979
 

See accompanying notes.
 
1720
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

March 31,June 30, 2023

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 “Manager”) is the Manager and the sole investment advisor. The Manager 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 Manager 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 Portfolio) and Graham Alternative Investment Fund II LLC Core Macro Portfolio (formerly known as Blended Strategies Portfolio) (through its investment in Graham Alternative Investment Ltd.) are the primary investors of GAIT.
 
SEI Global Services, Inc. (“SEI”) is GAIT’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of GAIT.
 
GAIT will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Amended and Restated Limited Liability Company Agreement (“LLC Agreement”).
 
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 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 Manager. 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.

1821
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 March 31,June 30, 2023 and December 31, 2022. 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 (loss) gain and net increase (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.

1922
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 threesix months ended March 31,June 30, 2023 or the year ended December 31, 2022 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 (loss) gain and net increase (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.

2023
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.
 
All 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.
 
2124
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 commodity prices, interest rates, and asset values. Exchange cleared swap contracts are cleared 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. The Master Funds records realized gains or losses when a swap contract is terminated. Relative to OTC interest rate swap contracts, exchange cleared interest rate swap contracts provide reduced counterparty risk since they are exchange-cleared, 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 cleared 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 statement of financial condition of the Master Funds. OTC 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. 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 Advisor using a discount curve constructed from independently obtained future interest rate assumptions. Interest is calculated and accrued throughout the life of each swap and is included in interest receivable and interest payable on the Master Funds’ statements of financial condition. Payments received at the end of each reset period are recorded against such accruals.

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 and terms of the contract as determined by the primary exchange on which they are traded.

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.

2225
Index

Graham Alternative Investment Trading LLC

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

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 threesix months ended March 31,June 30, 2023 and the year ended December 31, 2022 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had no derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $2,646,650 and $0 at March 31,June 30, 2023 and December 31, 2022, respectively. Graham Commodity Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at March 31,June 30, 2023 and December 31, 2022. Graham Derivatives Strategies LLC had derivative instruments subject to credit risk related contingent features in a net liability position of $0 and $,4,554$4,554 at March 31,June 30, 2023 and December 31, 2022, respectively.
 
2326
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
2. Summary of Significant Accounting Policies (continued)
 
New York Mercantile Exchange Corporate Membership
 
Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX seats and the shares of the CME Group at fair value. As of March 31,June 30, 2023 and December 31, 2022, the two NYMEX seats were valued at $288,500$288,000 and $297,500, respectively, and the 30,000 shares of CME Group were valued at $5,745,600$5,558,700 and $5,044,800, 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.
 
Chicago Mercantile Exchange Membership
 
Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Mercantile Exchange (“CME”). As a result of its membership, Graham Commodity Strategies LLC owns two CME seats and 2,232 shares of the CME Group. Graham Commodity Strategies LLC’s policy is to value the CME seats and the shares of the CME Group at fair value. As of March 31,June 30, 2023 and December 31, 2022, the two CME seats were valued at $442,750$420,250 and $485,500, respectively, and the 2,232 shares of CME Group were valued at $427,473$413,567 and $375,333, 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 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 March 31,June 30, 2023 and December 31, 2022, the CME seat was valued at $136,250$133,500 and $187,000, respectively, and the 4,085 shares of the CME Group were valued at $782,359$756,910 and $686,934, 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 March 31,June 30, 2023, Graham 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 March 31,June 30, 2023 and December 31, 2022, the 3,265 shares of the CME Group were valued at $625,312$604,972 and $549,043, respectively, and 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 March 31,June 30, 2023 and December 31, 2022, the two B-1/Full seats were valued at a total of $644,500$628,000 and $555,000, respectively, and the B-2/Associate seat was valued at $46,125$48,250 and $55,000, respectively, all of which are included in Exchange memberships on Graham K4D Trading Ltd.’s statementstatements of financial condition. Additionally, Graham K4D Trading Ltd. owns 970 shares of the CME Group as a result of its CBOT membership. Graham K4D Trading Ltd.’s policy is to value the CME Group shares at fair value. As of March 31,June 30, 2023 and December 31, 2022, the 970 shares of the CME Group were valued at $185,775$179,731 and $163,115, 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.
 
2427
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
2. Summary of Significant Accounting Policies (continued)
 
Chicago Board of Trade Membership (continued)
 
As of March 31,June 30, 2023, Graham Derivatives 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 aone B-1/Full seat as a result of its CBOT membership. Graham Derivatives Strategies LLC’s policy is to value the CBOT seat at fair value. As of March 31,June 30, 2023 the CBOT seat was valued at $322,250$314,000 and is included in Exchange memberships on Graham Derivatives Strategies LLC’s statement of financial condition. Graham Derivatives Strategies LLC was not a member of CBOT as of December 31, 2022.  The CBOT seat is considered Level 1 assets as described in the Fair Value section of Note 2.

Commodity Exchange Membership
 
As of March 31,June 30, 2023, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Commodity Exchange (“COMEX”) and owns two COMEX seats. Graham Commodity Strategies LLC’s policy is to value the COMEX seats at fair value. As of March 31,June 30, 2023 and December 31, 2022, the two COMEX seats were valued at $173,000$166,000 and $150,000 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.

Fixed Income Securities

The fixed income securities positions, held by the Master Funds where 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’sbank's insolvency, recovery of GAIT’s cash would be limited to account insurance or other protection afforded by such deposit.  At March 31,June 30, 2023 and December 31, 2022, GAIT did not have any cash or cash equivalents.
 
Indemnifications
 
In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31,June 30, 2023 and December 31, 2022, no accruals have been recorded by GAIT for indemnifications.
 
2528
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds
 
As of March 31,June 30, 2023 and December 31, 2022, 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. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management fees or incentive allocation, and all offer monthly subscriptions and redemptions.
 
March 31, 2023 
June 30, 2023June 30, 2023 
Investment – Objective 
Percent of
Members’
Capital
 Fair Value  
Net Loss
(three months
ended March 2023)
  
Percent of
Members’
Capital
 Fair Value  
Net Income (Loss)
(six months ended
June 2023)
 
                  
Global Macro Funds                  
Graham Commodity Strategies LLC 2.74% $1,700,768  $(121,521) 2.13% $1,407,163  $(43,296)
Graham Derivatives Strategies LLC 2.15% 1,334,220  (719,679) 1.72% 1,139,312  (730,949)
                  
Systematic Macro Funds                  
Graham K4D Trading Ltd.  3.07% 1,901,335  (699,096)  4.86% 3,219,939  642,713 
  7.96% $4,936,323  $(1,540,296)  8.71% $5,766,414  $(131,532)

December 31, 2022 
Investment – Objective 
Percent of
Members’
Capital
 Fair Value  
Net Income
(three months
ended March 2022)
 
             
Global Macro Funds            
Graham Commodity Strategies LLC  3.46% $2,190,592  $3,888,721 
Graham Derivatives Strategies LLC  1.26%  794,631   972,140 
             
Systematic Macro Funds            
Graham K4D Trading Ltd.  4.89%  3,093,387   4,489,444 
   9.61% $6,078,610  $9,350,305 
26
Index
Graham Alternative Investment Trading LLC
December 31, 2022 
Investment – Objective 
Percent of
Members’
Capital
 Fair Value  
Net Income
(six months ended
June 2022)
 

         
Global Macro Funds         
Graham Commodity Strategies LLC  
3.46
%
 
$
2,190,592
  
$
7,005,331
 
Graham Derivatives Strategies LLC  
1.26
%
  
794,631
   
2,155,661
 

            
Systematic Macro Funds            
Graham K4D Trading Ltd.  
4.89
%
  
3,093,387
   
7,177,213
 

  
9.61
%
 
$
6,078,610
  
$
16,338,205
 

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
The following table summarizes the financial position of each Master Fund as of March 31,June 30, 2023:
 
 
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham
Derivatives
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
  
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham
Derivatives
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
 
Assets:                  
Due from brokers 
$
63,642,551
  
$
32,900,312
  
$
30,219,610
  
$
53,577,124
  
$
26,163,313
  
$
32,618,613
 
Derivative financial instruments, at fair value 
5,269,489
  
21,295,807
  
–
  
3,028,648
  
20,814,767
  
13,493,848
 
Exchange memberships, at fair value 
7,702,635
  
322,250
  
1,795,009
  
7,451,489
  
314,000
  
1,746,391
 
Interest receivable  
513,544
   
129,131
   
117,741
   
255,098
   
25,616
   
140,051
 
Total assets
  
77,128,219
   
54,647,500
   
32,132,360
   
64,312,359
   
47,317,696
   
47,998,903
 
                  
Liabilities:                  
Derivative financial instruments, at fair value 
4,613,163
  
–
  
6,625,685
  
3,241,795
  
–
  
–
 
Interest payable  
161,628
   
39,122
   
73,197
   
23,575
   
5,984
   
91,499
 
Total liabilities
  
4,774,791
   
39,122
   
6,698,882
   
3,265,370
   
5,984
   
91,499
 
Members’ Capital / Net Assets
 
$
72,353,428
  
$
54,608,378
  
$
25,433,478
  
$
61,046,989
  
$
47,311,712
  
$
47,907,404
 
                  
Percentage of Master Fund held by GAIT
  
2.35
%
  
2.44
%
  
7.48
%
  
2.31
%
  
2.41
%
  
6.72
%

2729
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of March 31,June 30, 2023:
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
  
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC              
Exchange memberships (cost $3,649,411)              
United States (cost $3,649,411)              
Financial services (cost $3,649,411)   
$
7,702,635
  
10.65
%
   
$
7,451,489
  
12.21
%
Total exchange memberships   $7,702,635 10.65%   $7,451,489 12.21%
              
Derivative financial instruments              
Long contracts              
Futures              
Commodity   
$
1,407,493
 
1.95
%
   
$
(160,020
)
 
(0.26
)%
Foreign bond   
(455,866
)
 
(0.63
)%
Foreign index   
497,429
 
0.69
%
   
271,181
 
0.44
%
Interest rate   
(194,093
)
 
(0.32
)%
U.S. bond   
(315,978
)
 
(0.44
)%
       
U.S. 2 yr Note (CBT) September 2023 
9,986
 
(5,806,602
)
 
(9.51
)%
U.S. index           
290,142
 
0.48
%
Nasdaq 100 E-mini June 2023 
578
  
11,251,821
 
15.55
%
Total futures    
12,384,899
  
17.12
%
    
(5,599,392
)
  
(9.17
)%
              
Forwards              
Foreign currency    
3,408,208
 
4.71
%
    
(525,806
)
 
(0.86
)%
Total forwards    
3,408,208
  
4.71
%
    
(525,806
)
  
(0.86
)%
              
Options (cost $11,382,247)       
Options (cost $1,853,992)       
Currency futures   
3,535,367
 
4.89
%
   
955,590
 
1.57
%
Interest rate futures          
883,394
 
1.45
%
3 month SOFR, June 2024, $95.00 Put 
1
 
5,046,400
 
6.97
%
3 month SOFR, March 2024, $94.50 Put 
1
 
3,005,438
 
4.15
%
U.S. index futures           
45,000
 
0.07
%
S&P 500 E-mini, June 2023, $3,700.00 - $3,900.00 Put 
3
  
160,875
 
0.22
%
Total options    
11,748,080
 
16.23
%
    
1,883,984
  
3.09
%

2830
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of March 31,June 30, 2023:
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
  
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued)              
Derivative financial instruments (continued)              
Short contracts              
Futures
              
Commodity   
$
(545,695
)
 
(0.75
)%
Foreign bond          
$
(268,875
)
 
(0.44
)%
Japan 10 yr bond June 2023 (1,150) 
(10,433,881
)
 
(14.42
)%
Other foreign bond   
(564,729
)
 
(0.78
)%
Foreign index   
(102,747
)
 
(0.14
)%
Interest rate       
3 month SOFR, March 2024 (46) 
(33,950
)
 
(0.05
)%
Other interest rate   
71,466
 
0.10
%
U.S. bond   
(642,539
)
 
(0.89
)%
       
U.S. 5 yr - 10 yr Note (CBT) September 2023 (10,760) 
2,786,844
 
4.57
%
U.S. Ultra Bond CBT September 2023 (208) 
78,938
 
0.13
%
U.S. index           
(548,385
)
 
(0.90
)%
S&P 500 E-mini June 2023 (785) 
(6,210,525
)
 
(8.58
)%
Nasdaq 100 E-mini June 2023 (24) 
(181,132
)
 
(0.25
)%
Other U.S. index    
(445,455
)
 
(0.62
)%
Total futures    
(19,089,187
)
 
(26.38
)%
    
2,048,522
 
3.36
%
              
Forwards              
Foreign currency    
(1,674,086
)
 
(2.31
)%
    
2,598,864
 
4.24
%
Total forwards
    
(1,674,086
)
 
(2.31
)%
    
2,598,864
 
4.24
%
              
Options (proceeds $4,042,450)       
Options (proceeds $213,775)       
Interest rate futures           
(619,319
)
 
(1.01
)%
3 month SOFR, June 2024, $94.75 Put (1) 
(3,917,600
)
 
(5.41
)%
3 month SOFR, March 2024, $94.25 Put (1)  
(2,203,988
)
 
(3.05
)%
Total options    
(6,121,588
)
 
(8.46
)%
    
(619,319
)
 
(1.01
)%
Total derivative financial instruments   $656,326  0.91%   $(213,147)  (0.35)%

2931
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of March 31,June 30, 2023:
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
  
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Derivatives Strategies LLC              
Exchange memberships (cost $305,000)              
United States (cost $305,000)              
Financial services (cost $305,000)   
$
322,250
  
0.59
%
   
$
314,000
  
0.66
%
Total exchange memberships   $322,250 0.59%   $314,000 0.66%
              
Derivative financial instruments              
Long contracts              
Futures
              
Commodity          
$
16,160
 
0.03
%
Gold 100 Oz June 2023 
19
 
$
(21,590
)
 
(0.04
)%
WTI Crude May 2023 
28
 
32,710
 
0.06
%
Foreign index   
148,874
 
0.27
%
   
178,523
 
0.38
%
U.S. bond              
U.S. 10 yr June 2023 
1
 
484
 
0.00
%
U.S. 5 yr Note (CBT) June 2023 
40
 
(25,313
)
 
(0.05
)%
U.S. 10 yr Ultra September 2023 
152
 
(93,844
)
 
(0.20
)%
U.S. 2 yr Note (CBT) September 2023 
334
 
(590,992
)
 
(1.25
)%
U.S. index    
205,700
 
0.38
%
       
S&P E-mini September 2023 
176
 
404,200
 
0.85
%
Other U.S. index    
509,456
 
1.09
%
Total futures
    
340,865
  
0.62
%
    
423,503
  
0.90
%
              
Forwards
       
Foreign currency    
(14,456
)
 
(0.03
)%
Total forwards
    
(14,456
)
  
(0.03
)%
       
Options (cost $55,451,645)
       
Options (cost $51,082,341)       
Commodity futures              
Gold Future (CMX) September 2023, $2,025.00 Call 
1
 
8,998,080
 
16.48
%
Gold Future (CMX) May 2023, $2,010.00 - $2,050.00 Call 
2
 
2,438,060
 
4.46
%
Crude Oil December 2023, $85.50 Call 
1
 
2,708,160
 
4.96
%
Gold Future (CMX) February 2024, $2,200.00 - $2,500.00 Call 
2
 
2,479,050
 
5.24
%
Currency futures   
9,774,385
 
17.90
%
       
U.S. dollar / Chinese yuan September 2023, $7.30 Call 
2
 
3,201,276
 
6.77
%
U.S. dollar / Chinese yuan July 2023 - August 2023, $7.18 - $7.25 Call 
3
 
4,623,457
 
9.77
%
U.S. dollar / Chinese yuan (erko $7.45) September 2023, $7.30 Call 
1
 
278,075
 
0.59
%
U.S. dollar / Mexican peso September 2023 - November 2023, $16.25 - $17.05 Put 
4
 
4,151,288
 
8.77
%
U.S. dollar / Mexican peso (eko $16.75) August 2023, $17.40 Put 
1
 
801,047
 
1.69
%
Other currency futures   
3,272,683
 
6.93
%
Interest rate futures              
3 month SOFR, June 2023, $95.19 Call 
1
 
4,591,000
 
8.41
%
3 month SOFR, June 2023, $95.44 Call 
1
 
3,328,475
 
6.10
%
3 month SOFR, September 2023, $97.50 Call 
1
 
1,683,638
 
3.08
%
3-Month SOFR, September 2023, $95.44 - $96.19 Call 
2
 
1,238,238
 
2.62
%
SOFR 1 yr Midcurve September 2023, $96.00 Put 
1
 
11,294,550
 
23.87
%
SOFR 1 yr Midcurve September 2023, $96.63 Put 
1
 
21,053,438
 
44.50
%
U.S. bond futures              
U.S. 10 yr June 2023, $117.50 Call 
1
 
4,695,781
 
8.60
%
U.S. 5 yr June 2023, $113.25 Call 
1
 
3,250,719
 
5.95
%
U.S. 10 yr August 2023, $114.00 Call 
1
 
352,172
 
0.74
%
U.S. 10 yr August 2023, $111.50 Put 
1
 
2,001,172
 
4.23
%
U.S. index futures    
2,538,378
 
4.65
%
       
S&P 500 E-mini July 2023, $4,450.00 Call 
1
 
5,928,938
 
12.53
%
S&P 500 E-mini August 2023, $4,550.00 Call 
1
  
3,331,250
 
7.04
%
Total options
    
44,006,676
  
80.59
%
    
64,006,634
  
135.29
%

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 March 31,June 30, 2023:
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
  
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital of
Master Fund
 
Graham Derivatives Strategies LLC (continued)              
Derivative financial instruments (continued)              
Short contracts              
Futures
              
Commodity       
Gold 100 Oz June 2023 (79) 
$
121,280
 
0.22
%
Foreign bond   
53,058
 
0.10
%
   
$
(72,054
)
 
(0.15
)%
U.S. bond              
U.S. 10 yr Note (CBT) June 2023 (69) 
9,234
 
0.02
%
U.S. 2 yr Note (CBT) June 2023 (82) 
3,875
 
0.01
%
U.S. 5 yr Note (CBT) June 2023 (9) 
1,109
 
0.00
%
U.S. Long Bond (CBT) June 2023 (5) 
1,375
 
0.00
%
U.S. Ultra Bond (CBT) June 2023 (8) 
(8,125
)
 
(0.01
)%
U.S. index    
(91,935
)
 
(0.17
)%
U.S. Long Bond (CBT) September 2023 (106) 
(78,469
)
 
(0.17
)%
U.S. Ultra Bond (CBT) September 2023 (84) 
(106,313
)
 
(0.22
)%
U.S. 2 yr – 10 yr Note (CBT) September 2023 (1,282)  
198,305
 
0.42
%
Total futures
    
89,871
 
0.17
%
    
(58,531
)
 
(0.12
)%
              
Forwards
              
Foreign currency    
22,194
 
0.04
%
    
(44,070
)
 
(0.09
)%
Total forwards
    
22,194
 
0.04
%
    
(44,070
)
 
(0.09
)%
              
Options (proceeds $25,308,967)
       
Options (proceeds $28,277,816)       
Commodity futures              
Gold future (CMX) September 2023, $2,125.00 Call 
(1
)
 
(5,427,240
)
 
(9.94
)%
Gold future (CMX) May 2023, $2,110.00 Call 
(1
)
 
(421,200
)
 
(0.77
)%
Crude Oil December 2023, $90.50 Call 
(1
)
 
(1,946,880
)
 
(3.57
)%
Gold Future (CMX) February 2024, $2,300.00 - $2,400.00 Call 
(2
)
 
(1,993,900
)
 
(4.21
)%
Currency futures   
(525,442
)
 
(0.96
)%
       
U.S. dollar / Chinese yuan July 2023 - September 2023, $7.26 - $7.45 Call 
(4
)
 
(1,820,017
)
 
(3.85
)%
U.S. dollar / Mexican peso September 2023, $16.45 Put 
(1
)
 
(210,283
)
 
(0.44
)%
Other currency futures   
(1,510,459
)
 
(3.20
)%
Interest rate futures              
3 month SOFR, June 2023, $95.31 Call 
(1
)
 
(7,689,506
)
 
(14.08
)%
3 month SOFR, September 2023, $98.50 Call 
(1
)
 
(742,781
)
 
(1.36
)%
SOFR 1 yr Midcurve September 2023, $96.19 Put 
(1
)
 
(13,969,575
)
 
(29.53
)%
SOFR 1 yr Midcurve September 2023, $96.44 Put 
(1
)
 
(17,833,500
)
 
(37.69
)%
Other interest rate futures   
(1,188,900
)
 
(2.53
)%
U.S. bond futures              
U.S. 10 yr June 2023, $119.50 Call 
(1
)
 
(2,405,156
)
 
(4.40
)%
U.S. 5 yr June 2023, $115.25 Call 
(1
)
 
(1,457,219
)
 
(2.67
)%
U.S. 10 yr August 2023, $115.00 Call 
(1
)
 
(160,078
)
 
(0.34
)%
U.S. 10 yr August 2023, $110.50 Put 
(1
)
 
(800,469
)
 
(1.69
)%
Index futures    
(2,533,919
)
 
(4.64
)%
       
S&P 500 E-mini July 2023 – August 2023, $4,550.00 - $4,600.00 Call 
(2
)
  
(4,025,588
)
 
(8.51
)%
Total options
    
(23,149,343
)
  
(42.39
)%
    
(43,512,769
)
 
(91.99
)%
Total derivative financial instruments   $21,295,807 39.00%   $20,814,767  43.99%

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 March 31,June 30, 2023:
 
Description Number of Contracts / Notional Amount
 Fair Value  
Percentage of
Net Assets of
Master Fund
 Notional Amount 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)   
$
1,795,009
  
7.06
%
  
$
1,746,391
   
3.65
%
Total exchange memberships   $1,795,009 7.06%  $1,746,391   3.65%
                
Derivative financial instruments                
Long contracts                
Futures                
Commodity   
$
1,592,792
 
6.26
%
  
$
(1,955,693
)
  
(4.08
)%
Currency   
(131,063
)
 
(0.52
)%
   
(7,796
)
  
(0.02
)%
Foreign bond   
(47,581
)
 
(0.19
)%
   
(228,187
)
  
(0.48
)%
Foreign index   
2,154,310
 
8.48
%
   
3,051,164
   
6.38
%
U.S. bond       
U.S. Long Bond (CBT) June 2023 
22
 
15
 
0.00
%
U.S. Ultra Bond CBT June 2023 
14
 
46,154
 
0.18
%
Interest rate   
(6,925
)
  
(0.01
)%
U.S. index    
513,760
 
2.02
%
   
969,535
   
2.02
%
Total futures    
4,128,387
  
16.23
%
   
1,822,098
   
3.81
%
                
Forwards                
British pound / U.S. dollar 06/21/2023 
£  32,378,000
 
625,879
 
2.46
%
Other foreign currency    
1,570,583
  
6.18
%
Foreign currency   
(122,477
)
  
(0.26
)%
Total forwards
    
2,196,462
 
8.64
%
   
(122,477
)
  
(0.26
)%
                
Swaps (cost $228,394)       
USD SOFR Rec 3.25% - 4.00%, 06/21/2023 - 06/21/2043 
$  1,590,000
 
17,898
 
0.07
%
Swaps (cost $1,052,014)         
Interest rate         
USD SOFR Rec 3.00% - 3.75%, 09/20/2023 - 09/20/2033$  5,190,000  
(112,019
)
  
(0.23
)%
Other interest rate    
(56,180
)
 
(0.22
)%
   
(105,432
)
  
(0.22
)%
Total swaps    
(38,282
)
  
(0.15
)%
   
(217,451
)
  
(0.45
)%

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 March 31,June 30, 2023:
 
Description 
Number of
Contracts / Notional
Amounts
 Fair Value  
Percentage of
Net Assets of
Master Fund
  
Number of
Contracts / Notional
Amounts
 Fair Value  
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd. (continued)              
Derivative financial instruments (continued)              
Short contracts              
Futures              
Commodity
   
$
(1,689,303
)
 
(6.64
)%
   
$
(762,145
)
 
(1.59
)%
Currency
   
(12,053
)
 
(0.05
)%
   
63,836
 
0.13
%
Foreign bond
   
(1,691,463
)
 
(6.65
)%
   
1,230,593
 
2.57
%
Foreign index
   
(137,781
)
 
(0.54
)%
   
251,478
 
0.52
%
Interest rate
              
3 month SOFR June 2024 
(572
)
 
(1,339,164
)
 
(5.27
)%
3 Month SOFR June 2024 
(1,673
)
 
3,727,707
 
7.79
%
Other interest rate   
(590,961
)
 
(2.32
)%
   
3,096,484
 
6.46
%
U.S. bond
              
U.S. 2 yr – 10 yr Note (CBT) June 2023 
(592
)
 
(687,326
)
 
(2.70
)%
U.S. 5 yr Note (CBT) June 2023 
(409
)
 
(1,382,426
)
 
(5.44
)%
U.S. 2 yr – 10 yr Note (CBT) September 2023 
(1,474
)
 
2,558,563
 
5.35
%
U.S. Long Bond (CBT) September 2023 
(93
)
 
67,055
 
0.14
%
U.S. Ultra Bond (CBT) September 2023 
(13
)
 
(2,578
)
 
(0.01
)%
U.S. index
    
(576,945
)
 
(2.27
)%
    
(782,046
)
 
(1.63
)%
Total futures    
(8,107,422
)
 
(31.88
)%
    
9,448,947
  
19.73
%
              
Forwards              
U.S. dollar / British pound 06/21/2023 
$  (42,956,000
)
 
(1,281,649
)
 
(5.04
)%
Other foreign currency    
(3,510,458
)
 
(13.80
)%
Foreign currency    
2,280,321
 
4.76
%
Total forwards    
(4,792,107
)
  
(18.84
)%
    
2,280,321
  
4.76
%
              
Swaps (proceeds $199,056)       
USD SOFR Pay 3.25%, 06/21/2023 - 06/21/2033 
$  (820,000
)
 
(6,505
)
 
(0.03
)%
Swaps (proceeds $929,464)       
Interest rate       
USD SOFR Pay 3.75% - 4.75%, 09/20/2023 - 09/20/2043 
$
(2,790,000
)
 
(12,127
)
 
(0.03
)%
Other interest rate    
(6,218
)
 
(0.02
)%
    
294,537
 
0.61
%
Total swaps    
(12,723
)
 
(0.05
)%
    
282,410
  
0.58
%
Total derivative financial instruments   $(6,625,685)  (26.05)%   $13,493,848 28.17%

3335
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following table shows the fair value classification of each investment type by Master Fund as of March 31,June 30, 2023:
 
 
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham
K4D Trading Ltd.
  
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham
K4D Trading Ltd.
 
Assets                  
Level 1:
                  
Commodity futures 
$
2,074,888
  
$
153,990
  
$
3,047,177
  
$
364,980
  
$
16,160
  
$
2,290,773
 
Commodity futures options 
–
  
14,144,300
  
–
  
–
  
2,479,050
  
–
 
Currency futures 
–
  
–
  
49,960
  
–
  
–
  
84,499
 
Exchange memberships* 
7,702,635
  
322,250
  
1,795,009
  
7,451,489
  
314,000
  
1,746,391
 
Foreign bond futures 
461,636
  
53,058
  
248,893
  
1,032,638
  
12,173
  
1,280,548
 
Foreign index futures 
497,429
  
148,874
  
2,235,359
  
271,181
  
184,223
  
3,697,176
 
Interest rate futures 
71,466
  
–
  
41,592
  
221,882
  
–
  
6,824,191
 
Interest rate futures options 
8,051,838
  
9,603,114
  
–
  
883,394
  
33,586,226
  
–
 
U.S. bond futures 
321,296
  
16,077
  
46,169
  
2,865,782
  
201,414
  
2,625,618
 
U.S. bond futures options 
–
  
7,946,500
  
–
  
–
  
2,353,344
  
–
 
U.S. index futures 
11,251,821
  
205,700
  
561,595
  
486,492
  
913,656
  
969,535
 
U.S. index futures options  
160,875
   
2,538,379
   
–
   
45,000
   
9,260,188
   
–
 
Total Level 1
  
30,593,884
   
35,132,242
   
8,025,754
   
13,622,838
   
49,320,434
   
19,518,731
 
                  
Level 2:
                  
Foreign currency forwards 
6,042,324
  
22,194
  
2,472,058
  
8,826,712
  
–
  
4,930,330
 
Foreign currency futures options 
3,535,367
  
9,774,385
  
–
  
955,590
  
16,327,827
  
–
 
Interest rate swap  
–
   
–
   
152,410
   
–
   
–
   
739,361
 
Total Level 2
  
9,577,691
   
9,796,579
   
2,624,468
   
9,782,302
   
16,327,827
   
5,669,691
 
Total investment related assets
 
$
40,171,575
  
$
44,928,821
  
$
10,650,222
  
$
23,405,140
  
$
65,648,261
  
$
25,188,422
 
                  
Liabilities                  
Level 1:
                  
Commodity futures 
$
(1,213,090
)
 
$
(21,590
)
 
$
(3,143,688
)
 
$
(525,000
)
 
$
–
  
$
(5,008,611
)
Commodity futures options 
–
  
(7,795,320
)
 
–
  
–
  
(1,993,900
)
 
–
 
Currency futures 
–
  
–
  
(193,076
)
 
–
  
–
  
(28,459
)
Foreign bond futures 
(11,916,112
)
 
–
  
(1,987,937
)
 
(1,301,513
)
 
(84,227
)
 
(278,142
)
Foreign index futures 
(102,747
)
 
–
  
(218,830
)
 
–
  
(5,700
)
 
(394,534
)
Interest rate futures 
(33,950
)
 
–
  
(1,971,717
)
 
(415,975
)
 
–
  
(6,925
)
Interest rate futures options 
(6,121,588
)
 
(8,432,288
)
 
–
  
(619,319
)
 
(32,991,975
)
 
–
 
U.S. bond futures 
(1,279,813
)
 
(33,438
)
 
(2,069,752
)
 
(5,806,602
)
 
(872,727
)
 
(2,578
)
U.S. bond futures options 
–
  
(3,862,375
)
 
–
  
–
  
(960,547
)
 
–
 
U.S. index futures 
(6,837,112
)
 
(91,935
)
 
(624,780
)
 
(744,735
)
 
–
  
(782,046
)
U.S. index futures options  
–
   
(2,533,920
)
  
–
   
–
   
(4,025,588
)
  
–
 
Total Level 1
  
(27,504,412
)
  
(22,770,866
)
  
(10,209,780
)
  
(9,413,144
)
  
(40,934,664
)
  
(6,501,295
)
                  
Level 2:
                  
Foreign currency forwards 
(4,308,202
)
 
(14,456
)
 
(5,067,703
)
 
(6,753,654
)
 
(44,070
)
 
(2,772,486
)
Foreign currency futures options 
–
  
(525,442
)
 
–
  
–
  
(3,540,760
)
 
–
 
Interest rate swap  
–
   
–
   
(203,415
)
  
–
   
–
   
(674,402
)
Total Level 2
  
(4,308,202
)
  
(539,898
)
  
(5,271,118
)
  
(6,753,654
)
  
(3,584,830
)
  
(3,446,888
)
Total investment related liabilities
 
$
(31,812,614
)
 
$
(23,310,764
)
 
$
(15,480,898
)
 
$
(16,166,798
)
 
$
(44,519,494
)
 
$
(9,948,183
)

* See each Master Fund’sFund's condensed schedule of investments for breakout of industry and geographic region.
 
3436
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 threesix months ended March 31,June 30, 2023. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at March 31,June 30, 2023 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 
$
206,445,150
   
1,487
  
$
(5,670,143
)
  
(94
)
 
$
2,074,888
  
$
(1,213,090
)
   
206,445,150
   
1,487
   
(5,670,143
)
  
(94
)
  
2,074,888
   
(1,213,090
)
                         
Equity price                        
Futures  
167,474,110
   
813
   
(179,184,238
)
  
(934
)
  
11,749,250
   
(6,939,859
)
Options (a)  
–
   
66
   
(2,656,270
)
  
–
   
160,875
   
–
 
   
167,474,110
   
879
   
(181,840,508
)
  
(934
)
  
11,910,125
   
(6,939,859
)
Foreign currency exchange rate                     
Forwards  
866,174,862
   
N/A
   
(1,238,615,818
)
  
N/A
   
6,042,324
   
(4,308,202
)
Options (a)  
54,445,163
   
14
   
(68,476,475
)
  
(21
)
  
3,535,367
   
–
 
   
920,620,025
   
14
   
(1,307,092,293
)
  
(21
)
  
9,577,691
   
(4,308,202
)
                         
Interest rate                        
Futures  
240,545,971
   
2,329
   
(1,621,964,984
)
  
(3,645
)
  
854,398
   
(13,229,875
)
Options (a)  
683,228,699
   
21,310
   
(857,586,855
)
  
(21,310
)
  
8,051,838
   
(6,121,588
)
   
923,774,670
   
23,639
   
(2,479,551,839
)
  
(24,955
)
  
8,906,236
   
(19,351,463
)
Total
 
$
2,218,313,955
   
26,019
  
$
(3,974,154,783
)
  
(26,004
)
 
$
32,468,940
  
$
(31,812,614
)
  Long exposure  Short exposure       
  
Notional
amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
 
Commodity price                  
Futures $122,032,519   966  $(5,670,143)  (94) $364,980  $(525,000)
   122,032,519   966   (5,670,143)  (94)  364,980   (525,000)
                         
Equity price                        
Futures  176,703,865   854   (148,503,889)  (1,081)  757,673   (744,735)
Options (a)  –   43   (1,879,741)  –   45,000   – 
   176,703,865   897   (150,383,630)  (1,081)  802,673   (744,735)
Foreign currency exchange rate                     
Forwards  4,074,560,693   N/A   (990,903,831)  N/A   8,826,712   (6,753,654)
Options (a)  44,638,573   9   (36,374,401)  (14)  955,590   – 
   4,119,199,266   9   (1,027,278,232)  (14)  9,782,302   (6,753,654)
                         
Interest rate                        
Futures  1,683,146,636   8,088   (1,790,748,469)  (8,385)  4,120,302   (7,524,090)
Options (a)  382,560,086   11,158   (480,273,218)  (11,158)  883,394   (619,319)
   2,065,706,722   19,246   (2,271,021,687)  (19,543)  5,003,696   (8,143,409)
Total $6,483,642,372   21,118  $(3,454,353,692)  (20,732) $15,953,651  $(16,166,798)

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

3537
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 Derivatives Strategies LLC based on its average quarterly notional amounts and number of contracts for the threesix months ended March 31,June 30, 2023. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at March 31,June 30, 2023 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 
$
5,892,540
 
47
 
$
(15,690,980
)
 
(79
)
 
$
153,990
  
$
(21,590
)
 $3,100,160   29  $(15,690,980)  (79) $16,160  $– 
Options (a)  
217,680,281
 
3,014
  
(107,868,439
)
 
(2,652
)
  
14,144,300
  
(7,795,320
)
  129,185,145   2,294   (70,810,194)  (2,111)  2,479,050   (1,993,900)
  
223,572,821
  
3,061
  
(123,559,419
)
  
(2,731
)
  
14,298,290
   
(7,816,910
)
  132,285,305   2,323   (86,501,174)  (2,190)  2,495,210   (1,993,900)
                                       
Equity price                                       
Futures 
70,825,862
 
1,045
 
(7,891,943
)
 
(33
)
 
354,574
  
(91,935
)
  84,442,167   856   (7,891,943)  (33)  1,097,879   (5,700)
Options (a)  
44,260,250
  
3,370
  
(44,933,255
)
  
(3,369
)
  
2,538,379
   
(2,533,920
)
  183,158,605   3,103   (116,197,984)  (3,059)  9,260,188   (4,025,588)
  
115,086,112
 
4,415
  
(52,825,198
)
 
(3,402
)
  
2,892,953
  
(2,625,855
)
  267,600,772   3,959   (124,089,927)  (3,092)  10,358,067   (4,031,288)
Foreign currency exchange rateForeign currency exchange rate             Foreign currency exchange rate                     
Forwards 
21,819,417
 
N/A
 
(18,692,554
)
 
N/A
  
22,194
  
(14,456
)
  21,819,417   N/A   (38,645,021)  N/A   –   (44,070)
Options (a)  
99,642,790
  
11
  
(121,610,628
)
  
(10
)
  
9,774,385
   
(525,442
)
  343,150,769   11   (257,008,901)  (12)  16,327,827   (3,540,760)
  
121,462,207
 
11
  
(140,303,182
)
 
(10
)
  
9,796,579
  
(539,898
)
  364,970,186   11   (295,653,922)  (12)  16,327,827   (3,584,830)
                                       
Interest rate                                       
Futures 
4,501,453
 
41
 
(102,422,539
)
 
(240
)
 
69,135
  
(33,438
)
  45,210,383   264   (178,761,620)  (1,025)  213,587   (956,954)
Options (a)  
2,320,832,488
 
47,965
  
(1,967,245,397
)
 
(47,964
)
  
17,549,614
  
(12,294,663
)
  2,853,546,728   43,420   (2,675,915,374)  (43,420)  35,939,570   (33,952,522)
  
2,325,333,941
  
48,006
  
(2,069,667,936
)
  
(48,204
)
  
17,618,749
   
(12,328,101
)
  2,898,757,111   43,684   (2,854,676,994)  (44,445)  36,153,157   (34,909,476)
Total
 
$
2,785,455,081
 
55,493
 
$
(2,386,355,735
)
 
(54,347
)
 
$
44,606,571
  
$
(23,310,764
)
 $3,663,613,374   49,977  $(3,360,922,017)  (49,739) $65,334,261  $(44,519,494)

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

3638
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham K4D Trading Ltd. based on its quarterly average notional amounts and number of contracts for the threesix months ended March 31,June 30, 2023. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at March 31,June 30, 2023 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 
$
82,345,644
  
1,174
 
$
(68,691,378
)
  
(1,243
)
 
$
3,047,177
  
$
(3,143,688
)
 
$
87,641,029
  
1,318
 
$
(68,469,913
)
  
(1,269
)
 
$
2,290,773
  
$
(5,008,611
)
  
82,345,644
 
1,174
  
(68,691,378
)
 
(1,243
)
  
3,047,177
  
(3,143,688
)
  
87,641,029
 
1,318
  
(68,469,913
)
 
(1,269
)
  
2,290,773
  
(5,008,611
)
                              
Equity price                              
Futures  
116,513,220
  
1,132
  
(26,061,532
)
  
(257
)
  
2,796,954
   
(843,610
)
  
201,251,607
  
1,880
  
(56,480,296
)
  
(511
)
  
4,666,711
  
(1,176,580
)
  
116,513,220
 
1,132
  
(26,061,532
)
 
(257
)
  
2,796,954
  
(843,610
)
  
201,251,607
 
1,880
  
(56,480,296
)
 
(511
)
  
4,666,711
  
(1,176,580
)
Foreign currency exchange rateForeign currency exchange rate             Foreign currency exchange rate             
Forwards 
222,914,885
 
N/A
 
(353,277,093
)
 
N/A
  
2,472,058
  
(5,067,703
)
 
240,421,608
 
N/A
 
(355,841,070
)
 
N/A
  
4,930,330
  
(2,772,486
)
Futures  
8,005,302
  
73
  
(1,244,309
)
  
(18
)
  
49,960
   
(193,076
)
  
12,859,994
  
123
  
(2,873,042
)
  
(40
)
  
84,499
   
(28,459
)
  
230,920,187
 
73
  
(354,521,402
)
 
(18
)
  
2,522,018
  
(5,260,779
)
  
253,281,602
 
123
  
(358,714,112
)
 
(40
)
  
5,014,829
  
(2,800,945
)
                              
Interest rate                              
Futures 
22,023,346
 
186
 
(684,386,638
)
 
(3,358
)
 
336,654
  
(6,029,406
)
 
21,885,555
 
173
 
(1,028,785,916
)
 
(5,295
)
 
10,730,357
  
(287,645
)
Swaps  
15,689,406
 
48
  
(11,976,873
)
 
(42
)
  
152,410
  
(203,415
)
  
49,506,575
 
42
  
(33,156,783
)
 
(51
)
  
739,361
  
(674,402
)
  
37,712,752
  
234
  
(696,363,511
)
  
(3,400
)
  
489,064
   
(6,232,821
)
  
71,392,130
  
215
  
(1,061,942,699
)
  
(5,346
)
  
11,469,718
   
(962,047
)
Total
 
$
467,491,803
 
2,613
 
$
(1,145,637,823
)
 
(4,918
)
 
$
8,855,213
  
$
(15,480,898
)
 
$
613,566,368 
3,536
 
$
(1,545,607,020
)
 
(7,166
)
 
$
23,442,031
  
$
(9,948,183
)

3739
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at March 31,June 30, 2023 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 
$
32,468,940
  
$
(27,199,451
)
 
$
5,269,489
  
$
–
  
$
5,269,489
  
$
15,953,651
  
$
(12,925,003
)
 
$
3,028,648
  
$
–
  
$
3,028,648
 
Derivative liabilities 
$
(31,812,614
)
 
$
27,199,451
  
$
(4,613,163
)
 
$
4,613,163
  
$
–
  
$
(16,166,798
)
 
$
12,925,003
  
$
(3,241,795
)
 
$
3,241,795
  
$
–
 
                              
Graham Derivatives Strategies LLC2
Graham Derivatives Strategies LLC2
             
Graham Derivatives Strategies LLC2
             
Derivative assets 
$
44,606,571
  
$
(23,310,764
)
 
$
21,295,807
  
$
–
  
$
21,295,807
  
$
65,334,261
  
$
(44,519,494
)
 
$
20,814,767
  
$
–
  
$
20,814,767
 
Derivative liabilities 
$
(23,310,764
)
 
$
23,310,764
  
$
–
  
$
–
  
$
–
  
$
(44,519,494
)
 
$
44,519,494
  
$
–
  
$
–
  
$
–
 
                              
Graham K4D Trading Ltd.3
                              
Derivative assets 
$
8,855,213
  
$
(8,855,213
)
 
$
–
  
$
–
  
$
–
  
$
23,442,031
  
$
(9,948,183
)
 
$
13,493,848
  
$
–
  
$
13,493,848
 
Derivative liabilities 
$
(15,480,898
)
 
$
8,855,213
  
$
(6,625,685
)
 
$
5,283,373
  
$
(1,342,312
)
 
$
(9,948,183
)
 
$
9,948,183
  
$
–
  
$
–
  
$
–
 
 
1 Net derivative asset and liability amounts presented in the statements of financial condition are held with two counterparties. At March 31,June 30, 2023, additional collateral pledged in the amount of $59,002,056$50,307,996 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 March 31,June 30, 2023, additional collateral pledged in the amount of $32,900,312$26,163,313 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.
 
3 Net derivative liabilityasset amounts presented in the statements of financial condition are held with two counterparties. At March 31,June 30, 2023, additional collateral pledged in the amount of $23,593,917$32,618,613 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.
 
3840
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following table summarizes the results of operations of each Master Fund for the three months ended March 31,June 30, 2023:
 
 
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
  
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
 
                  
Net investment income
 
$
1,133,816
  
$
192,123
  
$
307,533
  
$
864,174
  
$
308,982
  
$
148,479
 
                  
Net realized gain (loss) on investments
 
33,353,429
  
(5,212,467
)
 
(1,599,156
)
 
1,692,849
  
(6,047,658
)
 
(770,849
)
Net decrease in unrealized appreciation on investments
 
(41,831,166
)
 
(22,189,131
)
 
(7,854,053
)
Net increase in unrealized appreciation on investments 
4,004,289
  
6,020,706
  
19,974,612
 
Brokerage commissions and fees
  
(421,231
)
  
(1,520,610
)
  
(64,539
)
  
(401,509
)
  
(845,413
)
  
(62,744
)
Net loss on investments
  
(8,898,968
)
  
(28,922,208
)
  
(9,517,748
)
Net loss
 
$
(7,765,152
)
 
$
(28,730,085
)
 
$
(9,210,215
)
Net gain (loss) on investments  
5,295,629
   
(872,365
)
  
19,141,019
 
Net income (loss) 
$
6,159,803
  
$
(563,383
)
 
$
19,289,498
 

The following table summarizes the results of operations of each Master Fund for the six months ended June 30, 2023:
 

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

         
Net investment income 
$
1,997,990
  
$
501,105
  
$
456,012
 
             
Net realized gain (loss) on investments  
35,046,278
   
(11,260,125
)
  
(2,370,005
)
Net (decrease) increase in unrealized appreciation on investments  
(37,826,877
)
  
(16,168,425
)
  
12,120,559
 
Brokerage commissions and fees  
(822,740
)
  
(2,366,023
)
  
(127,283
)
Net (loss) gain on investments  
(3,603,339
)
  
(29,794,573
)
  
9,623,271
 
Net (loss) income 
$
(1,605,349
)
 
$
(29,293,468
)
 
$
10,079,283
 

3941
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 (loss) and net decreaseincrease in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended March 31,June 30, 2023:
 
 
Graham Commodity
Strategies LLC
  
Graham Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
  
Graham Commodity
Strategies LLC
  
Graham Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
 
 
Net realized
gain
  
Net decrease in
unrealized
appreciation on
investments
  
Net realized
loss
  
Net decrease in
unrealized
appreciation on
investments
  
Net realized
loss
  
Net decrease in
unrealized
appreciation on
investments
  
Net realized
loss
  
Net increase in
unrealized
appreciation
on
investments
  
Net realized
loss
  
Net increase in
unrealized
appreciation
on
investments
  
Net realized
loss
  
Net increase in
unrealized
appreciation
on
investments
 
Commodity priceCommodity price                Commodity price                
Futures 
$
5,682,543
  
$
(1,602,173
)
 
$
400,350
  
$
76,950
  
$
(7,252,570
)
 
$
(4,233,476
)
 
$
(12,438,378
)
 
$
(1,021,817
)
 
$
1,067,485
  
$
(116,240
)
 
$
(5,907,137
)
 
$
(2,621,327
)
Options  
–
  
–
   
(969,870
)
 
94,360
   
–
  
–
   
–
  
–
   
4,871,300
  
(5,938,060
)
  
–
  
–
 
  
5,682,543
   
(1,602,173
)
  
(569,520
)
  
171,310
   
(7,252,570
)
  
(4,233,476
)
  
(12,438,378
)
  
(1,021,817
)
  
5,938,785
   
(6,054,300
)
  
(5,907,137
)
  
(2,621,327
)
Equity price                                    
Futures 
10,241,344
  
(1,271,375
)
 
(2,079,642
)
 
283,691
  
(3,529,516
)
 
11,775,990
  
9,433,846
  
(4,796,453
)
 
5,161,752
  
829,540
  
10,045,883
  
1,536,788
 
Options  
90,575
  
(44,412
)
  
385,237
  
(2,101,545
)
  
–
  
–
   
(194,150
)
 
16,012
   
(1,916,836
)
 
1,696,180
   
–
  
–
 
  
10,331,919
   
(1,315,787
)
  
(1,694,405
)
  
(1,817,854
)
  
(3,529,516
)
  
11,775,990
   
9,239,696
   
(4,780,441
)
  
3,244,916
   
2,525,720
   
10,045,883
   
1,536,788
 
Foreign currency exchange rateForeign currency exchange rate                Foreign currency exchange rate                
Forwards 
(6,298,336
)
 
1,917,095
  
(330,620
)
 
42,550
  
4,521,274
  
(4,234,389
)
 
4,458,580
  
338,936
  
(772,425
)
 
(51,808
)
 
(271,368
)
 
4,753,489
 
Futures 
–
  
–
  
–
  
–
  
105,358
  
(95,076
)
 
–
  
–
  
–
  
–
  
(86,040
)
 
199,155
 
Options  
2,315,977
   
(4,572,080
)
  
(137,521
)
  
(12,794,002
)
  
–
   
–
   
5,339,201
   
1,631,902
   
(2,927,292
)
  
6,997,700
   
–
   
–
 
  
(3,982,359
)
 
(2,654,985
)
  
(468,141
)
 
(12,751,452
)
  
4,626,632
  
(4,329,465
)
  
9,797,781
  
1,970,838
   
(3,699,717
)
 
6,945,892
   
(357,408
)
 
4,952,644
 
Interest rate                                    
Futures 
29,718,604
  
(30,683,437
)
 
(1,525,487
)
 
(1,018,246
)
 
4,189,029
  
(11,054,144
)
 
(34,246,223
)
 
8,971,688
  
(2,917,716
)
 
(779,064
)
 
(4,367,408
)
 
16,135,464
 
Options 
–
  
486,214
  
(4,146,899
)
 
(5,853,847
)
 
–
  
–
  
2,850,991
  
(310,161
)
 
(5,956,181
)
 
4,218,865
  
–
  
–
 
Swaps  
–
  
–
   
–
  
–
   
(21,709
)
 
(111,189
)
  
–
  
–
   
–
  
–
   
(118,459
)
 
22,752
 
  
29,718,604
  
(30,197,223
)
  
(5,672,386
)
  
(6,872,093
)
  
4,167,320
   
(11,165,333
)
  
(31,395,232
)
  
8,661,527
   
(8,873,897
)
  
3,439,801
   
(4,485,867
)
  
16,158,216
 
Total
 
$
41,750,707
  
$
(35,770,168
)
 
$
(8,404,452
)
 
$
(21,270,089
)
 
$
(1,988,134
)
 
$
(7,952,284
)
 
$
(24,796,133
)
 
$
4,830,107
  
$
(3,389,913
)
 
$
6,857,113
  
$
(704,529
)
 
$
20,026,321
 

4042
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 (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, 2023:
  
Graham Commodity
Strategies LLC
  
Graham Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
 
  
Net realized
gain
  
Net decrease in
unrealized
appreciation
on
investments
  
Net realized
loss
  
Net decrease in
unrealized
appreciation
on
investments
  
Net realized
loss
  
Net increase in
unrealized
appreciation
on
investments
 
Commodity price                
Futures 
$
(6,755,835
)
 
$
(2,623,990
)
 
$
1,467,835
  
$
(39,290
)
 
$
(13,159,707
)
 
$
(6,854,803
)
Options  
–
   
–
   
3,901,430
   
(5,843,700
)
  
–
   
–
 
   
(6,755,835
)
  
(2,623,990
)
  
5,369,265
   
(5,882,990
)
  
(13,159,707
)
  
(6,854,803
)
Equity price                        
Futures  
19,675,190
   
(6,067,828
)
  
3,082,110
   
1,113,231
   
6,516,367
   
13,312,778
 
Options  
(103,575
)
  
(28,400
)
  
(1,531,599
)
  
(405,365
)
  
–
   
–
 
   
19,571,615
   
(6,096,228
)
  
1,550,511
   
707,866
   
6,516,367
   
13,312,778
 
Foreign currency exchange rate                     
Forwards  
(1,839,756
)
  
2,256,031
   
(1,103,045
)
  
(9,258
)
  
4,249,906
   
519,100
 
Futures  
–
   
–
   
–
   
–
   
19,318
   
104,079
 
Options  
7,655,178
   
(2,940,178
)
  
(3,064,813
)
  
(5,796,302
)
  
–
   
–
 
   
5,815,422
   
(684,147
)
  
(4,167,858
)
  
(5,805,560
)
  
4,269,224
   
623,179
 
Interest rate                        
Futures  
(4,527,619
)
  
(21,711,749
)
  
(4,443,203
)
  
(1,797,310
)
  
(178,379
)
  
5,081,320
 
Options  
2,850,991
   
176,053
   
(10,103,080
)
  
(1,634,982
)
  
–
   
–
 
Swaps  
–
   
–
   
–
   
–
   
(140,168
)
  
(88,437
)
   
(1,676,628
)
  
(21,535,696
)
  
(14,546,283
)
  
(3,432,292
)
  
(318,547
)
  
4,992,883
 
Total 
$
16,954,574
  
$
(30,940,061
)
 
$
(11,794,365
)
 
$
(14,412,976
)
 
$
(2,692,663
)
 
$
12,074,037
 

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, 2022:
 
  
Graham
Commodity
Strategies LLC
(Delaware)
  
Graham
Derivatives
Strategies LLC
(Delaware)
  
Graham K4D
Trading Ltd.
(BVI)
 
Assets:         
Due from brokers 
$
51,314,793
  
$
4,022,847
  
$
41,554,615
 
Derivative financial instruments, at fair value  
32,942,978
   
28,122,323
   
3,702,198
 
Exchange memberships, at fair value  
6,902,176
   
–
   
1,647,049
 
Interest receivable  
225,389
   
35,580
   
30,745
 
Dividend receivable  
111,816
   
–
   
15,923
 
Total assets  
91,497,152
   
32,180,750
   
46,950,530
 
             
Liabilities:            
Derivative financial instruments, at fair value  
–
   
–
   
2,319,737
 
Interest payable  
9,630
   
3,587
   
–
 
Total liabilities  
9,630
   
3,587
   
2,319,737
 
Members’ Capital / Net Assets 
$
91,487,522
  
$
32,177,163
  
$
44,630,793
 
             
Percentage of Master Fund held by GAIT  
2.39
%
  
2.47
%
  
6.93
%

4144
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, 2022:
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital
  
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)   
$
6,902,176
  
7.54
%
   
$
6,902,176
  
7.54
%
Total exchange memberships   $6,902,176 7.54%   $6,902,176 7.54%
              
Derivative financial instruments              
Long contracts              
Futures
              
Commodity   
$
2,497,000
 
2.73
%
   
$
2,497,000
 
2.73
%
Foreign bond   
(118
)
 
(0.00
)%
   
(118
)
 
(0.00
)%
Foreign index   
23,027
 
0.03
%
   
23,027
 
0.03
%
Interest rate              
3 month SOFR March 2023 
712
 
61,213
 
0.07
%
 
712
 
61,213
 
0.07
%
3 month SOFR June 2023 
5,342
 
(1,321,100
)
 
(1.44
)%
 
5,342
 
(1,321,100
)
 
(1.44
)%
Other interest rate   
(20,892
)
 
(0.03
)%
   
(20,892
)
 
(0.03
)%
U.S. bond              
U.S. 2 yr Note (CBT) March 2023 
7,403
 
(4,826,937
)
 
(5.28
)%
 
7,403
 
(4,826,937
)
 
(5.28
)%
U.S. index    
312,773
 
0.34
%
    
312,773
 
0.34
%
Total futures
    
(3,275,034
)
  
(3.58
)%
    
(3,275,034
)
  
(3.58
)%
              
Forwards
              
Foreign currency    
372,322
 
0.41
%
    
372,322
 
0.41
%
Total forwards
    
372,322
  
0.41
%
    
372,322
  
0.41
%
              
Options (cost $4,818,694)
              
Currency futures              
U.S. dollar / Japanese Yen January 2023 - May 2023, $125.05 - $130.10 Put 
8
 
6,156,445
 
6.73
%
 
8
 
6,156,445
 
6.73
%
Other currency futures   
3,477,917
 
3.80
%
   
3,477,917
 
3.80
%
U.S. index futures    
70,125
  
0.08
%
    
70,125
  
0.08
%
Total options
    
9,704,487
 
10.61
%
    
9,704,487
 
10.61
%

4245
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, 2022:
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital
 
Graham Commodity Strategies LLC (continued)         
Derivative financial instruments (continued)         
Short contracts         
Futures         
Commodity    
$
(33,030
)
  
(0.04
)%
Foreign bond           
Japan 10 yr Bond March 2023  (977)  
16,185,652
   
17.69
%
Other foreign bond      
1,543,377
   
1.69
%
Foreign index      
5,158,227
   
5.64
%
Interest rate            
3 month SOFR March 2024  (1,780)  
467,988
   
0.51
%
3 month SOFR June 2024  (2,848)  
1,023,225
   
1.12
%
3 month SOFR December 2023  (6,787)  
3,559,411
   
3.89
%
U.S. bond            
U.S. 5 yr Note (CBT) March 2023  (949)  
396,727
   
0.43
%
U.S. 10 yr Note (CBT) March 2023  (2,019)  
1,473,414
   
1.61
%
U.S. Long bond (CBT) March 2023  (29)  
7,500
   
0.01
%
U.S. Ultra bond (CBT) March 2023  (215)  
(241,500
)
  
(0.26
)%
U.S. index      
586,740
   
0.64
%
Total futures      
30,127,731
   
32.93
%
             
Forwards            
Foreign currency      
(555,295
)
  
(0.61
)%
Total forwards      
(555,295
)
  
(0.61
)%
             
Options (proceeds $962,413)            
Currency futures            
U.S. dollar / Japanese Yen January 2023 - February 2023, $125.05 - $130.10 Put  
(6
)
  
(3,345,095
)
  
(3.66
)%
Other currency futures      
(86,138
)
  
(0.09
)%
Total options      
(3,431,233
)
  
(3.75
)%
Total derivative financial instruments     $32,942,978   36.01%

4346
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, 2022:
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital
  
Number of
Contracts
  Fair Value  
Percentage
of Members’ Capital
 
Graham Derivatives Strategies LLC                  
Derivative financial instruments              
Long contracts              
Futures
              
Commodity   
$
55,450
 
0.17
%
   
$
55,450
 
0.17
%
Foreign bond   
(70,256
)
 
(0.22
)%
   
(70,256
)
 
(0.22
)%
U.S. bond    
(69,031
)
 
(0.21
)%
    
(69,031
)
 
(0.21
)%
Total futures
    
(83,837
)
 
(0.26
)%
    
(83,837
)
 
(0.26
)%
              
Forwards
              
Foreign currency    
(34,812
)
  
(0.11
)%
    
(34,812
)
 
(0.11
)%
Total forwards
    
(34,812
)
 
(0.11
)%
    
(34,812
)
 
(0.11
)%
              
Options (cost $38,031,263)
              
Commodity futures
   
1,294,020
 
4.02
%
   
1,294,020
 
4.02
%
Currency futures              
Euro dollar / British pound March 2023, $0.90 Call 
2
 
2,786,554
 
8.66
%
 
2
 
2,786,554
 
8.66
%
Euro dollar / British pound February 2023, $0.89 Call 
1
 
1,918,757
 
5.96
%
 
1
 
1,918,757
 
5.96
%
Euro dollar / Canadian dollar March 2023 - June 2023, $1.50 - $1.55 Call 2 
2,102,023
 
6.53
%
 2 
2,102,023
 
6.53
%
U.S. dollar / Japanese yen May 2023 - June 2023, $147.00 - $148.00 Call 
2
 
459,528
 
1.43
%
 
2
 
459,528
 
1.43
%
U.S. dollar / Japanese yen June 2023, $124.00 Put 
1
 
6,554,699
 
20.37
%
 
1
 
6,554,699
 
20.37
%
U.S. dollar / Japanese yen February 2023, $127.50 Put 
1
 
1,787,137
 
5.55
%
 
1
 
1,787,137
 
5.55
%
U.S. dollar / Japanese yen February 2023 - May 2023, $125.00 - $128.00 Put 
4
 
4,763,727
 
14.80
%
 
4
 
4,763,727
 
14.80
%
U.S. dollar / Japanese yen January 2023 - April 2023 (eko $125.50 -$129.00), $131.50 - $134.00 Put 
4
 
2,834,864
 
8.81
%
Other currency   
1,877,623
 
5.84
%
U.S. dollar / Japanese yen January 2023 - April 2023 (eko $125.50 - $129.00), $131.50 - $134.00 Put 
4
 
2,834,864
 
8.81
%
Other currency futures
   
1,877,623
 
5.84
%
Foreign bond futures   
630,334
 
1.96
%
   
630,334
 
1.96
%
Interest rate futures              
3 month SOFR February 2023, $95.00 Call 
1
 
2,734,050
 
8.50
%
 
1
 
2,734,050
 
8.50
%
3 month SOFR February 2023, $95.19 Call 
1
 
1,685,450
 
5.24
%
 
1
 
1,685,450
 
5.24
%
3 month SOFR January 2023, $95.00 Call 
1
 
2,836,500
 
8.82
%
 
1
 
2,836,500
 
8.82
%
3 month SOFR March 2023, $95.31 Call 
1
 
1,897,250
 
5.90
%
 
1
 
1,897,250
 
5.90
%
3 month SOFR January 2023 - March 2023, $95.13 - $95.19 Call 
2
 
2,097,938
 
6.52
%
 
2
 
2,097,938
 
6.52
%
U.S. bond futures   
1,159,813
 
3.60
%
   
1,159,813
 
3.60
%
U.S. index futures              
S&P 500 E-mini September 2023, $4,800.00 Call 
1
 
590,425
 
1.83
%
 
1
 
590,425
 
1.83
%
S&P 500 E-mini January 2023, $3,700.00 Put 
1
 
2,991,175
 
9.30
%
 
1
 
2,991,175
 
9.30
%
S&P 500 E-mini January 2023, $3,400.00 Put 
1
  
210,788
  
0.66
%
 
1
  
210,788
  
0.66
%
Total options
    
43,212,655
 
134.30
%
    
43,212,655
 
134.30
%

4447
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, 2022:
 
Description 
Number of
Contracts
  Fair Value  
Percentage
of Members’
Capital
 
Graham Derivatives Strategies LLC (continued)         
Derivative financial instruments (continued)         
Short contracts         
Futures         
Foreign bond    
$
1,194,016
   
3.71
%
Interest rate           
3 month SOFR December 2023  (38)  
(3,325
)
  
(0.01
)%
U.S. bond      
2,539
   
0.01
%
U.S. index            
E-mini Russ 2000 March 2023  (9)  
(1,890
)
  
(0.01
)%
S&P 500 E-mini March 2023  (32)  
(19,162
)
  
(0.06
)%
Total futures      
1,172,178
   
3.64
%
             
Options (proceeds $22,332,158)            
Commodity futures      
(462,150
)
  
(1.44
)%
Currency futures            
U.S. dollar / Japanese yen February 2023, $125.00 - $125.50 Put  
(2
)
  
(1,855,231
)
  
(5.77
)%
Other currency futures      
(1,512,474
)
  
(4.70
)%
Foreign bond futures      
(201,630
)
  
(0.63
)%
Interest rate futures            
3 month SOFR February 2023, $95.06 Call  
(1
)
  
(2,071,250
)
  
(6.44
)%
3 month SOFR January 2023, $95.06 Call  
(1
)
  
(1,891,000
)
  
(5.88
)%
3 month SOFR January 2023 - March 2023, $95.13 - $95.44 Call  
(5
)
  
(5,215,713
)
  
(16.20
)%
U.S. bond futures      
(888,688
)
  
(2.76
)%
U.S. index futures            
S&P 500 E-mini September 2023, $4,700.00 Call  
(1
)
  
(841,225
)
  
(2.61
)%
S&P 500 E-mini January 2023, $3,500.00 Put  
(1
)
  
(1,204,500
)
  
(3.74
)%
Total options      
(16,143,861
)
  
(50.17
)%
Total derivative financial instruments     $28,122,323   87.40%

4548
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, 2022:
 
Description 
Number of
Contracts
 Fair Value  
Percentage of
Net Assets
  
Number of
Contracts
 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)
   
$
1,647,049
  
3.69
%
   
$
1,647,049
  
3.69
%
Total exchange memberships   $1,647,049 3.69%   $1,647,049 3.69%
              
Derivative financial instruments              
Long contracts              
Futures
              
Commodity   
$
3,736,084
 
8.37
%
   
$
3,736,084
 
8.37
%
Currency              
Euro FX currency March 2023 
15
 
7,505
 
0.02
%
 
15
 
7,505
 
0.02
%
Other currency   
(25,432
)
 
(0.06
)%
   
(25,432
)
 
(0.06
)%
Foreign bond              
Euro-Buxl 30 yr March 2023 
13
 
(218,664
)
 
(0.49
)%
 
13
 
(218,664
)
 
(0.49
)%
Euro-Oat March 2023 
8
 
(72,824
)
 
(0.16
)%
 
8
 
(72,824
)
 
(0.16
)%
Euro-Schatz March 2023 
491
 
28,435
 
0.06
%
 
491
 
28,435
 
0.06
%
Other foreign bond futures   
(1,506,373
)
 
(3.38
)%
Other foreign bond
   
(1,506,373
)
 
(3.38
)%
Foreign index              
CAC 40 10 Euro January 2023 
279
 
(831,148
)
 
(1.86
)%
 
279
 
(831,148
)
 
(1.86
)%
Euro Stoxx 50 March 2023 
1,396
 
(2,927,143
)
 
(6.56
)%
 
1,396
 
(2,927,143
)
 
(6.56
)%
Nikkei 225 (OSE) March 2023 
196
 
(2,812,569
)
 
(6.30
)%
 
196
 
(2,812,569
)
 
(6.30
)%
Other foreign index   
(2,936,199
)
 
(6.58
)%
   
(2,936,199
)
 
(6.58
)%
U.S. bond   
(971,258
)
 
(2.18
)%
   
(971,258
)
 
(2.18
)%
U.S. index    
(988,125
)
 
(2.21
)%
    
(988,125
)
 
(2.21
)%
Total futures
    
(9,517,711
)
  
(21.33
)%
    
(9,517,711
)
  
(21.33
)%
              
Swaps (cost $149,945)
              
Interest rate
    
7,998
 
0.02
%
    
7,998
 
0.02
%
Total swaps
    
7,998
  
0.02
%
    
7,998
  
0.02
%
              
Forwards
              
Foreign currency    
926,650
 
2.08
%
    
926,650
 
2.08
%
Total forwards
    
926,650
  
2.08
%
    
926,650
  
2.08
%

4649
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, 2022:
 
Description 
Number of
Contracts
  Fair Value  
Percentage of
Net Assets
 
Graham K4D Trading Ltd. (continued)         
Derivative financial instruments (continued)         
Short contracts         
Futures         
Commodity    
$
400,881
   
0.90
%
Currency     
(30,113
)
  
(0.07
)%
Foreign bond           
Euro-Bobl March  2023  
(248
)
  
1,336,006
   
2.99
%
Euro-Btp March 2023  
(6
)
  
(20,715
)
  
(0.05
)%
Euro-Bund March 2023  
(104
)
  
970,271
   
2.17
%
Other foreign bond      
1,420,235
   
3.19
%
Foreign index      
(77,544
)
  
(0.17
)%
Interest rate            
3 month Euro Euribor December 2023  
(1,254
)
  
2,334,823
   
5.23
%
Other interest rate      
1,291,770
   
2.90
%
U.S. bond      
769,686
   
1.72
%
U.S. index      
750,082
   
1.68
%
Total futures      
9,145,382
   
20.49
%
             
Swaps (proceeds $64,745)            
Interest rate      
108,048
   
0.24
%
Total swaps      
108,048
   
0.24
%
             
Forwards            
Foreign currency      
712,094
   
1.60
%
Total forwards      
712,094
   
1.60
%
Total derivative financial instruments     $1,382,461   3.10%

4750
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, 2022:
 

 
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham
K4D Trading
Ltd.
 
Assets         
Level 1:         
Commodity futures 
$
4,725,880
  
$
76,970
  
$
5,591,646
 
Commodity futures options  
–
   
1,294,020
   
–
 
Currency futures  
–
   
–
   
9,067
 
Exchange memberships*  
6,902,176
   
–
   
1,647,049
 
Foreign bond futures  
17,729,029
   
1,194,016
   
3,754,947
 
Foreign bond futures options  
–
   
630,334
   
–
 
Foreign index futures  
5,220,331
   
–
   
11,627
 
Interest rate futures  
5,111,837
   
–
   
3,626,593
 
Interest rate futures options  
–
   
11,251,188
   
–
 
U.S. bond futures  
2,018,336
   
111,297
   
769,686
 
U.S. bond futures options  
–
   
1,159,813
   
–
 
U.S. index futures  
1,910,878
   
–
   
815,657
 
U.S. index futures options  
70,125
   
3,792,388
   
–
 
Total Level 1  
43,688,592
   
19,510,026
   
16,226,272
 
             
Level 2:            
Foreign currency forwards  
2,067,521
   
25,084,912
   
2,851,140
 
Foreign currency futures options  
9,634,362
   
–
   
–
 
Interest rate swap  
–
   
–
   
150,127
 
Total Level 2  
11,701,883
   
25,084,912
   
3,001,267
 
Total investment related assets 
$
55,390,475
  
$
44,594,938
  
$
19,227,539
 
             
Liabilities            
Level 1:            
Commodity futures 
$
(2,261,910
)
 
$
(21,520
)
 
$
(1,454,681
)
Commodity futures options  
–
   
(462,150
)
  
–
 
Currency futures  
–
   
–
   
(57,107
)
Foreign bond futures  
(118
)
  
(70,256
)
  
(1,818,576
)
Foreign index futures  
(39,077
)
  
–
   
(9,596,230
)
Foreign bond futures options  
–
   
(201,630
)
  
–
 
Interest rate futures  
(1,341,992
)
  
(3,325
)
  
–
 
Interest rate futures options  
–
   
(9,177,963
)
  
–
 
U.S. bond futures  
(5,209,132
)
  
(177,789
)
  
(971,258
)
U.S. bond futures options  
–
   
(888,688
)
  
–
 
U.S. index futures  
(1,011,365
)
  
(21,052
)
  
(1,053,700
)
U.S. index futures options  
–
   
(2,045,725
)
  
–
 
Total Level 1  
(9,863,594
)
  
(13,070,098
)
  
(14,951,552
)
             
Level 2:            
Foreign currency forwards  
(2,250,494
)
  
(34,812
)
  
(1,212,396
)
Foreign currency futures options  
(3,431,233
)
  
(3,367,705
)
  
–
 
Interest rate swap  
–
   
–
   
(34,081
)
Total Level 2  
(5,681,727
)
  
(3,402,517
)
  
(1,246,477
)
Total investment related liabilities 
$
(15,545,321
)
 
$
(16,472,615
)
 
$
(16,198,029
)
 
*  See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.
 
4851
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, 2022. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at December 31, 2022 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the Master Funds’ 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 
$
186,625,658
   
2,101
  
$
(15,498,641
)
  
(467
)
 
$
4,725,880
  
$
(2,261,910
)
Options (a)  
13,373,826
   
1,072
   
(5,762,599
)
  
(575
)
  
–
   
–
 
   
199,999,484
   
3,173
   
(21,261,240
)
  
(1,042
)
  
4,725,880
   
(2,261,910
)
Equity price                        
Futures  
105,393,870
   
997
   
(223,123,315
)
  
(2,820
)
  
7,131,209
   
(1,050,442
)
Options (a)  
714,207
   
1,639
   
(934,457
)
  
(1,636
)
  
70,125
   
–
 
   
106,108,077
   
2,636
   
(224,057,772
)
  
(4,456
)
  
7,201,334
   
(1,050,442
)
Foreign currency exchange rate                     
Forwards  
1,316,655,676
   
N/A
   
(1,208,969,411
)
  
N/A
   
2,067,521
   
(2,250,494
)
Options (a)  
60,751,845
   
7
   
(96,796,503
)
  
(20
)
  
9,634,362
   
(3,431,233
)
   
1,377,407,521
   
7
   
(1,305,765,914
)
  
(20
)
  
11,701,883
   
(5,681,727
)
Interest rate                        
Futures  
1,238,790,866
   
7,141
   
(2,850,846,022
)
  
(12,398
)
  
24,859,202
   
(6,551,242
)
Options (a)  
805,426,116
   
16,775
   
(914,747,665
)
  
(16,775
)
  
–
   
–
 
   
2,044,216,982
   
23,916
   
(3,765,593,687
)
  
(29,173
)
  
24,859,202
   
(6,551,242
)
Total
 
$
3,727,732,064
   
29,732
  
$
(5,316,678,613
)
  
(34,691
)
 
$
48,488,299
  
$
(15,545,321
)
  Long exposure  Short exposure    
  
Notional
Amounts
  
Number
of
contracts
  
Notional
amounts
  
Number
of
contracts
  
Derivative
Assets
  
Derivative
Liabilities
 
Commodity price                  
Futures $186,625,658   2,101  $(15,498,641)  (467) $4,725,880  $(2,261,910)
Options (a)  13,373,826   1,072   (5,762,599)  (575)  –   – 
   199,999,484   3,173   (21,261,240)  (1,042)  4,725,880   (2,261,910)
Equity price                        
Futures  105,393,870   997   (223,123,315)  (2,820)  7,131,209   (1,050,442)
Options (a)  714,207   1,639   (934,457)  (1,636)  70,125   – 
   106,108,077   2,636   (224,057,772)  (4,456)  7,201,334   (1,050,442)
Foreign currency exchange rate                     
Forwards  1,316,655,676   N/A   (1,208,969,411)  N/A   2,067,521   (2,250,494)
Options (a)  60,751,845   7   (96,796,503)  (20)  9,634,362   (3,431,233)
   1,377,407,521   7   (1,305,765,914)  (20)  11,701,883   (5,681,727)
Interest rate                        
Futures  1,238,790,866   7,141   (2,850,846,022)  (12,398)  24,859,202   (6,551,242)
Options (a)  805,426,116   16,775   (914,747,665)  (16,775)  –   – 
   2,044,216,982   23,916   (3,765,593,687)  (29,173)  24,859,202   (6,551,242)
Total $3,727,732,064   29,732  $(5,316,678,613)  (34,691) $48,488,299  $(15,545,321)

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

4952
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 Derivatives Strategies LLC based on its average quarterly notional amounts and number of contracts for the period from January 14, 2022 (commencement of operations) to December 31, 2022. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at December 31, 2022 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the Master Funds’ 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 
$
11,546,990
 
78
 $– –  
$
76,970
 
$
(21,520
)
 $11,546,990   78  $–   –  $76,970  $(21,520)
Options (a)  
84,705,847
 
2,514
  
(59,510,938
)
 
(2,520
)
  
1,294,020
 
(462,150
)
  84,705,847   2,514   (59,510,938)  (2,520)  1,294,020   (462,150)
  
96,252,837
  
2,592
  
(59,510,938
)
  
(2,520
)
  
1,370,990
  
(483,670
)
  96,252,837   2,592   (59,510,938)  (2,520)  1,370,990   (483,670)
Equity price                                      
Futures 
5,392,423
 
24
 
(7,282,457
)
 
(39
)
 
–
 
(21,052
)
  5,392,423   24   (7,282,457)  (39)  –   (21,052)
Options (a)  
51,591,974
 
2,432
  
(96,065,054
)
 
(2,221
)
  
3,792,388
 
(2,045,725
)
  51,591,974   2,432   (96,065,054)  (2,221)  3,792,388   (2,045,725)
  
56,984,397
  
2,456
  
(103,347,511
)
  
(2,260
)
  
3,792,388
  
(2,066,777
)
  56,984,397   2,456   (103,347,511)  (2,260)  3,792,388   (2,066,777)
Foreign currency exchange rateForeign currency exchange rate            Foreign currency exchange rate                     
Forwards 
43,567,730
 
N/A
 
(39,590,124
)
 
N/A
  
–
 
(34,812
)
  43,567,730   N/A   (39,590,124)  N/A   –   (34,812)
Options (a)  
475,407,964
 
15
  
(523,109,593
)
 
(18
)
  
25,084,912
 
(3,367,705
)
  475,407,964   15   (523,109,593)  (18)  25,084,912   (3,367,705)
  
518,975,694
  
15
  
(562,699,717
)
  
(18
)
  
25,084,912
  
(3,402,517
)
  518,975,694   15   (562,699,717)  (18)  25,084,912   (3,402,517)
Interest rate                                      
Futures 
155,838,281
 
448
 
(244,880,268
)
 
(1,134
)
 
1,305,313
 
(251,370
)
  155,838,281   448   (244,880,268)  (1,134)  1,305,313   (251,370)
Options (a)  
1,586,360,072
 
26,015
  
(1,403,160,971
)
 
(26,024
)
  
13,041,335
 
(10,268,281
)
  1,586,360,072   26,015   (1,403,160,971)  (26,024)  13,041,335   (10,268,281)
  
1,742,198,353
  
26,463
  
(1,648,041,239
)
  
(27,158
)
  
14,346,648
  
(10,519,651
)
  1,742,198,353   26,463   (1,648,041,239)  (27,158)  14,346,648   (10,519,651)
Total
 
$
2,414,411,281
 
31,526
 
$
(2,373,599,405
)
 
(31,956
)
 
$
44,594,938
 
$
(16,472,615
)
 $2,414,411,281   31,526  $(2,373,599,405)  (31,956) $44,594,938  $(16,472,615)

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

5053
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, 2022. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at December 31, 2022 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the Master Funds’ 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 
$
141,871,998
  
1,982
 
$
(56,120,835
)
  
(614
)
 
$
5,591,646
  
$
(1,454,681
)
 
$
141,871,998
  
1,982
 
$
(56,120,835
)
  
(614
)
 
$
5,591,646
  
$
(1,454,681
)
  
141,871,998
 
1,982
  
(56,120,835
)
 
(614
)
  
5,591,646
  
(1,454,681
)
  
141,871,998
 
1,982
  
(56,120,835
)
 
(614
)
  
5,591,646
  
(1,454,681
)
                              
Equity price                              
Futures  
142,215,748
  
1,513
  
(42,942,281
)
  
(352
)
  
827,284
   
(10,649,930
)
  
142,215,748
  
1,513
  
(42,942,281
)
  
(352
)
  
827,284
   
(10,649,930
)
  
142,215,748
 
1,513
  
(42,942,281
)
 
(352
)
  
827,284
  
(10,649,930
)
  
142,215,748
 
1,513
  
(42,942,281
)
 
(352
)
  
827,284
  
(10,649,930
)
                              
Foreign currency exchange rateForeign currency exchange rate             Foreign currency exchange rate             
Forwards 
179,977,788
 
N/A
 
(386,554,059
)
 
N/A
  
2,851,140
  
(1,212,396
)
 
179,977,788
 
N/A
 
(386,554,059
)
 
N/A
  
2,851,140
  
(1,212,396
)
Futures  
11,720,226
 
113
  
(4,111,082
)
 
(45
)
  
9,067
  
(57,107
)
  
11,720,226
 
113
  
(4,111,082
)
 
(45
)
  
9,067
  
(57,107
)
  
191,698,014
  
113
  
(390,665,141
)
  
(45
)
  
2,860,207
   
(1,269,503
)
  
191,698,014
  
113
  
(390,665,141
)
  
(45
)
  
2,860,207
   
(1,269,503
)
                              
Interest rate                              
Futures 
160,551,408
 
874
 
(770,715,266
)
 
(3,914
)
 
8,151,226
  
(2,789,834
)
 
160,551,408
 
874
 
(770,715,266
)
 
(3,914
)
 
8,151,226
  
(2,789,834
)
Swaps  
9,556,692
  
82
  
(9,556,692
)
  
(82
)
  
150,127
   
(34,081
)
  
9,556,692
  
82
  
(9,556,692
)
  
(82
)
  
150,127
  
(34,081
)
  
170,108,100
 
956
  
(780,271,958
)
 
(3,996
)
  
8,301,353
  
(2,823,915
)
  
170,108,100
 
956
  
(780,271,958
)
 
(3,996
)
  
8,301,353
  
(2,823,915
)
Total
 
$
645,893,860
  
4,564
 
$
(1,270,000,215
)
  
(5,007
)
 
$
17,580,490
  
$
(16,198,029
)
 
$
645,893,860
  
4,564
 
$
(1,270,000,215
)
  
(5,007
)
 
$
17,580,490
  
$
(16,198,029
)

5154
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, 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 
$
48,488,299
  
$
(15,545,321
)
 
$
32,942,978
  
$
–
  
$
32,942,978
 
Derivative liabilities 
$
(15,545,321
)
 
$
15,545,321
  
$
–
  
$
–
  
$
–
 
                     
Graham Derivatives Strategies LLC2
                 
Derivative assets 
$
44,594,938
  
$
(16,472,615
)
 
$
28,122,323
  
$
–
  
$
28,122,323
 
Derivative liabilities 
$
(16,472,615
)
 
$
16,472,615
  
$
–
  
$
–
  
$
–
 
                     
Graham K4D Trading Ltd.3
                    
Derivative assets 
$
17,580,490
  
$
(13,878,292
)
 
$
3,702,198
  
$
–
  
$
3,702,198
 
Derivative liabilities 
$
(16,198,029
)
 
$
13,878,292
  
$
(2,319,737
)
 
$
2,319,737
  
$
–
 
 
1 Net derivative assets amounts presented in the statement of financial condition are held with three counterparties. At December 31, 2022, additional collateral pledged in the amount of $51,178,130 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
2 Net derivative asset amounts presented in the statement of financial condition are held with two counterparties. At December 31, 2022, additional collateral pledged in the amount of $4,022,847 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
3 Net derivative asset and liability amounts presented in the statements of financial condition are held with two counterparties. The Fund has pledged collateral to one of those counterparties as of December 31, 2022. At December 31, 2022, additional collateral pledged in the amount of $39,234,878 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

5255
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following table summarizes the results of operations of each Master Fund for the three months ended March 31,June 30, 2022:
 
 
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
  
Graham
Commodity
Strategies LLC
  
Graham
Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
 
                  
Net investment (loss)
 
$
(23,712
)
 
$
(7,356
)
 
$
(48,943
)
Net investment income (loss) 
$
40,751
  
$
(1,390
)
 
$
(9,901
)
                  
Net realized gain on investments
 
144,656,787
  
38,532,105
  
53,812,899
  
146,523,902
  
50,617,178
  
61,988,515
 
Net increase in unrealized appreciation on investments
 
14,730,006
  
2,824,706
  
16,436,025
 
Net decrease in unrealized appreciation on investments 
(20,393,341
)
 
(1,937,631
)
 
(24,082,221
)
Brokerage commissions and fees
  
(625,371
)
  
(1,276,352
)
  
(56,464
)
  
(649,267
)
  
(1,839,184
)
  
(47,037
)
Net gain on investments
  
158,761,422
   
40,080,459
   
70,192,460
   
125,481,294
   
46,840,363
   
37,859,257
 
Net income
 
$
158,737,710
  
$
40,073,103
  
$
70,143,517
  
$
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
 

56
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 increasedecrease in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended March 31,June 30, 2022:

 
Graham Commodity
Strategies LLC
  
Graham Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
  
Graham Commodity
Strategies LLC
  
Graham Derivatives
Strategies LLC
  
Graham K4D
Trading Ltd.
 
 
Net realized
gain
  
Net increase
in
unrealized
appreciation
on
investments
  
Net realized
gain
  
Net increase
in
unrealized
appreciation
on
investments
  
Net realized
gain
  
Net increase
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
  
Net realized
gain (loss)
  
Net increase
(decrease) in
unrealized
appreciation on
investments
 
Commodity price                                    
Futures 
$
18,102,753
  
$
(1,671,707
)
 
$
(1,236,718
)
 
$
(34,290
)
 
$
63,361,165
  
$
1,574,247
  
$
610,152
  
$
(6,064,989
)
 
$
(887,492
)
 
$
34,290
  
$
20,430,289
  
$
(18,008,110
)
Options 
(157,305
)
 
1,168,986
  
(2,528,020
)
 
3,549,874
  
–
  
–
   
1,090,658
  
(490,299
)
  
(592,033
)
 
(3,321,034
)
  
–
  
–
 
Swaps  
(5,991,484
)
 
280,016
   
–
  
–
   
–
  
–
 
  
11,953,964
  
(222,705
)
  
(3,764,738
)
 
3,515,584
   
63,361,165
  
1,574,247
   
1,700,810
   
(6,555,288
)
  
(1,479,525
)
  
(3,286,744
)
  
20,430,289
   
(18,008,110
)
Equity price                                    
Futures 
38,424,050
  
(2,223,405
)
 
6,526,724
  
(25,055
)
 
(1,956,448
)
 
3,029,701
  
23,515,268
  
11,176,731
  
1,478,341
  
52,105
  
(1,172,523
)
 
(2,687,237
)
Options  
(798,825
)
 
926,955
   
(285,750
)
 
(144,563
)
  
–
  
–
   
(376,999
)
 
1,114,519
   
13,224,783
  
1,084,930
   
–
  
–
 
  
37,625,225
  
(1,296,450
)
  
6,240,974
  
(169,618
)
  
(1,956,448
)
 
3,029,701
   
23,138,269
   
12,291,250
   
14,703,124
   
1,137,035
   
(1,172,523
)
  
(2,687,237
)
Foreign currency exchange rateForeign currency exchange rate                Foreign currency exchange rate                
Forwards 
8,434,107
  
8,843,892
  
10,929,400
  
410,745
  
1,348,014
  
4,868,047
  
39,211,226
  
(9,083,717
)
 
14,463,033
  
(850,179
)
 
19,220,921
  
236,116
 
Futures 
–
  
–
  
–
  
–
  
278,285
  
106,125
  
–
  
–
  
–
  
–
  
719,511
  
164,190
 
Options  
(2,890,682
)
 
3,508,496
   
345,448
  
(1,785,041
)
  
–
  
–
   
840,776
   
(2,629,092
)
  
14,568,451
   
(399,567
)
  
–
  
–
 
  
5,543,425
   
12,352,388
   
11,274,848
   
(1,374,296
)
  
1,626,299
   
4,974,172
   
40,052,002
  
(11,712,809
)
  
29,031,484
  
(1,249,746
)
  
19,940,432
  
400,306
 
Interest rate                                    
Futures 
86,690,737
  
1,654,915
  
14,920,094
  
404,170
  
(9,218,117
)
 
6,687,138
  
79,244,967
  
(10,176,569
)
 
5,421,377
  
(385,358
)
 
22,790,317
  
(3,710,556
)
Options  
2,843,436
  
1,823,686
   
9,860,927
  
448,866
   
–
  
–
   
2,387,854
  
(3,005,094
)
  
2,940,718
  
1,847,182
   
–
  
–
 
  
89,534,173
   
3,478,601
   
24,781,021
   
853,036
   
(9,218,117
)
  
6,687,138
   
81,632,821
  
(13,181,663
)
  
8,362,095
  
1,461,824
   
22,790,317
  
(3,710,556
)
Total
 
$
144,656,787
  
$
14,311,834
  
$
38,532,105
  
$
2,824,706
  
$
53,812,899
  
$
16,265,258
  
$
146,523,902
  
$
(19,158,510
)
 
$
50,617,178
  
$
(1,937,631
)
 
$
61,988,515
  
$
(24,005,597
)

5357
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
)

58
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. Cash Assets maintains cash and cash equivalents on deposit with major U.S. institutions, which may exceed federally insured limits. It also invests in debt obligations guaranteed by the U.S. Federal government, which generally range in maturity from one day to thirty months. Cash Assets  currently intends to hold all fixed income securities until maturity and values them at amortized cost which approximates fair value.  If Cash Assets were forced to sell some of its securities in the open market before they mature to meet unanticipated redemption requests (whether from GAIT or other entities affiliated with the Manager), the market value of the securities at such time may be below their amortized cost, causing a loss for GAIT’s investors. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT’s investment in Cash Assets at March 31,June 30, 2023 and December 31, 2022 is $57,470,028$60,766,554 and $58,599,019 which represents a percentage of GAIT’s Members’ Capital of 92.64%91.80% and 92.66%, respectively.
 
GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis.  For the three and six months ended March 31,June 30, 2023, the total amount recognized by GAIT with respect to its investment in Cash Assets was $499,316 and $863,185, respectively. For the three and six months ended June 30, 2022, the total amount recognized by GAIT with respect to its investment in Cash Assets was $363,869$82,257 and $24,812,$107,069, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At March 31,June 30, 2023 and December 31, 2022, GAIT owned approximately 0.98%1.01% and 0.93%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of March 31,June 30, 2023 and December 31, 2022:
 
 March 31, 2023  December 31, 2022  June 30, 2023  December 31, 2022 
Assets:            
Cash and cash equivalents $445,841,435  
$
634,147,957
  $363,466,629  
$
634,147,957
 
Investments in fixed income securities (amortized cost $5,412,582,091 and $5,669,408,769, respectively) 5,412,582,091  
5,669,408,769
 
Investments in fixed income securities (amortized cost $5,646,023,749 and $5,669,408,769, respectively) 5,646,023,749  
5,669,408,769
 
Interest receivable  3,819,181   
5,501,621
   6,325,219   
5,501,621
 
Total assets 5,862,242,707  
6,309,058,347
  6,015,815,597  
6,309,058,347
 
            
Liabilities:            
Due to broker  6,104   
7,815
   15,324   
7,815
 
Total liabilities  6,104  
7,815
   15,324  
7,815
 
Members’ capital $5,862,236,603  
$
6,309,050,532
  $6,015,800,273  
$
6,309,050,532
 

5459
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
4. Graham Cash Assets LLC (continued)
 
The following table summarizes the results of operations of Cash Assets for the three and six months ended March 31,June 30, 2023 and 2022:
 

 
Three Months Ended
June 30,
  
Six Months Ended
June 30,
 

 2023  2022  2023  2022 
 2023  2022             
Investment income                  
Interest income $38,777,148  
$
2,909,295
  $50,542,070  
$
9,277,846
  $89,319,218  
$
12,187,141
 
Total investment income 50,542,070  
9,277,846
  89,319,218  
12,187,141
 
                  
Expenses:                  
Bank fee expense  153,013  
94,559
   143,575   
73,884
   296,588   
168,443
 
Total expenses  153,013   
94,559
   143,575  
73,884
   296,588  
168,443
 
Net investment income  38,624,135  
2,814,736
   50,398,495   
9,203,962
   89,022,630   
12,018,698
 
Net income $38,624,135  
$
2,814,736
  $50,398,495  
$
9,203,962
  $89,022,630  
$
12,018,698
 
 
The following represents the condensed schedule of investments of Cash Assets as of March 31,June 30, 2023:
 
Description 
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
  
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities (amortized cost $5,412,582,091)
        
Investments in Fixed Income Securities (amortized cost $5,646,023,749)          
United States                  
Government Bonds (amortized cost $5,013,243,588)        
U.S. Treasury bond 0.13% due 04/30/2023 
$
300,000,000
  
$
299,977,647
  5.12%

U.S. Treasury bond 0.13% due 06/30/2023 
300,000,000
  
298,095,585
  5.09%

Government Bonds (amortized cost $4,235,353,654)          
U.S. Treasury bond 0.25% due 09/30/2023 
350,000,000
  
343,550,666
  5.86%

 
$
350,000,000
  
$
346,757,712
  
5.76
%
 
U.S. Treasury bonds 0.13% – 1.50% due 04/15/2023 – 03/15/2024 
4,150,000,000
   
4,071,619,690
  69.45%

U.S. Treasury bonds 0.13% – 2.13% due 07/15/2023 – 03/31/2024 
3,950,000,000
   
3,888,595,942
  
64.64
%
 
Total Government Bonds     
5,013,243,588
  85.52%

     
4,235,353,654
   
70.40
%
 
                   
Treasury Bills (amortized cost $399,338,503)         
U.S. Treasury bill 0.00% due 04/04/2023 – 04/25/2023 
400,000,000
   
399,338,503
  6.81%

Treasury Bills (amortized cost $1,410,670,095)          
U.S. Treasury bill 0.00% due 07/06/2023 – 12/28/2023 
1,425,000,000
   
1,410,670,095
  
23.45
%
 
Total Treasury Bills     
399,338,503
  6.81%

     
1,410,670,095
   
23.45
%
 
Total United States     
5,412,582,091
  92.33%

     
5,646,023,749
  
93.85
%
 
Total Investments in Fixed Income Securities    
$
5,412,582,091
  92.33%

    
$
5,646,023,749
   
93.85
%
 

5560
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, 2022:
 
Description 
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
  
Principal
Amount
  Fair Value  
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities (amortized cost $5,669,408,769)                  
United States                  
Government Bonds (amortized cost $5,470,052,935)                  
U.S. Treasury bond 0.13% due 01/31/2023 
$
350,000,000
  
$
349,565,886
  5.54%

 
$
350,000,000
  
$
349,565,886
  
5.54
%
 
U.S. Treasury bond 0.25% due 09/30/2023 
350,000,000
  
340,378,862
  5.40%

 
350,000,000
  
340,378,862
  
5.40
%
 
U.S. Treasury bonds 0.13% – 1.50% due 01/15/2023 – 01/31/2024 
4,850,000,000
   
4,780,108,187
  75.76%

 
4,850,000,000
   
4,780,108,187
   
75.76
%
 
Total Government Bonds     
5,470,052,935
  86.70%

     
5,470,052,935
  
86.70
%
 
                   
Treasury Bills (amortized cost $199,355,834)                   
U.S Treasury bills 0.00% due 01/10/2023 – 02/21/2023 
200,000,000
   
199,355,834
  3.16%

 
200,000,000
   
199,355,834
   
3.16
%
 
Total Treasury Bills     
199,355,834
  3.16%

     
199,355,834
  
3.16
%
 
Total United States     
5,669,408,769
  89.86%

     
5,669,408,769
   
89.86
%
 
Total Investments in Fixed Income Securities    
$
5,669,408,769
  89.86%

    
$
5,669,408,769
  
89.86
%
 

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of March 31,June 30, 2023 and December 31, 2022:
 
 March 31, 2023 December 31, 2022  June 30, 2023 December 31, 2022 
Assets          
Level 2:
          
Fixed income securities          
Government bonds $5,013,243,588 
$
5,470,052,935
  $4,235,353,654 
$
5,470,052,935
 
Treasury bills  399,338,503 
199,355,834
   1,410,670,095 
199,355,834
 
Total fixed income securities  5,412,582,091  
5,669,408,769
   5,646,023,749  
5,669,408,769
 
Total Level 2
  5,412,582,091 
5,669,408,769
   5,646,023,749 
5,669,408,769
 
Total assets
 $5,412,582,091 
$
5,669,408,769
  $5,646,023,749 
$
5,669,408,769
 

5661
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 Member’s Capital account is equal to the initial contribution to GAIT with respect to the Class to which such capital account relates. Each Member’s Capital Account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of GAIT are allocated among the capital accounts of the members in proportion to the balance that each capital account bears to the balance of all capital accounts as of the beginning of such fiscal period.
 
Subscriptions
 
Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. There is no minimum subscription amount.
 
Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.
 
Redemptions
 
Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of the last business day of each month upon not less than three business days’ prior written notice to the administrator.
 
6. Fees and Related Party Transactions
 
Advisory Fees
 
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 threesix months ended March 31,June 30, 2023 and 2022 were $227,889$460,118 and $218,151,$458,706, 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 threesix months ended March 31,June 30, 2023 and 2022 were $ 122,253$245,314 and $115,406,$243,490, respectively.
 
Class 0 Class 2
0.50%
1.25%

5762
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 threesix months ended March 31,June 30, 2023 and 2022 was $132 and $1,280,643,$2,550,314, 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 threesix months ended March 31,June 30, 2023 and 2022, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, incurred by GAIT were $19,978$40,566 and $19,083,$39,689, respectively.
 
Professional Fees
 
GAIT shall pay, or reimburse the Manager, for expenses arising in connection with GAIT’s audit, tax and legal fees (“professional fees”). The total professional fees incurred by GAIT for the threesix months ended March 31,June 30, 2023 and 2022 were $15,314$164,780 and $69,385,$177,834, respectively.
 
Operating Expenses
 
GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the GAIT’s investments, operations, and business (“operating expenses”). For the three months ended March 31, 2023, 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 threesix months ended March 31,June 30, 2023 was $10,627. Thereand the period from June 1, 2022 through June 30, 2022 were no such expenses for the three months ended March 31, 2022.$20,612 and $3,371, respectively.
 
5863
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
7. Income Taxes
 
No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of GAIT’s income and expenses for income tax purposes.
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. GAIT identifies its major tax jurisdictions as the U.S. for Federal tax purposes, Connecticut for state tax 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. 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 threesix months ended March 31,June 30, 2023 and 2022.
 
8. Risk Factors

Global 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 increased market volatility and economic uncertainties or deterioration in the United States and worldwide. For example, the outbreak of coronavirus, or COVID-19, in 2020 in many countries adversely impacted global commercial activity with profound impacts to broad economic factors and contributed to significant volatility in financial markets over a prolonged period of time. Globally, most notably in China, efforts to combat COVID-19 continued for an extended period of time, which have continued to impact global supply chains and employment markets, albeit to a lesser degree.  Such impacts may affect the financial markets in which the GAIT operates.

5964
Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
9. Financial Highlights
 
The following is the per Unit operating performance calculation for the three months ended March 31,June 30, 2023 and 2022:
 
 Class 0  Class 2  Class 0  Class 2 
Per unit operating performance            
Net asset value per Unit, December 31, 2021 
$
176.27
  
$
125.68
 
Net asset value per Unit, March 31, 2022 
$
200.75
  
$
143.02
 
Net income:            
Net investment loss 
(5.52
)
 
(4.04
)
 
(5.66
)
 
(4.19
)
Net gain on investments  
30.00
  
21.38
   
22.87
  
16.22
 
Net income  
24.48
   
17.34
   
17.21
   
12.03
 
Net asset value per Unit, March 31, 2022 
$
200.75
  
$
143.02
 
Net asset value per Unit, June 30, 2022 
$
217.96
  
$
155.05
 
            
Net asset value per Unit, December 31, 2022 
$
224.59
  
$
159.22
 
Net loss:      
Net asset value per Unit, March 31, 2023 
$
219.21
  
$
155.12
 
Net income:      
Net investment income (loss) 0.19  (0.16) 0.12  (0.21)
Net loss on investments  (5.57)  (3.94)
Net loss  (5.38) (4.10)
Net asset value per Unit, March 31, 2023 $219.21  $155.12 
Net gain on investments  4.61   3.26 
Net income  4.73  3.05 
Net asset value per Unit, June 30, 2023 $223.94  $158.17 

The following represents ratios to average Members’ Capital, excluding the Manager, and total return for the three months ended March 31,June 30, 2023 and 2022:
 
 Class 0  Class 2  Class 0 Class 2 
 2023 2022  2023 2022  2023 2022 2023 2022 
                           
Total return before Incentive Allocation
 (2.40)% 
16.36
%
  (2.58)% 
16.14
%
  2.16% 
10.84
%
 1.97% 
10.52
%
 
Incentive Allocation
  (0.00) 
(2.48
)
  0.00  
(2.34
)
   0.00  
(2.28
)
 0.00  
(2.11
)
 
Total return after Incentive Allocation
  (2.40)%  
13.88
%
   (2.58)%  
13.80
%
   2.16%  
8.56
%
  1.97%  
8.41
%
 
                           
Net investment income (loss) before Incentive Allocation
 0.09% 
(0.63
)%
  (0.10)% 
(0.82
)%
  0.05% 
(0.61
)%
 (0.13)% 
(0.79
)%
 
Incentive Allocation
  (0.00) 
(2.30
)
  0.00  
(2.18
)
   0.00  
(2.09
)
 0.00  
(2.01
)
 
Net investment income (loss) after Incentive Allocation
  0.09%  
(2.93
)%
   (0.10)%  
(3.00
)%
   0.05%  
(2.70
)%
  (0.13)%  
(2.80
)%
 
                           
Total expenses before Incentive Allocation
 0.57% 
0.67
%
  0.76% 
0.86
%
  0.80% 
0.74
%
 0.97% 
0.92
%
 
Incentive Allocation
  0.00  
2.30
   0.00  
2.18
    0.00  
2.09
  0.00  
2.01
  
Total expenses after Incentive Allocation
  0.57%  
2.97
%
   0.76%  
3.04
%
   0.80%  
2.83
%
  0.97%  
2.93
%
 

65
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, 2023 and 2022:
  Class 0  Class 2 
Per unit operating performance      
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
 
         
Net asset value per Unit, December 31, 2022 
$
224.59
  
$
159.22
 
Net loss:        
Net investment income (loss)  0.31   (0.37)
Net loss on investments  (0.96)  (0.68)
Net loss  (0.65)  (1.05)
Net asset value per Unit, June 30, 2023 $223.94  $158.17 

The following represents ratios to average Members’ Capital, excluding the Manager, and total return for the six months ended June 30, 2023 and 2022:

 Class 0 Class 2 

 2023 2022 2023 2022 

             
Total return before Incentive Allocation  (0.29)%  
28.88
%
  (0.66)%  
28.10
%
 
Incentive Allocation  (0.00)  
(5.23
)
  0.00   
(4.73
)
 
Total return after Incentive Allocation  (0.29)%  
23.65
%
  (0.66)%  
23.37
%
 
                  
Net investment income (loss) before Incentive Allocation  0.14%  
(1.24
)%
  (0.23)%  
(1.61
)%
 
Incentive Allocation  (0.00)  
(4.39
)
  0.00   
(4.18
)
 
Net investment income (loss) after Incentive Allocation  0.14%  
(5.63
)%
  (0.23)%  
(5.79
)%
 
                  
Total expenses before Incentive Allocation  1.37%  
1.41
%
  1.73%  
1.78
%
 
Incentive Allocation  0.00   
4.39
   0.00   
4.18
  
Total expenses after Incentive Allocation  1.37%  
5.80
%
  1.73%  
5.96
%
 

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total Members’ Capital, excluding that of the Manager, 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 lossincome (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 lossincome (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,income (loss), total expenses and Incentive Allocation. Net investment lossincome (loss) and total expense ratios are computed based upon the weighted average of Members’ Capital of GAIT, excluding that of the Manager, for the three and six months ended March 31,June 30, 2023 and 2022 and have not been annualized.

6066
Index

Graham Alternative Investment Trading LLC

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

GAIT had subscriptions of $0.66 million and redemptions of approximately $1.7$0.35 million of subscriptions and $0.04 million of redemptions from AprilJuly 1, 2023 through May 15,August 14, 2023, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.
 
6167
Index

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

Forward-Looking Statements

Certain statements within this Quarterly Report on Form 10-Q may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 (“PSLRA”). These statements are being made pursuant to the PSLRA, with the intention of obtaining the benefits of the “safe harbor” provisions of the PSLRA, and, other than as required by law, we assume no obligation to update or supplement such statements. Forward-looking statements are those that do not relate solely to historical facts. They include, but are not limited to, any statement that may predict, forecast, indicate or imply future results, performance, achievements or events. You can identify these statements by the use of words such as “may,” “will,” “could,” “anticipate,” “believe,” “estimate,” “expect,” “intend,” “predict,” “continue,” “further,” “seek,” “plan,” or “project” and variations of these words or comparable words or phrases of similar meaning. These forward-looking statements reflect our current beliefs and expectations with respect to future events and are based on assumptions and are subject to risks and uncertainties and other factors outside our control that may cause actual results to differ materially from those projected, including the risks and uncertainties described in our Annual Report on Form 10-K for the year ended December 31, 2022 and in this Quarterly Report under the headings “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations.” We undertake no obligation to update publicly or review any forward-looking statement, whether as a result of new information, future developments or otherwise.

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

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, 2022 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 31, 2023. 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 Portfolio) of GAIF I, GAIT, and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses, and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of fixed income positions, the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. Federal government, as well as cash and cash equivalents.

For the three months ended March 31,June 30, 2023, the Core Macro Portfolio’s Members’ Capital decreased by $667,720 or -2.3%. The net decrease in the Core Macro Portfolio was attributable to redemptions totaling $75,000 or -0.3% and a net loss of $717,720 or -2.4%, offset by subscriptions of $125,000 or 0.4% for the period.

For the three months ended March 31, 2022, the Core Macro Portfolio’s Members’ Capital increased by $2,709,641$956,400 or 10.6%3.4%. The net increase in the Core Macro Portfolio was attributable to a net income of $3,491,018$591,400 or 13.7%2.1% and subscriptions totaling $405,000 or 1.4%, offset by redemptions of $40,000 or -0.1% for the period.

For the six months ended June 30, 2023, the Core Macro Portfolio’s Members’ Capital increased by $288,680 or 1.0%. The net increase in the Core Macro Portfolio was attributable to subscriptions totaling $530,000 or 1.8%, offset by a net loss of $126,320 or -0.4% and redemptions of $115,000 or -0.4% for the period.

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 a net income of $2,385,394 or 8.5%, offset by redemptions totaling $781,377$981,222 or -3.1%-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 a net income of $5,876,412 or 23.0%, offset by redemptions totaling $1,762,599 or -6.9%, for the period.

68
Index

(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.

62
2023 Summary

Three Months Ended March 31,June 30, 2023

For the three months ended March 31,June 30, 2023, the Core Macro Portfolio experienced a net trading lossgain of $692,973.$616,243. The trading results are attributable to the following sectors:

Agriculture / Softs
 
$
(560
)
 
$
(34,600
)
Base Metals
 
(8,898
)
 
(9,160
)
Energy
 
(304,502
)
 
(106,446
)
Equities
 
344,244
  
455,303
 
Foreign Exchange
 
(306,662
)
 
548,145
 
Long Term / Intermediate Rates
 
(384,639
)
 
(188,344
)
Precious Metals
 
(39,684
)
 
(251,457
)
Short Term Rates
  
7,728
   
202,802
 
 
$
(692,973
)
 
$
616,243
 

The Core Macro Portfolio recorded a net lossgain for the firstsecond quarter of 2023. The majority of lossesgains were in commoditiescurrencies and resulted mainly from short exposure to the Chinese Yuan, Japanese Yen, and Singapore Dollar versus the U.S. Dollar, with additional gains from long exposure to the Mexican Peso. The portfolio also generated gains in equity indices, primarily due to long positions in various energy markets, with smaller losses from long positions in silver.Japanese benchmark indices and the NASDAQ. The portfolio also experienced lossesfinished the quarter virtually flat in fixed income, mainly due to shortas gains from evolving positions across the yield curve in JapanEurope and Europe. In currencies, losses resulted from long exposure to several global currencies versuson the front end of the yield curve in the U.S. dollar, particularly thewere offset by losses from positions in U.S., Japanese, yen,and Australian dollar, and the euro. The portfolio generated gains in equity indices frombonds. In commodities, long positions in European benchmark indices, as well as evolvingprecious metals and mixed positions in U.S benchmark indices.various energy markets led to losses.

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

For the three months ended March 31,June 30, 2023, Advisory Fees increaseddecreased by $4,648$6,090 or 4.5%-5.4%, Sponsor Fees increaseddecreased by $4,186$2,261 or 7.4%-3.6%, and Administrator’s Fees increaseddecreased by $362$225 or 4.1%-2.4% 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 $181,512$201,828 or 1,877.8%538.0%. Interest was earned on free cash at an average annualized yield of 2.57%3.49% for the three months ended March 31,June 30, 2023 compared to 0.18%0.54% for the same period in 2022.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31,June 30, 2023 and 2022, the Incentive Allocation was $0 and $596,349, respectively. This was the result of a net gain before incentive allocation for the three months ended June 30, 2022. For the three months ended June 30, 2023, the portfolio has not yet recovered previous losses. There was no Incentive Allocation for this period.

69
Index

Six Months Ended June 30, 2023

For the six months ended June 30, 2023, the Core Macro Portfolio experienced a net trading loss of $76,730. The trading results are attributable to the following sectors:

Agriculture / Softs 
$
(35,160
)
Base Metals  
(18,058
)
Energy  
(410,948
)
Equities  
799,547
 
Foreign Exchange  
241,483
 
Long Term / Intermediate Rates  
(572,983
)
Precious Metals  
(291,141
)
Short Term Rates  
210,530
 
  
$
(76,730
)

The Core Macro Portfolio recorded a modest net loss through the first half of 2023. The majority of losses were in commodities and resulted mainly from mixed positions in various energy markets and long positions in precious metals. The portfolio experienced losses in fixed income mainly due to short positions in Japanese bonds, with smaller losses from positions in Australian, U.S., and European bonds. In currencies, gains resulted mainly from short exposure to the Chinese Yuan and long exposure to the Mexican Peso versus the U.S. Dollar. The portfolio produced profits in equity indices from long positions in Japanese and European benchmark indices, with additional gains from evolving positions in U.S. benchmark indices.

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, 2023, Advisory Fees decreased by $1,442 or -0.7%, Sponsor Fees increased by $1,925 or 1.6%, and Administrator’s Fees increased by $137 or 0.8% 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 six month period. During the same period, interest income increased by $383,340 or 812.5%. Interest was earned on free cash at an average annualized yield of 3.03% for the six months ended June 30, 2023 compared to 0.36% for the same period in 2022.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the six months ended June 30, 2023 and 2022, the Incentive Allocation was $562 and $602,005,$1,198,354, respectively. The incentive allocationIncentive Allocation of $562 for the threesix months ended March 31,June 30, 2023 was due to the Fund’s smaller proportionate ownership of GAIT during the time of GAIT’s incentive fee reversal compared to the threesix months ended March 31,June 30, 2022, where the portfolio experienced a net gain before incentive allocation.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31,June 30, 2023 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
35.2
%
Base Metals
19.3
%
Energy  
(16.328.6
)%
Base Metals
Equities		  
13.412.8
%
Energy
Foreign Exchange		  
(3.9324.6
)%
Equities
Long Term / Intermediate Rates		  
256.2383.4
%
Foreign Exchange
297.8
%
Long Term / Intermediate Rates
Precious Metals		  
(624.218.3
)%
Precious Metals
Short Term Rates		  
61.0
%
Short Term Rates
116.020.8
%
   
100.0
%

6370
Index

2022 Summary

Three Months Ended March 31,June 30, 2022

For the three months ended March 31,June 30, 2022, the Core Macro Portfolio experienced a net trading gain of $4,307,887.$3,210,839. The trading results are attributable to the following sectors:

Agriculture / Softs
 
$
257,184
  
$
(184,332
)
Base Metals
 
121,490
  
(8,417
)
Commodity Mix
 
(63,403
)
Energy
 
1,624,971
  
396,493
 
Equities
 
541,905
  
405,363
 
Foreign Exchange
 
493,252
  
1,316,555
 
Long Term / Intermediate Rates
 
833,571
  
1,367,628
 
Precious Metals
 
56,930
  
(215,596
)
Short Term Rates
  
441,987
   
133,145
 
 
$
4,307,887
  
$
3,210,839
 

The Core Macro Portfolio recorded a net gain for the firstsecond quarter of 2022. The majority of profitsgains resulted from positions in commodities, particularly in energy with smaller gains in metals and agricultural commodities. The portfolio also recorded gains in fixed income futures, most notablymainly from positions across the yield curve in the U.S. In equity index futures, the portfolio recorded gains from positions in European and U.S. benchmark indices. The portfolio also postedgenerated profits in currencies, most notably from positions in the Japanese yen and Australian dollarthe euro versus the U.S. dollar.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 March 31,June 30, 2022, Advisory Fees decreased by $6,903$825 or -6.3%-0.7%, Sponsor Fees decreasedincreased by $2,600$1,501 or -4.4%2.5%, and Administrator’s Fees decreased by $571$274 or -6.1%-2.8% in the Fund over the corresponding period of the preceding year. These decreasesThe movements are attributable to lower net assetsconsistent with the timing of profit and loss and capital activity during the portfolio resulting from redemptions partially offset by a net gain since March 31, 2021.quarter. During the same period, interest income decreasedincreased by $1,196$32,907 or -11.0%714.3%. Interest was earned on free cash at an average annualized yield of 0.18%0.54% for the three months ended March 31,June 30, 2022 compared to 0.16%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 March 31,June 30, 2022 and 2021, the Incentive Allocation was $602,005 and $345,626, respectively.increased by $512,168 or 608.4%. This was the result of a higher net gain before incentive allocation for the three months ended March 31,June 30, 2022 compared to the three months ended March 31,June 30, 2021.

71
Index

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 March 31,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
  
9.411.6
%
Base Metals
  
6.53.7
%
Energy
  
4.271.8
%
Equities
Equities59.9
%
Foreign Exchange
43.4
%
Long Term / Intermediate Rates
136.1
%
Precious Metals  
(5.117.4
)%
Foreign Exchange
Short Term Rates		  
38.2(209.1
)%
Long Term / Intermediate Rates
14.7
%
Precious Metals
4.7
%
Short Term Rates
27.4
%

  
100.0
%

6472
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:

  
Core Macro
Portfolio
 
March 31,June 30, 2023 7.91%8.63%

December 31, 2022 9.33%

March 31,June 30, 2022 6.92%6.53%


Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through March 31,June 30, 2023, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.
 
6573
Index

(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 Estimates
 
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 Core 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 Master Funds record all their financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized appreciation and depreciation 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.
 
6674
Index

Income Taxes – No provision for income taxes has been made in the Fund’s financial statements, as each member is responsible for reporting income or loss based upon the member’s respective share of the Fund’s revenues and expenses for income tax purposes.
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the financial statements for all open tax years. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.
 
6775
Index

Item 3.Quantitative and Qualitative Disclosures about Market Risk

No disclosure is required hereunder as the Fund is a “smaller reporting company”, as defined in Item 10(f)(1) of Regulation S-K.

6876
Index

Item 4.Controls and Procedures

Evaluation of Disclosure Control and Procedures

The Fund has established disclosure controls and procedures to ensure that the information required to be disclosed by the Fund in the reports that it files or submits under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized, and reported within the time periods specified in SEC rules and forms and that such information is accumulated and communicated to the Manager and the Fund’s management, as appropriate, to allow timely decisions regarding required disclosure.

Based on their evaluation as of March 31,June 30, 2023, 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 firstsecond quarter of 2023 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

6977
Index

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 2022 Form 10-K.

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

For the three months ended March 31,June 30, 2023, the Fund issued 781.0641,845.920 Units in exchange for $125,000$405,000 with respect to the Core Macro Portfolio, in each case in a transaction that was not registered under the Securities Act of 1933, as amended (the “Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Act and Rule 506 of Regulation D promulgated thereunder. All purchasers of the Units were accredited investors, as that term is defined under Rule 501 of Regulation D.

The following chart sets forth the issuance of Units of the Fund during each month of the quarter covered by this report.

DateTotal Number of Units Issued
April 1 – April 30, 2023
–
 
JanuaryMay 1 – JanuaryMay 31, 2023
343.165
‑
FebruaryJune 1 – February 28,June 30, 2023
1,502.756
781.064
March 1 – March 31, 2023
‑
TOTAL781.064
1,845.920

Issuer Purchases of Units

Date
(a) Total
Number of
Units
Purchased1
(b) Average
Price Paid
per Unit
(c) Total Number of
Units Purchased as
Part of Publicly
Announced Plans
or Programs
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
January 1 – January 31, 2023
 ‑  
$
‑   N/A   N/A 
February 1 – February 28, 2023
 ‑  
$
‑   N/A   N/A 
March 1 – March 31, 2023
  
342.140
  
$
219.21
   N/A   N/A 
TOTAL  
342.140
  
$
219.21
   N/A   N/A 
Date
(a) Total
Number of
Units
Purchased1
(b) Average
Price Paid
per Unit
(c) Total Number of
Units Purchased as
Part of Publicly
Announced Plans
or Programs
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
April 1 – April 30, 2023
–
 
$
–
 
N/A
N/A
May 1 – May 31, 2023
–
 
$
–
 
N/A
N/A
June 1 – June 30, 2023
178.620
 
$
223.94
 
N/A
N/A
TOTAL
178.620
 
$
223.94
 
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 – NoneDuring the registrant's last fiscal quarter, no director or officer of the registrant, as defined in Rule 16a-1(f), adopted or terminated a “Rule 10b5-1 trading arrangement” or a “non-Rule 10b5-1 trading arrangement,” each as defined in Item 408 of Regulation S-K.

7078
Index

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
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

7179
Index

SIGNATURES

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

Dated:  May 15,August 14, 2023
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

CORE MACRO PORTFOLIO


 

By:
GRAHAM CAPITAL MANAGEMENT, L.P.


its Manager

By:/s/
By:
/s/ Brian Douglas
 


Brian Douglas, Principal Executive Officer
 



 

By:
/s/
George Schrade 


George Schrade, Principal Financial Officer
 


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