GRAHAM ALTERNATIVE INVESTMENT FUND I LLC - FORM 10-Q

Attached files

file	filename
EX-32.1 - EXHIBIT 32.1 - GRAHAM ALTERNATIVE INVESTMENT FUND I LLC	brhc10016792_ex32-1.htm
EX-31.2 - EXHIBIT 31.2 - GRAHAM ALTERNATIVE INVESTMENT FUND I LLC	brhc10016792_ex31-2.htm
EX-31.1 - EXHIBIT 31.1 - GRAHAM ALTERNATIVE INVESTMENT FUND I LLC	brhc10016792_ex31-1.htm

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 September 30, 2020

OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-53965

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

(Exact name of registrant as specified in its charter)

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

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT 06853

(Address of principal executive offices) (Zip Code)

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 November 1, 2020, 197,668.156 Units of the Blended Strategies Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

FORM 10-Q

INDEX

			Page Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund I LLC Blended Strategies Portfolio

		Statements of Financial Condition at September 30, 2020 (Unaudited) and December 31, 2019 (Audited)	1

		Unaudited Statements of Operations for the Three and Nine Months Ended September 30, 2020 and 2019	2

		Unaudited Statements of Changes in Members’ Capital for the Three and Nine Months Ended September 30, 2020 and 2019	3

		Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2020 and 2019	5

		Notes to Unaudited Financial Statements	6

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at September 30, 2020 (Unaudited) and December 31, 2019 (Audited)	14

		Condensed Schedules of Investments at September 30, 2020 (Unaudited) and December 31, 2019 (Audited)	15

		Unaudited Statements of Operations and Incentive Allocation for the Three and Nine Months Ended September 30, 2020 and 2019	16

		Unaudited Statements of Changes in Members’ Capital for the Three and Nine Months Ended September 30, 2020 and 2019	17

		Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2020 and 2019	19

		Notes to Unaudited Financial Statements	20

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

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	67

	Item 4.	Controls and Procedures	68


PART II - Other Information	69

Exhibits	70


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

Index

PART I

Item 1. Financial Statements

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Statements of Financial Condition

	September 30, 2020 (Unaudited)		December 31, 2019 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	28,640,205	$	26,882,563
Redemptions receivable from Graham Alternative Investment Trading LLC		26,000		144,707
Total assets	$	28,666,205	$	27,027,270

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	26,000	$	144,707
Total liabilities		26,000		144,707

Members’ capital:
Class 0 Units (101,205.423 and 103,946.549 units issued and outstanding at $167.69 and $152.04, respectively)		16,971,588		15,804,368
Class 2 Units (96,786.798 and 102,244.827 units issued and outstanding at $120.56 and $108.35, respectively)		11,668,617		11,078,195
Total members’ capital		28,640,205		26,882,563
Total liabilities and members’ capital	$	28,666,205	$	27,027,270

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

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Operations

	Three Months Ended September 30,						Nine Months Ended September 30,
	2020			2019			2020			2019
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
Net realized gain on investment	$	2,609,754		$	3,185,384		$	3,982,112		$	4,384,425
Net decrease in unrealized appreciation on investment		(681,055	)		(1,185,505	)		(409,192	)		(452,067	)
Brokerage commissions and fees		(19,362	)		(55,426	)		(94,373	)		(172,712	)
Net gain allocated from investment in Graham Alternative Investment Trading LLC		1,909,337			1,944,453			3,478,547			3,759,646

Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
Investment income:
Interest income		58,061			145,770			254,825			440,380

Expenses:
Incentive allocation		233,979			187			307,558			187
Advisory fees		110,724			111,212			313,592			330,544
Sponsor fees		59,576			60,581			169,124			178,169
Professional fees		47,747			71,747			101,783			142,585
Administrator’s fees		9,507			9,482			27,010			29,021
Interest expense		1,703			1,528			5,048			4,713
Total expenses		463,236			254,737			924,115			685,219
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC		(405,175	)		(108,967	)		(669,290	)		(244,839	)
Net income	$	1,504,162		$	1,835,486		$	2,809,257		$	3,514,807

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

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital

For the Three and Nine Months Ended September 30, 2020

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

Members’ capital, December 31, 2019		103,946.549		$	15,804,368			102,244.827		$	11,078,195		$	26,882,563
Subscriptions		–			–			–			–			–
Redemptions		(2,339.429	)		(355,086	)		(1,542.303	)		(163,815	)		(518,901	)
Net income		–			738,375			–			544,856			1,283,231
Members’ capital, March 31, 2020		101,607.120			16,187,657			100,702.524			11,459,236			27,646,893
Subscriptions		–			–			–			–			–
Redemptions		(401.697	)		(64,067	)		(1,135.107	)		(129,144	)		(193,211	)
Net income (loss)		–			22,950			–			(1,086	)		21,864
Members’ capital, June 30, 2020		101,205.423			16,146,540			99,567.417			11,329,006			27,475,546
Subscriptions		–			–			–			–			–
Redemptions		–			–			(2,780.619	)		(339,503	)		(339,503	)
Net income		–			825,048			–			679,114			1,504,162
Members’ capital, September 30, 2020		101,205.423		$	16,971,588			96,786.798		$	11,668,617		$	28,640,205

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

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Nine Months Ended September 30, 2019

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

Members’ capital, December 31, 2018		137,453.802		$	18,378,136			134,750.838		$	12,936,828		$	31,314,964
Subscriptions		564.711			75,000			–			–			75,000
Redemptions		(11,007.395	)		(1,465,554	)		(15,884.948	)		(1,509,226	)		(2,974,780	)
Net loss		–			(6,281	)		–			(37,350	)		(43,631	)
Members’ capital, March 31, 2019		127,011.118			16,981,301			118,865.890			11,390,252			28,371,553
Subscriptions		934.934			125,000			–			–			125,000
Redemptions		(16,044.659	)		(2,218,094	)		(4,461.913	)		(448,288	)		(2,666,382	)
Net income		–			1,025,823			–			697,129			1,722,952
Members’ capital, June 30, 2019		111,901.393			15,914,030			114,403.977			11,639,093			27,553,123
Subscriptions		–			–			–			–			–
Redemptions		(1,718.012	)		(262,230	)		(10,849.153	)		(1,176,818	)		(1,439,048	)
Net income		–			1,074,216			–			761,270			1,835,486
Members’ capital, September 30, 2019		110,183.381		$	16,726,016			103,554.824		$	11,223,545		$	27,949,561

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

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Cash Flows

	Nine Months Ended September 30,
	2020			2019
Cash flows provided by operating activities
Net income	$	2,809,257		$	3,514,807
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) allocated from investment in Graham Alternative Investment Trading LLC		(2,809,257	)		(3,514,807	)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC		1,170,322			6,290,862
Purchases of investment in Graham Alternative Investment Trading LLC		–			(200,000	)
Net cash provided by operating activities		1,170,322			6,090,862

Cash flows used in financing activities
Subscriptions		–			200,000
Redemptions		(1,170,322	)		(6,290,862	)
Net cash used in financing activities		(1,170,322	)		(6,090,862	)

Net change in cash and cash equivalents		–			–

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

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

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements

September 30, 2020

1. Organization and Business

The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. 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. Prior to October 31, 2019, investors in GAIF I had the choice to invest in either or both of two different portfolios, the Blended Strategies Portfolio or the Systematic Strategies Portfolio. The Systematic Strategies Portfolio ceased trading operations on October 31, 2019. 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”).

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. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.

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

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

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

1. Organization and Business (continued)

Duties of the Manager

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

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“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 at fair value based upon GAIT’s proportionate share of the Master Funds’ reported net asset value. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis and includes them in the statements of operations. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.

GAIT charges its investors, including the Fund, an advisory fee, 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 September 30, 2020 and December 31, 2019, the Fund owned 48.83% and 48.41%, 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.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

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

•

Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.

•

Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.

•

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 nine months ended September 30, 2020 or the year ended December 31, 2019 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 September 30, 2020 and December 31, 2019, the Fund did not have any cash or cash equivalents.

Indemnifications

In the normal course of business, the Master Funds, GAIT, Cash Assets and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At September 30, 2020 and December 31, 2019, 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 may invest in other investment programs or combinations of investment programs managed by the Manager.

A separate capital account is maintained for each member with respect to each member’s Class of Units. The initial balance of each Members’ Capital account is equal to the initial subscription to the Fund by such member with respect to the Class to which such capital account relates. Each Members’ 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.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

3. Capital Accounts (continued)

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $10,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000.

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.

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 nine months ended September 30, 2020 and 2019, the Advisory Fees allocated to the Fund by each Class of GAIT totaled $313,592 and $330,544, 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 nine months ended September 30, 2020 and 2019, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $169,124 and $178,169, respectively.

Class 0	Class 2
0.50%	1.25%

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

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 nine months ended September 30, 2020 and 2019, Incentive Allocation of $307,558 and $187, 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 nine months ended September 30, 2020 and 2019, 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 nine months ended September 30, 2020 and 2019 were $27,010 and $29,021, respectively.

5. Income Taxes

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Fund identifies its major tax jurisdictions as the U.S. for Federal tax purposes and Connecticut for state tax purposes. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2017 through 2019 or expected to be taken in the Fund’s 2020 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. 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 nine months ended September 30, 2020 and 2019.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended September 30, 2020 and 2019:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, June 30, 2019	$	142.21		$	101.74
Net income:
Net investment loss		(0.44	)		(0.53	)
Net gain on investments		10.03			7.17
Net income		9.59			6.64
Net asset value per Unit, September 30, 2019	$	151.80		$	108.38

Net asset value per Unit, June 30, 2020	$	159.54		$	113.78
Net income:
Net investment loss		(2.90	)		(1.13	)
Net gain on investments		11.05			7.91
Net income		8.15			6.78
Net asset value per Unit, September 30, 2020	$	167.69		$	120.56

The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the three months ended September 30, 2020 and 2019:

	Class 0				Class 2
	2020		2019		2020		2019

Total return before Incentive Allocation	6.33	%	6.74	%	6.20	%	6.53	%
Incentive Allocation	(1.22	)	(0.00	)	(0.24	)	0.00
Total return after Incentive Allocation	5.11	%	6.74	%	5.96	%	6.53	%

Net investment loss before Incentive Allocation	(0.52	)%	(0.30	)%	(0.71	)%	(0.50	)%
Incentive Allocation	(1.22	)	(0.00	)	(0.24	)	0.00
Net investment loss after Incentive Allocation	(1.74	)%	(0.30	)%	(0.95	)%	(0.50	)%

Total expenses before Incentive Allocation	0.72	%	0.80	%	0.92	%	1.02	%
Incentive Allocation	1.22		0.00		0.24		0.00
Total expenses after Incentive Allocation	1.94	%	0.80	%	1.16	%	1.02	%

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following is the per Unit operating performance calculation for the nine months ended September 30, 2020 and 2019:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2018	$	133.70		$	96.01
Net income:
Net investment loss		(0.85	)		(1.20	)
Net gain on investments		18.95			13.57
Net income		18.10			12.37
Net asset value per Unit, September 30, 2019	$	151.80		$	108.38

Net asset value per Unit, December 31, 2019	$	152.04		$	108.35
Net income:
Net investment loss		(4.47	)		(2.15	)
Net gain on investments		20.12			14.36
Net income		15.65			12.21
Net asset value per Unit, September 30, 2020	$	167.69		$	120.56

The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the nine months ended September 30, 2020 and 2019:

	Class 0				Class 2
	2020		2019		2020		2019

Total return before Incentive Allocation	12.02	%	13.54	%	11.51	%	12.88	%
Incentive Allocation	(1.73	)	(0.00	)	(0.24	)	0.00
Total return after Incentive Allocation	10.29	%	13.54	%	11.27	%	12.88	%

Net investment loss before Incentive Allocation	(1.08	)%	(0.61	)%	(1.65	)%	(1.19	)%
Incentive Allocation	(1.73	)	(0.00	)	(0.24	)	0.00
Net investment loss after Incentive Allocation	(2.81	)%	(0.61	)%	(1.89	)%	(1.19	)%

Total expenses before Incentive Allocation	2.00	%	2.13	%	2.57	%	2.72	%
Incentive Allocation	1.73		0.00		0.24		0.00
Total expenses after Incentive Allocation	3.73	%	2.13	%	2.81	%	2.72	%

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. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0 and Class 2 Units of the Fund for the three and nine months ended September 30, 2020 and 2019 and are not annualized.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

7. Subsequent Events

The Fund had no subscriptions and redemptions of approximately $0.1 million from October 1, 2020 through November 16, 2020, the date through which subsequent events were evaluated by management and the financial statements were available for issuance. These amounts have not been included in the financial statements.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	September 30, 2020 (Unaudited)		December 31, 2019 (Audited)
Assets
Investments in Master Funds, at fair value	$	5,788,259	$	7,251,243
Investment in Graham Cash Assets LLC, at fair value		53,762,743		48,977,607
Receivable from Master Funds		53		167
Total assets	$	59,551,055	$	56,229,017

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	663,893	$	386,119
Accrued professional fees		115,495		195,023
Accrued advisory fees		71,236		69,712
Accrued sponsor fees		37,831		37,281
Accrued administrator’s fee		6,221		6,032
Payable to Master Funds		–		195
Total liabilities		894,676		694,362

Members’ capital:
Class 0 Units (206,023.230 and 213,162.414 units issued and outstanding at $167.69 and $152.04 per unit, respectively)		34,548,958		32,409,897
Class 2 Units (187,612.958 and 201,355.180 units issued and outstanding at $120.56 and $108.35 per unit, respectively)		22,618,601		21,816,766
Class M Units (4,671.470 units issued and outstanding at $318.70 and $279.99 per unit, respectively)		1,488,820		1,307,992
Total members’ capital		58,656,379		55,534,655
Total liabilities and members’ capital	$	59,551,055	$	56,229,017

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	September 30, 2020 (Unaudited)				December 31, 2019 (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	$	2,472,918		4.22%	$	3,714,431		6.69%
Graham K4D Trading Ltd.		3,315,341		5.65%		3,536,812		6.37%
Total investments in Master Funds	$	5,788,259		9.87%	$	7,251,243		13.06%

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended September 30,						Nine Months Ended September 30,
	2020			2019			2020			2019
Net gain allocated from investments in Master Funds:
Net realized gain on investments	$	5,339,512		$	6,517,068		$	8,164,328		$	8,963,569
Net decrease in unrealized appreciation on investments		(1,403,904	)		(2,430,205	)		(834,248	)		(971,786	)
Brokerage commissions and fees		(39,638	)		(113,446	)		(194,161	)		(346,336	)
Net gain allocated from investments in Master Funds		3,895,970			3,973,417			7,135,919			7,645,447

Net investment (loss) income allocated from investments in Master Funds		(110	)		23,953			30,459			73,162

Investment income:
Interest income		117,948			274,254			492,103			808,632

Expenses:
Advisory fees		220,985			222,678			628,085			648,406
Sponsor fees		117,599			119,180			335,013			345,837
Professional fees		96,658			146,642			207,756			287,167
Administrator’s fee		19,460			19,405			55,449			58,085
Interest expense		3,487			3,126			10,279			9,436
Total expenses		458,189			511,031			1,236,582			1,348,931
Net investment loss of the Fund		(340,241	)		(236,777	)		(744,479	)		(540,299	)

Net income		3,555,619			3,760,593			6,421,899			7,178,310

Incentive allocation		(472,401	)		(187	)		(623,182	)		(187	)

Net income available for pro-rata allocation to all members	$	3,083,218		$	3,760,406		$	5,798,717		$	7,178,123

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three and Nine Months Ended September 30, 2020

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

Members’ capital, December 31, 2019		213,162.414		$	32,409,897			201,355.180		$	21,816,766			4,671.470	$	1,307,992		$	55,534,655
Subscriptions		–			–			–			–			–		–			–
Redemptions		(5,366.145	)		(816,202	)		(6,097.039	)		(673,152	)		–		(139,069	)		(1,628,423	)
Incentive allocation		–			(139,069	)		–			–			–		139,069			–
Net income		–			1,650,675			–			1,075,378			–		75,147			2,801,200
Members’ capital, March 31, 2020		207,796.269			33,105,301			195,258.141			22,218,992			4,671.470		1,383,139			56,707,432
Subscriptions		–			–			–			–			–		–			–
Redemptions		(1,773.039	)		(282,562	)		(2,988.460	)		(339,451	)		–		(11,712	)		(633,725	)
Incentive allocation		–			(11,712	)		–			–			–		11,712			–
Net income (loss)		–			58,386			–			(2,677	)		–		9,371			65,080
Members’ capital, June 30, 2020		206,023.230			32,869,413			192,269.681			21,876,864			4,671.470		1,392,510		$	56,138,787
Subscriptions		–			–			–			–			–		–			–
Redemptions		–			–			(4,656.723	)		(565,626	)		–		(472,401	)		(1,038,027	)
Incentive allocation		–			(419,887	)		–			(52,514	)		–		472,401			–
Net income		–			2,099,432			–			1,359,877			–		96,310			3,555,619
Members’ capital, September 30, 2020		206,023.230		$	34,548,958			187,612.958		$	22,618,601			4,671.470	$	1,488,820		$	58,656,379

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Nine Months Ended September 30, 2019

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

Members’ capital, December 31, 2018		263,114.613		$	35,179,498			251,175.400		$	24,114,225			4,671.470	$	1,127,501		$	60,421,224
Subscriptions		2,447.080			325,000			775.525			73,500			–		–			398,500
Redemptions		(15,238.411	)		(2,029,083	)		(23,162.529	)		(2,203,496	)		–		–			(4,232,579	)
Incentive allocation		–			–			–			–			–		–			–
Net (loss) income		–			(7,364	)		–			(60,726	)		–		5,537			(62,553	)
Members’ capital, March 31, 2019		250,323.282			33,468,051			228,788.396			21,923,503			4,671.470		1,133,038			56,524,592
Subscriptions		1,308.908			175,000			–			–			–		–			175,000
Redemptions		(20,134.592	)		(2,789,632	)		(9,736.326	)		(970,981	)		–		–			(3,760,613	)
Incentive allocation		–			–			–			–			–		–			–
Net income		–			2,068,954			–			1,333,122					78,194			3,480,270
Members’ capital, June 30, 2019		231,497.598			32,922,373			219,052.070			22,285,644			4,671.470		1,211,232			56,419,249
Subscriptions		–			–			–			–			–		–			–
Redemptions		(9,981.499	)		(1,511,641	)		(12,736.909	)		(1,381,202	)		–		(187	)		(2,893,030	)
Incentive allocation		–			(187	)		–			–			–		187			–
Net income		–			2,215,955			–			1,456,531			–		88,107			3,760,593
Members’ capital, September 30, 2019		221,516.099		$	33,626,500			206,315.161		$	22,360,973			4,671.470	$	1,299,339		$	57,286,812

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Nine Months Ended September 30,
	2020			2019
Cash flows provided by operating activities
Net income	$	6,421,899		$	7,178,310
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) allocated from investments in Master Funds		(7,166,378	)		(7,718,609	)
Net (income) allocated from investment in Graham Cash Assets LLC		(492,103	)		(808,632	)
Proceeds from sale of investments in Master Funds		49,538,983			52,804,810
Proceeds from sale of investment in Graham Cash Assets LLC		33,700,267			45,575,107
Purchases of investments in Master Funds		(40,931,275	)		(47,742,660	)
Purchases of investment in Graham Cash Assets LLC		(37,971,727	)		(40,726,996	)
Changes in assets and liabilities:
(Decrease) increase in accrued professional fees		(79,528	)		8,864
Increase (decrease) in accrued advisory fees		1,524			(4,391	)
Increase (decrease) in accrued sponsor fees		550			(2,550	)
Increase (decrease) in accrued administrator’s fee		189			(675	)
Net cash provided by operating activities		3,022,401			8,562,578

Cash flows used in financing activities
Subscriptions		–			573,500
Redemptions		(3,022,401	)		(9,136,078	)
Net cash used in financing activities		(3,022,401	)		(8,562,578	)

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		$	10,279			$	9,436

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

September 30, 2020

1. Organization and Business

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

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

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

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

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

Duties of the Managing Member

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

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. GAIT is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investments in Master Funds

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

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 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 September 30, 2020 and December 31, 2019. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices held. The Master Funds’ currency translation gains and losses are included in the statements of operations and incentive allocation within net realized gain and net decrease 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.

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 nine months ended September 30, 2020 or the year ended December 31, 2019 by GAIT, the Master Funds, or Cash Assets.

Derivative Instruments

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

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

Futures Contracts

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Futures Contracts (continued)

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

Forward Contracts

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

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Swap Contracts

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

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

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another. Total return swaps are generally valued based upon the value of the underlying instruments as determined by the primary exchange on which they are traded.

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Options

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

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

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

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

Credit Risk Related Contingent Features

OTC derivative instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets or rate of return and provide limits with respect to any decline in value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. There were no events that occurred throughout the nine months ended September 30, 2020 and the year ended December 31, 2019 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $3,066,896 and $2,477,323 at September 30, 2020 and December 31, 2019, respectively. Graham Commodity Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at September 30, 2020 and December 31, 2019.

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 September 30, 2020 and December 31, 2019, the two NYMEX seats were valued at $152,000 and $189,500, respectively, and the 30,000 shares of CME Group were valued at $5,019,300 and $6,021,600, 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.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Mercantile Exchange Membership

As of September 30, 2020, Graham Commodity Strategies LLC is 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 Strategy LLC’s policy is to value the CME seats and the shares of the CME Group at fair value. As of September 30, 2020, the two CME seats were valued at $361,750 and the 2,232 shares of CME Group were valued at $373,436 all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. Graham Commodity Strategies LLC was not a member of the CME as of December 31, 2019. The CME seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

As of September 30, 2020, K4D Trading Ltd., a Master Fund in which GAIT invests, is also a member of the Chicago Mercantile Exchange (“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 September 30, 2020 and December 31, 2019, the CME seat was valued at $65,500 and $62,500, respectively. As of September 30, 2020, the 4,085 shares of the CME Group were valued at $683,461. As of December 31, 2019, Graham K4D Trading Ltd. did not hold any shares of the CME Group. The CME seat and shares of the CME Group are included within Exchange memberships on Graham K4D Trading Ltd.’s statement of financial condition. The CME seat and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Chicago Board of Trade Membership

Graham K4D Trading Ltd. is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat (collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of September 30, 2020 and December 31, 2019, the two B-1/Full seats were valued at a total of $345,000 and $333,000, respectively, and the B-2/Associate seat was valued at $33,500 and $37,750, respectively, all of which are included in Exchange memberships on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns 970 shares of the CME Group as a result of its CBOT membership. Graham K4D Trading Ltd.’s policy is to value the CME Group shares at fair value. As of September 30, 2020, the 970 shares of the CME Group were valued at $162,291. The CBOT memberships and shares of the CME Group are considered Level 1 assets as described in the Fair Value section of Note 2.

As of September 30, 2020, Graham Commodity Strategies LLC is also a member of the CBOT under Rule 106.S and owns 3,265 shares of the CME Group. Graham Commodity Strategies LLC’s policy is to value the CME shares at fair value. As of September 30, 2020, the 3,265 shares of the CME Group were valued at $546,267 and is included in Exchange memberships on Graham Commodity LLC’s statement of financial condition. Graham Commodity Strategies LLC was not a member of the CBOT as of December 31, 2019. The CBOT memberships and CME seat are considered Level 1 assets as described in the Fair Value section of Note 2.

Fixed Income Securities

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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 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 GAIT’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 September 30, 2020 and December 31, 2019, 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 September 30, 2020 and December 31, 2019, no accruals have been recorded by GAIT for indemnifications.

3. Investments in Master Funds

As of September 30, 2020 and December 31, 2019, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its Members’ Capital are individually identified. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management fees or incentive allocation, and all offer monthly subscriptions and redemptions.

September 30, 2020
Investment – Objective	Percent of Members’ Capital		Fair Value		Net Income (Loss) (nine months ended September 2020)

Global Macro Funds
Graham Commodity Strategies LLC		4.22%	$	2,472,918	$	8,768,627

Systematic Macro Funds
Graham K4D Trading Ltd.		5.65%		3,315,341		(1,623,822	)
		9.87%	$	5,788,259	$	7,144,805

December 31, 2019
Investment – Objective	Percent of Members’ Capital		Fair Value		Net Income (nine months ended September 2019)

Global Macro Funds
Graham Commodity Strategies LLC		6.69%	$	3,714,431	$	2,501,873

Systematic Macro Funds
Graham K4D Trading Ltd.		6.37%		3,536,812		5,216,736
		13.06%	$	7,251,243	$	7,718,609

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

The following table summarizes the financial position of each Master Fund as of September 30, 2020:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $15,290,650)	$	–		$	15,296,199
Due from brokers		66,816,965			17,743,311
Derivative financial instruments, at fair value		19,290,737			–
Exchange memberships, at fair value		6,452,753			1,289,752
Interest receivable		1,579			347
Total assets		92,562,034			34,329,609

Liabilities:
Derivative financial instruments, at fair value		–			5,088,808
Interest payable		15,464			895
Total liabilities		15,464			5,089,703
Members’ Capital / Net Assets	$	92,546,570		$	29,239,906

Percentage of Master Fund held by GAIT		2.67	%		11.34	%

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 September 30, 2020:

Description	Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Exchange memberships (cost $9,884,735)
United States (cost $9,884,735)
Financial services (cost $9,884,735)			$	6,452,753			6.97	%
Total exchange memberships			$	6,452,753			6.97	%

Derivative financial instruments
Long contracts
Futures
Commodity				(931,656	)		(1.00	)%
Foreign bond				911,965			0.99	%
Foreign index				427,578			0.46	%
Interest rate				(97,874	)		(0.11	)%
U.S. bond
U.S. 10yr Ultra bond December 2020		151		(52,891	)		(0.06	)%
U.S. long bond December 2020		176		(155,156	)		(0.17	)%
U.S. index				3,111,515			3.36	%
Total futures				3,213,481			3.47	%

Forwards
Foreign currency				7,310,869			7.90	%
Total forwards				7,310,869			7.90	%

Options (cost $71,262,578)
Commodity futures				4,446,645			4.80	%
Currency futures
Chinese yuan / Taiwan dollar December 2020 - February 2021, $4.18 - $4.35 Call		12		4,639,914			5.01	%
Euro / U.S. dollar October 2020 - January 2021, $1.15 - $1.29 Call		34		10,443,265			11.29	%
Euro / U.S. dollar October 2020, $1.12 Put		1		104			0.00	%
Other currency futures				6,555,079			7.08	%
Interest rate futures				5,174,019			5.59	%
U.S. bond futures
U.S. 10yr December 2020, $140.00 - $142.00 Call		2		5,518,500			5.96	%
U.S. index futures
S&P 500 E-mini October 2020 - March 2021, $3,400.00 - $4,000.00 Call		2		5,995,185			6.48	%
S&P 500 E-mini March 2021, $2,000.00 Put		1		1,122,255			1.21	%
Total options				43,894,966			47.42	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2020:

Description	Number of Contracts / Notional Amounts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	(386,643	)		(0.42	)%
Foreign bond					(10,064	)		(0.01	)%
Foreign index					574,783			0.62	%
Interest rate					(757,925	)		(0.82	)%
U.S. bond
U.S. Ultra bond December 2020		(515	)		183,500			0.20	%
U.S. index
S&P 500 E-mini December 2020		(692	)		(144,750	)		(0.15	)%
Total futures					(541,099	)		(0.58	)%

Forwards
U.S. dollar / Euro 10/19/2020 - 12/16/2020	EUR	(131,091,627	)		(5,544,720	)		(5.99	)%
Other foreign currency					(1,869,458	)		(2.02	)%
Total forwards					(7,414,178	)		(8.01	)%

Options (proceeds $39,858,143)
Commodity futures					(3,662,680	)		(3.96	)%
Currency futures
Euro / U.S. dollar October 2020 - February 2021, $1.15 - $1.27 Call		(17	)		(7,514,450	)		(8.12	)%
Euro / U.S. dollar October 2020 - February 2021, $1.12 - $1.13 Put		(3	)		(785,785	)		(0.85	)%
Other currency futures					(2,443,860	)		(2.64	)%
Interest rate futures					(4,199,026	)		(4.53	)%
U.S. bond futures
U.S. 10yr December 2020, $141.00 Call		(1	)		(3,961,781	)		(4.28	)%
U.S. index futures
S&P 500 E-mini October 2020 - March 2021, $3,500.00 - $4,200.00 Call		(2	)		(4,200,720	)		(4.54	)%
S&P 500 E-mini October 2020, $2,700.00 Put		(1	)		(405,000	)		(0.44	)%
Total options					(27,173,302	)		(29.36	)%
Total derivative financial instruments				$	19,290,737			20.84	%

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 September 30, 2020:

Description	Principal / Number of Contracts / Notional Amounts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities owned (cost $15,290,650)
Government bonds (cost $15,290,650)
United States (cost $15,290,650)
Treasury Bonds (cost $15,290,650)
U.S. Treasury bond 0.00% due 01/07/2021	$	15,300,000	$	15,296,199			52.31	%
Total United States				15,296,199			52.31	%
Total government bonds				15,296,199			52.31	%
Total fixed income securities owned			$	15,296,199			52.31	%

Exchange memberships (cost $1,902,973)
United States (cost $1,902,973)
Financial services (cost $1,902,973)			$	1,289,752			4.41	%
Total exchange memberships			$	1,289,752			4.41	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	(1,156,402	)		(3.96	)%
Currency				21,003			0.07	%
Foreign bond				692,168			2.37	%
Foreign index				(427,190	)		(1.46	)%
Interest rate				384,856			1.32	%
U.S. bond				(92,584	)		(0.32	)%
U.S. index				876,110			3.00	%
Total futures				297,961			1.02	%

Forwards
Foreign currency				(2,548,805	)		(8.72	)%
Total forwards				(2,548,805	)		(8.72	)%

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 September 30, 2020:

Description	Number of Contracts / Notional Amounts	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity		$	(2,515,071	)		(8.60	)%
Currency			7,492			0.03	%
Foreign bond			(98,280	)		(0.34	)%
Foreign index			315,334			1.08	%
U.S. bond			(29,348	)		(0.10	)%
Total futures			(2,319,873	)		(7.93	)%

Forwards
Foreign currency			(518,091	)		(1.77	)%
Total forwards			(518,091	)		(1.77	)%
Total derivative financial instruments		$	(5,088,808	)		(17.40	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of September 30, 2020:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	932,506		$	1,289,469
Commodity futures options		4,446,645			–
Currency futures		–			34,998
Exchange memberships		6,452,753			1,289,752
Foreign bond futures		1,038,953			699,934
Foreign index futures		1,538,279			631,270
Interest rate futures		186,565			384,856
Interest rate futures options		5,174,018			–
U.S. bond futures		183,500			54,012
U.S. bond futures options		5,518,500			–
U.S. index futures		3,463,353			876,110
U.S. index futures options		7,117,440			–
Total Level 1		36,052,512			5,260,401

Level 2:
Foreign currency forwards		14,453,850			447,532
Foreign currency futures options		21,638,363			–
Government bonds*		–			15,296,199
Total Level 2		36,092,213			15,743,731
Total investment related assets	$	72,144,725		$	21,004,132

Liabilities
Level 1:
Commodity futures	$	(2,250,805	)	$	(4,960,942	)
Commodity futures options		(3,662,680	)		–
Currency futures		–			(6,503	)
Foreign bond futures		(137,052	)		(106,046	)
Foreign index futures		(535,918	)		(743,126	)
Interest rate futures		(1,042,364	)		–
Interest rate futures options		(4,199,025	)		–
U.S. bond futures		(208,047	)		(175,944	)
U.S. bond futures options		(3,961,781	)		–
U.S. index futures		(496,588	)		–
U.S. index futures options		(4,605,720	)		–
Total Level 1		(21,099,980	)		(5,992,561	)

Level 2:
Foreign currency forwards		(14,557,159	)		(3,514,428	)
Foreign currency futures options		(10,744,096	)		–
Total Level 2		(25,301,255	)		(3,514,428	)
Total investment related liabilities	$	(46,401,235	)	$	(9,506,989	)

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

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 nine months ended September 30, 2020. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at September 30, 2020 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	309,300,565		3,947	$	(22,864,484	)		(954	)	$	932,506	$	(2,250,805	)
Options (a)		105,479,925		8,962		(56,593,941	)		(9,509	)		4,446,645		(3,662,680	)
		414,780,490		12,909		(79,458,425	)		(10,463	)		5,379,151		(5,913,485	)

Equity price
Futures		224,174,597		2,623		(240,390,590	)		(3,281	)		5,001,632		(1,032,506	)
Options (a)		74,880,908		6,059		(55,284,075	)		(4,835	)		7,117,440		(4,605,720	)
		299,055,505		8,682		(295,674,665	)		(8,116	)		12,119,072		(5,638,226	)
Foreign currency exchange rate
Forwards		1,083,797,743		N/A		(1,168,184,894	)		N/A			14,453,850		(14,557,159	)
Options (a)		1,094,842,859		71		(853,913,378	)		(54	)		21,638,363		(10,744,096	)
		2,178,640,602		71		(2,022,098,272	)		(54	)		36,092,213		(25,301,255	)

Interest rate
Futures		4,762,284,095		18,046		(1,488,129,024	)		(6,380	)		1,409,018		(1,387,463	)
Options (a)		1,970,152,715		154,783		(2,782,007,765	)		(30,429	)		10,692,518		(8,160,806	)
		6,732,436,810		172,829		(4,270,136,789	)		(36,809	)		12,101,536		(9,548,269	)
Total	$	9,624,913,407		194,491	$	(6,667,368,151	)		(55,442	)	$	65,691,972	$	(46,401,235	)

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham K4D Trading Ltd. based on its average quarterly notional amounts and number of contracts for the nine months ended September 30, 2020. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at September 30, 2020 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	63,811,579		752	$	(77,847,272	)		(1,956	)	$	1,289,469	$	(4,960,942	)
		63,811,579		752		(77,847,272	)		(1,956	)		1,289,469		(4,960,942	)

Equity price
Futures		99,554,777		887		(16,134,732	)		(191	)		1,507,380		(743,126	)
		99,554,777		887		(16,134,732	)		(191	)		1,507,380		(743,126	)
Foreign currency exchange rate
Forwards		190,437,417		N/A		(180,046,439	)		N/A			447,532		(3,514,428	)
Futures		2,712,549		26		(2,714,167	)		(29	)		34,998		(6,503	)
		193,149,966		26		(182,760,606	)		(29	)		482,530		(3,520,931	)

Interest rate
Futures		866,702,900		4,627		(129,112,699	)		(612	)		1,138,802		(281,990	)
		866,702,900		4,627		(129,112,699	)		(612	)		1,138,802		(281,990	)
Total	$	1,223,219,222		6,292	$	(405,855,309	)		(2,788	)	$	4,418,181	$	(9,506,989	)

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 September 30, 2020 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and derivative liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

Description	Gross Amount			Gross Amount Offset in the Statements of Financial Condition			Net Amount Presented in the Statements of Financial Condition			Collateral (Received) / Pledged		Net Amount
Graham Commodity Strategies LLC¹
Derivative assets	$	65,691,972		$	(46,401,235	)	$	19,290,737		$	–	$	19,290,737
Derivative liabilities		(46,401,235	)		46,401,235			–			–		–

Graham K4D Trading Ltd.²
Derivative assets	$	4,418,181		$	(4,418,181	)	$	–		$	–	$	–
Derivative liabilities		(9,506,989	)		4,418,181			(5,088,808	)		5,088,808		–

¹Net derivative asset and liability amounts presented in the statements of financial condition are held with three counterparties. At September 30, 2020, additional collateral pledged in the amount of $66,647,328 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

²Net derivative asset and liability amounts presented in the statements of financial condition are held with two counterparties. At September 30, 2020, additional collateral pledged in the amount of $12,654,503 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3.	Investments in Master Funds (continued)

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

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment (loss) income	$	(29,038	)	$	8,494

Net realized gain on investments		143,227,155			14,438,755
Net decrease in unrealized appreciation on investments		(11,466,402	)		(7,128,704	)
Brokerage commissions and fees		(1,321,901	)		(43,396	)
Net gain on investments		130,438,852			7,266,655
Net income	$	130,409,814		$	7,275,149

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

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment income	$	384,871		$	284,107

Net realized gain (loss) on investments		380,652,858			(21,152,402	)
Net (decrease) increase in unrealized appreciation on investments		(13,409,220	)		12,729
Brokerage commissions and fees		(7,193,271	)		(170,012	)
Net gain (loss) on investments		360,050,367			(21,309,685	)
Net income (loss)	$	360,435,238		$	(21,025,578	)

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 financial instruments held by the Master Funds reported in net realized gain and net decrease in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended September 30, 2020:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	26,621,796		$	3,207,585
Options		(4,793,514	)		–
		21,828,282			3,207,585
Equity price
Equities		125,618			(59,970	)
Futures		47,845,536			5,579,032
Options		1,946,153			–
		49,917,307			5,519,062
Foreign currency exchange rate
Forwards		55,642,266			(1,363,587	)
Futures		–			78,644
Options		3,665,096			–
		59,307,362			(1,284,943	)
Interest rate
Fixed income securities		–			(10,584	)
Futures		1,236,867			(121,069	)
Options		(529,065	)		–
		707,802			(131,653	)
Total	$	131,760,753		$	7,310,051

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3.	Investments in Master Funds (continued)

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	80,761,561		$	10,173,235
Options		624,249			–
		81,385,810			10,173,235
Equity price
Equities		(1,084,282	)		(17,970	)
Futures		115,194,212			(57,466,301	)
Options		(16,701,485	)		–
		97,408,445			(57,484,271	)
Foreign currency exchange rate
Forwards		105,610,650			(11,528,466	)
Futures		(13,804	)		(139,697	)
Options		(20,785,553	)		–
		84,811,293			(11,668,163	)
Interest rate
Fixed income securities		–			18,082
Futures		92,220,289			37,821,444
Options		11,674,838			–
Swaps		(257,037	)		–
		103,638,090			37,839,526
Total	$	367,243,638		$	(21,139,673	)

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, 2019:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $34,872,355)	$	–		$	35,296,686
Due from brokers		129,280,189			18,550,998
Derivative financial instruments, at fair value		18,431,371			–
Exchange memberships, at fair value		6,211,100			433,250
Interest receivable		65,045			223,901
Dividends receivable		52,500			–
Total assets		154,040,205			54,504,835

Liabilities:
Derivative financial instruments, at fair value		–			5,607,980
Interest payable		11,220			6,615
Total liabilities		11,220			5,614,595
Members’ Capital / Net Assets	$	154,028,985		$	48,890,240

Percentage of Master Fund held by GAIT		2.41	%		7.23	%

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, 2019:

Description	Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Exchange memberships (cost $2,146,960)
United States (cost $2,146,960)
Financial services (cost $2,146,960)			$	6,211,100			4.03	%
Total exchange memberships			$	6,211,100			4.03	%

Derivative financial instruments
Long contracts
Futures
Commodity
Gold 100 Oz. February 2020		1,326	$	4,984,390			3.24	%
Other commodity				2,909,894			1.89	%
Currency				11,053			0.01	%
Foreign bond				(1,350,205	)		(0.88	)%
Foreign index				(560,883	)		(0.36	)%
Interest rate				(1,463,850	)		(0.96	)%
U.S. bond				2,649,266			1.72	%
U.S. index				705,547			0.46	%
Total futures				7,885,212			5.12	%

Forwards
Taiwan dollar / U.S. dollar 01/02/2020 – 03/18/2020	TWD	31,715,871,614		14,298,690			9.28	%
Other foreign currency				17,331,749			11.26	%
Total forwards				31,630,439			20.54	%

Options (cost $47,570,776)
Commodity futures
Gold February 2020 - April 2020, $1,550.00 – $1,650.00 Call		2		6,007,490			3.90	%
Other commodity				373,430			0.24	%
Currency futures
U.S. dollar / Taiwan dollar February 2020, $33.00 Call		1		2			0.00	%
Other currency futures				19,948,850			12.97	%
Foreign bond futures				915,343			0.59	%
Interest rate futures				(337,798	)		(0.22	)%
U.S. bond futures				839,267			0.54	%
U.S. index futures				1,946,160			1.26	%
Total options				29,692,744			19.28	%

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, 2019:

Description	Number of Contracts / Notional Amounts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	150			0.00	%
Currency					54			0.00	%
Foreign bond					857,428			0.56	%
Foreign index					216,165			0.14	%
Interest rate					(419,994	)		(0.27	)%
U.S. bond					1,703,860			1.10	%
U.S. index					239,200			0.16	%
Total futures					2,596,863			1.69	%

Forwards
U.S. dollar / Taiwan dollar 02/05/2020	TWD	(8,048,818,557	)		(8,431,977	)		(5.47	)%
U.S. dollar / Taiwan dollar 01/02/2020 – 03/18/2020	TWD	(25,995,417,072	)		(15,787,940	)		(10.25	)%
Other foreign currency					(19,091,770	)		(12.40	)%
Total forwards					(43,311,687	)		(28.12	)%

Options (proceeds $20,452,912)
Commodity futures
Gold April 2020, $1,750.00 – $1,900.00 Call	(2		)		(1,181,900	)		(0.77	)%
Other commodity futures					(138,510	)		(0.09	)%
Currency futures					(5,260,260	)		(3.42	)%
Foreign bond futures					(515,648	)		(0.33	)%
Interest rate futures					(439,272	)		(0.29	)%
U.S. bond futures					(368,875	)		(0.24	)%
U.S. index futures					(2,157,735	)		(1.40	)%
Total options					(10,062,200	)		(6.54	)%
Total derivative financial instruments				$	18,431,371			11.97	%

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, 2019:

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities owned (cost $34,872,355)
Government bonds (cost $34,872,355)
United States (cost $34,872,355)
Treasury bonds (cost $31,087,793)
U.S. Treasury bond 1.38% due 01/15/2020	$	31,500,000	$	31,498,770			64.43	%
Total Treasury Bonds				31,498,770			64.43	%

Treasury bills (cost $3,784,562)
U.S. Treasury bills 0.00% due 01/16/2020	$	3,800,000		3,797,916			7.77	%
Total Treasury bills				3,797,916			7.77	%
Total United States				35,296,686			72.20	%
Total government bonds				35,296,686			72.20	%
Total fixed income securities owned			$	35,296,686			72.20	%

Exchange memberships (cost $1,051,100)
United States (cost $1,051,100)
Financial services (cost $1,051,100)			$	433,250			0.89	%
Total exchange memberships			$	433,250			0.89	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	3,318,844			6.78	%
Currency				14,595			0.03	%
Foreign bond				(2,634,458	)		(5.39	)%
Foreign index				380,112			0.78	%
Interest rate				27,104			0.06	%
U.S. bond
U.S. 2 yr – 10 yr note March 2020		2,090		(1,390,733	)		(2.84	)%
U.S. long bond March 2020		516		(1,382,658	)		(2.83	)%
U.S. index				531,446			1.09	%
Total futures				(1,135,748	)		(2.32	)%

Forwards
Foreign currency				1,590,436			3.25	%
Total forwards				1,590,436			3.25	%

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, 2019:

Description	Principal Amount / Number of Contracts	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity		$	(3,239,514	)		(6.62	)%
Currency			(30,159	)		(0.06	)%
Foreign bond			1,896,129			3.88	%
Foreign index			16,525			0.03	%
Interest rate			12,120			0.02	%
U.S. index			(650,009	)		(1.33	)%
Total futures			(1,994,908	)		(4.08	)%

Forwards
Foreign currency			(4,067,760	)		(8.32	)%
Total forwards			(4,067,760	)		(8.32	)%
Total derivative financial instruments		$	(5,607,980	)		(11.47	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3.	Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2019:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	8,202,787		$	4,548,612
Commodity futures options		6,380,920			–
Currency futures		11,107			73,472
Exchange memberships		6,211,100			433,250
Foreign bond futures		857,428			1,943,300
Foreign bond futures options		915,343			–
Foreign index futures		806,271			983,149
Interest rate futures		86,329			74,409
Interest rate futures options		4,525,823			–
U.S. bond futures		5,547,173			2,347
U.S. bond future options		839,267			–
U.S. index futures		1,609,698			552,136
U.S. index futures options		1,946,160			–
Total Level 1		37,939,406			8,610,675

Level 2:
Foreign currency forwards		32,356,429			1,609,343
Foreign currency options		19,948,852			–
Government bonds*		–			35,296,686
Total Level 2		52,305,281			36,906,029
Total investment related assets	$	90,244,687		$	45,516,704

Liabilities
Level 1:
Commodity futures	$	(308,353	)	$	(4,469,282	)
Commodity futures options		(1,320,410	)		–
Currency futures		–			(89,036	)
Foreign bond futures		(1,350,205	)		(2,681,629	)
Foreign bond futures options		(515,648	)		–
Foreign index futures		(1,150,989	)		(586,512	)
Interest rate futures		(1,970,173	)		(35,185	)
Interest rate futures options		(5,302,893	)		–
U.S. bond futures		(1,194,047	)		(2,775,738	)
U.S. bond future options		(368,875	)		–
U.S. index futures		(664,951	)		(670,699	)
U.S. index futures options		(2,157,735	)		–
Total Level 1		(16,304,279	)		(11,308,081	)

Level 2:
Foreign currency forwards		(44,037,677	)		(4,086,667	)
Foreign currency options		(5,260,260	)		–
Total Level 2		(49,297,937	)		(4,086,667	)
Total investment related liabilities	$	(65,602,216	)	$	(15,394,748	)

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

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, 2019. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at December 31, 2019 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	$	313,741,559		3,397	$	(30,152,749	)		(549	)	$	8,202,787	$	(308,353	)
Options (a)		200,027,267		5,972		(128,937,374	)		(5,645	)		6,380,920		(1,320,410	)
		513,768,826		9,369		(159,090,123	)		(6,194	)		14,583,707		(1,628,763	)
Equity price
Futures		297,466,626		2,785		(147,992,807	)		(1,505	)		2,415,969		(1,815,940	)
Options (a)		112,874,233		3,043		(70,088,951	)		(6,420	)		1,946,160		(2,157,735	)
		410,340,859		5,828		(218,081,758	)		(7,925	)		4,362,129		(3,973,675	)
Foreign currency exchange rate
Forwards		8,819,006,482		N/A		(3,422,599,977	)		N/A			32,356,429		(44,037,677	)
Futures		1,764,474		17		(1,132,569	)		(13	)		11,107		–
Options (a)		1,096,647,293		60		(1,210,201,282	)		(51	)		19,948,852		(5,260,260	)
		9,917,418,249		77		(4,633,933,828	)		(64	)		52,316,388		(49,297,937	)
Interest rate
Futures		14,635,375,167		57,069		(6,634,714,049	)		(30,450	)		6,490,930		(4,514,425	)
Options (a)		6,863,224,095		310,134		(4,118,997,465	)		(225,245	)		6,280,433		(6,187,416	)
		21,498,599,262		367,203		(10,753,711,514	)		(255,695	)		12,771,363		(10,701,841	)
Total	$	32,340,127,196		382,477	$	(15,764,817,223	)		(269,878	)	$	84,033,587	$	(65,602,216	)

(a)

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3.	Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham K4D Trading Ltd. based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2019. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at December 31, 2019 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	$	161,257,969		1,889	$	(195,309,082	)		(4,220	)	$	4,548,612	$	(4,469,282	)
		161,257,969		1,889		(195,309,082	)		(4,220	)		4,548,612		(4,469,282	)

Equity price
Futures		519,198,139		5,371		(29,874,004	)		(284	)		1,535,285		(1,257,211	)
		519,198,139		5,371		(29,874,004	)		(284	)		1,535,285		(1,257,211	)

Foreign currency exchange rate
Forwards		220,150,774		N/A		(639,550,041	)		N/A			1,609,343		(4,086,667	)
Futures		16,316,430		172		(11,935,977	)		(116	)		73,472		(89,036	)
		236,467,204		172		(651,486,018	)		(116	)		1,682,815		(4,175,703	)

Interest rate
Futures		2,146,985,600		11,917		(271,028,601	)		(1,663	)		2,020,056		(5,492,552	)
		2,146,985,600		11,917		(271,028,601	)		(1,663	)		2,020,056		(5,492,552	)
Total	$	3,063,908,912		19,349	$	(1,147,697,705	)		(6,283	)	$	9,786,768	$	(15,394,748	)

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, 2019 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	$	84,033,587		$	(65,602,216	)	$	18,431,371		$	–	$	18,431,371
Derivative liabilities		(65,602,216	)		65,602,216			–			–		–

Graham K4D Trading Ltd.²
Derivative assets	$	9,786,768		$	(9,786,768	)	$	–		$	–	$	–
Derivative liabilities		(15,394,748	)		9,786,768			(5,607,980	)		5,607,980		–

¹Net derivative asset amounts presented in the statement of financial condition are held with four counterparties. At December 31, 2019, additional collateral pledged in the amount of $129,211,939 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

²Net derivative liability amounts presented in the statement of financial condition are held with two counterparties. The Fund has pledged collateral to both of those counterparties as of December 31, 2019. At December 31, 2019, additional collateral pledged in the amount of $12,943,018 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3.	Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended September 30, 2019:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment income	$	372,292		$	200,436

Net realized gain on investments		91,288,839			57,612,556
Net decrease in unrealized appreciation on investments		(35,180,589	)		(19,316,972	)
Brokerage commissions and fees		(4,210,945	)		(101,863	)
Net gain on investments		51,897,305			38,193,721
Net income	$	52,269,597		$	38,394,157

The following table summarizes the results of operations of each Master Fund for the nine months ended September 30, 2019:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment income	$	1,281,301		$	659,930

Net realized gain on investments		148,812,821			77,214,124
Net (decrease) increase in unrealized appreciation on investments		(36,393,948	)		5,561,738
Brokerage commissions and fees		(12,718,098	)		(346,364	)
Net gain on investments		99,700,775			82,429,498
Net income	$	100,982,076		$	83,089,428

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3.	Investments in Master Funds (continued)

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	19,473,321		$	(5,318,152	)
Options		4,420,347			-
		23,893,668			(5,318,152	)
Equity price
Equities		561,900			(65,750	)
Futures		17,324,869			12,840,006
Options		(1,344,915	)		-
		16,541,854			12,774,256
Foreign currency exchange rate
Forwards		32,672,955			15,215,088
Futures		(52,501	)		946,691
Options		(22,151,472	)		-
		10,468,982			16,161,779
Interest rate
Fixed income securities		-			71,982
Futures		21,266,142			14,605,719
Options		(16,062,396	)		-
		5,203,746			14,677,701
Total	$	56,108,250		$	38,295,584

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 financial 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 nine months ended September 30, 2019:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	34,095,503		$	(34,710,115	)
Options		5,106,892			-
		39,202,395			(34,710,115	)
Equity price
Equities		741,600			(150,250	)
Futures		26,252,521			37,721,909
Options		904,890			-
		27,899,011			37,571,659
Foreign currency exchange rate
Forwards		45,971,846			9,888,840
Futures		(148,941	)		1,128,368
Options		(43,138,591	)		-
		2,684,314			11,017,208
Interest rate
Fixed income securities		-			364,834
Futures		35,470,016			68,532,276
Options		7,163,137			-
		42,633,153			68,897,110
Total	$	112,418,873		$	82,775,862

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4.	Graham Cash Assets LLC

GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005 and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. Federal government which generally range in maturity from one to thirty months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT’s investment in Cash Assets at September 30, 2020 and December 31, 2019 is $53,762,743 and $48,977,607 which represents a percentage of GAIT’s Members’ Capital of 91.66% and 88.19%, respectively.

GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three and nine months ended September 30, 2020, the total amount recognized by GAIT with respect to its investment in Cash Assets was $117,948 and $492,103, respectively. For the three and nine months ended September 30, 2019, the total amount recognized by GAIT with respect to its investment in Cash Assets was $274,254 and $808,632, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At September 30, 2020 and December 31, 2019, GAIT owned approximately 0.96% and 0.83%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of September 30, 2020 and December 31, 2019:

	September 30, 2020		December 31, 2019
Assets:
Cash and cash equivalents	$	630,249,714	$	552,689,299
Investments in fixed income securities (amortized cost $5,077,782,984 and $5,318,988,355, respectively)		5,077,782,984		5,318,988,355
Interest receivable		10,745,330		17,960,353
Total assets		5,718,778,028		5,889,638,007

Liabilities:
Due to broker		99,949,192		-
Accrued bank fee expense		-		17,000
Total liabilities		99,949,192		17,000

Members’ capital	$	5,618,828,836	$	5,889,621,007

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 nine months ended September 30, 2020 and 2019:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Net gain on investments
Net realized gain on investments	$	-		-	$	2,283,203		-
Net gain on investments		-		-		2,283,203		-

Investment income
Interest income		12,176,181		27,890,220		53,360,250		74,162,722
Total investment income		12,176,181		27,890,220		53,360,250		74,162,722

Expenses:
Bank fee expense		32,296		11,503		166,046		57,410
Total expenses		32,296		11,503		166,046		57,410
Net investment income		12,143,885		27,878,717		53,194,204		74,105,312
Net income	$	12,143,885	$	27,878,717	$	55,477,407	$	74,105,312

The following represents the condensed schedule of investments of Cash Assets as of September 30, 2020:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $5,077,782,984)
United States
Government Bonds (amortized cost $2,353,578,781)
U.S. Treasury bonds 1.13% – 2.75% due 10/15/2020 – 5/31/2021	$	2,350,000,000	$	2,353,578,781		41.89%
Total Government Bonds				2,353,578,781		41.89%

Treasury Bills (amortized cost $2,724,204,203)
U.S. Treasury bills 0.00% due 10/06/2020 – 4/22/2021		2,725,000,000		2,724,204,203		48.48%
Total Treasury Bills				2,724,204,203		48.48%
Total United States				5,077,782,984		90.37%
Total Investments in Fixed Income Securities			$	5,077,782,984		90.37%

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, 2019:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $5,318,988,355)
United States
Government Bonds (amortized cost $5,069,101,450)
U.S. Treasury bonds 1.13% – 2.75% due 01/15/2020 – 03/31/2021	$	5,075,000,000	$	5,069,101,450		86.07%
Total Government Bonds				5,069,101,450		86.07%

Treasury Bills (amortized cost $249,886,905)
U.S. Treasury bills 0.00% 01/07/2020 – 01/14/2020		250,000,000		249,886,905		4.24%
Total Treasury Bills				249,886,905		4.24%
Total United States				5,318,988,355		90.31%
Total Investments in Fixed Income Securities			$	5,318,988,355		90.31%

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of September 30, 2020 and December 31, 2019:

	September 30, 2020		December 31, 2019
Assets
Level 2:
Fixed income securities
Government bonds	$	2,353,578,781	$	5,069,101,450
Treasury bills		2,724,204,203		249,886,905
Total fixed income securities		5,077,782,984		5,318,988,355
Total Level 2		5,077,782,984		5,318,988,355
Total assets	$	5,077,782,984	$	5,318,988,355

5.	Capital Accounts

GAIT offers Class 0 Units and Class 2 Units (collectively, the “Units”). GAIT may issue additional classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager. GAIT also has Management Units (“Class M units”) which are solely for the investment of the Manager.

A separate capital account is maintained for each member with respect to each Class of Units held by such member. The initial balance of each Members’ Capital account is equal to the initial contribution to GAIT with respect to the Class to which such capital account relates. Each Members’ Capital Account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of GAIT are allocated among the capital accounts of the members in proportion to the balance that each capital account bears to the balance of all capital accounts as of the beginning of such fiscal period.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

5.	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. 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 nine months ended September 30, 2020 and 2019 were $628,085 and $648,406, 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 nine months ended September 30, 2020 and 2019 were $335,013 and $345,837, respectively.

Class 0	Class 2
0.50%	1.25%

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 nine months ended September 30, 2020 and 2019 was $623,182 and $187, 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 nine months ended September 30, 2020 and 2019, 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 $55,449 and $58,085, respectively.

7.	Income Taxes

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. GAIT identifies its major tax jurisdictions as the U.S. for Federal tax purposes and Connecticut for state tax purposes. The Manager has evaluated GAIT’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2017 through 2019 or expected to be taken in GAIT’s 2020 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. 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 nine months ended September 30, 2020 and 2019.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8.	Financial Highlights

The following is the per Unit operating performance calculation for the three months ended September 30, 2020 and 2019:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, June 30, 2019	$	142.21		$	101.74
Net income:
Net investment loss		(0.45	)		(0.53	)
Net gain on investments		10.04			7.17
Net income		9.59			6.64
Net asset value per Unit, September 30, 2019	$	151.80		$	108.38

Net asset value per Unit, June 30, 2020	$	159.54		$	113.78
Net income:
Net investment loss		(2.90	)		(1.13	)
Net gain on investments		11.05			7.91
Net income		8.15			6.78
Net asset value per Unit, September 30, 2020	$	167.69		$	120.56

The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the three months ended September 30, 2020 and 2019:

	Class 0				Class 2
	2020		2019		2020		2019

Total return before Incentive Allocation	6.33	%	6.74	%	6.19	%	6.53	%
Incentive Allocation	(1.22	)	(0.00	)	(0.23	)	0.00
Total return after Incentive Allocation	5.11	%	6.74	%	5.96	%	6.53	%

Net investment loss before Incentive Allocation	(0.52	)%	(0.30	)%	(0.71	)%	(0.49	)%
Incentive Allocation	(1.22	)	(0.00	)	(0.23	)	0.00
Net investment loss after Incentive Allocation	(1.74	)%	(0.30	)%	(0.94	)%	(0.49	)%

Total expenses before Incentive Allocation	0.72	%	0.81	%	0.92	%	1.01	%
Incentive Allocation	1.22		0.00		0.23		0.00
Total expenses after Incentive Allocation	1.94	%	0.81	%	1.15	%	1.01	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8.	Financial Highlights (continued)

The following is the per Unit operating performance calculation for the nine months ended September 30, 2020 and 2019:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2018	$	133.70		$	96.01
Net income:
Net investment loss		(0.86	)		(1.19	)
Net gain on investments		18.96			13.56
Net income		18.10			12.37
Net asset value per Unit, September 30, 2019	$	151.80		$	108.38

Net asset value per Unit, December 31, 2019	$	152.04		$	108.35
Net income:
Net investment loss		(4.46	)		(2.14	)
Net gain on investments		20.11			14.35
Net income		15.65			12.21
Net asset value per Unit, September 30, 2020	$	167.69		$	120.56

The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the nine months ended September 30, 2020 and 2019:

	Class 0				Class 2
	2020		2019		2020		2019

Total return before Incentive Allocation	12.01	%	13.54	%	11.51	%	12.88	%
Incentive Allocation	(1.72	)	(0.00	)	(0.24	)	0.00
Total return after Incentive Allocation	10.29	%	13.54	%	11.27	%	12.88	%

Net investment loss before Incentive Allocation	(1.08	)%	(0.61	)%	(1.64	)%	(1.18	)%
Incentive Allocation	(1.72	)	(0.00	)	(0.24	)	0.00
Net investment loss after Incentive Allocation	(2.80	)%	(0.61	)%	(1.88	)%	(1.18	)%

Total expenses before Incentive Allocation	2.00	%	2.14	%	2.57	%	2.71	%
Incentive Allocation	1.72		0.00		0.24		0.00
Total expenses after Incentive Allocation	3.72	%	2.14	%	2.81	%	2.71	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8.	Financial Highlights (continued)

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total Members’ Capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and net investment loss and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of Members’ Capital of GAIT, excluding that of the Managing Member, for the three and nine months ended September 30, 2020 and 2019.

9.	Subsequent Events

GAIT had no subscriptions and redemptions of approximately $0.4 million from October 1, 2020 through November 16, 2020, the date through which subsequent events were evaluated by management and the financial statements were available for issuance. These amounts have not been included in the financial statements.

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, 2019 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, 2019 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 30, 2020. This discussion should also be read in conjunction with “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include the Blended Strategies Portfolio of GAIF I, GAIT and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. Federal government, as well as cash and cash equivalents.

For the three months ended September 30, 2020, the Blended Strategies Portfolio’s Members’ Capital increased by $1,164,659 or 4.2%. The net increase in the Blended Strategies Portfolio was attributable to net income of $1,504,162 or 5.4% and offset by redemptions totaling $339,503 or -1.2%, for the period.

For the nine months ended September 30, 2020, the Blended Strategies Portfolio’s Members’ Capital increased by $1,757,642 or 6.5%. The net increase in the Blended Strategies Portfolio was attributable to net income of $2,809,257 or 10.4% and offset by redemptions totaling $1,051,615 or -3.9%, for the period.

For the three months ended September 30, 2019, the Blended Strategies Portfolio’s Members’ Capital increased by $396,438 or 1.4%. The net increase in the Blended Strategies Portfolio was attributable to net income of $1,835,486 or 6.7% offset by redemptions totaling $1,439,048 or -5.3%, for the period.

For the nine months ended September 30, 2019, the Blended Strategies Portfolio’s Members’ Capital decreased by $3,365,403 or -10.7%. The net decrease in the Blended Strategies Portfolio was attributable to redemptions totaling $7,080,210 or -22.6% offset by net income of $3,514,807 or 11.3% and subscriptions of $200,000 or 0.6%, for the period.

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.

2020 Summary

Three Months Ended September 30, 2020

For the three months ended September 30, 2020, the Blended Strategies Portfolio experienced net trading gains of $1,928,699. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(237,502	)
Base Metals		58,772
Energy		20,022
Equities		922,027
Foreign Exchange		668,954
Long Term / Intermediate Rates		(50,959	)
Precious Metals		539,669
Short Term Rates		(4,053	)
Weather		11,769
	$	1,928,699

The Blended Strategies Portfolio recorded a net gain for the third quarter of 2020. The portfolio recorded profits in equity index futures, primarily from positions in U.S. benchmark indices. The portfolio also recorded gains in currencies, most notably from positions in the euro and, to a lesser extent, the Chinese yuan and Australian dollar, versus the U.S. dollar. In commodities, the portfolio posted profits from positions in precious metals. The portfolio experienced modest losses in U.S. fixed income futures.

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

For the three months ended September 30, 2020, Advisory Fees decreased by $488 or -0.4%, Sponsor Fees decreased by $1,005 or -1.7%, and Administrator’s Fees increased by $25 or 0.3% in the Fund over the corresponding period of the preceding year. The Advisory Fees, Sponsor Fees and Administrator’s Fees are substantially the same when compared to the corresponding period of the prior year. During the same period, interest income decreased by $87,709 or -60.2%. Interest was earned on free cash at an average annualized yield of 0.89% for the three months ended September 30, 2020 compared to 2.09% for the same period in 2019.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2020 and 2019, the Incentive Allocation was $233,979 and $187, respectively. This was the result of a higher net gain before incentive allocation for the three months ended September 30, 2020 compared to the three months ended September 30, 2019.

Index

Nine Months Ended September 30, 2020

For the nine months ended September 30, 2020, the Blended Strategies Portfolio experienced net trading gains of $3,572,920. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(222,542	)
Base Metals		315,803
Energy		(129,792	)
Equities		(964,759	)
Foreign Exchange		515,055
Long Term / Intermediate Rates		1,109,606
Precious Metals		1,496,118
Short Term Rates		1,438,845
Weather		14,586
	$	3,572,920

The Blended Strategies Portfolio recorded a gain for the first three quarters of 2020. The portfolio recorded gains in fixed income futures, primarily from positions across the yield curve in the U.S. The portfolio recorded further gains in commodities, primarily from positions in precious metals with smaller profits in base metals. The portfolio recorded smaller gains in currencies, primarily from positions in the euro and Australian dollar versus the U.S. dollar. In equity index futures, the portfolio experienced losses from positions in European and, to a lesser extent, Asian benchmark indices.

For the nine months ended September 30, 2020, Advisory Fees decreased by $16,952 or -5.1%, Sponsor Fees decreased by $9,045 or -5.1%, and Administrator’s Fees decreased by $2,011 or -6.9% in the Fund over the corresponding period of the preceding year. These decreases are attributable to lower net assets of the portfolio resulting from redemptions and partially offset by net income for the period. During the same period, interest income decreased by $185,555 or -42.1%. Interest was earned on free cash at an average annualized yield of 1.34% for the nine months ended September 30, 2020 compared to 2.06% for the same period in 2019.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2020 and 2019, the Incentive Allocation was $307,558 and $187, respectively. This was the result of a higher net gain before incentive allocation for the nine months ended September 30, 2020 compared to the nine months ended September 30, 2019.

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

Agriculture / Softs	(9.5	)%
Base Metals	1.2	%
Energy	(2.3	)%
Equities	18.6	%
Foreign Exchange	6.9	%
Long Term / Intermediate Rates	7.0	%
Precious Metals	(11.2	)%
Short Term Rates	89.3	%
	100.0	%

Index

2019 Summary

Three Months Ended September 30, 2019

For the three months ended September 30, 2019, the Blended Strategies Portfolio experienced net trading gains of $1,999,879. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(14,782	)
Base Metals		38,710
Energy		(234,850	)
Equities		672,775
Foreign Exchange		703,198
Long Term / Intermediate Rates		785,637
Precious Metals		294,526
Short Term Rates		(245,335	)
	$	1,999,879

The Blended Strategies Portfolio recorded a net gain for the third quarter of 2019. The portfolio recorded gains in fixed income futures, primarily from positions on the long end of the yield curve in the U.S. and Europe. In currencies, the portfolio recorded gains from positions in the euro, Singapore dollar, and British pound sterling versus the U.S. dollar. The portfolio also recorded profits in equity index futures, most notably in Europe with smaller gains in the U.S. In commodities, the portfolio recorded gains in metals and losses in energy.

For the three months ended September 30, 2019, Advisory Fees decreased by $29,961 or -21.2%, Sponsor Fees decreased by $18,391 or -23.3%, and Administrator’s Fees decreased by $2,818 or -22.9% in the Fund over the corresponding period of the preceding year. These decreases are attributable to lower net assets of the portfolio resulting from redemptions and partially offset by net income and subscriptions for the period. During the same period, interest income decreased by $8,242 or -5.4%. Interest was earned on free cash at an average annualized yield of 2.09% for the three months ended September 30, 2019 compared to 1.67% for the same period in 2018.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2019 and 2018, the Incentive Allocation was $187 and $0, respectively.

Nine Months Ended September 30, 2019

For the nine months ended September 30, 2019, the Blended Strategies Portfolio experienced net trading gains of $3,932,358. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(102,795	)
Base Metals		(103,091	)
Energy		(831,736	)
Equities		1,547,472
Foreign Exchange		491,620
Long Term / Intermediate Rates		1,985,185
Precious Metals		455,592
Short Term Rates		490,111
	$	3,932,358

Index

The Blended Strategies Portfolio recorded a net gain for the first three quarters of 2019. The portfolio recorded gains in fixed income futures, primarily from positions across the yield curve in the U.S. with further gains in European, Australian and Canadian bonds. The portfolio also recorded gains in equity index futures, primarily from positions in European benchmark indices with smaller gains in the U.S. and Asia. In currencies, the portfolio recorded profits from positions in the euro and Singapore dollar versus the U.S. dollar. In commodities, gains in metals were more than offset by losses from positions in energy.

For the nine months ended September 30, 2019, Advisory Fees decreased by $116,732 or -26.1%, Sponsor Fees decreased by $73,379 or -29.2%, and Administrator’s Fees decreased by $9,646 or -24.9% in the Fund over the corresponding period of the preceding year. These decreases are attributable to lower net assets of the portfolio resulting from redemptions partially offset by net income and subscriptions for the period. During the same period, interest income decreased by $2,382 or -0.5%. Interest was earned on free cash at an average annualized yield of 2.06% for the nine months ended September 30, 2019 compared to 1.51% for the same period in 2018.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2019 and 2018, the Incentive Allocation was $187 and $0, respectively.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of September 30, 2019 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	(2.4	)%
Base Metals	3.4	%
Energy	2.3	%
Equities	(1.1	)%
Foreign Exchange	45.4	%
Long Term / Intermediate Rates	(7.2	)%
Precious Metals	(9.4	)%
Short Term Rates	69.0	%
	100.0	%

Variables Affecting Performance

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

Advisory, Sponsor, and 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.

Index

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

(ii)

Liquidity

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

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

	Blended Strategies Portfolio
September 30, 2020	9.94%
December 31, 2019	13.03%
September 30, 2019	14.09%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through September 30, 2020, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

(iii)

Capital Resources

The Fund raises additional capital through the sale of Units and capital is increased through trading profits (if any) and interest income. The Fund may borrow money from brokers or their affiliates and other lenders. Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Fund should not have a significant impact on its operations, as the Fund has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses.

The Fund participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Fund’s brokers may require margin in excess of minimum exchange requirements. The Fund bears the risk of financial failure of the brokers through which it clears trades and maintains margin in respect of any such trades and of its counterparties for its foreign exchange and swap trades with whom it also maintains margin.

(iv)

Critical Accounting Policies

Presentation – Graham Alternative Investment Fund I LLC is a series Limited Liability Company under Delaware law. The financial statements and corresponding footnotes are presented solely for the Blended Strategies Portfolio, except where otherwise noted.

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Use of Estimates – The Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars except where noted. The preparation of the financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 2 of the financial statements.

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

The Fund records its investments in GAIT at fair value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in Master Funds at fair value in accordance with U.S. GAAP. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.

The Master Funds record all their financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized gains and losses from these instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.

Investment 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.

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 open tax years 2017 through 2019 or expected to be taken in the Fund’s 2020 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

(v)

Off-Balance Sheet Arrangements

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

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Item 3.

Quantitative and Qualitative Disclosures about Market Risk

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

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Item 4.

Controls and Procedures

Evaluation of Disclosure Control and Procedures

The 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 September 30, 2020, 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 third quarter of 2020 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None

Item 1A.

Risk Factors

The following risk factors should be read in conjunction with the risk factors disclosed in our 2019 Form 10-K.

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 ongoing outbreak of coronavirus, or the COVID-19 pandemic, in many countries continues to adversely impact global commercial activity and has contributed to significant volatility in financial markets and has adversely affected the global economy. The outbreak of the COVID-19 pandemic and any continuing increase in volatility or economic downturn may have a material adverse impact on Fund’s operations.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

For the three months ended September 30, 2020, the Fund issued no Units with respect to the Blended Strategies Portfolio.

Issuer Purchases of Units

Date	(a) Total Number of Units Purchased¹	(b) Average Price Paid per Unit	(c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs	(d) Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs
July 1 - July 31, 2020	866.230	$ 120.44	N/A	N/A
August 1 - August 31, 2020	1,698.725	$ 123.14	N/A	N/A
September 1 - September 30, 2020	215.664	$ 120.56	N/A	N/A
TOTAL	2,780.619	$ 122.10	N/A	N/A

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

Item 3.

Defaults Upon Senior Securities – None

Item 4.

Mine Safety Disclosures – None

Item 5.

Other Information – None

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Item 6.

Exhibits

* 3.1	Certificate of Formation of Graham Alternative Investment Fund I LLC
** 3.1(a)	Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
** 3.2	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC
*** 31.1	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
*** 31.2	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
*** 32.1	Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer)
*** 101.INS	XBRL Instance Document
*** 101.SCH	XBRL Taxonomy Extension Schema
*** 101.CAL	XBRL Taxonomy Extension Calculation Linkbase
*** 101.DEF	XBRL Taxonomy Extension Definition Linkbase
*** 101.LAB	XBRL Taxonomy Extension Label Linkbase
*** 101.PRE	XBRL Taxonomy Extension Presentation Linkbase

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

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

***

Filed herewith

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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: November 16, 2020	GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
	BLENDED STRATEGIES PORTFOLIO

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

	By:	/s/ Brian Douglas
		Brian Douglas, Principal Executive Officer

	By:	/s/ George Schrade
		George Schrade, Principal Financial Officer

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC - FORM 10-Q - November 16, 2020

Attached files

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC Reports