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, 2024

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

For the transition period from          to          
Commission File Number 0-53965

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

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

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

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

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

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

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

Yes ☒  No ☐

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

Yes ☒  No ☐

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

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

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

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

Yes   No ☒

As of November 1, 2024, 161,696.545 Units of the Core Macro Portfolio were outstanding.



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

INDEX

   
Page
Number
       
PART I - Financial Information:
 
       
 
Item 1.
Financial Statements:
 
       
   
Graham Alternative Investment Fund I LLC Core Macro Portfolio
 
       
   
1
       
   
2
       
   
3
       
   
5
       
   
6
       
   
Graham Alternative Investment Trading LLC
 
       
   
15
       
   
16
       
   
17
       
   
18
       
   
21
       
   
22
       
 
Item 2.
69
       
 
Item 3.
77
       
 
Item 4.
78


PART II - Other Information
79
   
 
Item 1.
 
   
 
Item 1A.

   
 
Item 2.

   
 
Item 3.

   
 
Item 4.

   
 
Item 5.

 
 
Item 6.
80
       
 
Certification
 
 
Certification
 
 
Certification
 


PART I

Item 1.
Financial Statements

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Statements of Financial Condition

   
September 30, 2024
(Unaudited)
   
December 31, 2023
(Audited)
 
Assets
           
Investment in Graham Alternative Investment Trading LLC, at fair value
 
$
28,086,428
   
$
28,558,890
 
Cash and cash equivalents
    930,000       80,000  
    Redemptions receivable from Graham Alternative Investment Trading LLC
    118,226       72,434  
Total assets
 
$
29,134,654
   
$
28,711,324
 
                 
Liabilities and members’ capital
               
Liabilities:
               
Subscriptions received in advance
  $ 930,000     $ 80,000  
Redemptions payable
 
118,226
   

72,434
 
Total liabilities
   
1,048,226
     
152,434
 
                 
Members’ capital:
               
Class 0 Units (73,426.668 and 73,902.569 units issued and outstanding at $230.62 and $224.32, respectively)
   
16,933,369
     
16,577,918
 
Class 2 Units (58,924.164 and 75,735.249 units issued and outstanding at $161.84 and $158.20, respectively)
   
9,536,000
     
11,980,972
 
Class 3-A Units (4,142.221 and no units issued and outstanding at $95.68 and $ , respectively)
    396,343        
Class 3-B Units (12,977.989 and no units issued and outstanding at $94.06 and $ , respectively)
    1,220,716        
Total members’ capital
   
28,086,428
     
28,558,890
 
Total liabilities and members’ capital
 
$
29,134,654
   
$
28,711,324
 

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

1

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Unaudited Statements of Operations

   
Three Months Ended
September 30,
   
Nine Months Ended
September 30,
 
   
2024
   
2023
   
2024
   
2023
 
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC:
                       
Net realized (loss) gain on investment
 
$
(1,498,300
)
 
$
2,447,533
   
$
(58,631
)
 
$
2,619,645
 
Net increase (decrease) in unrealized appreciation on investment
   
54,284
     
(200,193
)
   
751,825
     
(449,035
)
    Brokerage commissions and fees
   
(19,915
)
   
(17,643
)
   
(55,177
)
   
(58,302
)
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC
   
(1,463,931
)
   
2,229,697
     
638,017
     
2,112,308
 
                                 
Net investment income (loss) allocated from investment in Graham Alternative Investment Trading LLC:
                               
Investment income:
                               
Interest income
   
294,386
     
325,188
     
989,197
     
755,708
 
                                 
Expenses:
                               
Advisory fees
   
107,454
     
114,334
     
325,089
     
328,766
 
Sponsor fees
   
52,292
     
63,216
     
167,016
     
183,473
 
Professional fees
   
28,489
     
47,782
     
132,284
     
121,167
 
Administrator’s fee
   
8,737
     
9,622
     
26,749
     
27,862
 
Operating expenses
    4,374       4,437       13,711       13,710  
Interest expense
   
1,584
     
1,581
     
4,837
     
4,883
 
Incentive allocation
          301,888       141,677       302,450  
Total expenses
   
202,930
     
542,860
     
811,363
     
982,311
 
Net investment income (loss) allocated from investment in Graham Alternative Investment Trading LLC
   
91,456
     
(217,672
)
   
177,834
     
(226,603
)
Net (loss) income
 
$
(1,372,475
)
 
$
2,012,025
   
$
815,851
   
$
1,885,705
 

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

2

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Unaudited Statements of Changes in Members’ Capital

For the Three and Nine Months Ended September 30, 2024


   
Class 0 Units
   
Class 2 Units
   
Class 3-A Units
   
Class 3-B Units
       
   
Units
   
Capital
   
Units
   
Capital
   
Units
   
Capital
   
Units
   
Capital
   
Total Members’
Capital
 
                                                       
Members’ capital, December 31, 2023
   
73,902.569
   
$
16,577,918
     
75,735.249
   
$
11,980,972
     
   
$
     
   
$
   
$
28,558,890
 
Subscriptions
   
1,010.592
     
232,000
     
     
     
     
     
     
     
232,000
 
Redemptions
   
(908.462
)
   
(217,432
)
   
(9,677.273
)
   
(1,610,799
)
   
     
     
     
     
(1,828,231
)
Net income
   
     
1,488,081
     
     
998,049
     
     
     
     
     
2,486,130
 
Members’ capital, March 31, 2024
   
74,004.699
     
18,080,567
     
66,057.976
     
11,368,222
     
     
     
     
     
29,448,789
 
Initial subscription, May 1 ,2024
   
     
     
     
     
     
     
750.000
     
75,000
     
75,000
 
Initial subscription, June 1 ,2024
   
     
     
     
     
750.000
     
75,000
     
     
     
75,000
 
Subscriptions
   
309.264
     
75,000
     
292.548
     
50,000
     
     
     
914.527
     
90,000
     
215,000
 
Redemptions
   
(1,568.840
)
   
(382,552
)
   
(6,960.262
)
   
(1,198,936
)
   
     
     
     
     
(1,581,488
)
Net (loss) income
   
     
(177,691
)
   
     
(119,496
)
   
     
172
     
     
(789
)
   
(297,804
)
Members’ capital, June 30, 2024
   
72,745.123
     
17,595,324
     
59,390.262
     
10,099,790
     
750.000
     
75,172
     
1,664.527
     
164,211
     
27,934,497
 
Subscriptions     1,157.615       280,000       601.918       100,000       3,392.221       340,000       11,313.462       1,090,000       1,810,000  
Redemptions
    (476.070 )     (110,000 )     (1,068.016 )     (175,594 )                             (285,594 )
Net loss
          (831,955 )           (488,196 )           (18,829 )           (33,495 )     (1,372,475 )
Members’ capital, September 30, 2024
    73,426.668     $ 16,933,369       58,924.164     $ 9,536,000       4,142.221     $ 396,343       12,977.989     $ 1,220,716     $ 28,086,428  

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

3

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Nine Months Ended September 30, 2023

   
Class 0 Units
   
Class 2 Units
       
   
Units
   
Capital
   
Units
   
Capital
   
Total Members’
Capital
 
                               
Members’ capital, December 31, 2022
    70,066.654     $ 15,735,969       82,214.218     $ 13,089,872     $ 28,825,841  
Subscriptions
                781.064       125,000       125,000  
Redemptions
    (342.140 )     (75,000 )                 (75,000 )
Net loss
          (376,789 )           (340,931 )     (717,720 )
Members’ capital, March 31, 2023
    69,724.514       15,284,180       82,995.282       12,873,941       28,158,121  
Subscriptions
    1,845.920       405,000                   405,000  
Redemptions
    (178.620 )     (40,000 )                 (40,000 )
Net income
          338,201             253,199       591,400  
Members’ capital, June 30, 2023
    71,391.814      
15,987,381       82,995.282      
13,127,140    
29,114,521  
Subscriptions     2,386.602       540,000                   540,000  
Redemptions     (2,184.972 )     (507,869 )     (6,028.812 )     (982,130 )     (1,489,999 )
Net income
          1,130,328             881,697       2,012,025  
Members’ capital, September 30, 2023
    71,593.444     $
17,149,840       76,966.470     $
13,026,707     $
30,176,547  
 
See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

4

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Unaudited Statements of Cash Flows

   
Nine Months Ended
September 30,
 
   
2024
   
2023
 
Cash flows provided by operating activities
           
Net income
 
$
815,851
   
$
1,885,705
 
Adjustments to reconcile net income to net cash provided by operating activities:
               
Net income allocated from investment in Graham Alternative Investment Trading LLC
   
(815,851
)
   
(1,885,705
)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
   
3,649,521
     
2,099,851
 
Investment in Graham Alternative Investment Trading LLC
    (2,407,000 )     (1,070,000 )
Net cash provided by operating activities
   
1,242,521
     
1,029,851
 
                 
Cash flows used in financing activities
               
Subscriptions (net of subscriptions received in advance)
   
3,257,000
     
1,085,000
 
Redemptions (net of redemptions payable)
   
(3,649,521
)
   
(2,099,851
)
Net cash used in financing activities
   
(392,521
)
   
(1,014,851
)
                 
Net change in cash and cash equivalents
   
850,000
     
15,000
 
                 
Cash and cash equivalents, beginning of period
   
80,000
     
 
Cash and cash equivalents, end of period
 
$
930,000
   
$
15,000
 

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

5

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements

September 30, 2024

1. Organization and Business
 
The Core Macro Portfolio (the “Fund”) is the sole series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. Prior to March 28, 2013, GAIF I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF I is registered as a commodity pool and as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission (“CFTC”).
 
As a Series Limited Liability Company each series is legally segregated, and the assets associated with each series are held separately and accounted for in separate and distinct records from the assets of any other series of GAIF I. The debts, liabilities, obligations, and expenses incurred, contracted for or otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not against the assets of GAIF I generally or any other series thereof. Further, none of the debts, liabilities, obligations, and expenses incurred, contracted for or otherwise existing with respect to GAIF I are enforceable against the assets of any other series.  As of and for the period and year ended September 30, 2024 and December 31, 2023, respectively, the Fund is the sole series of GAIF I. GAIF I has no assets and no operations outside of those of the Fund. These financial statements fairly reflect the positions, results of operations, changes in members’ capital and cash flows of the single series constituting GAIF I.

The Fund offers members Class 0, Class 2 Units, and effective March 19, 2024, Class 3-A Units and Class 3-B Units (collectively the “Units”). All Classes of Units are currently issued. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. GAIT invests in various master trading vehicles (“Master Funds”) and Graham Cash Assets LLC (“Cash Assets”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Manager is the manager and the sole investment advisor of GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the CFTC and is a member of the National Futures Association. The Manager is also registered with the Securities and Exchange Commission as an investment adviser. The Fund’s Units are registered under Section 12 of the Securities Exchange Act of 1934.
 
The investment objective of the Fund is to achieve long-term capital appreciation through professionally managed trading in both U.S. and foreign markets primarily in futures contracts, forwards contracts, spot currency contracts, and associated derivative instruments, such as options and swaps, through its investment in GAIT, which in turn invests in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. The Fund may also trade futures on virtual currencies. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.
 
SEI Global Services, Inc. (“SEI”) is the Fund’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of the Fund.
 

See attached financial statements of Graham Alternative Investment Trading LLC.

6


Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)
1. Organization and Business (continued)

The Fund will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Amended and Restated Limited Liability Company Agreement (“LLC Agreement”) of the Fund.
 
The performance of the Fund is directly affected by the performance of GAIT; therefore, these financial statements should be read in conjunction with the attached financial statements of GAIT, including the condensed schedules of investments.

Duties of the Manager

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

2. Summary of Significant Accounting Policies
 
These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.
 
Investment in Graham Alternative Investment Trading LLC
 
The Fund records its investment in GAIT at fair value based upon the Fund’s proportionate share of GAIT’s reported net asset value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in the Master Funds and Cash Assets at fair value based upon GAIT’s proportionate share of the Master Funds’ and Cash Assets’ reported net asset value. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis and includes them in the statements of operations. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.
 
GAIT charges its investors, including the Fund, an advisory fee, sponsor fee, and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however, each investor in the Fund indirectly bears a portion of the advisory fee, sponsor fee, and incentive allocation charged by GAIT.

At September 30, 2024 and December 31, 2023, the Fund owned 42.97% and 44.01%, respectively of GAIT.


See attached financial statements of Graham Alternative Investment Trading LLC.

7

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

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

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.

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, 2024 or the year ended December 31, 2023 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, 2024 and December 31, 2023, the Fund held $930,000 and $80,000, respectively, in cash and held no 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, 2024 and December 31, 2023, no accruals have been recorded by the Fund for indemnifications.

See attached financial statements of Graham Alternative Investment Trading LLC.

8

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)
3. Capital Accounts
                   
The Fund offers members Class 0, Class 2 Units, and effective March 19, 2024, Class 3-A Units and Class 3-B Units. All Classes are currently issued. The Fund may issue additional Classes in the future subject to different fees, expenses, or other terms, or invest in other investment programs or combinations of investment programs managed by the Manager.
 
A separate capital account is maintained for each member with respect to each member’s Class of Units. The initial balance of each Member’s capital account is equal to the initial subscription to the Fund by such member with respect to the Class to which such capital account relates. Each Member’s capital account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of the Fund are allocated among the Members’ Capital accounts in proportion to the balance that each capital account bears to the balance of all capital as of the beginning of such fiscal period.

Subscriptions

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

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.
 
Redemption of Units
 
Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $10,000. The redemption proceeds will normally be remitted within 15 business days after the Valuation Day, without interest for the period from the Valuation Day to the payment date. Redemptions paid after the end of a period, based upon end-of-period share values, if any, are reflected as redemptions payable on the Statement of Financial Condition.

See attached financial statements of Graham Alternative Investment Trading LLC.

9

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)
4. Fees and Related Party Transactions

Advisory Fees

Class 0 and Class 2 of GAIT paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. Class 3-A and Class 3-B have an advisory fee at an aggregate annual rate of 1.50% and 2.00% of the Members’ Capital of such Class, respectively. 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, 2024 and 2023, the Advisory Fees allocated to the Fund by Class 0, Class 2, Class 3-A and Class 3-B of GAIT totaled $325,089 and $328,766, respectively.

Sponsor Fees

Class 0 and Class 2 of GAIT paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. Class 3-A and Class 3-B of GAIT have no sponsor fee. 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, 2024 and 2023, the Sponsor Fees allocated to the Fund by Class 0 and Class 2 of GAIT totaled $167,016 and $183,473, respectively.
 
Class 0
Class 2
0.50%
1.25%
 
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, 2024 and 2023, Incentive Allocation of $141,677 and $302,450, 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, 2024 and 2023, 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, 2024 and 2023 were $26,749 and $27,862, respectively.


See attached financial statements of Graham Alternative Investment Trading LLC.

10


Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)
4. Fees and Related Party Transactions (continued)

Professional Fees

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s audit, tax and legal fees (“professional fees”). The total professional fees allocated to the Fund by GAIT for the nine months ended September 30, 2024 and 2023 were $132,284 and $121,167, respectively.

Operating Expenses

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s investments, operations, and business (“operating expenses”). For the nine months ended September 30, 2024 and 2023, GAIT reimbursed the Manager for operating expenses which were comprised of market data and technology costs associated with its assets allocated to the various Master Funds. The total operating expenses allocated to the Fund by GAIT for the nine months ended September 30, 2024 and 2023 were $13,711 and $13,710, 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, Connecticut for state tax purposes and various international jurisdictions. The Manager has evaluated the Fund’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations. No such interest and/or penalties were assessed to the Fund for the nine months ended September 30, 2024 and 2023.

6. Risk Factors

Global economic, political and market conditions may adversely affect the Fund’s operations. The current global financial market situation, as well as various social and political circumstances in the United States and around the world (including wars and other forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics), may contribute to increased market volatility and economic uncertainties or deterioration in the United States and worldwide. Such impacts may affect the financial markets in which the Fund operates.

See attached financial statements of Graham Alternative Investment Trading LLC.

11

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

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

The following is the per Unit operating performance calculation for the three months ended September 30, 2024 and 2023:
 
   
Class 0
   
Class 2
   
Class 3-A
   
Class 3-B
 
Per unit operating performance
                       
Net asset value per Unit, June 30, 2023
 
$
223.94
   
$
158.17
   
$
   
$
 
Net income:
                               
Net investment loss
   
(1.77
)
   
(1.14
)
   
     
 
Net gain on investments
   
17.37
     
12.22
     
     
 
Net income
   
15.60
     
11.08
     
     
 
Net asset value per Unit, September 30, 2023
 
$
239.54
   
$
169.25
   
$
   
$
 
                                 
Net asset value per Unit, June 30, 2024
 
$
241.88
   
$
170.06
   
$
100.23
   
$
98.65
 
Net loss:
                               
Net investment income
   
0.91
     
0.33
     
0.62
     
0.47
 
Net loss on investments
   
(12.17
)
   
(8.55
)
   
(5.17
)
   
(5.06
)
Net loss
   
(11.26
)
   
(8.22
)
   
(4.55
)
   
(4.59
)
Net asset value per Unit, September 30, 2024
 
$
230.62
   
$
161.84
   
$
95.68
   
$
94.06
 

The following represents ratios to average Members’ Capital and total return for the three months ended September 30, 2024 and 2023:
 
   
Class 0
 
Class 2
 
Class 3-A
 
Class 3-B
 
   
2024
 
2023
 
2024
 
2023
 
2024
 
2023
 
2024
 
2023
 
                                               
Total return before Incentive Allocation
   
(4.66
)%
   
8.14
%
   
(4.83
)%
   
7.94
%
   
(4.54
)%
 

   
(4.65
)%
   
Incentive Allocation
   
(0.00
)
   
(1.17
)
   
(0.00
)
   
(0.93
)
   
(0.00
)
 

   
(0.00
)
   
Total return after Incentive Allocation
   
(4.66
)%
   
6.97
%
   
(4.83
)%
   
7.01
%
   
(4.54
)%
 

   
(4.65
)%
   
                                                             
Net investment income before Incentive Allocation
   
0.39
%
   
0.37
%
   
0.20
%
   
0.18
%
   
0.64
%
 

   
0.49
%
   
Incentive Allocation
   
(0.00
)
   
(1.14
)
   
(0.00
)
   
(0.88
)
   
(0.00
)
 

   
(0.00
)
   
Net investment income (loss) after Incentive Allocation
   
0.39
%
   
(0.77
)%
   
0.20
%
   
(0.70
)%
   
0.64
%
 

   
0.49
%
   
                                                             
Total expenses before Incentive Allocation
   
0.65
%
   
0.73
%
   
0.84
%
   
0.92
%
   
0.67
%
 

   
0.82
%
   
Incentive Allocation
   
0.00
     
1.14
     
0.00
     
0.88
     
0.00
   

   
0.00
     
Total expenses after Incentive Allocation
   
0.65
%
   
1.87
%
   
0.84
%
   
1.80
%
   
0.67
%
 

   
0.82
%
   


See attached financial statements of Graham Alternative Investment Trading LLC.

12

Index
Graham Alternative Investment Fund I LLC

Core Macro Portfolio

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

The following is the per Unit operating performance calculation for the nine months ended September 30, 2024 and 2023:
 
   
Class 0
   
Class 2
   
Class 3-A
   
Class 3-B
 
Per unit operating performance
                       
Net asset value per Unit, December 31, 2022
 
$
224.59
   
$
159.22
   
$
   
$
 
Net income:
                               
Net investment loss
   
(1.49
)
   
(1.49
)
   
     
 
Net gain on investments
   
16.44
     
11.52
     
     
 
Net income
   
14.95
     
10.03
     
     
 
Net asset value per Unit, September 30, 2023
 
$
239.54
   
$
169.25
   
$
   
$
 
                                 
Net asset value per Unit, December 31, 2023
 
$
224.32
   
$
158.20
   
$
   
$
 
Initial asset value per share, May 1, 2024
   
     
     
     
100.00
 
Initial asset value per share, June 1, 2024
   
     
     
100.00
     
 
Net income (loss):
                               
Net investment income
   
1.89
     
0.50
     
0.65
     
0.62
 
Net gain (loss) on investments
   
4.41
     
3.14
     
(4.97
)
   
(6.56
)
Net income (loss)
   
6.30
     
3.64
     
(4.32
)
   
(5.94
)
Net asset value per Unit, September 30, 2024
 
$
230.62
   
$
161.84
   
$
95.68
   
$
94.06
 

See attached financial statements of Graham Alternative Investment Trading LLC.

13


Graham Alternative Investment Fund I LLC

Core Macro Portfolio

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

The following represents ratios to average Members’ Capital and total return for the nine months ended September 30, 2024 and 2023:

   
Class 0
 
Class 2
 
Class 3-A*
 
Class 3-B**
 
   
2024
 
2023
 
2024
 
2023
 
2024
 
2023
 
2024
 
2023
 
                                               
Total return before Incentive Allocation
   
3.36
%
   
7.83
%
   
2.77
%
   
7.23
%
   
(4.26
)%
 

   
(5.94
)%
   
Incentive Allocation
   
(0.55
)
   
(1.17
)
   
(0.47
)
   
(0.93
)
   
(0.06
)
 

   
(0.00
)
   
Total return after Incentive Allocation
   
2.81
%
   
6.66
%
   
2.30
%
   
6.30
%
   
(4.32
)%
 

   
(5.94
)%
   
                                                             
Net investment income (loss) before Incentive Allocation
   
1.32
%
   
0.52
%
   
0.76
%
   
(0.06
)%
   
0.68
%
 

   
0.65
%
   
Incentive Allocation
   
(0.53
)
   
(1.18
)
   
(0.46
)
   
(0.88
)
   
(0.01
)
 

   
(0.00
)
   
Net investment income (loss) after Incentive Allocation
   
0.79
%
   
(0.66
)%
   
0.30
%
   
(0.94
)%
   
0.67
%
 

   
0.65
%
   
                                                             
Total expenses before Incentive Allocation
   
2.13
%
   
2.09
%
   
2.65
%
   
2.66
%
   
0.72
%
 

   
1.12
%
   
Incentive Allocation
   
0.53
     
1.18
     
0.46
     
0.88
     
0.01
   

   
0.00
     
Total expenses after Incentive Allocation
   
2.66
%
   
3.27
%
   
3.11
%
   
3.54
%
   
0.73
%
 

   
1.12
%
   

* For the period from June 1, 2024 through September 30, 2024.
** For the period from May 1, 2024 through September 30, 2024.

Total return is calculated for Class 0, Class 2, Class 3-A and Class 3-B Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fee, and the Incentive Allocation. The net investment income (loss) and total expense ratios (including Incentive Allocation) are calculated for Class 0, Class 2, Class 3-A and Class 3-B 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 income (loss) and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0, Class 2, Class 3-A and Class 3-B Units of the Fund for the three and nine months ended September 30, 2024 and 2023 and are not annualized.

8. Subsequent Events
 
The Fund had subscriptions of approximately $1.3 million and redemptions of approximately $0.2 million from October 1, 2024 through November 14, 2024, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

See attached financial statements of Graham Alternative Investment Trading LLC.

14

Graham Alternative Investment Trading LLC

Statements of Financial Condition

   
September 30, 2024
(Unaudited)
   
December 31, 2023
(Audited)
 
Assets
           
Investment in Graham Cash Assets LLC, at fair value
 
$
58,564,739
   
$
59,261,119
 
Investments in Master Funds, at fair value
   
7,272,112
     
6,589,443
 
Receivable from Master Funds
   
110
     
177
 
Total assets
 
$
65,836,961
   
$
65,850,739
 
                 
Liabilities and members’ capital
               
Liabilities:
               
Redemptions payable
 
$
176,576
   
$
644,512
 
Accrued professional fees
   
168,082
     
186,519
 
Accrued advisory fees
   
78,814
     
80,684
 
Accrued sponsor fees
   
37,485
     
41,770
 
Accrued administrator’s fees
   
6,738
     
7,050
 
Accrued operating expenses
   
3,509
     
3,689
 
Payable to Master Funds
   
37
     
 
Total liabilities
   
471,241
     
964,224
 
                 
Members’ capital:
               
Class 0 Units (169,999.318 and 177,924.511 units issued and outstanding at $230.62 and $224.32 per unit, respectively)
   
39,204,595
     
39,912,274
 
Class 2 Units (127,924.037 and 143,198.231 units issued and outstanding at $161.84 and $158.20 per unit, respectively)
   
20,702,567
     
22,653,277
 
Class 3-A Units (4,142.221 and no units issued and outstanding at $95.68 and $ – per unit, respectively)
   
396,343
     
 
Class 3-B Units (27,938.463 and no units issued and outstanding at $94.06 and $ – per unit, respectively)
   
2,627,905
     
 
Class M Units (4,671.470 units issued and outstanding at $521.10 and $496.83 per unit, respectively)
   
2,434,310
     
2,320,964
 
Total members’ capital
   
65,365,720
     
64,886,515
 
Total liabilities and members’ capital
 
$
65,836,961
   
$
65,850,739
 

See accompanying notes.

15

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

   
September 30, 2024
(Unaudited)
   
December 31, 2023
(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
 
$
2,806,317
     
4.29
%
   
$
2,529,772
     
3.90
%
 
Graham Derivatives Strategies LLC
   
1,099,731
     
1.69
%
     
850,235
     
1.31
%
 
Graham K4D Trading Ltd.
   
3,366,064
     
5.15
%
     
3,209,436
     
4.95
%
 
Total investments in Master Funds
 
$
7,272,112
     
11.13
%
   
$
6,589,443
     
10.16
%
 
 
See accompanying notes.

16

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

   
Three Months Ended
September 30,
   
Nine Months Ended
September 30,
 
   
2024
   
2023
   
2024
   
2023
 
Net (loss) gain allocated from investments in Master Funds:
                       
Net realized (loss) gain on investments
 
$
(3,467,738
)
 
$
5,613,862
   
$
(197,268
)
 
$
5,991,144
 
Net increase (decrease) in unrealized appreciation on investments
   
136,935
     
(465,371
)
   
1,694,218
     
(979,650
)
Brokerage commissions and fees
   
(46,048
)
   
(40,300
)
   
(127,386
)
   
(130,477
)
Net (loss) gain allocated from investments in Master Funds
   
(3,376,851
)
   
5,108,191
     
1,369,564
     
4,881,017
 
                                 
Net investment income allocated from investments in Master Funds
   
49,644
     
42,781
     
132,597
     
138,423
 
                                 
Investment income:
                               
Interest income
   
631,067
     
700,034
     
2,148,491
     
1,563,219
 
                                 
Expenses:
                               
Advisory fees
   
238,465
     
252,117
     
721,041
     
712,235
 
Sponsor fees
   
116,224
     
131,812
     
362,302
     
377,126
 
Professional fees
   
65,727
     
109,875
     
305,128
     
274,655
 
Administrator’s fee
   
20,194
     
21,972
     
61,685
     
62,538
 
Operating expenses
   
10,112
     
10,132
     
31,611
     
30,744
 
Interest expense
   
3,661
     
3,612
     
11,158
     
10,955
 
Total expenses
   
454,383
     
529,520
     
1,492,925
     
1,468,253
 
Net investment income of the Fund
   
176,684
     
170,514
     
655,566
     
94,966
 
                                 
Net (loss) income
   
(3,150,523
)
   
5,321,486
     
2,157,727
     
5,114,406
 
                                 
Incentive allocation
   
     
(679,359
)
   
(313,592
)
   
(679,491
)
                                 
Net (loss) income available for pro-rata allocation to all members
 
$
(3,150,523
)
 
$
4,642,127
   
$
1,844,135
   
$
4,434,915
 

See accompanying notes.
 
17

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three and Nine Months Ended September 30, 2024

   
Class 0
   
Class 2
   
Class 3-A
 
   
Units
   
Capital
   
Units
   
Capital
   
Units
   
Capital
 
                                     
Members’ capital, December 31, 2023
   
177,924.511
   
$
39,912,274
     
143,198.231
   
$
22,653,277
     
   
$
 
Subscriptions
   
1,077.459
     
247,000
     
2,005.123
     
323,000
     
     
 
Redemptions
   
(6,823.328
)
   
(1,597,493
)
   
(10,896.074
)
   
(1,809,474
)
   
     
 
Incentive allocation
   
     
(212,267
)
   
     
(100,235
)
   
     
 
Net income
   
     
3,716,586
     
     
2,046,953
     
     
 
Members’ capital, March 31, 2024
   
172,178.642
     
42,066,100
     
134,307.280
     
23,113,521
     
     
 
Initial subscription, June 1, 2024
   
     
     
     
     
750.000
     
75,000
 
Subscriptions
   
1,392.027
     
340,000
     
1,047.362
     
179,000
     
     
 
Redemptions
   
(3,311.442
)
   
(805,858
)
   
(7,933.567
)
   
(1,366,825
)
   
     
 
Incentive allocation
   
     
(315
)
   
     
(731
)
   
     
(44
)
Net (loss) income
   
     
(418,225
)
   
     
(256,029
)
   
     
216
 
Members’ capital, June 30, 2024
   
170,259.227
     
41,181,702
     
127,421.075
     
21,668,936
     
750.000
     
75,172
 
Subscriptions
   
1,434.209
     
345,000
     
1,653.468
     
275,000
     
3,392.221
     
340,000
 
Redemptions
   
(1,694.118
)
   
(395,336
)
   
(1,150.506
)
   
(188,944
)
   
     
 
Incentive allocation
   
     
     
     
     
     
 
Net loss
   
     
(1,926,771
)
   
     
(1,052,425
)
   
     
(18,829
)
Members’ capital, September 30, 2024
   
169,999.318
   
$
39,204,595
     
127,924.037
   
$
20,702,567
     
4,142.221
   
$
396,343
 

See accompanying notes.

18

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Nine Months Ended September 30, 2024

   
Class 3-B
   
Class M
   
Total
 
   
Units
   
Capital
   
Units
   
Capital
   
Capital
 
                               
Members’ capital, December 31, 2023
   
   
$
     
4,671.470
   
$
2,320,964
   
$
64,886,515
 
Subscriptions
   
     
     
     
     
570,000
 
Redemptions
   
     
     
     
(312,502
)
   
(3,719,469
)
Incentive allocation
   
     
     
     
312,502
     
 
Net income
   
     
     
     
232,298
     
5,995,837
 
Members’ capital, March 31, 2024
   
     
     
4,671.470
     
2,553,262
     
67,732,883
 
Initial subscription, May 1, 2024
   
750.000
     
75,000
     
     
     
75,000
 
Initial subscription, June 1, 2024
   
     
     
     
     
75,000
 
Subscriptions
   
1,524.212
     
150,000
     
     
     
669,000
 
Redemptions
   
     
     
     
(1,090
)
   
(2,173,773
)
Incentive allocation
   
     
     
     
1,090
     
 
Net loss
   
     
(642
)
   
     
(12,907
)
   
(687,587
)
Members’ capital, June 30, 2024
   
2,274.212
     
224,358
     
4,671.470
     
2,540,355
     
65,690,523
 
Subscriptions
   
25,664.251
     
2,450,000
     
     
     
3,410,000
 
Redemptions
   
     
     
     
     
(584,280
)
Incentive allocation
   
     
     
     
     
 
Net loss
   
     
(46,453
)
   
     
(106,045
)
   
(3,150,523
)
Members’ capital, September 30, 2024
   
27,938.463
   
$
2,627,905
     
4,671.470
   
$
2,434,310
   
$
65,365,720
 

See accompanying notes.

19

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Nine Months Ended September 30, 2023

   
Class 0
   
Class 2
   
Class M
   
Total
 
   
Units
   
Capital
   
Units
   
Capital
   
Units
   
Capital
   
Capital
 
                                           
Members’ capital, December 31, 2022
   
161,081.937
   
$
36,176,761
     
155,844.459
   
$
24,813,000
     
4,671.470
   
$
2,253,147
   
$
63,242,908
 
Subscriptions
   
2,107.202
     
490,000
     
781.064
     
125,000
     
     
     
615,000
 
Redemptions
   
(908.759
)
   
(202,115
)
   
(280.060
)
   
(44,820
)
   
     
(132
)
   
(247,067
)
Incentive allocation
   
     
(132
)
   
     
     
     
132
     
 
Net loss
   
     
(891,319
)
   
     
(641,441
)
   
     
(43,354
)
   
(1,576,114
)
Members’ capital, March 31, 2023
   
162,280.380
     
35,573,195
     
156,345.463
     
24,251,739
     
4,671.470
     
2,209,793
     
62,034,727
 
Subscriptions
   
14,208.945
     
3,114,000
     
     
     
     
     
3,114,000
 
Redemptions
   
(1,103.427
)
   
(245,476
)
   
(490.680
)
   
(76,724
)
   
     
     
(322,200
)
Incentive allocation
   
     
     
     
     
     
     
 
Net income
   
     
833,970
     
     
476,083
     
     
58,981
     
1,369,034
 
Members’ capital, June 30, 2023
   
175,385.898
     
39,275,689
     
155,854.783
     
24,651,098
     
4,671.470
     
2,268,774
     
66,195,561
 
Subscriptions
   
3,471.731
     
785,000
     
     
     
     
     
785,000
 
Redemptions
   
(3,530.662
)
   
(821,844
)
   
(7,450.556
)
   
(1,218,516
)
   
     
(679,359
)
   
(2,719,719
)
Incentive allocation
   
     
(459,161
)
   
     
(220,198
)
   
     
679,359
     
 
Net income
   
     
3,219,010
     
     
1,905,248
     
     
197,228
     
5,321,486
 
Members’ capital, September 30, 2023
   
175,326.967
   
$
41,998,694
     
148,404.227
   
$
25,117,632
     
4,671.470
   
$
2,466,002
   
$
69,582,328
 

See accompanying notes.

20

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

   
Nine Months Ended September 30,
 
   
2024
   
2023
 
Cash flows provided by (used in) operating activities
           
Net income
 
$
2,157,727
   
$
5,114,406
 
Adjustments to reconcile net income to net cash provided (used in) by operating activities:
               
Net income allocated from investments in Master Funds
   
(1,502,161
)
   
(5,019,440
)
Net income allocated from investment in Graham Cash Assets LLC
   
(2,148,491
)
   
(1,563,219
)
Proceeds from sale of investments in Master Funds
   
54,287,683
     
52,615,889
 
Proceeds from sale of investment in Graham Cash Assets LLC
   
38,396,008
     
34,218,247
 
Purchases of investments in Master Funds
   
(53,563,520
)
   
(48,148,309
)
Purchases of investment in Graham Cash Assets LLC
   
(35,455,704
)
   
(38,115,239
)
Changes in assets and liabilities:
               
(Decrease) in accrued professional fees
   
(18,437
)
   
(52,957
)
(Decrease) increase in accrued advisory fees
   
(1,870
)
   
4,652
 
(Decrease) increase in accrued sponsor fees
   
(4,285
)
   
954
 
(Decrease) increase in accrued administrator’s fee
   
(312
)
   
251
 
(Decrease) increase in accrued operating expenses
   
(180
)
   
207
 
Net cash provided by (used in) operating activities
   
2,146,458
     
(944,558
)
                 
Cash flows (used in) provided by financing activities
               
Subscriptions
   
4,799,000
     
4,514,000
 
Redemptions (net of redemptions payable)
   
(6,945,458
)
   
(3,569,442
)
Net cash (used in) provided by financing activities
   
(2,146,458
)
   
944,558
 
                 
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
 
$
11,158
   
$
10,955
 
 
See accompanying notes.

21

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

September 30, 2024

1. Organization and Business

Graham Alternative Investment Trading LLC (“GAIT”) was formed on May 18, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Manager”) is the Manager and the sole investment advisor. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association. The Manager is also registered with the Securities and Exchange Commission as an investment adviser. GAIT is a commodity pool, and as such is subject to the oversight and jurisdiction of the CFTC.
 
The investment objective of GAIT is to achieve long-term capital appreciation through professionally managed trading through its investment in various master trading vehicles (“Master Funds”). As more fully described in Notes 2 and 3, these Master Funds invest in a broad range of derivative instruments such as currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and options and swaps thereon traded on U.S. and foreign exchanges, as well as over-the-counter (“OTC”).
 
Graham Alternative Investment Fund I LLC Core Macro Portfolio, Graham Alternative Investment Fund II LLC Core Macro Portfolio (through its investment in Graham Alternative Investment Ltd.) and the Manager are the only investors of GAIT.
 
SEI Global Services, Inc. (“SEI”) is GAIT’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of GAIT.
 
GAIT will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Amended and Restated Limited Liability Company Agreement (“LLC Agreement”).
 
Duties of the Manager
 
Subject to the terms and conditions of the LLC Agreement, the Manager has complete and exclusive responsibility for managing and administering the affairs of GAIT and for directing the investment and reinvestment of the assets of GAIT.
 
2. Summary of Significant Accounting Policies
 
These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. GAIT is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.
 
Investments in Master Funds
 
GAIT invests in various Master Funds which are managed by the Manager. These investments are valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of the Master Funds’ reported net asset values. Gains and losses are allocated monthly by each Master Fund to GAIT based upon GAIT’s proportionate share of the net asset value of each Master Fund and are included in the statements of operations and incentive allocation.

22

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
2. Summary of Significant Accounting Policies (continued)
 
Due from/to Brokers
 
Due from/to brokers on the Master Funds’ financial statements primarily consist of cash balances carried as margin deposits with clearing brokers for the purpose of trading in futures contracts, foreign currency contracts and other derivative financial instruments and securities, and receivables/payables for unsettled transactions. Substantially all of the Master Funds’ cash and investments are held as collateral by its brokers to secure derivative instruments and securities.
 
Revenue Recognition
 
All positions in financial instruments are recorded on the trade date at fair value. Net unrealized appreciation or depreciation on open derivative financial instruments is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at year end. Any change in net unrealized appreciation or depreciation from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends, if any, are recorded on the ex-dividend date and are net of applicable withholding taxes. All other expenses are recorded on the accrual basis. Realized gains and losses are calculated based on the specific identification method.
 
Brokerage Commissions and Fees
 
Brokerage commissions and fees on the Master Funds’ financial statements represent all brokerage commissions and other fees incurred in connection with the Master Funds’ trading activity and are recorded on the accrual basis.
 
Foreign Currency Translation
 
Assets and liabilities denominated in foreign currencies are translated using the exchange rates at September 30, 2024 and December 31, 2023. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices of investments held. The Master Funds’ currency translation gains and losses are included in the statements of operations and incentive allocation within net realized (loss) gain and net increase (decrease) 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.
 
23

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, 2024 or the year ended December 31, 2023 by GAIT, the Master Funds, or Cash Assets.
 
Derivative Instruments
 
In the normal course of business, the Master Funds utilize derivative financial instruments in connection with their trading activities. Derivative instruments derive their value from underlying assets, indices, reference rates or a combination of these factors. Investments in derivative financial instruments are subject to additional risks that can result in a loss of all or part of an investment. The Master Funds’ derivative financial instruments are classified by the following primary underlying risks: interest rate, foreign currency exchange rate, commodity price, and equity price risks. These risks can be in excess of the amounts recognized in the statements of financial condition. In addition, the Master Funds are also subject to additional counterparty risk should their counterparties fail to meet the terms of their contracts. Management of counterparty risk involves a number of considerations, such as the financial profile of the counterparty, specific terms and duration of the contractual agreement, and the value of collateral held, if any. The Master Funds have established initial credit approval, credit limits, and collateral requirements and may reduce their exposure to any counterparties they deem necessary. Trading in non-U.S. dollar denominated derivative instruments may subject the value of, and gains and losses associated with, such contracts to additional risks related to adverse changes in the applicable exchange rates.
 
Unrealized appreciation and depreciation from derivative financial instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net realized (loss) gain and net increase (decrease) in unrealized appreciation on investments in the Master Funds’ statements of operations.
 
Futures Contracts
 
The Master Funds use futures contracts in an attempt to take advantage of changes in the value of equities, commodities, interest rates, bonds, and foreign currencies. Futures contracts are valued based upon the closing price as of the valuation date established by the primary exchange upon which they are traded.

24

Graham Alternative Investment Trading LLC

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

Derivative Instruments (continued)
 
Futures Contracts (continued)
 
A futures contract represents a commitment for the future purchase or sale of an asset or cash settlement based on the value of an asset on a specified date. The purchase and sale of futures contracts are executed on an exchange which requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized appreciation and depreciation by the Master Funds. Relative to over-the-counter derivative financial instruments, futures contracts provide reduced counterparty risk to the Master Funds since futures are exchange-traded and the exchanges’ clearing house guarantees the futures against default. However, some non-U.S. exchanges are “principals’ markets” in which no common clearing facility exists, and the Master Funds may look only to the clearing broker for performance of the contract. The U.S. Commodity Exchange Act requires an FCM to segregate all funds received from such FCM’s customers in respect of regulated futures transactions. If the FCM were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the FCM. In that case, the Master Funds would be limited to potentially recovering only a pro-rata share of all available funds segregated on behalf of the FCM’s combined customer accounts, even though certain property specifically traceable to the Master Funds was held by the FCM. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds might experience a loss of funds deposited through its FCM as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions.
 
Forward Contracts
 
The Master Funds enter into foreign currency forward contracts in an attempt to take advantage of changes in exchange rates. Forward currency transactions are contracts or agreements for delivery of specific currencies or the cash equivalent value at a specified future date and an agreed upon price. Forward contracts are not guaranteed by an exchange or clearing house and therefore the risks include the inability of counterparties to meet their obligations under the terms of the contracts as well as the risks associated with movements in fair value.
 
All forward contracts are valued based upon a forward curve constructed using independently quoted forward points. Changes in fair value of each forward contract are recognized as unrealized appreciation and depreciation.
 
25

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
2. Summary of Significant Accounting Policies (continued)
 
Derivative Instruments (continued)
 
Swap Contracts
 
The Master Funds may enter into various swap contracts in an attempt to take advantage of changes in commodity prices, interest rates, and asset values. Exchange cleared swap contracts are cleared on an exchange which requires margin deposits with a Central Clearing Counterparty (“CCP”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized appreciation or depreciation by the Master Funds. The Master Funds records realized gains or losses when a swap contract is terminated. Relative to OTC interest rate swap contracts, exchange cleared interest rate swap contracts provide reduced counterparty risk since they are exchange-cleared, and the exchange’s clearinghouse guarantees against default. The Commodity Exchange Act requires a CCP to segregate all funds received from such CCP’s customers in respect of exchange cleared interest rate swaps. If the CCP were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the CCP. In that case, the Master Funds would be limited to recovering only a pro-rata share of all available funds segregated on behalf of the CCP’s combined customer accounts, even though certain property specifically traceable to the Master Funds is held by the CCP. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds could experience a loss of funds deposited through its CCP as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions. All funds deposited with both U.S. and non-U.S. CCPs are included in due from brokers on the statement of financial condition of the Master Funds. OTC swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized appreciation on open positions. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Funds may not be able to enter into an offsetting contract in order to cover its risk.
 
An interest rate swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified rates for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to another. Interest rate swap positions are generally valued as the present value of the net future cash flows as estimated by the Advisor using a discount curve constructed from independently obtained future interest rate assumptions. Interest is calculated and accrued throughout the life of each swap and is included in interest receivable and interest payable on the Master Funds’ statements of financial condition. Payments received at the end of each reset period are recorded against such accruals.
 
A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another. Total return swaps are generally valued based upon the value of the underlying instruments and terms of the contract as determined by the primary exchange on which they are traded.

26

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, 2024 and the year ended December 31, 2023 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $0 and $8,339,776 at September 30, 2024 and December 31, 2023, respectively. Graham Commodity Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at September 30, 2024 and December 31, 2023. Graham Derivatives Strategies LLC had derivative instruments subject to credit risk related contingent features in a net liability position of $0 and $4,589 at September 30, 2024 and December 31, 2023, respectively.
 
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, 2024 and December 31, 2023, the two NYMEX seats were valued at $287,000 and $240,000, respectively, and the 30,000 shares of CME Group were valued at $6,619,500 and $6,318,000, 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.
 
27

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
2. Summary of Significant Accounting Policies (continued)
 
Chicago Mercantile Exchange Membership
 
Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Mercantile Exchange (“CME”). As a result of its membership, Graham Commodity Strategies LLC owns two CME seats and 2,232 shares of the CME Group. Graham Commodity Strategies LLC’s policy is to value the CME seats and the shares of the CME Group at fair value. As of September 30, 2024 and December 31, 2023, the two CME seats were valued at $537,000 and $382,500, respectively, and the 2,232 shares of CME Group were valued at $492,491 and $470,059, respectively, all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The CME seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.
 
Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the CME. As a result of its membership, Graham K4D Trading Ltd. owns one CME seat and 4,085 shares of the CME Group. Graham K4D Trading Ltd.’s policy is to value the CME seat and the shares of the CME Group at fair value. As of September 30, 2024 and December 31, 2023, the CME seat was valued at $147,500 and $114,000, respectively, and the 4,085 shares of the CME Group were valued at $901,355 and $860,301, respectively, all of which are included in Exchange memberships on Graham K4D Trading Ltd.’s statement of financial condition. The CME seat and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.
 
Chicago Board of Trade Membership
 
As of September 30, 2024, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns 3,265 shares of the CME Group as a result of its CBOT membership. Graham Commodity Strategies LLC’s policy is to value the CME shares at fair value. As of September 30, 2024 and December 31, 2023, the 3,265 shares of the CME Group were valued at $720,422 and $687,609, respectively, and are included in Exchange memberships on Graham Commodity LLC’s statement of financial condition. The CME shares are considered Level 1 assets as described in the Fair Value section of Note 2.
 
As of September 30, 2024, Graham Derivatives Strategies LLC, a Master Fund in which GAIT invests, is also a member of the CBOT under Rule 106.S and owns one B-1/Full seat (“CBOT membership”). Graham Derivatives Strategies LLC’s policy is to value the CBOT seat at fair value. As of September 30, 2024 and December 31, 2023, the CBOT seat was valued at $362,750 and $309,500, respectively, and is included in Exchange memberships on Graham Derivatives Strategies LLC’s statement of financial condition. The CBOT membership is considered a Level 1 asset as described in the Fair Value section of Note 2.

Graham K4D Trading Ltd., a Master Fund in which GAIT, is also a member of the CBOT under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat (collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of September 30, 2024 and December 31, 2023, the two B-1/Full seats were valued at a total of $725,500 and $619,000, respectively, and the B-2/Associate seat was valued at $65,250 and $60,000, respectively, all of which are included in Exchange memberships on Graham K4D Trading Ltd.’s statement 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, 2024 and December 31, 2023, the 970 shares of the CME Group were valued at $214,031 and $204,282, respectively. The CBOT memberships and shares of the CME Group are considered Level 1 assets as described in the Fair Value section of Note 2.
 
28

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
2. Summary of Significant Accounting Policies (continued)
 
Commodity Exchange Membership
 
As of September 30, 2024, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Commodity Exchange (“COMEX”) and owns two COMEX seats. Graham Commodity Strategies LLC’s policy is to value the COMEX seats at fair value. As of September 30, 2024 and December 31, 2023, the two COMEX seats were valued at $150,000 and $164,500 in total and is included in Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The COMEX seats are considered Level 1 assets as described in the Fair Value section of Note 2.

Fixed Income Securities

The fixed income securities positions, held by the Master Funds where applicable, are valued at the mean between the last reported bid and ask quotations received from independent brokers. GAIT is exposed to credit risk relating to whether the issuers will meet their obligations when they come due until the fixed income securities held by the Master Funds are sold or reach maturity.
 
Cash and Cash Equivalents
 
GAIT classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of GAIT’s cash would be limited to account insurance or other protection afforded by such deposit. At September 30, 2024 and December 31, 2023, 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, 2024 and December 31, 2023, no accruals have been recorded by GAIT for indemnifications.
 
29

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds
 
As of September 30, 2024 and December 31, 2023, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management fees or incentive allocation, and all offer monthly subscriptions and redemptions.
 
September 30, 2024
 
Investment – Objective
 
Percent of
Members’
Capital
   
Fair Value
   
Net Income (Loss)
(nine months ended
September 2024)
 
                     
Global Macro Funds
                   
Graham Commodity Strategies LLC
   
4.29
%
   
$
2,806,317
   
$
1,487,185
 
Graham Derivatives Strategies LLC
   
1.69
%
     
1,099,731
     
(787,569
)
                           
Systematic Macro Funds
                         
Graham K4D Trading Ltd.
   
5.15
%
     
3,366,064
     
707,112
 
     
11.13
%
   
$
7,272,112
   
$
1,406,728
 

December 31, 2023
 
Investment – Objective
 
Percent of
Members’
Capital
   
Fair Value
   
Net Income (Loss)
(nine months ended
September 2023)
 
                     
Global Macro Funds
                   
Graham Commodity Strategies LLC
   
3.90
%
   
$
2,529,772
   
$
3,412,982
 
Graham Derivatives Strategies LLC
   
1.31
%
     
850,235
     
(656,208
)
                           
Systematic Macro Funds
                         
Graham K4D Trading Ltd.
   
4.95
%
     
3,209,436
     
2,262,666
 
     
10.16
%
   
$
6,589,443
   
$
5,019,440
 

The following table summarizes the financial position of each Master Fund as of September 30, 2024:
 
   
Graham
Commodity
Strategies LLC
(Delaware)
   
Graham
Derivatives
Strategies LLC
(Delaware)
   
Graham K4D
Trading Ltd.
(BVI)
 
Assets:
                 
Fixed income securities, at fair value (cost $13,567,089)
 
$
   
$
   
$
13,804,379
 
Due from brokers
   
74,968,739
     
13,301,398
     
34,196,959
 
Exchange memberships, at fair value
   
8,806,413
     
362,750
     
2,053,636
 
Derivative financial instruments, at fair value
   
1,990,083
     
16,435,063
     
19,102,856
 
Interest receivable
   
294,392
     
54,197
     
217,285
 
Total assets
   
86,059,627
     
30,153,408
     
69,375,115
 
                         
Liabilities:
                       
Derivative financial instruments, at fair value
   
4,006,286
     
     
 
Interest payable
   
13,177
     
12,619
     
119,226
 
Total liabilities
   
4,019,463
     
12,619
     
119,226
 
Members’ Capital / Net Assets
 
$
82,040,164
   
$
30,140,789
   
$
69,255,889
 
                         
Percentage of Master Fund held by GAIT
   
3.42
%
   
3.65
%
   
4.86
%

30

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, 2024:
 
Description
 
Number of
Contracts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC
                 
Exchange memberships (cost $3,649,411)
                 
United States (cost $3,649,411)
                 
Financial services (cost $3,649,411)
       
$
8,806,413
     
10.73
%
Total exchange memberships
       
$
8,806,413
     
10.73
%
                       
Derivative financial instruments
                     
Long contracts
                     
Futures
                     
Commodity
       
$
1,032,335
     
1.26
%
Foreign bond
         
3,322,459
     
4.04
%
Foreign index
         
234,435
     
0.29
%
Interest rate
         
(234,189
)
   
(0.29
)%
U.S. bond
                     
U.S. 5 yr Note (CBT) December 2024
   
7,394
     
(5,770,250
)
   
(7.03
)%
U.S. 2 yr Note (CBT) December 2024
   
23,624
     
(7,304,672
)
   
(8.90
)%
U.S. 10 yr Note (CBT) December 2024
   
76
     
(18,703
)
   
(0.02
)%
U.S. 10 yr Ultra December 2024
   
27
     
(10,063
)
   
(0.01
)%
Total futures
           
(8,748,648
)
   
(10.66
)%
                         
Forwards
                       
Foreign currency
           
834,234
     
1.02
%
Total forwards
           
834,234
     
1.02
%
                         
Options (cost $2,450,834)
                       
Commodity futures
           
83,950
     
0.10
%
Currency futures
           
1,921,948
     
2.34
%
Interest rate futures
           
146,211
     
0.18
%
U.S. bond futures
                       
U.S. 5 yr Note Friday Week 1 October 2024, $110.50 - $111.50 Call
   
2
     
22,266
     
0.03
%
U.S. 5 yr Note Friday Week 1 October 2024, $110.00 Put
   
1
     
128,625
     
0.16
%
U.S. index futures
           
60,458
     
0.07
%
Total options
           
2,363,458
     
2.88
%

31

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, 2024:
 
Description
 
Number of
Contracts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued)
                 
Derivative financial instruments (continued)
                 
Short contracts
                 
Futures
                 
Commodity
       
$
4,060
     
0.00
%
Foreign bond
         
(1,583,864
)
   
(1.93
)%
Foreign index
         
(2,766,776
)
   
(3.37
)%
Interest rate
         
14,160
     
0.02
%
U.S. bond
                     
U.S. Ultra Bond (CBT) December 2024
   
(4,081
)
   
9,455,500
     
11.53
%
U.S. 2 yr - 5 yr Note (CBT) December 2024
   
(92
)
   
36,508
     
0.04
%
U.S. index
           
(502,113
)
   
(0.61
)%
Total futures
           
4,657,475
     
5.68
%
                         
Forwards
                       
Foreign currency
           
298,101
     
0.36
%
Total forwards
           
298,101
     
0.36
%
                         
Options (proceeds $1,602,164)
                       
Commodity
           
(95,620
)
   
(0.12
)%
Currency futures
           
(1,064,200
)
   
(1.30
)%
Interest rate futures
           
(142,852
)
   
(0.17
)%
U.S. bond futures
                       
U.S. 5 yr Note Friday Week 1 October 2024, $111.00 Call
   
(1
)
   
(13,383
)
   
(0.02
)%
U.S. 5 yr Note Friday Week 1 October 2024, $109.50 Put
   
(1
)
   
(96,328
)
   
(0.12
)%
U.S. index futures
           
(8,440
)
   
(0.01
)%
Total options
           
(1,420,823
)
   
(1.74
)%
Total derivative financial instruments
         
$
(2,016,203
)
   
(2.46
)%

32

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, 2024:
 
Description
 
Number of
Contracts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Derivatives Strategies LLC
                 
Exchange memberships (cost $305,000)
                 
United States (cost $305,000)
                 
Financial services (cost $305,000)
       
$
362,750
     
1.20
%
Total exchange memberships
       
$
362,750
     
1.20
%
                       
Derivative financial instruments
                     
Long contracts
                     
Futures
                     
Commodity
                     
Gold 100 Oz  December 2024
   
141
   
$
(124,360
)
   
(0.41
)%
Other commodity
           
24,713
     
0.08
%
Foreign bond
           
(24,498
)
   
(0.08
)%
Foreign index
           
(466,356
)
   
(1.55
)%
U.S. Bond
                       
U.S. Ultra Bond (CBT) December 2024
   
112
     
(87,656
)
   
(0.29
)%
U.S. 2 yr - 10 yr Note (CBT) December 2024
   
687
     
(146,820
)
   
(0.49
)%
U.S. index
           
148,308
     
0.49
%
Total futures
           
(676,669
)
   
(2.25
)%
                         
Forwards
                       
Japanese yen / U.S. dollar 12/18/2024
 
¥
440,412,671
     
(29,314
)
   
(0.10
)%
Other foreign currency
           
325,886
     
1.08
%
Total forwards
           
296,572
     
0.98
%
                         
Options (cost $31,566,411)
                       
Commodity futures
                       
Gold Future (CMX) December 2024, $2,650.00 Call
   
1
     
2,129,490
     
7.07
%
Currency futures
                       
U.S. dollar / Japanese yen (Digital) October 2024 - December 2024, $130.00 – $139.00 Put
   
9
     
3,435,786
     
11.40
%
U.S. dollar / Japanese yen October 2024, $144.00 - $144.50 Call
   
2
     
48,332
     
0.16
%
U.S. dollar / Japanese yen October 2024 - March 2025, $130.00 - $143.50 Put
   
8
     
1,268,968
     
4.21
%
Other currency futures
           
5,541,140
     
18.38
%
Interest rate futures
           
300,184
     
1.00
%
U.S. bond futures
                       
U.S. 10 yr future November 2024, $115.50 Call
   
1
     
2,536,000
     
8.41
%
U.S. 10 yr future November 2024, $117.50 Call
   
1
     
153,047
     
0.51
%
U.S. 2 yr future November 2024 - December 2024, $103.50 - $104.00 Put
   
3
     
1,182,328
     
3.92
%
U.S. index futures
                       
S&P 500 E-mini December 2024, $5,900.00 Call
   
1
     
11,336,925
     
37.61
%
S&P 500 E-mini October 2024, $5,625.00 Put
   
1
     
1,493,888
     
4.96
%
Total options
           
29,426,088
     
97.63
%

33

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, 2024:
 
Description
 
Number of
Contracts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Derivatives Strategies LLC (continued)
                 
Derivative financial instruments (continued)
                 
Short contracts
                 
Futures
                 
Commodity
                 
Gold 100 Oz  December 2024
   
(54
)
 
$
(48,770
)
   
(0.16
)%
Other commodity
           
(473
)
   
(0.00
)%
Foreign bond
           
5,171
     
0.02
%
Foreign index
           
13,926
     
0.05
%
U.S. bond
                       
U.S. 2 yr - 10 yr Note (CBT) December 2024
   
(3,532
)
   
630,937
     
2.09
%
U.S. Ultra December 2024
   
(271
)
   
154,422
     
0.51
%
U.S. Long Bond (CBT) December 2024
   
(248
)
   
57,594
     
0.19
%
U.S. index
                       
S&P 500 E-mini December 2024
   
(84
)
   
(56,513
)
   
(0.19
)%
Total futures
           
756,294
     
2.51
%
                         
Forwards
                       
Foreign currency
           
(78,924
)
   
(0.26
)%
Total forwards
           
(78,924
)
   
(0.26
)%
                         
Options (proceeds $12,420,497)
                       
Commodity futures
                       
Gold Future (CMX) December 2024, $2,800.00 Call
   
(1
)
   
(1,301,860
)
   
(4.32
)%
Currency futures
                       
U.S. dollar / Japanese yen October 2024, $144.50 Call
   
(1
)
   
(14,772
)
   
(0.05
)%
U.S. dollar / Japanese yen October 2024 - November 2024, $133.00 - $141.00 Put
   
(5
)
   
(458,657
)
   
(1.52
)%
Other currency futures
           
(365,881
)
   
(1.21
)%
Interest rate futures
           
(83,624
)
   
(0.28
)%
U.S. bond futures
                       
U.S. 10 yr future November 2024, $116.50 Call
   
(1
)
   
(1,257,094
)
   
(4.17
)%
U.S. 2 yr future November 2024, $103.50 Put
   
(1
)
   
(244,297
)
   
(0.81
)%
U.S. index futures
                       
S&P 500 E-mini December 2024, $6,000.00 Call
   
(1
)
   
(8,454,400
)
   
(28.04
)%
S&P 500 E-mini October 2024, $5,550.00 Put
   
(1
)
   
(1,107,713
)
   
(3.68
)%
Total options
           
(13,288,298
)
   
(44.08
)%
Total derivative financial instruments
         
$
16,435,063
     
54.53
%

34

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, 2024:
 
Description
 
Principal Amount /
Notional Amount
   
Fair Value
   
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd.
                 
Fixed income securities (cost $13,567,089)
                 
Government Bonds (cost $13,567,089)
                 
United States (cost $13,567,089)
                 
U.S. Treasury bond 0.00% due 01/23/2025
 
$
14,000,000
   
$
13,804,379
     
19.93
%
Total Government Bonds
           
13,804,379
     
19.93
%
Total fixed income securities
         
$
13,804,379
     
19.93
%
                         
Exchange memberships (cost $1,924,208)
                       
United States (cost $1,924,208)
                       
Financial services (cost $1,924,208)
         
$
2,053,636
     
2.97
%
Total exchange memberships
         
$
2,053,636
     
2.97
%
                         
Derivative financial instruments
                       
Long contracts
                       
Futures
                       
Commodity
         
$
7,816,263
     
11.29
%
Currency
           
(46,529
)
   
(0.07
)%
Foreign bond
           
1,991,824
     
2.88
%
Foreign index
           
7,379,527
     
10.66
%
Interest rate
           
617,735
     
0.89
%
U.S. bond
           
(409,769
)
   
(0.59
)%
U.S. index
           
1,686,032
     
2.43
%
Total futures
           
19,035,083
     
27.49
%
                         
Forwards
                       
British pound / U.S. dollar 12/18/2024
 
£
115,243,000
     
3,682,360
     
5.32
%
Other foreign currency
           
407,729
     
0.59
%
Total forwards
           
4,090,089
     
5.91
%
                         
Swaps (cost $5,317,877)
                       
Interest rate
           
5,438,042
     
7.85
%
Total swaps
           
5,438,042
     
7.85
%

35

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2024:
 
Description
 
Notional Amount
   
Fair Value
   
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd. (continued)
                 
Derivative financial instruments (continued)
                 
Short contracts
                 
Futures
                 
Commodity
       
$
(1,957,693
)
   
(2.83
)%
Currency
         
884
     
0.00
%
Foreign bond
         
21,533
     
0.03
%
Foreign index
         
(221,566
)
   
(0.32
)%
Interest rate
         
28,618
     
0.04
%
U.S. bond
         
1,063
     
0.00
%
U.S. index
         
(91,155
)
   
(0.13
)%
Total futures
         
(2,218,316
)
   
(3.21
)%
                       
Forwards
                     
British pound / U.S. dollar 12/18/2024
 
£
(3,211,000
)
   
(36,711
)
   
(0.05
)%
Other foreign currency
           
(5,254,369
)
   
(7.59
)%
Total forwards
           
(5,291,080
)
   
(7.64
)%
                         
Swaps (proceeds $2,421,327)
                       
Interest rate
           
(1,950,962
)
   
(2.82
)%
Total swaps
           
(1,950,962
)
   
(2.82
)%
Total derivative financial instruments
         
$
19,102,856
     
27.58
%

36

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, 2024:

   
Graham
Commodity
Strategies LLC
   
Graham
Derivatives
Strategies LLC
   
Graham
K4D Trading Ltd.
 
Assets
                 
Level 1:
                 
Commodity futures
 
$
1,182,360
   
$
61,013
   
$
9,685,891
 
Commodity futures options
   
83,950
     
2,129,490
     
 
Currency futures
   
     
     
37,946
 
Exchange memberships*
   
8,806,413
     
362,750
     
2,053,636
 
Foreign bond futures
   
3,351,916
     
18,268
     
2,920,627
 
Foreign index futures
   
234,435
     
38,783
     
7,962,115
 
Interest rate futures
   
14,480
     
     
750,743
 
Interest rate futures options
   
146,211
     
300,184
     
 
U.S. bond futures
   
9,494,632
     
842,985
     
313,336
 
U.S. bond futures options
   
150,891
     
3,871,375
     
 
U.S. index futures
   
     
148,683
     
1,686,032
 
U.S. index futures options
   
60,458
     
12,830,813
     
 
Total Level 1
   
23,525,746
     
20,604,344
     
25,410,326
 
                         
Level 2:
                       
Currency futures options
   
1,921,948
     
10,294,226
     
 
Foreign currency forwards
   
1,451,443
     
388,228
     
5,565,534
 
Government bonds*
   
     
     
13,804,379
 
Interest rate swaps
   
     
     
5,583,125
 
Total Level 2
   
3,373,391
     
10,682,454
     
24,953,038
 
Total investment related assets
 
$
26,899,137
   
$
31,286,798
   
$
50,363,364
 
                         
Liabilities
                       
Level 1:
                       
Commodity futures
 
$
(145,965
)
 
$
(209,903
)
 
$
(3,827,321
)
Commodity futures options
   
(95,620
)
   
(1,301,860
)
   
 
Currency futures
   
     
     
(83,591
)
Foreign bond futures
   
(1,613,321
)
   
(37,595
)
   
(907,270
)
Foreign index futures
   
(2,766,776
)
   
(491,213
)
   
(804,154
)
Interest rate futures
   
(234,509
)
   
     
(104,390
)
Interest rate futures options
   
(142,852
)
   
(83,624
)
   
 
U.S. bond futures
   
(13,106,312
)
   
(234,508
)
   
(722,042
)
U.S. bond futures options
   
(109,711
)
   
(1,501,391
)
   
 
U.S. index futures
   
(502,113
)
   
(56,888
)
   
(91,155
)
U.S. index futures options
   
(8,440
)
   
(9,562,113
)
   
 
Total Level 1
   
(18,725,619
)
   
(13,479,095
)
   
(6,539,923
)
                         
Level 2:
                       
Currency futures options
   
(1,064,200
)
   
(839,310
)
   
 
Foreign currency forwards
   
(319,108
)
   
(170,580
)
   
(6,766,525
)
Interest rate swaps
   
     
     
(2,096,045
)
Total Level 2
   
(1,383,308
)
   
(1,009,890
)
   
(8,862,570
)
Total investment related liabilities
 
$
(20,108,927
)
 
$
(14,488,985
)
 
$
(15,402,493
)

* See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.
 
37

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, 2024. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at September 30, 2024 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
 
$
132,767,385
     
970
   
$
(10,089,733
)
   
(130
)
 
$
1,182,360
   
$
(145,965
)
Options (a)
   
1,009,746
     
41
     
(838,594
)
   
(75
)
   
83,950
     
(95,620
)
     
133,777,131
     
1,011
     
(10,928,327
)
   
(205
)
   
1,266,310
     
(241,585
)
                                                 
Equity price
                                               
Futures
   
122,061,270
     
633
     
(227,888,976
)
   
(1,752
)
   
234,435
     
(3,268,889
)
Options (a)
   
6,492,159
     
310
     
(10,232,498
)
   
(534
)
   
60,458
     
(8,440
)
     
128,553,429
     
943
     
(238,121,474
)
   
(2,286
)
   
294,893
     
(3,277,329
)
Foreign currency exchange rate
                                         
Forwards
   
432,501,959
     
N/A
     
(570,366,887
)
   
N/A
     
1,451,443
     
(319,108
)
Options (a)
   
73,146,515
     
37
     
(68,048,395
)
   
(31
)
   
1,921,948
     
(1,064,200
)
     
505,648,474
     
37
     
(638,415,282
)
   
(31
)
   
3,373,391
     
(1,383,308
)
                                                 
Interest rate
                                               
Futures
   
4,012,430,881
     
22,371
     
(503,479,884
)
   
(3,149
)
   
12,861,028
     
(14,954,142
)
Options (a)
   
35,289,273
     
721
     
(35,206,526
)
   
(1,584
)
   
297,102
     
(252,563
)
     
4,047,720,154
     
23,092
     
(538,686,410
)
   
(4,733
)
   
13,158,130
     
(15,206,705
)
Total
 
$
4,815,699,188
     
25,083
   
$
(1,426,151,493
)
   
(7,255
)
 
$
18,092,724
   
$
(20,108,927
)
 
(a)
Notional amounts for options are based on the delta-adjusted positions.
 
38

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Derivatives Strategies LLC based on its average quarterly notional amounts and number of contracts for the nine months ended September 30, 2024. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at September 30, 2024 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
 
$
56,790,272
     
395
   
$
(13,938,892
)
   
(104
)
 
$
61,013
   
$
(209,903
)
Options (a)
   
103,999,797
     
1,830
     
(63,437,054
)
   
(2,235
)
   
2,129,490
     
(1,301,860
)
     
160,790,069
     
2,225
     
(77,375,946
)
   
(2,339
)
   
2,190,503
     
(1,511,763
)
                                                 
Equity price
                                               
Futures
   
147,289,323
     
1,542
     
(49,111,007
)
   
(554
)
   
187,466
     
(548,101
)
Options (a)
   
313,992,032
     
2,932
     
(291,457,554
)
   
(3,101
)
   
12,830,813
     
(9,562,113
)
     
461,281,355
     
4,474
     
(340,568,561
)
   
(3,655
)
   
13,018,279
     
(10,110,214
)
Foreign currency exchange rate
                                         
Forwards
   
263,679,587
     
N/A
     
(431,508,306
)
   
N/A
     
388,228
     
(170,580
)
Options (a)
   
575,108,939
     
23
     
(464,716,233
)
   
(20
)
   
10,294,226
     
(839,310
)
     
838,788,526
     
23
     
(896,224,539
)
   
(20
)
   
10,682,454
     
(1,009,890
)
                                                 
Interest rate
                                               
Futures
   
356,074,702
     
1,953
     
(439,607,201
)
   
(2,780
)
   
861,253
     
(272,103
)
Options (a)
   
609,448,985
     
21,851
     
(590,986,789
)
   
(21,076
)
   
4,171,559
     
(1,585,015
)
     
965,523,687
     
23,804
     
(1,030,593,990
)
   
(23,856
)
   
5,032,812
     
(1,857,118
)
Total
 
$
2,426,383,637
     
30,526
   
$
(2,344,763,036
)
   
(29,870
)
 
$
30,924,048
   
$
(14,488,985
)
 
(a)
Notional amounts for options are based on the delta-adjusted positions.
 
39

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, 2024. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at September 30, 2024 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
 
$
194,963,797
     
1,995
   
$
(110,634,873
)
   
(2,730
)
 
$
9,685,891
   
$
(3,827,321
)
     
194,963,797
     
1,995
     
(110,634,873
)
   
(2,730
)
   
9,685,891
     
(3,827,321
)
                                                 
Equity price
                                               
Futures
   
401,594,863
     
3,011
     
(35,851,021
)
   
(382
)
   
9,648,147
     
(895,309
)
     
401,594,863
     
3,011
     
(35,851,021
)
   
(382
)
   
9,648,147
     
(895,309
)
Foreign currency exchange rate
                                         
Forwards
   
241,806,700
     
N/A
     
(533,973,820
)
   
N/A
     
5,565,534
     
(6,766,525
)
Futures
   
16,890,723
     
169
     
(3,995,880
)
   
(56
)
   
37,946
     
(83,591
)
     
258,697,423
     
169
     
(537,969,700
)
   
(56
)
   
5,603,480
     
(6,850,116
)
                                                 
Interest rate
                                               
Futures
   
841,175,389
     
4,778
     
(1,251,027,885
)
   
(6,753
)
   
3,984,706
     
(1,733,702
)
Swaps
   
176,736,781
     
65
     
(188,362,016
)
   
(55
)
   
5,583,125
     
(2,096,045
)
     
1,017,912,170
     
4,843
     
(1,439,389,901
)
   
(6,808
)
   
9,567,831
     
(3,829,747
)
Total
 
$
1,873,168,253
     
10,018
   
$
(2,123,845,495
)
   
(9,976
)
 
$
34,505,349
   
$
(15,402,493
)

40

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, 2024 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
 
$
18,092,724
   
$
(16,102,641
)
 
$
1,990,083
   
$
   
$
1,990,083
 
Derivative liabilities
 
$
(20,108,927
)
 
$
16,102,641
   
$
(4,006,286
)
 
$
4,006,286
   
$
 
                                         
Graham Derivatives Strategies LLC2
                                 
Derivative assets
 
$
30,924,048
   
$
(14,488,985
)
 
$
16,435,063
   
$
   
$
16,435,063
 
Derivative liabilities
 
$
(14,488,985
)
 
$
14,488,985
   
$
   
$
   
$
 
                                         
Graham K4D Trading Ltd.3
                                       
Derivative assets
 
$
34,505,349
   
$
(15,402,493
)
 
$
19,102,856
   
$
   
$
19,102,856
 
Derivative liabilities
 
$
(15,402,493
)
 
$
15,402,493
   
$
   
$
   
$
 
 
1 Net derivative asset and liability amounts presented in the statements of financial condition are held with two counterparties. At September 30, 2024, additional collateral pledged in the amount of $70,962,453 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.
 
2 Net derivative asset amounts presented in the statements of financial condition are held with two counterparties. At September 30, 2024, additional collateral pledged in the amount of $13,301,398 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.
 
3 Net derivative asset amounts presented in the statements of financial condition are held with two counterparties. At September 30, 2024, additional collateral pledged in the amount of $34,196,959 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.
 
41

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, 2024:
 
   
Graham
Commodity
Strategies LLC
   
Graham
Derivatives
Strategies LLC
   
Graham K4D
Trading Ltd.
 
                   
Net investment income
 
$
893,350
   
$
136,476
   
$
318,983
 
                         
Net realized (loss) gain on investments
   
(3,411,518
)
   
8,772,859
     
(78,295,717
)
Net (decrease) increase in unrealized appreciation on investments
   
(7,232,593
)
   
(3,067,987
)
   
9,371,963
 
Brokerage commissions and fees
   
(292,443
)
   
(904,964
)
   
(92,098
)
Net (loss) gain on investments
   
(10,936,554
)
   
4,799,908
     
(69,015,852
)
Net (loss) income
 
$
(10,043,204
)
 
$
4,936,384
   
$
(68,696,869
)

The following table summarizes the results of operations of each Master Fund for the nine months ended September 30, 2024:
 
   
Graham
Commodity
Strategies LLC
   
Graham
Derivatives
Strategies LLC
   
Graham K4D
Trading Ltd.
 
                   
Net investment income
 
$
2,468,416
   
$
548,764
   
$
661,597
 
                         
Net realized gain (loss) on investments
   
49,451,520
     
(16,831,919
)
   
(32,201,782
)
Net (decrease) increase in unrealized appreciation on investments
   
(4,322,866
)
   
(4,294,445
)
   
35,802,085
 
Brokerage commissions and fees
   
(802,607
)
   
(2,533,456
)
   
(282,354
)
Net gain (loss) on investments
   
44,326,047
     
(23,659,820
)
   
3,317,949
 
Net income (loss)
 
$
46,794,463
   
$
(23,111,056
)
 
$
3,979,546
 

42

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)

The following table shows the gains and losses on all derivative instruments held by the Master Funds reported in net realized (loss) 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 three months ended September 30, 2024:
 
   
Graham Commodity
Strategies LLC
   
Graham Derivatives
Strategies LLC
   
Graham K4D
Trading Ltd.
 
   
Net realized
gain
   
Net decrease in
unrealized
appreciation
on
investments
   
Net realized
loss
   
Net decrease in
unrealized
appreciation
on
investments
   
Net realized
loss
   
Net increase
in unrealized
appreciation
on
investments
 
Commodity price
                               
Futures
 
$
8,056,520
   
$
1,164,843
   
$
1,058,142
   
$
(175,372
)
 
$
(8,619,059
)
 
$
2,016,866
 
Options
   
95,451
     
(23,930
)
   
2,136,750
     
937,950
     
     
 
     
8,151,971
     
1,140,913
     
3,194,892
     
762,578
     
(8,619,059
)
   
2,016,866
 
Equity price
                                               
Futures
   
(1,933,283
)
   
(3,952,561
)
   
(5,105,596
)
   
(194,413
)
   
(31,535,456
)
   
9,472,479
 
Options
   
(200,356
)
   
(41,745
)
   
759,837
     
(718,497
)
   
     
 
     
(2,133,639
)
   
(3,994,306
)
   
(4,345,759
)
   
(912,910
)
   
(31,535,456
)
   
9,472,479
 
Foreign currency exchange rate
                                         
Forwards
   
(1,759,438
)
   
840,597
     
(3,349
)
   
215,820
     
(13,572,824
)
   
(7,497,714
)
Futures
   
     
     
     
     
(589,139
)
   
(184,838
)
Options
   
(103,140
)
   
266,766
     
(8,271,763
)
   
(4,290,573
)
   
     
 
     
(1,862,578
)
   
1,107,363
     
(8,275,112
)
   
(4,074,753
)
   
(14,161,963
)
   
(7,682,552
)
Interest rate
                                               
Futures
   
19,334,197
     
(7,594,683
)
   
1,659,930
     
239,673
     
(23,183,617
)
   
5,138,540
 
Options
   
49,443
     
39,247
     
1,143,007
     
53,241
     
     
 
Swaps
   
     
     
     
     
(285,374
)
   
131,051
 
     
19,383,640
     
(7,555,436
)
   
2,802,937
     
292,914
     
(23,468,991
)
   
5,269,591
 
Total
 
$
23,539,394
   
$
(9,301,466
)
 
$
(6,623,042
)
 
$
(3,932,171
)
 
$
(77,785,469
)
 
$
9,076,384
 

43

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)

The following table shows the gains and losses on all derivative instruments held by the Master Funds reported in net realized gain (loss) and net increase (decrease) 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, 2024:

   
Graham Commodity
Strategies LLC
   
Graham Derivatives
Strategies LLC
   
Graham K4D
Trading Ltd.
 
   
Net realized
gain
   
Net decrease in
unrealized
appreciation
on
investments
   
Net realized
loss
   
Net decrease in
unrealized
appreciation
on
investments
   
Net realized
loss
   
Net increase in
unrealized
appreciation
on
investments
 
Commodity price
                               
Futures
 
$
15,240,927
   
$
1,040,896
   
$
10,429,896
   
$
(202,975
)
 
$
1,252,950
   
$
10,689,598
 
Options
   
62,878
     
(21,230
)
   
6,407,243
     
541,862
     
     
 
     
15,303,805
     
1,019,666
     
16,837,139
     
338,887
     
1,252,950
     
10,689,598
 
Equity price
                                               
Futures
   
9,668,676
     
(4,083,936
)
   
(7,796,564
)
   
(360,635
)
   
1,708,514
     
7,294,126
 
Options
   
(262,481
)
   
46,568
     
(4,681,795
)
   
1,392,834
     
     
 
     
9,406,195
     
(4,037,368
)
   
(12,478,359
)
   
1,032,199
     
1,708,514
     
7,294,126
 
Foreign currency exchange rate
                                         
Forwards
   
(8,467,143
)
   
(764,040
)
   
2,092,677
     
269,668
     
(12,526,423
)
   
7,466,442
 
Futures
   
     
     
     
     
(224,103
)
   
210,238
 
Options
   
(399,730
)
   
52,818
     
(33,189,436
)
   
(7,217,054
)
   
     
 
     
(8,866,873
)
   
(711,222
)
   
(31,096,759
)
   
(6,947,386
)
   
(12,750,526
)
   
7,676,680
 
Interest rate
                                               
Futures
   
40,930,419
     
(3,099,635
)
   
(8,334,632
)
   
827,493
     
(22,298,827
)
   
9,361,953
 
Options
   
146,974
     
93,876
     
2,188,476
     
(452,681
)
   
     
 
Swaps
   
     
     
     
     
(167,010
)
   
436,935
 
     
41,077,393
     
(3,005,759
)
   
(6,146,156
)
   
374,812
     
(22,465,837
)
   
9,798,888
 
Total
 
$
56,920,520
   
$
(6,734,683
)
 
$
(32,884,135
)
 
$
(5,201,488
)
 
$
(32,254,899
)
 
$
35,459,292
 

44

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, 2023:
 
   
Graham
Commodity
Strategies LLC
(Delaware)
   
Graham
Derivatives
Strategies LLC
(Delaware)
   
Graham K4D
Trading Ltd.
(BVI)
 
Assets:
                 
Due from brokers
 
$
67,777,624
   
$
8,226,511
   
$
55,367,914
 
Derivative financial instruments, at fair value
   
3,978,730
     
17,283,720
     
 
Fixed income securities owned, at fair value
   
     
     
17,871,161
 
Exchange memberships, at fair value
   
8,262,668
     
309,500
     
1,857,583
 
Interest receivable
   
191,095
     
30,734
     
193,267
 
Dividend receivable
   
130,451
     
     
18,577
 
Total assets
   
80,340,568
     
25,850,465
     
75,308,502
 
                         
Liabilities:
                       
Derivative financial instruments, at fair value
   
     
     
19,078,924
 
Interest payable
   
12,034
     
4,841
     
95,578
 
Total liabilities
   
12,034
     
4,841
     
19,174,502
 
Members’ Capital / Net Assets
 
$
80,328,534
   
$
25,845,624
   
$
56,134,000
 
                         
Percentage of Master Fund held by GAIT
   
3.15
%
   
3.29
%
   
5.72
%

45

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, 2023:
 
Description
 
Number of
Contracts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC
                 
Exchange memberships (cost $3,649,411)
                 
United States (cost $3,649,411)
                 
Financial services (cost $3,649,411)
       
$
8,262,668
     
10.29
%
Total exchange memberships
       
$
8,262,668
     
10.29
%
                       
Derivative financial instruments
                     
Long contracts
                     
Futures
                     
Commodity
       
$
(4,505
)
   
(0.01
)%
Foreign bond
         
677,960
     
0.84
%
Foreign index
         
65,005
     
0.08
%
Interest rate
         
29,888
     
0.04
%
U.S. bond
                     
U.S. 2 yr Note (CBT) March 2024
   
15,357
     
11,168,461
     
13.90
%
U.S. 5 yr – 10 yr Note (CBT) March 2024
   
107
     
141,258
     
0.18
%
U.S. index
           
205,373
     
0.26
%
Total futures
           
12,283,440
     
15.29
%
                         
Forwards
                       
Foreign currency
           
(797,157
)
   
(0.99
)%
Total forwards
           
(797,157
)
   
(0.99
)%
                         
Options (cost $174,493)
                       
Currency futures
           
50,504
     
0.06
%
Foreign bond futures
           
12,874
     
0.02
%
U.S. bond futures
                       
U.S. 5 yr Note January 2024, $108.00 Put
   
1
     
10,313
     
0.01
%
Total options
         
$
73,691
     
0.09
%

46

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, 2023:
 
Description
 
Number of
Contracts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued)
                 
Derivative financial instruments (continued)
                 
Short contracts
                 
Futures
                 
Foreign bond
       
$
(1,853,184
)
   
(2.31
)%
Foreign index
         
2,695
     
0.00
%
Interest rate
         
(70,926
)
   
(0.09
)%
U.S. bond
                     
U.S. 10 yr Note (CBT) March 2024
   
(2,711
)
   
77,750
     
0.10
%
U.S. 10 yr Ultra March 2024
   
(1,822
)
   
(619,281
)
   
(0.77
)%
U.S. Long bond (CBT) March 2024
   
(17
)
   
(46,438
)
   
(0.06
)%
U.S. Ultra bond (CBT) March 2024
   
(2,691
)
   
(8,498,969
)
   
(10.58
)%
U.S. index
           
776,415
     
0.97
%
Total futures
           
(10,231,938
)
   
(12.74
)%
                         
Forwards
                       
Foreign currency
           
2,693,532
     
3.35
%
Total forwards
           
2,693,532
     
3.35
%
                         
Options (proceeds $65,573)
                       
Currency futures
           
(22,321
)
   
(0.02
)%
Foreign bond futures
           
(14,017
)
   
(0.02
)%
U.S. bond futures
                       
U.S. 5 yr Note January 2024, $107.50 Put
   
(1
)
   
(6,500
)
   
(0.01
)%
Total options
           
(42,838
)
   
(0.05
)%
Total derivative financial instruments
         
$
3,978,730
     
4.95
%

47

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, 2023:
 
Description
 
Number of
Contracts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Derivatives Strategies LLC
                 
Exchange memberships (cost $305,000)
                 
United States (cost $305,000)
                 
Financial services (cost $305,000)
       
$
309,500
     
1.20
%
Total exchange memberships
       
$
309,500
     
1.20
%
                       
Derivative financial instruments
                     
Long contracts
                     
Futures
                     
U.S. bond
       
$
51,625
     
0.20
%
Total futures
         
51,625
     
0.20
%
                       
Forwards
                     
Foreign currency
         
(56,004
)
   
(0.22
)%
Total forwards
         
(56,004
)
   
(0.22
)%
                       
Options (cost $24,320,709)
                     
Commodity futures
                     
Gold Future (CMX) February 2024, $2,100.00 Call
   
1
     
1,372,800
     
5.31
%
Other commodity futures
           
170,470
     
0.66
%
Currency futures
                       
Australian dollar / U.S. dollar (Digital) February 2024, $0.70 - $0.71 Call
   
2
     
1,771,906
     
6.86
%
Euro dollar / Japanese yen January 2024 - February 2024, $151.00 – $152.00 Put
   
3
     
1,755,256
     
6.79
%
Euro dollar / Japanese yen (Digital) January 2024, $152.50 Put
   
1
     
744,969
     
2.88
%
British pound / U.S. dollar (Digital) January 2024, $1.29 Call
   
1
     
876,558
     
3.39
%
British pound / U.S. dollar January 2024, $1.29 Call
   
1
     
620,117
     
2.40
%
U.S. dollar / Japanese yen (Digital) April 2024 - October 2024, $160.00 –  $170.00 Call
   
2
     
115,800
     
0.45
%
U.S. dollar / Japanese yen February 2024, $153.75 Call
   
1
     
5,130
     
0.02
%
U.S. dollar / Japanese yen (Digital) March 2024, $136.00 Put
   
1
     
3,320,200
     
12.85
%
U.S. dollar / Japanese yen (Digital) February 2024, $138.00 Put
   
1
     
1,583,373
     
6.13
%
U.S. dollar / Japanese yen (Digital) January 2024, $140.00 Put
   
1
     
1,624,029
     
6.28
%
U.S. dollar / Japanese yen (Digital) January 2024, $137.00 Put
   
1
     
300,651
     
1.16
%
U.S. dollar / Japanese yen January 2024, $142.00 Put
   
1
     
1,957,039
     
7.57
%
U.S. dollar / Japanese yen March 2024, $139.00 Put
   
1
     
1,571,700
     
6.08
%
U.S. dollar / Mexican peso (Digital) April 2024, $16.65 Put
   
1
     
1,627,995
     
6.30
%
U.S. dollar / Mexican peso (Digital) February 2024, $16.60 Put
   
1
     
1,117,798
     
4.32
%
U.S. dollar / Mexican peso February 2024, $16.75 Put
   
1
     
866,850
     
3.35
%
Other currency futures
           
106,233
     
0.42
%

48

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, 2023:
 
Description
 
Number of
Contracts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Derivatives Strategies LLC (continued)
                 
Derivative financial instruments (continued)
                 
Long contracts (continued)
                 
Options (continued)
                 
U.S. index futures
                 
S&P 500 E-mini June 2024, $5,200.00 Call
   
1
   
$
1,338,638
     
5.18
%
S&P 500 E-mini June 2024, $4,400.00 Put
   
1
     
2,036,700
     
7.88
%
Total options
           
24,884,212
     
96.28
%
                         
Short contracts
                       
Futures
                       
Commodity
           
54,090
     
0.21
%
Foreign bond
           
(9,715
)
   
(0.04
)%
U.S. bond
           
(280,258
)
   
(1.08
)%
Total futures
           
(235,883
)
   
(0.91
)%
                         
Forwards
                       
Foreign currency
           
3,984
     
0.02
%
Total forwards
           
3,984
     
0.02
%
                         
Options (proceeds $9,527,626)
                       
Commodity futures
                       
Gold Future (CMX) February 2024, $2,150.00 Call
   
(1
)
   
(622,050
)
   
(2.41
)%
Other commodity
           
(21,270
)
   
(0.08
)%
Currency futures
                       
British pound / U.S. dollar January 2024, $1.31 Call
   
(1
)
   
(144,386
)
   
(0.56
)%
Euro / Japanese yen January 2024 - February 2024, $147.00 –  $148.00 Put
   
(2
)
   
(846,799
)
   
(3.28
)%
U.S. dollar / Japanese yen February 2024, $158.25 Call
   
(1
)
   
(255
)
   
(0.00
)%
U.S. dollar / Japanese yen January 2024 - March 2024, $135.00 – $138.00 Put
   
(2
)
   
(2,082,822
)
   
(8.06
)%
U.S. dollar / Mexican peso February 2024, $16.25 Put
   
(1
)
   
(172,744
)
   
(0.67
)%
U.S. index futures
                       
S&P 500 E-mini June 2024, $5,100.00 Call
   
(1
)
   
(2,225,588
)
   
(8.61
)%
S&P 500 E-mini June 2024, $4,150.00 Put
   
(1
)
   
(1,248,300
)
   
(4.83
)%
Total options
           
(7,364,214
)
   
(28.50
)%
Total derivative financial instruments
         
$
17,283,720
     
66.87
%

49

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, 2023:
 
Description
 
Principal Amount/
Number of Contracts/
Notional Amounts
   
Fair Value
   
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd.
                 
Fixed income securities (cost $17,749,920)
                 
Government Bonds (cost $17,749,920)
                 
United States (cost $17,749,920)
                 
U.S. Treasury Bills 0.00% due 02/20/2024
 
$
18,000,000
   
$
17,871,161
     
31.84
%
Total Government Bonds
           
17,871,161
     
31.84
%
Total fixed income securities
         
$
17,871,161
     
31.84
%
                         
Exchange memberships (cost $1,924,208)
                       
United States (cost $1,924,208)
                       
Financial services (cost $1,924,208)
         
$
1,857,583
     
3.31
%
Total exchange memberships
         
$
1,857,583
     
3.31
%
                         
Derivative financial instruments
                       
Long contracts
                       
Futures
                       
Commodity
         
$
(2,604,370
)
   
(4.64
)%
Currency
           
(221,661
)
   
(0.39
)%
Foreign bond
           
1,513,055
     
2.70
%
Foreign index
           
1,113,650
     
1.98
%
Interest rate
           
680,630
     
1.21
%
U.S. bond
                       
U.S. Ultra bond (CBT) March 2024
   
12
     
52,891
     
0.09
%
U.S. index
           
1,454,042
     
2.59
%
Total futures
           
1,988,237
     
3.54
%
                         
Swaps (cost $1,800,380)
                       
Interest rate
           
2,181,752
     
3.89
%
Total swaps
           
2,181,752
     
3.89
%
                         
Forwards
                       
Swiss franc / U.S. dollar 3/20/2024
 
18,113,000
     
172,710
     
0.31
%
Swiss franc / U.S. dollar 1/4/2024
 
4,741,000
     
(13,931
)
   
(0.02
)%
Swiss franc / U.S. dollar 1/3/2024
 
3,596,000
     
(21,089
)
   
(0.04
)%
Other foreign currency
           
1,706,013
     
3.03
%
Total forwards
           
1,843,703
     
3.28
%

50

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, 2023:
 
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
       
$
(2,226,656
)
   
(3.97
)%
Currency
         
(34,224
)
   
(0.06
)%
Foreign bond
         
(2,133,085
)
   
(3.80
)%
Foreign index
         
(523,201
)
   
(0.93
)%
Interest rate
         
(1,574,712
)
   
(2.81
)%
U.S. bond
                     
U.S 2yr - 10yr Note (CBT) March 2024
   
(2,895
)
   
(5,052,790
)
   
(9.00
)%
U.S. Long bond (CBT) March 2024
   
(4
)
   
(596,937
)
   
(1.06
)%
U.S. index
           
(585,780
)
   
(1.04
)%
Total futures
           
(12,727,385
)
   
(22.67
)%
 
                       
Swaps (proceeds $1,626,318)
                       
Interest rate
           
(1,854,095
)
   
(3.30
)%
Total swaps
           
(1,854,095
)
   
(3.30
)%
 
                       
Forwards
                       
Swiss franc / U.S. dollar 3/20/2024
 
(69,733,000
)
   
(3,150,299
)
   
(5.61
)%
Swiss franc / U.S. dollar 1/4/2024
 
(4,741,000
)
   
(5,033
)
   
(0.01
)%
Swiss franc / U.S. dollar 1/3/2024
 
(3,596,000
)
   
10,015
     
0.02
%
Other foreign currency
           
(7,365,819
)
   
(13.13
)%
Total forwards
           
(10,511,136
)
   
(18.73
)%
Total derivative financial instruments
         
$
(19,078,924
)
   
(33.99
)%

51

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, 2023:
 
   
Graham
Commodity
Strategies LLC
   
Graham
Derivatives
Strategies LLC
   
Graham
K4D Trading
Ltd.
 
Assets
                 
Level 1:
                 
Commodity futures
 
$
171,705
   
$
54,090
   
$
1,998,827
 
Commodity futures options
   
     
1,543,270
     
 
Currency futures
   
     
     
24,143
 
Exchange memberships*
   
8,262,668
     
309,500
     
1,857,583
 
Foreign bond futures
   
1,478,131
     
     
1,850,384
 
Foreign bond futures options
   
12,873
     
     
 
Foreign index futures
   
67,700
     
     
2,199,865
 
Interest rate futures
   
29,888
     
     
680,630
 
U.S. bond futures
   
11,390,249
     
302,531
     
52,891
 
U.S. bond futures options
   
10,313
     
     
 
U.S. index futures
   
981,788
     
     
1,454,042
 
U.S. index futures options
   
     
3,375,338
     
 
Total Level 1
   
22,405,315
     
5,584,729
     
10,118,365
 
                         
Level 2:
                       
Government bonds*
   
     
     
17,871,161
 
Foreign currency forwards
   
5,192,010
     
1,324,819
     
2,262,695
 
Currency futures options
   
50,504
     
19,965,603
     
 
Interest rate swap
   
     
     
2,213,846
 
Total Level 2
   
5,242,514
     
21,290,422
     
22,347,702
 
Total investment related assets
 
$
27,647,829
   
$
26,875,151
   
$
32,466,067
 
                         
Liabilities
                       
Level 1:
                       
Commodity futures
 
$
(176,210
)
 
$
   
$
(6,829,853
)
Commodity futures options
   
     
(643,320
)
   
 
Currency futures
   
     
     
(280,028
)
Foreign bond futures
   
(2,653,355
)
   
(9,715
)
   
(2,470,414
)
Foreign index futures
   
     
     
(1,609,416
)
Foreign bond futures options
   
(14,016
)
   
     
 
Interest rate futures
   
(70,926
)
   
     
(1,574,712
)
U.S. bond futures
   
(9,167,468
)
   
(531,164
)
   
(5,649,727
)
U.S. bond futures options
   
(6,500
)
   
     
 
U.S. index futures
   
     
     
(585,780
)
U.S. index futures options
   
     
(3,473,888
)
   
 
Total Level 1
   
(12,088,475
)
   
(4,658,087
)
   
(18,999,930
)
                         
Level 2:
                       
Foreign currency forwards
   
(3,295,635
)
   
(1,376,839
)
   
(10,930,128
)
Currency futures options
   
(22,321
)
   
(3,247,005
)
   
 
Interest rate swap
   
     
     
(1,886,189
)
Total Level 2
   
(3,317,956
)
   
(4,623,844
)
   
(12,816,317
)
Total investment related liabilities
 
$
(15,406,431
)
 
$
(9,281,931
)
 
$
(31,816,247
)
 
* See each Master Fund’s condensed schedule of investments for breakout of industry and geographic region.
 
52

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, 2023. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at December 31, 2023 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the Master Funds’ statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
   
Long exposure
   
Short exposure
             
   
Notional
Amounts
   
Number
of
contracts
   
Notional
amounts
   
Number
of
contracts
   
Derivative
assets
   
Derivative
liabilities
 
Commodity price
                                   
Futures
 
$
109,702,429
     
807
   
$
(15,070,036
)
   
(182
)
 
$
171,705
   
$
(176,210
)
     
109,702,429
     
807
     
(15,070,036
)
   
(182
)
   
171,705
     
(176,210
)
Equity price
                                               
Futures
   
138,206,254
     
689
     
(134,257,335
)
   
(1,076
)
   
1,049,488
     
 
Options (a)
   
     
43
     
(1,879,741
)
   
     
     
 
     
138,206,254
     
732
     
(136,137,076
)
   
(1,076
)
   
1,049,488
     
 
Foreign currency exchange rate
                                         
Forwards
   
2,292,673,849
     
N/A
     
(833,459,383
)
   
N/A
     
5,192,010
     
(3,295,635
)
Options (a)
   
23,660,693
     
8
     
(19,168,648
)
   
(9
)
   
50,504
     
(22,321
)
     
2,316,334,542
     
8
     
(852,628,031
)
   
(9
)
   
5,242,514
     
(3,317,956
)
Interest rate
                                               
Futures
   
3,089,931,876
     
14,725
     
(1,546,576,175
)
   
(8,370
)
   
12,898,268
     
(11,891,749
)
Options (a)
   
257,574,397
     
7,508
     
(322,622,545
)
   
(7,566
)
   
23,186
     
(20,516
)
     
3,347,506,273
     
22,233
     
(1,869,198,720
)
   
(15,936
)
   
12,921,454
     
(11,912,265
)
Total
 
$
5,911,749,498
     
23,780
   
$
(2,873,033,863
)
   
(17,203
)
 
$
19,385,161
   
$
(15,406,431
)

(a)
Notional amounts for options are based on the delta-adjusted positions.
 
53

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Derivatives Strategies LLC based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2023. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at December 31, 2023 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the Master Funds’ statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
   
Long exposure
   
Short exposure
       
   
Notional
Amounts
   
Number
of
contracts
   
Notional
amounts
   
Number
of
contracts
   
Derivative
assets
   
Derivative
liabilities
 
Commodity price
                                   
Futures
 
$
2,310,857
     
28
   
$
(12,904,287
)
   
(71
)
 
$
54,090
   
$
 
Options (a)
   
147,135,525
     
1,797
     
(47,380,653
)
   
(1,662
)
   
1,543,270
     
(643,320
)
     
149,446,382
     
1,825
     
(60,284,940
)
   
(1,733
)
   
1,597,360
     
(643,320
)
Equity price
                                               
Futures
   
84,442,167
     
856
     
(4,919,209
)
   
(21
)
   
     
 
Options (a)
   
121,976,301
     
2,594
     
(84,382,436
)
   
(2,571
)
   
3,375,338
     
(3,473,888
)
     
206,418,468
     
3,450
     
(89,301,645
)
   
(2,592
)
   
3,375,338
     
(3,473,888
)
Foreign currency exchange rate
                                         
Forwards
   
245,520,127
     
N/A
     
(209,235,657
)
   
N/A
     
1,324,819
     
(1,376,839
)
Options (a)
   
398,135,064
     
14
     
(494,064,723
)
   
(16
)
   
19,965,603
     
(3,247,005
)
     
643,655,191
     
14
     
(703,300,380
)
   
(16
)
   
21,290,422
     
(4,623,844
)
Interest rate
                                               
Futures
   
742,525,225
     
4,719
     
(332,098,974
)
   
(2,324
)
   
302,531
     
(540,879
)
Options (a)
   
2,015,886,152
     
32,387
     
(1,864,926,242
)
   
(32,930
)
   
     
 
     
2,758,411,377
     
37,106
     
(2,197,025,216
)
   
(35,254
)
   
302,531
     
(540,879
)
Total
 
$
3,757,931,418
     
42,395
   
$
(3,049,912,181
)
   
(39,595
)
 
$
26,565,651
   
$
(9,281,931
)

(a)
Notional amounts for options are based on the delta-adjusted positions.
 
54

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, 2023. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at December 31, 2023 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the Master Funds’ statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.
 
   
Long exposure
   
Short exposure
             
   
Notional
amounts
   
Number
of
contracts
   
Notional
amounts
   
Number
of
contracts
   
Derivative
assets
   
Derivative
liabilities
 
Commodity price
                                   
Futures
 
$
115,852,179
     
1,611
   
$
(71,609,598
)
   
(1,507
)
 
$
1,998,827
   
$
(6,829,853
)
     
115,852,179
     
1,611
     
(71,609,598
)
   
(1,507
)
   
1,998,827
     
(6,829,853
)
                                                 
Equity price
                                               
Futures
   
249,023,852
     
2,158
     
(52,531,849
)
   
(534
)
   
3,653,907
     
(2,195,196
)
     
249,023,852
     
2,158
     
(52,531,849
)
   
(534
)
   
3,653,907
     
(2,195,196
)
                                                 
Foreign currency exchange rate
                                         
Forwards
   
214,292,847
     
N/A
     
(386,443,669
)
   
N/A
     
2,262,695
     
(10,930,128
)
Futures
   
15,633,977
     
159
     
(4,036,374
)
   
(55
)
   
24,143
     
(280,028
)
     
229,926,824
     
159
     
(390,480,043
)
   
(55
)
   
2,286,838
     
(11,210,156
)
                                                 
Interest rate
                                               
Futures
   
201,077,632
     
1,043
     
(1,277,933,031
)
   
(6,952
)
   
2,583,905
     
(9,694,853
)
Swaps
   
55,047,196
     
41
     
(41,168,070
)
   
(61
)
   
2,213,846
     
(1,886,189
)
     
256,124,828
     
1,084
     
(1,319,101,101
)
   
(7,013
)
   
4,797,751
     
(11,581,042
)
Total
 
$
850,927,683
     
5,012
   
$
(1,833,722,591
)
   
(9,109
)
 
$
12,737,323
   
$
(31,816,247
)

55

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, 2023 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and derivative liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.
 
Description
 
Gross
Amount
   
Gross Amount
Offset in
the Statements
of Financial
Condition
   
Net Amount
Presented in
the Statements
of Financial
Condition
   
Collateral
(Received) /
Pledged
   
Net Amount
 
                               
Graham Commodity Strategies LLC1
                         
Derivative assets
 
$
19,385,161
   
$
(15,406,431
)
 
$
3,978,730
   
$
   
$
3,978,730
 
Derivative liabilities
 
$
(15,406,431
)
 
$
15,406,431
   
$
   
$
   
$
 
                                         
Graham Derivatives Strategies LLC2
                                 
Derivative assets
 
$
26,565,651
   
$
(9,281,931
)
 
$
17,283,720
   
$
   
$
17,283,720
 
Derivative liabilities
 
$
(9,281,931
)
 
$
9,281,931
   
$
   
$
   
$
 
                                         
Graham K4D Trading Ltd.3
                                 
Derivative assets
 
$
12,737,323
   
$
(12,737,323
)
 
$
   
$
   
$
 
Derivative liabilities
 
$
(31,816,247
)
 
$
12,737,323
   
$
(19,078,924
)
 
$
19,078,924
   
$
 
 
1 Net derivative asset amounts presented in the statement of financial condition are held with two counterparties. At December 31, 2023, additional collateral pledged in the amount of $67,777,624 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
2 Net derivative asset amounts presented in the statement of financial condition are held with two counterparties. At December 31, 2023, additional collateral pledged in the amount of $8,226,511 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
3 Net derivative liability amounts presented in the statements of financial condition are held with two counterparties. The Fund has pledged collateral to both of those counterparties as of December 31, 2023. At December 31, 2023, additional collateral pledged in the amount of $36,288,990 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.
 
56

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, 2023:
 
   
Graham
Commodity
Strategies LLC
   
Graham
Derivatives
Strategies LLC
   
Graham K4D
Trading Ltd.
 
                   
Net investment income
 
$
805,053
   
$
319,748
   
$
134,632
 
                         
Net realized gain (loss) on investments
   
124,464,523
     
(4,727,183
)
   
32,046,115
 
Net (decrease) increase in unrealized appreciation on investments
   
(12,062,523
)
   
6,705,621
     
(5,336,146
)
Brokerage commissions and fees
   
(443,295
)
   
(730,800
)
   
(59,500
)
Net gain on investments
   
111,958,705
     
1,247,638
     
26,650,469
 
Net income
 
$
112,763,758
   
$
1,567,386
   
$
26,785,101
 

The following table summarizes the results of operations of each Master Fund for the nine months ended September 30, 2023:
 
   
Graham
Commodity
Strategies LLC
   
Graham
Derivatives
Strategies LLC
   
Graham K4D
Trading Ltd.
 
                   
Net investment income
 
$
2,803,043
   
$
820,853
   
$
590,644
 
                         
Net realized gain (loss) on investments
   
159,510,801
     
(15,987,308
)
   
29,676,110
 
Net (decrease) increase in unrealized appreciation on investments
   
(49,889,400
)
   
(9,462,804
)
   
6,784,413
 
Brokerage commissions and fees
   
(1,266,035
)
   
(3,096,823
)
   
(186,783
)
Net gain (loss) on investments
   
108,355,366
     
(28,546,935
)
   
36,273,740
 
Net income (loss)
 
$
111,158,409
   
$
(27,726,082
)
 
$
36,864,384
 

57

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)
 
The following table shows the gains and losses on all derivative instruments held by the Master Funds reported in net realized gain (loss) and net (decrease) increase in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended September 30, 2023:
 
   
Graham Commodity
Strategies LLC
   
Graham Derivatives
Strategies LLC
   
Graham K4D
Trading Ltd.
 
   
Net realized
gain
   
Net decrease in
unrealized
appreciation
on
investments
   
Net realized
loss
   
Net increase in
unrealized
appreciation
on
investments
   
Net realized
gain
   
Net decrease
in unrealized
appreciation
on
investments
 
Commodity price
                                   
Futures
 
$
5,062,363
   
$
(6,543,945
)
 
$
580,190
   
$
69,880
   
$
14,024,102
   
$
4,124,022
 
Options
   
     
     
(4,998,990
)
   
5,704,830
     
     
 
     
5,062,363
     
(6,543,945
)
   
(4,418,800
)
   
5,774,710
     
14,024,102
     
4,124,022
 
Equity price
                                               
Futures
   
33,931,976
     
(3,743,168
)
   
(4,717,752
)
   
(1,073,403
)
   
1,347,519
     
(6,809,115
)
Options
   
(19,788
)
   
17,263
     
4,982,743
     
(856,803
)
   
     
 
     
33,912,188
     
(3,725,905
)
   
264,991
     
(1,930,206
)
   
1,347,519
     
(6,809,115
)
Foreign currency exchange rate
                                               
Forwards
   
3,552,436
     
(2,524,069
)
   
(480,679
)
   
(931,054
)
   
1,690,551
     
(933,520
)
Futures
   
     
     
     
     
188,432
     
30,599
 
Options
   
(655,770
)
   
533,759
     
7,013,838
     
315,371
     
     
 
     
2,896,666
     
(1,990,310
)
   
6,533,159
     
(615,683
)
   
1,878,983
     
(902,921
)
Interest rate
                                               
Futures
   
34,130,790
     
(2,334,944
)
   
(1,279,566
)
   
1,042,973
     
13,158,273
     
(2,215,728
)
Options
   
185,800
     
(176,053
)
   
(5,467,305
)
   
2,020,683
     
     
 
Swaps
   
     
     
     
     
(169,638
)
   
287,615
 
     
34,316,590
     
(2,510,997
)
   
(6,746,871
)
   
3,063,656
     
12,988,635
     
(1,928,113
)
Total
 
$
76,187,807
   
$
(14,771,157
)
 
$
(4,367,521
)
 
$
6,292,477
   
$
30,239,239
   
$
(5,516,127
)

58

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
3. Investments in Master Funds (continued)

The following table shows the gains and losses on all derivative instruments held by the Master Funds reported in net realized gain (loss) and net (decrease) increase in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the nine months ended September 30, 2023:

   
Graham Commodity
Strategies LLC
   
Graham Derivatives
Strategies LLC
   
Graham K4D
Trading Ltd.
 
   
Net realized
gain
   
Net decrease in
unrealized
appreciation
on
investments
   
Net realized
loss
   
Net decrease in
unrealized
appreciation
on
investments
   
Net realized
gain
   
Net increase
in unrealized
appreciation
on
investments
 
Commodity price
                                   
Futures
 
$
(1,693,472
)
 
$
(9,167,935
)
 
$
2,048,025
   
$
30,590
   
$
864,395
   
$
(2,730,781
)
Options
   
     
     
(1,097,560
)
   
(138,870
)
   
     
 
     
(1,693,472
)
   
(9,167,935
)
   
950,465
     
(108,280
)
   
864,395
     
(2,730,781
)
Equity price
                                               
Futures
   
53,607,166
     
(9,810,996
)
   
(1,635,642
)
   
39,828
     
7,863,886
     
6,503,663
 
Options
   
(123,363
)
   
(11,137
)
   
3,451,144
     
(1,262,168
)
   
     
 
     
53,483,803
     
(9,822,133
)
   
1,815,502
     
(1,222,340
)
   
7,863,886
     
6,503,663
 
Foreign currency exchange rate
                                               
Forwards
   
1,712,680
     
(268,038
)
   
(1,583,724
)
   
(940,312
)
   
5,940,457
     
(414,420
)
Futures
   
     
     
     
     
207,750
     
134,678
 
Options
   
6,999,408
     
(2,406,419
)
   
3,949,025
     
(5,480,931
)
   
     
 
     
8,712,088
     
(2,674,457
)
   
2,365,301
     
(6,421,243
)
   
6,148,207
     
(279,742
)
Interest rate
                                               
Futures
   
29,603,171
     
(24,046,693
)
   
(5,722,769
)
   
(754,337
)
   
12,979,894
     
2,865,592
 
Options
   
3,036,791
     
     
(15,570,385
)
   
385,701
     
     
 
Swaps
   
     
     
     
     
(309,806
)
   
199,178
 
     
32,639,962
     
(24,046,693
)
   
(21,293,154
)
   
(368,636
)
   
12,670,088
     
3,064,770
 
Total
 
$
93,142,381
   
$
(45,711,218
)
 
$
(16,161,886
)
 
$
(8,120,499
)
 
$
27,546,576
   
$
6,557,910
 
 
59

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
4. Graham Cash Assets LLC
 
GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005 and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. Cash Assets maintains cash and cash equivalents on deposit with major U.S. institutions, which may exceed federally insured limits. It also invests in debt obligations guaranteed by the U.S. Federal government, which generally range in maturity from one day to thirty months. Cash Assets currently intends to hold all fixed income securities until maturity and values them at amortized cost which approximates fair value.  If Cash Assets were forced to sell some of its securities in the open market before they mature to meet unanticipated redemption requests (whether from GAIT or other entities affiliated with the Manager), the market value of the securities at such time may be below their amortized cost, causing a loss for GAIT’s investors. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT’s investment in Cash Assets at September 30, 2024 and December 31, 2023 is $58,564,739 and $59,261,119 which represents a percentage of GAIT’s Members’ Capital of 89.60% and 91.33%, 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, 2024, the total amount recognized by GAIT with respect to its investment in Cash Assets was $726,500 and $2,243,924, respectively.  For the three and nine months ended September 30, 2023, the total amount recognized by GAIT with respect to its investment in Cash Assets was $700,034 and $1,563,219, respectively.  These amounts are included in both interest income and net realized (loss) gain on investment in the statements of operations and incentive allocation. At September 30, 2024 and December 31, 2023, GAIT owned approximately 0.91% and 1.02%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of September 30, 2024 and December 31, 2023:
 
   
September 30, 2024
   
December 31, 2023
 
Assets:
           
Cash and cash equivalents
 
$
203,934,716
   
$
460,097,864
 
Investments in fixed income securities (amortized cost $6,232,378,309 and $5,504,095,501 respectively)
   
6,232,378,309
     
5,504,095,501
 
Interest receivable
   
17,401,197
     
9,828,433
 
Total assets
   
6,453,714,222
     
5,974,021,798
 
                 
Liabilities:
               
Due to broker
   
132
     
141,603,651
 
Total liabilities
   
132
     
141,603,651
 
Members’ capital
 
$
6,453,714,090
   
$
5,832,418,147
 

60

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, 2024 and 2023:
 
   
Three Months Ended
September 30,
   
Nine Months Ended
September 30,
 
   
2024
   
2023
   
2024
   
2023
 
Net gain on investments
                       
Net realized gain on investments
 
$
10,790,020
    $
   
$
10,790,020
   
$
 
Net gain on investments
   
10,790,020
     
     
10,790,020
     
 
                                 
Investment income
                               
Interest income
   
72,759,094
     
70,042,403
     
237,301,220
     
159,361,621
 
Total investment income
   
72,759,094
     
70,042,403
     
237,301,220
     
159,361,621
 
                                 
Expenses:
                               
Bank fee expense
   
151,760
     
195,257
     
509,826
     
491,845
 
Total expenses
   
151,760
     
195,257
     
509,826
     
491,845
 
Net investment income
   
72,607,334
     
69,847,146
     
236,791,394
     
158,869,776
 
Net income
 
$
83,397,354
   
$
69,847,146
   
$
247,581,414
   
$
158,869,776
 
 
The following represents the condensed schedule of investments of Cash Assets as of September 30, 2024:
 
Description
 
Principal
Amount
   
Fair Value
   
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities
(amortized cost $6,232,378,309)
                   
United States
                   
Government Bonds (amortized cost $2,708,714,437)
                   
U.S. Treasury bond 0.75% due 04/30/2026
 
$
500,000,000
   
$
472,110,165
     
7.32
%
 
U.S. Treasury bond 0.88% due 09/30/2026
   
500,000,000
     
466,964,345
     
7.24
%
 
U.S. Treasury bond 1.63% due 05/15/2026
   
500,000,000
     
479,955,999
     
7.44
%
 
U.S. Treasury bond 3.75% due 04/15/2026
   
500,000,000
     
493,526,218
     
7.65
%
 
U.S. Treasury bond 1.13% - 1.75% due 10/31/2026 - 01/31/2027
   
850,000,000
     
796,157,710
     
12.32
%
 
Total Government Bonds
           
2,708,714,437
     
41.97
%
 
                           
Treasury Bills (amortized cost $3,523,663,872)
                         
U.S. Treasury bills 0.00% due 10/01/2024
   
450,000,000
     
449,955,046
     
6.97
%
 
U.S. Treasury bills 0.00% due 12/19/2024
   
375,000,000
     
370,739,418
     
5.74
%
 
U.S. Treasury bills 0.00% due 10/03/2024  – 02/20/2025
   
2,725,000,000
     
2,702,969,408
     
41.89
%
 
Total Treasury Bills
           
3,523,663,872
     
54.60
%
 
Total United States
           
6,232,378,309
     
96.57
%
 
Total Investments in Fixed Income Securities
         
$
6,232,378,309
     
96.57
%
 

61

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, 2023:
 
Description
 
Principal
Amount
   
Fair Value
   
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities (amortized cost $5,504,095,501)
                   
United States
                   
Government Bonds (amortized cost $2,780,805,691)
                   
U.S. Treasury bond 0.88% due 01/31/2024
 
$
300,000,000
   
$
299,029,261
     
5.13
%
 
U.S. Treasury bond 0.13% due 02/15/2024
   
300,000,000
     
298,245,218
     
5.11
%
 
U.S. Treasury bond 1.50% due 02/29/2024
   
300,000,000
     
298,357,648
     
5.12
%
 
U.S. Treasury bond 0.25% due 03/15/2024
   
300,000,000
     
297,055,135
     
5.09
%
 
U.S. Treasury bond 2.13% due 03/31/2024
   
300,000,000
     
297,645,754
     
5.10
%
 
U.S. Treasury bond 3.75% due 04/15/2026
   
500,000,000
     
490,369,962
     
8.41
%
 
U.S. Treasury bond 0.75% due 04/30/2026
   
500,000,000
     
458,866,118
     
7.87
%
 
U.S. Treasury bonds 0.13% – 1.63% due 01/15/2024 – 05/15/2026
   
350,000,000
     
341,236,595
     
5.85
%
 
Total Government Bonds
           
2,780,805,691
     
47.68
%
 
                           
Treasury Bills (amortized cost $2,723,289,810)
                         
U.S Treasury bills 0.00% due 01/02/2024 – 05/09/2024
   
2,750,000,000
     
2,723,289,810
     
46.69
%
 
Total Treasury Bills
           
2,723,289,810
     
46.69
%
 
Total United States
           
5,504,095,501
     
94.37
%
 
Total Investments in Fixed Income Securities
         
$
5,504,095,501
     
94.37
%
 

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, 2024 and December 31, 2023:
 
   
September 30, 2024
   
December 31, 2023
 
Assets
           
Level 2:
           
Fixed income securities
           
Government bonds
 
$
2,708,714,437
   
$
2,780,805,691
 
Treasury bills
   
3,523,663,872
     
2,723,289,810
 
Total fixed income securities
   
6,232,378,309
     
5,504,095,501
 
Total Level 2
   
6,232,378,309
     
5,504,095,501
 
Total assets
 
$
6,232,378,309
   
$
5,504,095,501
 

62

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
5. Capital Accounts
 
GAIT offers members Class 0, Class 2 Units, and effective March 19, 2024, Class 3-A Units and Class 3-B Units (collectively the “Units”). All Classes are currently issued. GAIT may issue additional classes in the future subject to different fees, expenses or other terms, or invest in other investment programs or combinations of investment programs managed by the Manager. GAIT also has Management Units (“Class M units”) which are solely for the investment of the Manager.
 
A separate capital account is maintained for each member with respect to each Class of Units held by such member. The initial balance of each Member’s Capital account is equal to the initial contribution to GAIT with respect to the Class to which such capital account relates. Each Member’s Capital Account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of GAIT are allocated among the capital accounts of the members in proportion to the balance that each capital account bears to the balance of all capital accounts as of the beginning of such fiscal period.
 
Subscriptions
 
Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. There is no minimum subscription amount.
 
Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.
 
Redemptions
 
Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of the last business day of each month upon not less than three business days’ prior written notice to the administrator.
 
6. Fees and Related Party Transactions
 
Advisory Fees
 
Class 0 and Class 2 of GAIT paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. Class 3-A and Class 3-B have an advisory fee at an aggregate annual rate of 1.50% and 2.00% of the Members’ Capital of such Class, respectively. 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. Class M has no sponsor fee. The Advisory Fees paid to the Manager by Class 0, Class 2, Class 3-A and Class 3-B for the nine months ended September 30, 2024 and 2023 were $721,041 and $712,235, respectively.
 
63

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
6. Fees and Related Party Transactions (continued)
 
Sponsor Fees
 
Class 0 and Class 2 of GAIT paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. Class 3-A, Class 3-B and Class M of GAIT have no sponsor fee. 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 by Class 0 and Class 2 for the nine months ended September 30, 2024 and 2023 were $362,302 and $377,126, respectively.
 
Class 0
Class 2
0.50%
1.25%
 
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, 2024 and 2023 was $313,592 and $679,491, 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, 2024 and 2023, 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 $61,685 and $62,538, respectively.
 
Professional Fees
 
GAIT shall pay, or reimburse the Manager, for expenses arising in connection with GAIT’s audit, tax and legal fees (“professional fees”). The total professional fees incurred by GAIT for the nine months ended September 30, 2024 and 2023 were $305,128 and $274,655, respectively.
 
Operating Expenses
 
GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the GAIT’s investments, operations, and business (“operating expenses”).  For the nine months ended September 30, 2024 and 2023, GAIT reimbursed the Manager for operating expenses which were comprised of market data and technology costs associated with its assets allocated to the various Master Funds. The total operating expenses incurred by GAIT for the nine months ended September 30, 2024 and 2023 were $31,611 and $30,744, respectively.
 
64

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
7. Income Taxes
 
No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of GAIT’s income and expenses for income tax purposes.
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. GAIT identifies its major tax jurisdictions as the U.S. for Federal tax purposes, Connecticut for state tax purposes and various international jurisdictions. The Manager has evaluated GAIT’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations and incentive allocation. No such interest and/or penalties were assessed to GAIT for the nine months ended September 30, 2024 and 2023.
 
8. Risk Factors

Global economic, political and market conditions may adversely affect GAIT’s operations. The current global financial market situation, as well as various social and political circumstances in the United States and around the world (including wars and other forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics), may contribute to increased market volatility and economic uncertainties or deterioration in the United States and worldwide.  Such impacts may affect the financial markets in which the GAIT operates.

65

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
9. Financial Highlights
 
The following is the per Unit operating performance calculation for the three months ended September 30, 2024 and 2023:
 
   
Class 0
   
Class 2
   
Class 3-A
   
Class 3-B
 
Per unit operating performance
                       
Net asset value per Unit, June 30, 2023
 
$
223.94
   
$
158.17
   
$
-
   
$
-
 
Net income:
                               
Net investment loss
   
(1.77
)
   
(1.16
)
 
   
 
Net gain on investments
   
17.37
     
12.24
   
   
 
Net income
   
15.60
     
11.08
   
   
 
Net asset value per Unit, September 30, 2023
 
$
239.54
   
$
169.25
   
$
-
   
$
-
 
                                 
Net asset value per Unit, June 30, 2024
 
$
241.88
   
$
170.06
   
$
100.23
   
$
98.65
 
Net loss:
                               
Net investment income
   
0.91
     
0.33
     
0.62
     
0.50
 
Net loss on investments
   
(12.17
)
   
(8.55
)
   
(5.17
)
   
(5.09
)
Net loss
   
(11.26
)
   
(8.22
)
   
(4.55
)
   
(4.59
)
Net asset value per Unit, September 30, 2024
 
$
230.62
   
$
161.84
   
$
95.68
   
$
94.06
 

The following represents ratios to average Members’ Capital, excluding the Manager, and total return for the three months ended September 30, 2024 and 2023:
 
   
Class 0
 
Class 2
 
Class 3-A
 
Class 3-B
 
   
2024
 
2023
 
2024
 
2023
 
2024
 
2023
 
2024
 
2023
 
                                               
Total return before Incentive Allocation
   
(4.66
)%
   
8.14
%
   
(4.83
)%
   
7.95
%
   
(4.54
)%
  -
   
(4.65
)%
  -  
Incentive Allocation
   
(0.00
)
   
(1.17
)
   
(0.00
)
   
(0.94
)
   
(0.00
)
 
   
(0.00
)
 
 
Total return after Incentive Allocation
   
(4.66
)%
   
6.97
%
   
(4.83
)%
   
7.01
%
   
(4.54
)%
 
   
(4.65
)%
 
 
                                                           
Net investment income before Incentive Allocation
   
0.38
%
   
0.37
%
   
0.20
%
   
0.18
%
   
0.64
%
 
   
0.53
%
 
 
Incentive Allocation
   
(0.00
)
   
(1.13
)
   
(0.00
)
   
(0.89
)
   
(0.00
)
 
   
(0.00
)
 
 
Net investment income (loss) after Incentive Allocation
   
0.38
%
   
(0.76
)%
   
0.20
%
   
(0.71
)%
   
0.64
%
 
   
0.53
%
 
 
                                                           
Total expenses before Incentive Allocation
   
0.65
%
   
0.73
%
   
0.84
%
   
0.92
%
   
0.67
%
 
   
0.83
%
 
 
Incentive Allocation
   
0.00
     
1.13
     
0.00
     
0.89
     
0.00
   
   
0.00
   
 
Total expenses after Incentive Allocation
   
0.65
%
   
1.86
%
   
0.84
%
   
1.81
%
   
0.67
%
 
   
0.83
%
 
 

66

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
9. Financial Highlights (continued)
 
The following is the per Unit operating performance calculation for the nine months ended September 30, 2024 and 2023:
 
   
Class 0
   
Class 2
   
Class 3-A
   
Class 3-B
 
Per unit operating performance
                       
Net asset value per Unit, December 31, 2022
 
$
224.59
   
$
159.22
   
$
   
$
 
Net income:
                               
Net investment loss
   
(1.54
)
   
(1.51
)
   
     
 
Net gain on investments
   
16.49
     
11.54
     
     
 
Net income
   
14.95
     
10.03
     
     
 
Net asset value per Unit, September 30, 2023
 
$
239.54
   
$
169.25
   
$
   
$
 
                                 
Net asset value per Unit, December 31, 2023
 
$
224.32
   
$
158.20
   
$
    $
 
Initial asset value per share, May 1, 2024
   
     
     
     
100.00
 
Initial asset value per share, June 1, 2024
   
     
     
100.00
     
 
Net income (loss):
                               
Net investment income
   
1.90
     
0.51
     
0.65
     
0.65
 
Net gain (loss) on investments
   
4.40
     
3.13
     
(4.97
)
   
(6.59
)
Net income (loss)
   
6.30
     
3.64
     
(4.32
)
   
(5.94
)
Net asset value per Unit, September 30, 2024
 
$
230.62
   
$
161.84
   
$
95.68
   
$
94.06
 

67

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
9. Financial Highlights (continued)
 
The following represents ratios to average Members’ Capital, excluding the Manager, and total return for the nine months ended September 30, 2024 and 2023:
 
   
Class 0
 
Class 2
 
Class 3-A*
 
Class 3-B**
 
   
2024
 
2023
 
2024
 
2023
 
2024
 
2023
 
2024
 
2023
 
                                               
Total return before Incentive Allocation
   
3.36
%
   
7.82
%
   
2.77
%
   
7.24
%
   
(4.26
)%
 
   
(5.94
)%
 
 
Incentive Allocation
   
(0.55
)
   
(1.16
)
   
(0.47
)
   
(0.94
)
   
(0.06
)
 
   
(0.00
)
 
 
Total return after Incentive Allocation
   
2.81
%
   
6.66
%
   
2.30
%
   
6.30
%
   
(4.32
)%
 
   
(5.94
)%
 
 
                                                           
Net investment income (loss) before Incentive Allocation
   
1.32
%
   
0.53
%
   
0.76
%
   
(0.06
)%
   
0.67
%
 
   
0.69
%
 
 
Incentive Allocation
   
(0.52
)
   
(1.21
)
   
(0.45
)
   
(0.89
)
   
(0.01
)
 
   
(0.00
)
 
 
Net investment income (loss) after Incentive Allocation
   
0.80
%
   
(0.68
)%
   
0.31
%
   
(0.95
)%
   
0.66
%
 
   
0.69
%
 
 
                                                           
Total expenses before Incentive Allocation
   
2.12
%
   
2.10
%
   
2.68
%
   
2.65
%
   
0.72
%
 
   
1.11
%
 
 
Incentive Allocation
   
0.52
     
1.21
     
0.45
     
0.89
     
0.01
   
   
0.00
   
 
Total expenses after Incentive Allocation
   
2.64
%
   
3.31
%
   
3.13
%
   
3.54
%
   
0.73
%
 
   
1.11
%
 
 

*For the period from June 1, 2024 through September 30, 2024.
**For the period from May 1, 2024 through September 30, 2024.

Total return is calculated for Class 0, Class 2, Class 3-A and Class 3-B units taken as a whole. Total return is calculated as the change in total Members’ Capital, excluding that of the Manager, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fee, and the Incentive Allocation. The net investment income (loss) and total expense ratios (including Incentive Allocation) are calculated for the Class 0, Class 2, Class 3-A and Class 3-B units taken as a whole and include amounts from GAIT and net investment income (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 income (loss), total expenses and Incentive Allocation. Net investment income (loss) and total expense ratios are computed based upon the weighted average of Members’ Capital of GAIT, excluding that of the Manager, for the three and nine months ended September 30, 2024 and 2023 and have not been annualized.

10. Subsequent Events
 
GAIT had subscriptions of approximately $4.6 million and redemptions of approximately $0.7 million from October 1, 2024 through November 14, 2024, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.
 
68

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, 2023 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, 2023 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 28, 2024. This discussion should also be read in conjunction with “Item 1: Financial Statements”, included in this Quarterly Report on Form 10-Q.  The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include the Core Macro Portfolio of GAIF I, GAIT, and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses, and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of fixed income positions, the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. Federal government, as well as cash and cash equivalents.

For the three months ended September 30, 2024, the Core Macro Portfolio’s Members’ Capital increased by $151,931 or 0.5%. The net increase in the Core Macro Portfolio was attributable to subscriptions of $1,810,000 or 6.5%, offset by redemptions totaling $285,594 or -1.0% and a net loss of $1,372,475 or -5.0%, for the period.

For the nine months ended September 30, 2024, the Core Macro Portfolio’s Members’ Capital decreased by $472,462 or -1.7%. The net decrease in the Core Macro Portfolio was attributable to redemptions totaling $3,695,313 or -12.9% offset by net income of $815,851 or 2.8% and subscriptions of $2,407,000 or 8.4%, for the period.

69

For the three months ended September 30, 2023, the Core Macro Portfolio’s Members’ Capital increased by $1,062,026 or 3.6%. The net increase in the Core Macro Portfolio was attributable to a net income of $2,012,025 or 6.9% and subscriptions totaling $540,000 or 1.8%, offset by redemptions of $1,489,999 or -5.1% for the period.

For the nine months ended September 30, 2023, the Core Macro Portfolio’s Members’ Capital increased by $1,350,706 or 4.7%. The net increase in the Core Macro Portfolio was attributable to a net income of $1,885,705 or 6.5% and subscriptions totaling $1,070,000 or 3.7%, offset by redemptions of $1,604,999 or -5.5% for the period.

(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.

2024 Summary

Three Months Ended September 30, 2024

For the three months ended September 30, 2024, the Core Macro Portfolio experienced a net trading loss of $1,444,016. The trading results are attributable to the following sectors:

Agriculture / Softs
 
$
40,129
 
Base Metals
   
(13,775
)
Energy
   
(262,773
)
Equities
   
(602,752
)
Foreign Exchange
   
(730,424
)
Long Term / Intermediate Rates
   
(222,937
)
Precious Metals
   
295,277
 
Short Term Rates
   
53,239
 
   
$
(1,444,016
)

The Core Macro Portfolio posted trading losses in the third quarter of 2024, particularly during July and early August when global markets experienced significant short-term volatility and sharp reversals. Currencies were the weakest performing sector due to long exposure to the U.S. dollar versus several global counterparts, including the euro, Chinese yuan, Japanese yen, and Swiss franc. In equities, mixed long and short positioning in U.S. benchmark indices and long positions in Japanese and European benchmark indices led to losses. The portfolio recorded losses in fixed income from trading long and short across the yield curves in the U.S. and Europe. In commodities, long positions in metals and coffee drove gains, which were partially offset by losses from mixed long and short positions in various energy markets.

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, 2024, Advisory Fees decreased by $6,880 or -6.0%, Sponsor Fees decreased by $10,924 or -17.3%, and Administrator’s Fees decreased by $885 or -9.2% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income decreased by $30,802 or -9.5%. Interest was earned on free cash at an average annualized yield of 4.24% for the three months ended September 30, 2024 compared to 4.49% for the same period in 2023.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2024 and 2023, the Incentive Allocation was $0 and $301,888, respectively. This was the result of a net gain before incentive allocation for the three months ended September 30, 2023. For the three months ended September 30, 2024, the portfolio has not yet recovered previous losses. There was no Incentive Allocation for this period.

70

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of September 30, 2024 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
   
2.6
%
Base Metals
   
(6.4
)%
Energy
   
(7.6
)%
Equities
   
72.1
%
Foreign Exchange
   
(30.9
)%
Long Term / Intermediate Rates
   
42.5
%
Precious Metals
   
0.6
%
Short Term Rates
   
27.1
%
     
100.0
%

Nine Months Ended September 30, 2024

For the nine months ended September 30, 2024, the Core Macro Portfolio experienced a net trading gain of $693,194. The trading results are attributable to the following sectors:

Agriculture / Softs
 
$
275,750
 
Base Metals
   
117,597
 
Energy
   
(88,757
)
Equities
   
232,929
 
Foreign Exchange
   
(514,723
)
Long Term / Intermediate Rates
   
27,258
 
Precious Metals
   
485,288
 
Short Term Rates
   
157,852
 
   
$
693,194
 

The Core Macro Portfolio recorded trading gains year-to-date through Q3 2024. Commodities were the top performing sector due to long positions in gold, copper, and soft commodities. In equities, long positions in Japanese benchmark indices and the NASDAQ Index led to gains. Mixed long and short positions across the U.S. yield curve led to profits in fixed income, which were partially offset by losses from mixed positions across the European yield curve. In currencies, losses resulted mainly from long exposure to the U.S. dollar versus the euro and the Chinese yuan during the third quarter, as well as from long positions in the Mexican peso versus the U.S. dollar and mixed positions in the New Zealand dollar and Australian dollar.

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

For the nine months ended September 30, 2024, Advisory Fees decreased by $3,677 or -1.1%, Sponsor Fees decreased by $16,457 or -9.0%, and Administrator’s Fees decreased by $1,113 or -4.0% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income increased by $233,489 or 30.9%. Interest was earned on free cash at an average annualized yield of 4.73% for the nine months ended September 30, 2024 compared to 3.52% for the same period in 2023.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2024 and 2023, the Incentive Allocation was $141,677 and $302,450, respectively. The decrease was the result of a lower New High Trading Profits before incentive allocation for the nine months ended September 30, 2024 compared to the nine months ended September 30, 2023.

71

2023 Summary

Three Months Ended September 30, 2023

For the three months ended September 30, 2023, the Core Macro Portfolio experienced a net trading gain of $2,247,340. The trading results are attributable to the following sectors:

Agriculture / Softs
 
$
76,939
 
Base Metals
   
(31,019
)
Energy
   
516,992
 
Equities
   
248,171
 
Foreign Exchange
   
865,418
 
Long Term / Intermediate Rates
   
650,216
 
Precious Metals
   
(87,132
)
Short Term Rates
   
7,755
 
   
$
2,247,340
 

The Core Macro Portfolio recorded a net gain for the third quarter of 2023, with profits across all major sectors. The majority of gains were in currencies and resulted mainly from long exposure to the U.S. Dollar versus various global currencies, including the Japanese yen, euro, Swiss franc, British pound sterling, and Chinese yuan. The portfolio also generated gains in fixed income, primarily due to short positions in U.S. bonds, with additional gains in Japanese, European, and Canadian bonds. In commodities, long positions in energy led to positive performance. The portfolio produced profits in equity indices from tactical positioning in U.S. benchmark indices.

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

For the three months ended September 30, 2023, Advisory Fees increased by $214 or 0.2%, Sponsor Fees decreased by $48 or -0.1%, and Administrator’s Fees increased by $64 or 0.7% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income increased by $246,099 or 311.2%. Interest was earned on free cash at an average annualized yield of 4.49% for the three months ended September 30, 2023 compared to 1.06% for the same period in 2022.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2023 and 2022, the Incentive Allocation was $301,888 and $403,269, respectively. The decrease was the result of a lower New High Net Trading Profits before incentive allocation after recouping the loss carried over from previous period for the three months ended September 30, 2023 compared to the three months ended September 30, 2022, where the portfolio did not experience a loss carryforward.

72

Nine Months Ended September 30, 2023

For the nine months ended September 30, 2023, the Core Macro Portfolio experienced a net trading gain of $2,170,610. The trading results are attributable to the following sectors:

Agriculture / Softs
 
$
41,779
 
Base Metals
   
(49,077
)
Energy
   
106,044
 
Equities
   
1,047,718
 
Foreign Exchange
   
1,106,901
 
Long Term / Intermediate Rates
   
77,233
 
Precious Metals
   
(378,273
)
Short Term Rates
   
218,285
 
   
$
2,170,610
 

The Core Macro Portfolio recorded a net gain through the first three quarters of 2023. The majority of gains were in currencies and resulted mainly from long exposure to the U.S. Dollar versus various global currencies, including the Chinese yuan, Japanese yen, euro, Singapore dollar, Korean won, and Taiwanese dollar, as well as from long exposure to the Mexican peso. The portfolio produced profits in equity indices from evolving positions in U.S., Asian, and European benchmark indices. In fixed income, tactical positioning across the yield curve in the U.S., Canada, and Europe led to positive performance. The portfolio experienced losses primarily in commodities from long positions in precious metals.

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

For the nine months ended September 30, 2023, Advisory Fees decreased by $1,228 or -0.4%, Sponsor Fees increased by $1,877 or 1.0%, and Administrator’s Fees increased by $201 or 0.7% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the nine month period. During the same period, interest income increased by $629,439 or 498.5%. Interest was earned on free cash at an average annualized yield of 3.52% for the nine months ended September 30, 2023 compared to 0.59% for the same period in 2022.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2023 and 2022, the Incentive Allocation was $302,450 and $1,601,623, respectively. The decrease was the result of a lower New High Net Trading Profits before incentive allocation for the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of September 30, 2023 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs
   
7.4
%
Base Metals
   
(1.3
)%
Energy
   
(2.4
)%
Equities
   
1.5
%
Foreign Exchange
   
20.9
%
Long Term / Intermediate Rates
   
25.5
%
Precious Metals
   
15.0
%
Short Term Rates
   
33.4
%
     
100.0
%

73

Variables Affecting Performance

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

Advisory, Sponsor, and Administrator’s Fees are calculated based on a percentage of the Fund’s net asset value. Changes in the net assets of the Fund resulting from subscriptions, redemptions, interest and trading profits allocated from the Master Funds can therefore have a material impact on the fee expense of the Fund.

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

 
(ii)
Liquidity

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

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

   
Core Macro
Portfolio
 
September 30, 2024
   
10.59
%
 
December 31, 2023
   
10.04
%
 
September 30, 2023
   
9.37
%
 

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, 2024, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.
 
74

 
(iii)
Capital Resources

The Fund raises additional capital through the sale of Units and capital is increased through trading profits (if any) and interest income. The Fund may borrow money from brokers or their affiliates and other lenders. Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Fund should not have a significant impact on its operations, as the Fund has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses.
 
The Fund participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Fund’s brokers may require margin in excess of minimum exchange requirements. The Fund bears the risk of financial failure of the brokers through which it clears trades and maintains margin in respect of any such trades and of its counterparties for its foreign exchange and swap trades with whom it also maintains margin.
 
 
(iv)
Critical Accounting Estimates

Presentation – Graham Alternative Investment Fund I LLC is a series Limited Liability Company under Delaware law. The financial statements and corresponding footnotes are presented solely for the Core Macro Portfolio, except where otherwise noted.
 
Use of Estimates – The Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars except where noted. The preparation of the financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 2 of the financial statements.
 
Fair Value Measurement – The Fund follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value and requires certain disclosures about fair value measurements. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date. The Fund reports the fair value of its investment-related assets and liabilities in accordance with the hierarchy established under U.S. GAAP.
 
The Fund records its investments in GAIT at fair value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in Master Funds at fair value in accordance with U.S. GAAP. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis. Purchases and sales of units in GAIT are recorded on a trade date basis.
 
The Master Funds record all their financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized appreciation and depreciation from these instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.
 
Investment CompanyThe 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.
 
75

Income TaxesNo provision for income taxes has been made in the Fund’s financial statements, as each member is responsible for reporting income or loss based upon the member’s respective share of the Fund’s revenues and expenses for income tax purposes.
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the financial statements for all open tax years. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.
 
76

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.

77

Item 4.
Controls and Procedures

Evaluation of Disclosure Control and Procedures

          The Fund and GAIF I has each 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 management of the Fund and GAIF I, as appropriate, to allow timely decisions regarding required disclosure.

Based on their evaluation as of September 30, 2024, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) of the Fund and GAIF I were effective.

With respect to the certifications of the Principal Executive Officer and Principal Financial Officer included as Exhibit 31 hereto, the financial statements referred to therein and the representations and determinations of those officers contained in such certifications refer to and apply to both the Fund and GAIF I.

Changes in Internal Control Over Financial Reporting

There were no changes to the internal control over financial reporting of the Fund and GAIF I during the third quarter of 2024 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

78

PART II. OTHER INFORMATION

Item 1.
Legal Proceedings

None

Item 1A.
Risk Factors

There have been no material changes to the risk factors disclosed in our 2023 Form 10-K.

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

For the three months ended September 30, 2024, the Fund issued 16,465.216 Units in exchange for $1,810,000 with respect to the Core Macro Portfolio, in each case in a transaction that was not registered under the Securities Act of 1933, as amended (the “Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Act and Rule 506 of Regulation D promulgated thereunder. All purchasers of the Units were accredited investors, as that term is defined under Rule 501 of Regulation D.

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

Date
Total Number of Units Issued
July 1 – July 31, 2024
 9,050.511
 
August 1 – August 31, 2024
 1,858.993
 
September 1 – September 30, 2024
5,555.712
 
TOTAL
   16,465.216
 

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, 2024
   
553.751
     
$
166.80
     
N/A
   
N/A
 
 
August 1 – August 31, 2024
   
324.303
     
$
231.27
     
N/A
   
N/A
 
 
September 1 – September 30, 2024
   
666.032
     
$
177.51
     
N/A
   
N/A
 
 
TOTAL
   
1,544.086
     
$
184.96
     
N/A
   
N/A
 

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

Item 3.
Defaults Upon Senior SecuritiesNone

Item 4.
Mine Safety Disclosures – None

Item 5.
Other Information

During the quarter ended September 30, 2024, no officer of the Manager adopted or terminated either a Rule 10b5-1(c) trading arrangement or non-Rule 10b5-1(c) trading arrangement under Rule 10b5-1 of the Securities Exchange Act of 1934, as amended, in respect of Units of the Fund.

79

Item 6.
Exhibits

Certificate of Formation of Graham Alternative Investment Fund I LLC
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 28, 2013
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated May 2, 2022
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 19, 2024
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer)
 †  101.INS
Inline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document)
 †  101.SCH
Inline XBRL Taxonomy Extension Schema Document
 †  101.CAL
Inline XBRL Taxonomy Extension Calculation Linkbase Document
 †  101.DEF
Inline XBRL Taxonomy Extension Definition Linkbase Document
 †  101.LAB
Inline XBRL Taxonomy Extension Label Linkbase Document
 †  101.PRE
XBRL Taxonomy Extension Presentation Linkbase Document
 †  104
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101)

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

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

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

 
Filed herewith

 
††
Incorporated by reference to the Fund’s Form 8-K previously filed on March 20, 2024

80

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 14, 2024
 
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
   
CORE MACRO 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


81