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EXCEL - IDEA: XBRL DOCUMENT - GRAHAM ALTERNATIVE INVESTMENT FUND I LLCFinancial_Report.xls
EX-32.1 - EXHIBIT 32.1 - GRAHAM ALTERNATIVE INVESTMENT FUND I LLCex32_1.htm
EX-31.1 - EXHIBIT 31.1 - GRAHAM ALTERNATIVE INVESTMENT FUND I LLCex31_1.htm
EX-31.2 - EXHIBIT 31.2 - GRAHAM ALTERNATIVE INVESTMENT FUND I LLCex31_2.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM 10-Q
 
☒ QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) of the
SECURITIES EXCHANGE ACT OF 1934
 
For the quarterly period ended March 31, 2015
 
OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from          to          
Commission File Number 0-53965
 
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
BLENDED STRATEGIES PORTFOLIO
(Exact name of registrant as specified in its charter)
 
Delaware
 
20-4897069
(State or other jurisdiction of incorporation or organization)
 
(I.R.S. Employer Identification No.)
 
c/o GRAHAM CAPITAL MANAGEMENT, L.P.
40 Highland Avenue
Rowayton, CT  06853
(Address of principal executive offices) (Zip Code)

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

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 and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
 
Yes No ☐
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

 
Large accelerated filer ☐
Accelerated filer ☐
Non-accelerated filer
Smaller reporting company
 
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 May 1, 2015, 665,898.418 Units of the Blended Strategies Portfolio were outstanding.
 
 


GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
 
BLENDED STRATEGIES PORTFOLIO
FORM 10-Q

INDEX
 
   
Page
Number
       
PART I - Financial Information:
 
       
 
Item 1.
 
       
   
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio
 
       
   
1
       
   
2
       
   
3
       
   
4
       
   
5
       
   
Graham Alternative Investment Trading LLC
 
       
   
12
       
   
13
       
   
14
       
   
15
       
   
16
       
   
17
       
 
Item 2.
51
       
 
Item 3.
57
 

 
Item 4.
58
   
PART II - Other Information
59
 
 
     
 
EX - 31.1
Certification
 
EX - 31.2
Certification
EX - 32.1
Certification
 
PART I

Item 1. Financial Statements

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Statements of Financial Condition

   
March 31, 2015
(Unaudited)
   
December 31, 2014
(Audited)
 
Assets
       
Investment in Graham Alternative Investment Trading LLC, at fair value
 
$
95,328,503
   
$
89,185,934
 
Redemption receivable from Graham Alternative Investment Trading LLC
   
327,762
     
1,790,083
 
Total assets
 
$
95,656,265
   
$
90,976,017
 
                 
Liabilities and members’ capital
               
Liabilities:
               
Accrued redemptions
 
$
327,762
   
$
1,790,083
 
Total liabilities
   
327,762
     
1,790,083
 
                 
Members’ capital:
               
Class 0 Units (420,285.501 and 422,282.349 units issued and outstanding at
$159.93 and $149.37, respectively)
   
67,216,003
     
63,076,949
 
Class 2 Units (232,098.628 and 229,870.220 units issued and outstanding at
$121.12 and $113.58, respectively)
   
28,112,500
     
26,108,985
 
Total members’ capital
   
95,328,503
     
89,185,934
 
Total liabilities and members’ capital
 
$
95,656,265
   
$
90,976,017
 
 
See accompanying notes.
 
1

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Operations

   
Three Months Ended
March 31,
 
   
2015
   
2014
 
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC:
       
Net realized gain (loss) on investments
 
$
10,880,008
   
$
(6,032,210
)
Net decrease in unrealized appreciation on investments
   
(2,249,034
)
   
(3,921,437
)
Brokerage commissions and fees
   
(116,794
)
   
(138,075
)
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC
   
8,514,180
     
(10,091,722
)
                 
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
               
Investment income:
               
Interest income
   
59,052
     
48,823
 
                 
Expenses:
               
Advisory fees
   
415,325
     
397,009
 
Sponsor fees
   
317,468
     
268,714
 
Professional fees and other
   
53,271
     
37,037
 
Administrator’s fees
   
32,828
     
29,719
 
Incentive allocation
   
1,550,824
     
-
 
Total expenses
   
2,369,716
     
732,479
 
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
   
(2,310,664
)
   
(683,656
)
                 
Net income (loss)
 
$
6,203,516
   
$
(10,775,378
)

See accompanying notes.
 
2

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital

For the three months ended March 31, 2015 and 2014

   
Class 0 Units
   
Class 2 Units
     
   
Units
   
Capital
   
Units
   
Capital
   
Total Members’
Capital
 
                     
Members’ capital, December 31, 2013
   
605,548.066
   
$
77,340,803
     
220,552.039
   
$
21,704,330
   
$
99,045,133
 
Subscriptions
   
17,796.744
     
2,110,079
     
6,279.334
     
581,210
     
2,691,289
 
Redemptions
   
(26,549.225
)
   
(3,047,394
)
   
(16,296.989
)
   
(1,456,230
)
   
(4,503,624
)
Net loss
   
     
(8,352,145
)
   
     
(2,423,233
)
   
(10,775,378
)
Members’ capital, March 31, 2014
   
596,795.585
   
$
68,051,343
     
210,534.384
   
$
18,406,077
   
$
86,457,420
 
                                         
   
Class 0 Units
   
Class 2 Units
         
   
Units
   
Capital
   
Units
   
Capital
   
Total Members’
Capital
 
                                         
Members’ capital, December 31, 2014
   
422,282.349
   
$
63,076,949
     
229,870.220
   
$
26,108,985
   
$
89,185,934
 
Subscriptions
   
3,353.140
     
522,000
     
6,170.016
     
735,000
     
1,257,000
 
Redemptions
   
(5,349.988
)
   
(843,167
)
   
(3,941.608
)
   
(474,780
)
   
(1,317,947
)
Net income
   
     
4,460,221
     
     
1,743,295
     
6,203,516
 
Members’ capital, March 31, 2015
   
420,285.501
   
$
67,216,003
     
232,098.628
   
$
28,112,500
   
$
95,328,503
 

See accompanying notes.
 
3

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Cash Flows
 
   
Three Months Ended
March 31,
 
   
2015
   
2014
 
Cash flows provided by operating activities
       
Net income (loss)
 
$
6,203,516
   
$
(10,775,378
)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
               
Net income (loss) allocated from investment in Graham Alternative Investment Trading LLC
   
(6,203,516
)
   
10,775,378
 
Proceeds from sale of investments in Graham Alternative Investment Trading LLC
   
2,780,268
     
4,878,250
 
Investments in Graham Alternative Investment Trading LLC
   
(1,257,000
)
   
(2,691,289
)
Net cash provided by operating activities
   
1,523,268
     
2,186,961
 
                 
Cash flows used in financing activities
               
Subscriptions
   
1,257,000
     
2,691,289
 
Redemptions
   
(2,780,268
)
   
(4,878,250
)
Net cash used in financing activities
   
(1,523,268
)
   
(2,186,961
)
                 
Net change in cash and cash equivalents
   
     
 
                 
Cash and cash equivalents, beginning of period
   
     
 
Cash and cash equivalents, end of period
 
$
   
$
 

See accompanying notes.
 
4

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements

March 31, 2015
 
1. Organization and Business
 
The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. GAIF I has two other series in addition to the Fund, Systematic Strategies Portfolio and Discretionary Strategies Portfolio. GAIF I commenced the liquidation process for the Discretionary Strategies Portfolio on July 31, 2014. 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 with the U.S. Commodity Futures Trading Commission (“CFTC”).
 
As a Series Limited Liability Company each series is legally segregated, and the assets associated with each series are held separately and accounted for in separate and distinct records from the assets of any other series of GAIF I. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not against the assets of GAIF I generally or any other series thereof. Further, none of the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to GAIF I are enforceable against the assets of any other series.

The Fund offers investors Class 0 and Class 2 units. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. GAIT invests in various master trading vehicles (“Master Funds”), 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 U.S. CFTC and is a member of the National Futures Association. The Manager is also registered as a Registered Investment Advisor with the Securities and Exchange Commission. The Fund’s Units are registered under the Securities Exchange Act of 1934.
 
The investment objective of the Fund is to achieve long-term capital appreciation through professionally managed trading in both U.S. and foreign markets primarily in futures contracts, forwards contracts, spot currency contracts, and associated derivative instruments, such as options and swaps, through its investment in GAIT, which in turn invests in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.
 
SEI Global Services, Inc. (“SEI”) is the Fund’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of the Fund.
 
The Fund will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Limited Liability Company Agreement (“LLC Agreement”).
 
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.
 
5

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
 
1. Organization and Business (continued)
 
Duties of the Manager
 
Subject to the terms and conditions of the LLC Agreement, the Manager has complete and exclusive responsibility for managing and administering the affairs of the Fund and for directing the investment and reinvestment of the assets of the Fund and GAIT.
 
2. Summary of Significant Accounting Policies
 
These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board 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 Master Funds at fair value based upon GAIT’s proportionate share of the Master Funds’ reported net asset value. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis and includes them in the statements of operations. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.
 
GAIT charges its investors, including the Fund, an advisory fee, sponsor fee, and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however each investor in the Fund indirectly bears a portion of the advisory fee, sponsor fee, and incentive allocation charged by GAIT.

At March 31, 2015 and December 31, 2014, the Fund owned 52.82% and 52.82%, respectively of GAIT.

Fair Value
 
The fair value of the assets and liabilities of the Fund and GAIT, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations.
 
The Fund follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. The Fund reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. U.S. GAAP uses a three level hierarchy for fair value measurement based on the activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.
 
6

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
 
2. Summary of Significant Accounting Policies (continued)
Fair Value (continued)
 
The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

· Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded.
· Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to the Fund’s investment in GAIT, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.
· Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
 
In accordance with this hierarchy, the Fund’s investment in GAIT has been classified as a Level 2 valuation. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2015 or the year ended December 31, 2014 by the Fund, GAIT, or the Master Funds, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.
 
Recent Accounting Pronouncements
 
In August 2014, the Financial Accounting Standards Board issued Accounting Standards Update 2014-15 – Presentation of Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of the Fund’s ability to continue as a going concern even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that the Fund will be unable to meet its obligations as they become due. Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the disclosures within the financial statements.
 
In May 2015, the Financial Accounting Standards Board issued Accounting Standards Update 2015-07 – Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The pronouncement removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share (or its equivalent) practical expedient. Additionally, the pronouncement also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Accounting Standards Update 2015-07 is effective for fiscal years beginning after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact that this pronouncement will have on the financial statements.
 
Indemnifications
 
In the normal course of business, the Master Funds, GAIT, Graham Cash Assets LLC (“Cash Assets”), and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31, 2015 and December 31, 2014 no accruals have been recorded by the Fund for indemnifications.
 
3. Capital Accounts
 
The Fund offers two classes (each a “Class”) of Units (collectively the “Units”), being Class 0 Units and Class 2 Units. The Fund may issue additional Classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager.
 
7

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
 
3. Capital Accounts (continued)
 
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 contribution 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 $50,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000.
 
Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.
 
Redemption of Units
 
Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $25,000. The redemption proceeds will normally be remitted within 15 days after the Valuation Day, without interest for the period from the Valuation Day to the payment date.
 
Redemption Fees
 
Class 2 Units are subject to a redemption fee equal to 2% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 1% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Class 0 Units are not subject to a redemption fee. Redemption fees are payable to the Manager upon redemption of Units from the proceeds of such redemption. There were no redemption fees paid to the Manager for the three months ended March 31, 2015 and 2014.
 
4. Fees and Related Party Transactions
 
Advisory Fees
 
For the three months ended March 31, 2015 and 2014, each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.
 
8

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
4. Fees and Related Party Transactions (continued)
 
Sponsor Fees
 
For the three months ended March 31, 2015 and 2014, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.
 
Class
 
Annual Rate
 
     
Class 0
 
0.75%
 
Class 2
  2.75%
 
 
Incentive Allocation
 
At the end of each calendar quarter, the Manager of GAIT 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 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 to the Manager. The total Incentive Allocation allocated to the Fund by GAIT for the three months ended March 31, 2015 and 2014 was $1,550,824 and $0, respectively.
 
Administrator’s Fee
 
For the three months ended March 31, 2015 and 2014, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the three months ended March 31, 2015 and 2014 were $32,828 and $29,719, 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 the Fund.
 
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 revenues and expenses for income tax purposes.
 
9

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)
5. Income Taxes (continued)
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2011 through 2014 or expected to be taken in the Fund’s 2015 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.
 
6. Financial Highlights
 
The following is the per unit operating performance calculation for the three month periods ended March 31, 2015 and 2014:
 
 
   
Class 0
   
Class 2
 
Per unit operating performance
       
Net asset value per unit, December 31, 2013
 
$
127.72
   
$
98.41
 
Net loss:
               
Net investment loss
   
(0.76
)
   
(1.05
)
Net loss on investments
   
(12.93
)
   
(9.93
)
Net loss
   
(13.69
)
   
(10.98
)
Net asset value per unit, March 31, 2014
 
$
114.03
   
$
87.43
 
                 
Net asset value per unit, December 31, 2014
 
$
149.37
   
$
113.58
 
Net income:
               
Net investment loss
   
(1.04
)
   
(1.40
)
Net gain on investments
   
11.60
     
8.94
 
Net income
   
10.56
     
7.54
 
Net asset value per unit, March 31, 2015
 
$
159.93
   
$
121.12
 
 
10

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)
 
The following represents ratios to average members’ capital and total return for the three month periods ended March 31, 2015 and 2014:
 
 
   
Class 0
   
Class 2
 
   
2015
   
2014
   
2015
   
2014
 
                 
Total return before Incentive Allocation
   
8.85
%
   
(10.72
)%
   
8.29
%
   
(11.16
)%
Incentive Allocation
   
(1.78
)
   
0.00
     
(1.65
)
   
0.00
 
Total return after Incentive Allocation
   
7.07
%
   
(10.72
)%
   
6.64
%
   
(11.16
)%
                                 
Net investment loss before Incentive Allocation
   
(0.67
)%
   
(0.63
)%
   
(1.18
)%
   
(1.13
)%
Incentive Allocation
   
(1.70
)
   
0.00
     
(1.60
)
   
0.00
 
Net investment loss after Incentive Allocation
   
(2.37
)%
   
(0.63
)%
   
(2.78
)%
   
(1.13
)%
                                 
Total expenses before Incentive Allocation
   
0.73
%
   
0.68
%
   
1.24
%
   
1.18
%
Incentive Allocation
   
1.70
     
0.00
     
1.60
     
0.00
 
Total expenses after Incentive Allocation
   
2.43
%
   
0.68
%
   
2.84
%
   
1.18
%

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total members’ capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital for Class 0 and Class 2 Units of the Fund for the three month periods ended March 31, 2015 and 2014.
 
7. Subsequent Events
 
The Fund had subscriptions of approximately $2.3 million and redemptions of approximately $0.3 million from April 1, 2015 through May 14, 2015, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.
 
As of April 4, 2015, the minimum initial subscription from each investor in each Class was reduced to $10,000.
 
11

Graham Alternative Investment Trading LLC

Statements of Financial Condition
 
   
March 31, 2015
(Unaudited)
   
December 31, 2014
(Audited)
 
Assets
       
Investments in Master Funds, at fair value
 
$
20,230,369
   
$
21,968,796
 
Investment in Graham Cash Assets LLC, at fair value
   
164,748,614
     
155,687,417
 
Receivable from Master Funds
   
-
     
489
 
Total assets
 
$
184,978,983
   
$
177,656,702
 
                 
Liabilities and members’ capital
               
Liabilities:
               
Accrued redemptions
 
$
3,874,498
   
$
8,174,470
 
Accrued advisory fees
   
272,870
     
262,055
 
Accrued sponsor fees
   
203,736
     
195,287
 
Accrued professional fees
   
114,792
     
141,939
 
Accrued administrator’s fee
   
21,701
     
20,879
 
Payable to Master Funds
   
362
     
410
 
Total liabilities
   
4,487,959
     
8,795,040
 
                 
Members’ capital:
               
Class 0 Units (812,335.587 and 812,590.118 units issued and outstanding at
$159.93 and $149.37  per unit, respectively)
   
129,916,327
     
121,377,790
 
Class 2 Units (407,335.097 and 408,116.011 units issued and outstanding at
$121.12 and $113.58  per unit, respectively)
   
49,337,675
     
46,354,391
 
Class M Units (4,671.470 units issued and outstanding at $264.80 and
$241.78 per unit, respectively)
   
1,237,022
     
1,129,481
 
Total members’ capital
   
180,491,024
     
168,861,662
 
Total liabilities and members’ capital
 
$
184,978,983
   
$
177,656,702
 

See accompanying notes.
 
12

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments
 
   
March 31, 2015
(Unaudited)
   
December 31, 2014
(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
 
$
8,566,089
     
4.75
%
 
$
12,775,274
     
7.57
%
Graham K4D Trading Ltd.
   
11,664,280
     
6.46
%
   
9,193,522
     
5.44
%
Total investments in Master Funds
 
$
20,230,369
     
11.21
%
 
$
21,968,796
     
13.01
%
 
See accompanying notes.
 
13

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation
 
   
Three Months Ended
March 31,
 
   
2015
   
2014
 
Net gain (loss) allocated from investments in Master Funds
       
Net realized gain (loss) on investments
 
$
20,622,967
   
$
(10,979,432
)
Net decrease in unrealized appreciation on investments
   
(4,277,079
)
   
(7,197,449
)
Brokerage commissions and fees
   
(221,481
)
   
(251,855
)
Net gain (loss) allocated from investments in Master Funds
   
16,124,407
     
(18,428,736
)
                 
Net investment loss allocated from investments in Master Funds
   
(24,291
)
   
(20,719
)
                 
Investment income
               
Interest income
   
111,995
     
89,072
 
                 
Expenses
               
Advisory fees
   
782,328
     
720,773
 
Sponsor fees
   
582,709
     
495,032
 
Administrator’s fees
   
62,256
     
54,230
 
Professional fees and other
   
76,750
     
46,801
 
Total expenses
   
1,504,043
     
1,316,836
 
Net investment loss of the Fund
   
(1,392,048
)
   
(1,227,764
)
                 
Net income (loss)
   
14,708,068
     
(19,677,219
)
                 
Incentive allocation
   
2,920,022
     
 
                 
Net income available for pro-rata allocation to all members
 
$
11,788,046
   
$
(19,677,219
)

See accompanying notes.
 
14

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the three months ended March 31, 2015 and 2014

   
Class 0
   
Class 2
   
Class M
   
Total
 
   
Units
   
Capital
   
Units
   
Capital
   
Units
   
Capital
   
Capital
 
                             
Members’ capital, December 31, 2013
   
1,093,036.786
   
$
139,603,019
     
407,013.551
   
$
40,053,854
     
4,671.470
   
$
920,232
   
$
180,577,105
 
Subscriptions
   
19,116.971
     
2,270,079
     
19,683.797
     
1,884,010
     
     
     
4,154,089
 
Redemptions
   
(52,521.247
)
   
(6,038,497
)
   
(26,451.209
)
   
(2,369,405
)
   
     
     
(8,407,902
)
Incentive allocation
   
     
     
     
     
     
     
 
Net loss
   
     
(15,006,933
)
   
     
(4,576,717
)
   
     
(93,569
)
   
(19,677,219
)
Members’ capital, March 31, 2014
   
1,059,632.510
   
$
120,827,668
     
400,246.139
   
$
34,991,742
     
4,671.470
   
$
826,663
   
$
156,646,073
 
                                                         
   
Class 0
   
Class 2
   
Class M
   
Total
 
   
Units
   
Capital
   
Units
   
Capital
   
Units
   
Capital
   
Capital
 
                                                         
Members’ capital, December 31, 2014
   
812,590.118
   
$
121,377,790
     
408,116.011
   
$
46,354,391
     
4,671.470
   
$
1,129,481
   
$
168,861,662
 
Subscriptions
   
5,771.777
     
899,644
     
9,160.212
     
1,091,900
     
     
     
1,991,544
 
Redemptions
   
(6,026.308
)
   
(950,968
)
   
(9,941.126
)
   
(1,199,260
)
   
     
(2,920,022
)
   
(5,070,250
)
Incentive allocation
   
     
(2,147,427
)
   
     
(772,595
)
   
     
2,920,022
     
 
Net income
   
     
10,737,288
     
     
3,863,239
     
     
107,541
     
14,708,068
 
Members’ capital, March 31, 2015
   
812,335.587
   
$
129,916,327
     
407,335.097
   
$
49,337,675
     
4,671.470
   
$
1,237,022
   
$
180,491,024
 

See accompanying notes.
 
15

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows
 
   
Three Months Ended March 31,
 
   
2015
   
2014
 
Cash flows provided by operating activities
       
Net income (loss)
 
$
14,708,068
   
$
(19,677,219
)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
               
Net (income) loss allocated from investments in Master Funds
   
(16,100,116
)
   
18,449,455
 
Net income allocated from investment in Graham Cash Assets LLC
   
(111,995
)
   
(89,072
)
Proceeds from sale of investments in Master Funds
   
61,383,114
     
73,261,609
 
Proceeds from sale of investments in Graham Cash Assets LLC
   
45,468,484
     
59,218,104
 
Investments in Master Funds
   
(43,544,130
)
   
(78,091,187
)
Investments in Graham Cash Assets LLC
   
(54,417,686
)
   
(49,086,938
)
Changes in assets and liabilities:
               
Accrued advisory fees
   
10,815
     
(35,001
)
Accrued sponsor fees
   
8,449
     
(23,065
)
Accrued professional fees
   
(27,147
)
   
(16,911
)
Accrued administrator’s fee
   
822
     
(2,532
)
Net cash provided by operating activities
   
7,378,678
     
3,907,243
 
                 
Cash flows used in financing activities
               
Subscriptions
   
1,991,544
     
4,154,089
 
Redemptions
   
(9,370,222
)
   
(8,061,332
)
Net cash used in financing activities
   
(7,378,678
)
   
(3,907,243
)
                 
Net change in cash and cash equivalents
   
     
 
                 
Cash and cash equivalents, beginning of period
   
     
 
Cash and cash equivalents, end of period
 
$
   
$
 

See accompanying notes.
 
16

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

March 31, 2015
 
1. Organization and Business
 
Graham Alternative Investment Trading LLC (“GAIT”) was formed on May 18, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Managing Member” or “Manager”) is the Managing Member and the sole investment advisor. The Managing Member is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association. The Managing Member is also registered as a Registered Investment Advisor with the Securities and Exchange Commission. GAIT is a commodity pool, and as such is subject to the oversight and jurisdiction of the U.S. 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.
 
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio and Graham Alternative Investment Fund II LLC Blended Strategies Portfolio are the primary investors of GAIT. Graham Alternative Investment III Ltd. was an investor of GAIT for the period from January 1, 2014 through June 30, 2014.
 
SEI Global Services, Inc. (“SEI”) is GAIT’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of GAIT.
 
GAIT will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Limited Liability Company Agreement (“LLC Agreement”).
 
Duties of the Managing Member
 
Subject to the terms and conditions of the LLC Agreement, the Managing Member has complete and exclusive responsibility for managing and administering the affairs of GAIT and for directing the investment and reinvestment of the assets of GAIT.
 
2. Summary of Significant Accounting Policies
 
These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. GAIT is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board 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.
 
17

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
2. Summary of Significant Accounting Policies (continued)
 
Investments in Master Funds
 
GAIT invests in various Master Funds which are managed by the Managing Member. These investments are valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of the Master Funds’ reported net asset values. Gains and losses are allocated monthly by each Master Fund to GAIT based upon GAIT’s proportionate share of the net asset value of each Master Fund and are included in the statements of operations and incentive allocation.
 
During the year ended December 31, 2014 certain Master Funds in which GAIT invested consolidated their assets under Graham Commodity Strategies LLC, ceased operations, and were dissolved. The amount of assets that were transferred in-kind in connection with this consolidation totals $6,005,778. The dates of the consolidation and dissolution were as follows:
 
 
Master Fund
Consolidation Date
Dissolution Date
Graham Macro Directional LLC
August 21, 2014
October 30, 2014
Graham Global Monetary Policy LLC
August 26, 2014
October 30, 2014

Due from Brokers
 
Due from 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 instruments, and receivables for unsettled transactions. A portion of the Master Funds’ cash and investments are held as collateral by its brokers to secure derivative instruments.
 
Revenue Recognition
 
All financial instruments are recorded on the trade date at fair value. Net unrealized gain or loss on open positions is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at the end of the period. Any change in net unrealized gain or loss from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends are recorded on the ex-dividend date and are net of related withholding taxes.
 
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.
 
Foreign Currency Translation
 
Assets and liabilities denominated in foreign currencies on the Master Funds’ financial statements are translated using the exchange rates at March 31, 2015 and December 31, 2014. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices held. Currency translation gains and losses are included in the statement of operations within net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments.
 
18

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
2. Summary of Significant Accounting Policies (continued)
 
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.
 
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. With respect to GAIT’s investments in the other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.
· Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
 
In accordance with this hierarchy, GAIT’s investments in Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been classified as Level 2. These investments are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2015 or the year ended December 31, 2014 by GAIT, the Master Funds, or Cash Assets, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.
 
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.
 
19

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
 
Derivative Instruments (continued)
 
Unrealized gains and losses 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 gain (loss) on investments in the Master Funds’ statements of operations.
 
Futures Contracts
 
The Master Funds use futures contracts in an attempt to take advantage of changes in the value of equities, commodities, interest rates, bonds and foreign currencies. Futures contracts are valued based upon the closing price as of the valuation date established by the primary exchange upon which they are traded.

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 gains or losses by the Master Funds. Relative to over-the-counter derivative financial instruments, futures contracts provide reduced counterparty risk to the Master Funds since futures are exchange-traded and the exchanges’ clearing house guarantees the futures against default. However some non-U.S. exchanges are “principals’ markets” in which no common clearing facility exists and the Master Funds may look only to the clearing broker for performance of the contract. The U.S. Commodity Exchange Act requires an FCM to segregate all funds received from such FCM’s customers in respect of regulated futures transactions. If the FCM were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the FCM. In that case, the Master Funds would be limited to recovering only a pro rata share of all available funds segregated on behalf of the FCM’s combined customer accounts, even though certain property specifically traceable to the Master Funds was held by the FCM. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds might experience a loss of funds deposited through its FCM as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions.
 
Forward Contracts
 
The Master Funds enter into foreign currency forward contracts in an attempt to take advantage of changes in exchange rates. Forward currency transactions are contracts or agreements for delivery of specific currencies or the cash equivalent value at a specified future date and an agreed upon price. Forward contracts are not guaranteed by an exchange or clearing house and therefore the risks include the inability of counterparties to meet their obligations under the terms of the contracts as well as the risks associated with movements in fair value.
 
Exchange traded forward contracts are valued based upon the settlement prices as of the valuation date, established by the primary exchange upon which they are traded. All other forward contracts are valued based upon a forward curve constructed using independently quoted forward points. Changes in fair value of each forward contract are recognized as unrealized gains or losses.
 
20

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
 
Derivative Instruments (continued)
 
Swap Contracts
 
The Master Funds may enter into various swap contracts in an attempt to take advantage of changes in interest rates and asset values. Exchange traded interest rate swap contracts are executed on an exchange which requires margin deposits with a Central Clearing Counterparty (“CCP”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized gains or losses by the Master Funds. Relative to over-the-counter interest rate swap contracts, exchange traded interest rate swap contracts provide reduced counterparty risk since they are exchange-traded and the exchange’s clearinghouse guarantees against default. The Commodity Exchange Act requires a CCP to segregate all funds received from such CCP’s customers in respect of exchange traded interest rate swaps. If the CCP were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the CCP. In that case, the Master Funds would be limited to recovering only a pro rata share of all available funds segregated on behalf of the CCP’s combined customer accounts, even though certain property specifically traceable to the Master Funds is held by the CCP. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds could experience a loss of funds deposited through its CCP as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions. All funds deposited with both U.S. and non-U.S. CCPs are included in due from brokers on the statements of financial condition. Over the counter swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized gains 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.
 
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.
 
Exchange traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Total return swaps are valued based upon the exchange published settle price of the underlying reference instrument. Changes in fair value of each swap are recognized as unrealized gains or losses. The Master Funds record realized gains or losses when a swap contract is terminated.

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.
 
21

Graham Alternative Investment Trading LLC

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

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 gains 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.
 
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 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, and provide limits with respect to any decline in the Master Funds’ net asset 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. During the three months ended March 31, 2015 and 2014 no events occurred which caused the Master Funds to violate any of these provisions. At March 31, 2015 the fair value of Derivative Instruments subject to credit risk related contingent features in a net liability position for Graham K4D Trading Ltd., a Master Fund in which GAIT invests, was $10,392,630. There were no Derivative Instruments subject to credit risk related contingent features in a net liability position for Graham Commodity Strategies LLC at March 31, 2015, or for any of the Master Funds at December 31, 2014.
 
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 memberships and the shares of the CME Group at fair value. As of March 31, 2015 and December 31, 2014, the two NYMEX memberships were valued at $356,000 and $480,000, respectively, and the 30,000 shares of CME Group were valued at $2,841,300 and $2,659,500, respectively, both of which are contained within Exchange Memberships on Graham Commodity Strategies LLC’s statements of financial condition.
 
22

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
 
Chicago Board of Trade Membership
 
Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat. Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of March 31, 2015 and December 31, 2014, the B-1/Full memberships were valued at $511,000 and $570,000, respectively, and the B-2/Associate memberships were valued at $88,500 and $97,500, respectively, both of which are included in CME Membership on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns a Chicago Mercantile Exchange seat valued at $290,500 and $390,000 at March 31, 2015 and December 31, 2014, respectively, which is also included in Exchange Membership on the statements of financial condition.
 
Recent Accounting Pronouncements
 
In August 2014, the Financial Accounting Standards Board issued Accounting Standards Update 2014-15 – Presentation of Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of GAIT’s ability to continue as a going concern even if GAIT’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about GAIT’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that GAIT will be unable to meet its obligations as they become due. Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the financial statements.
 
In May 2015, the Financial Accounting Standards Board issued Accounting Standards Update 2015-07 – Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The pronouncement removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share (or its equivalent) practical expedient. Additionally, the pronouncement also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Accounting Standards Update 2015-07 is effective for fiscal years beginning after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact that this pronouncement will have on the financial statements.
 
Indemnifications
 
In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31, 2015 and December 31, 2014 no accruals have been recorded by GAIT for indemnifications.
 
23

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds
 
As of March 31, 2015 and December 31, 2014, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its members’ capital are individually identified, while smaller investments are aggregated under the caption “Other Global Macro Funds.” The number of Master Funds included for the period in each aggregated category is disclosed parenthetically next to each name. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management or incentive fees and all offer monthly subscriptions and redemptions.
 
 
March 31, 2015
 
Investment – Objective
 
Percent of
Members’
Capital
   
Fair Value
   
Net Income
(three months ended)
 
             
Systematic Macro Funds
           
Graham K4D Trading Ltd.
   
6.46
%
 
$
11,664,280
   
$
8,936,822
 
                         
Global Macro Funds
                       
Graham Commodity Strategies LLC
   
4.75
%
   
8,566,089
     
7,163,294
 
     
11.21
%
 
$
20,230,369
   
$
16,100,116
 

December 31, 2014
 
Investment – Objective
 
Percent of
Members’
Capital
   
Fair Value
   
Net Loss
(three months ended
March 31, 2014)
 
             
Systematic Macro Funds
           
Graham K4D Trading Ltd.
   
5.44
%
 
$
9,193,522
   
$
(9,156,537
)
                         
Global Macro Funds
                       
Graham Commodity Strategies LLC
   
7.57
%
   
12,775,274
     
(5,314,137
)
Other Global Macro Funds (2)
   
0.00
%
   
-
     
(3,978,781
)
     
13.01
%
 
$
21,968,796
   
$
(18,449,455
)
 
24

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following table summarizes the financial position of each Master Fund as of March 31, 2015:

   
Graham
Commodity
Strategies LLC
(Delaware)
   
Graham K4D
Trading Ltd.
(BVI)
 
Assets:
       
Due from brokers
 
$
53,406,984
   
$
102,878,252
 
Derivative financial instruments, at fair value
   
88,340,658
     
21,623,975
 
Exchange membership, at fair value
   
3,197,300
     
890,000
 
Total assets
   
144,944,942
     
125,392,227
 
                 
Liabilities:
               
Derivative financial instruments, at fair value
   
-
     
10,392,630
 
Due to brokers
   
-
     
-
 
Total liabilities
   
-
     
10,392,630
 
Net assets
 
$
144,944,942
   
$
114,999,597
 
                 
Percentage of Master Fund held by GAIT
   
5.91
%
   
10.14
%
 
25

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2015.
 
Description
 
Number of
Contracts / Notional
Amounts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC
           
Derivative financial instruments
           
Long contracts
           
Futures
 
Commodity
     
$
(8,604,370
)
   
(5.94
)%
Foreign bond
       
165,879
     
0.11
%
Foreign index
       
2,446,956
     
1.69
%
Interest rate
       
4,963,058
     
3.42
%
U.S. bond
       
40,219
     
0.03
%
U.S. index
       
8,500
     
0.01
%
Total futures
       
(979,758
)
   
(0.68
)%
                     
Swaps
                   
Interest rate
       
(7,271,755
)
   
(5.02
)%
Total swaps
       
(7,271,755
)
   
(5.02
)%
                     
Forwards
                   
Euro / U.S. dollar 04/09/2015
 
EUR
100,000,000      
(28,684,872
)
   
(19.79
)%
Other foreign currency
       
(662,250
)
   
(0.46
)%
Total forwards
       
(29,347,122
)
   
(20.25
)%
                     
Options (cost $169,509,852)
                   
Crude oil futures 06/30/2015 - 12/31/2016, $65.00 - $105.00 Call
   
3
     
390,000
     
0.27
%
Crude oil futures 05/31/2015 - 06/30/2015, $42.50 - $50.00 Put
   
6
     
11,201,000
     
7.73
%
Other commodity futures
           
20,428,636
     
14.09
%
Euro / U.S. dollar 01/04/2016, $1.35 Call
   
1
     
8,310
     
0.01
%
Euro / U.S. dollar 05/15/2015, $1.04 Put
   
3
     
7,456,400
     
5.14
%
Euro / U.S. dollar 05/15/2015, $1.10 Put
   
2
     
20,020,500
     
13.81
%
Euro / U.S. dollar 05/15/2015, $1.33 Put
   
1
     
7,608,462
     
5.25
%
Euro / U.S. dollar 06/23/2015, $1.10 Put
   
1
     
7,651,440
     
5.28
%
Euro / U.S. dollar 04/01/2015 - 01/10/2017, $0.95 - $1.22 Put
   
18
     
27,485,135
     
18.96
%
U.S. dollar / Canadian dollar 04/10/2015, $1.22 Call
   
1
     
7,291,620
     
5.03
%
U.S. dollar / Canadian dollar 04/10/2015 - 01/06/2016, $1.24 - $1.31 Call
   
13
     
15,459,778
     
10.67
%
U.S. dollar / Japanese yen 04/07/2015 $119.00 Put
   
1
     
246,320
     
0.17
%
U.S. dollar / Japanese yen 04/13/2015 - 12/03/2015, $121.00 - $131.68 Call
   
14
     
10,293,448
     
7.10
%
Other currency
           
28,528,012
     
19.68
%
Foreign index
           
1,300,699
     
0.90
%
Eurodollar futures 06/30/2015 - 03/31/2016, $98.63 - $99.38 Put
   
6
     
5,003,125
     
3.45
%
Eurodollar futures 06/30/2015 - 12/31/2015, $99.00 - $99.75 Call
   
5
     
8,840,625
     
6.10
%
Other interest rate futures
           
828,166
     
0.57
%
Total options
           
180,041,676
     
124.21
%
 
 
26

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 March 31, 2015.
 
Description
 
Number of
Contracts / Notional Amounts
   
Fair Value
   
Percentage
of Members’ Capital of Master Fund
 
Graham Commodity Strategies LLC (continued)
           
Derivative financial instruments (continued)
           
Short contracts
           
Futures
           
Commodity
     
$
9,517,325
     
6.57
%
Foreign index
       
73,949
     
0.05
%
Interest rate
       
(2,555,957
)
   
(1.76
)%
U.S. bond
       
(405,875
)
   
(0.28
)%
U.S. index
       
(63,375
)
   
(0.04
)%
Total futures
       
6,566,067
     
4.54
%
                     
Swaps
                   
Natural gas futures 01/31/2016 – 12/31/2016
   
12
     
8,130,750
     
5.61
%
Total swaps
           
8,130,750
     
5.61
%
                         
Forwards
                       
U.S. dollar / Euro 04/09/2015
 
EUR
(100,000,000    
28,784,343
     
19.86
%
Other foreign currency
           
287,877
     
0.20
%
Total forwards
           
29,072,220
     
20.06
%
                         
Options (proceeds $15,318,750)
                       
Crude oil futures 05/31/2015 – 06/30/2015, $37.50 - $42.00 Put
   
5
     
(7,034,000
)
   
(4.85
)%
Crude oil futures 06/30/2015 – 12/31/2016, $80.00 - $120.00 Call
   
2
     
(395,000
)
   
(0.27
)%
Other commodity futures
           
(9,691,130
)
   
(6.69
)%
Euro / U.S. dollar 05/15/2015, $1.04 Put
   
2
     
(7,456,400
)
   
(5.14
)%
Euro / U.S. dollar 05/15/2015, $1.10 Put
   
3
     
(20,020,500
)
   
(13.81
)%
Euro / U.S. dollar 04/01/2015 – 06/23/2015, $0.99 - $1.09 Put
   
9
     
(8,747,918
)
   
(6.04
)%
Euro / U.S. dollar 04/03/2015 – 01/04/2016, $1.09 - $1.10 Call
   
3
     
(1,970,022
)
   
(1.36
)%
U.S. dollar / Canadian dollar 04/10/2015, $1.22 Call
   
1
     
(7,291,620
)
   
(5.03
)%
U.S. dollar / Canadian dollar 04/10/2015 - 05/29/2015, $1.22 - $1.34 Call
   
11
     
(8,527,009
)
   
(5.88
)%
Other currency
           
(14,185,721
)
   
(9.79
)%
Eurodollar futures 06/30/15 - 03/31/16, $98.88 - $99.00 Put
   
4
     
(4,000,000
)
   
(2.76
)%
Eurodollar futures 06/30/15 - 12/31/15, $99.13 - $99.75 Call
   
4
     
(8,093,750
)
   
(5.58
)%
Other interest rate futures
           
(458,350
)
   
(0.32
)%
Total options
           
(97,871,420
)
   
(67.52
)%
Total derivative financial instruments
         
$
88,340,658
     
60.95
%
 
27

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2015.
 
Description
 
Fair Value
   
Percentage of Net Assets of Master Fund
 
Graham K4D Trading Ltd.
       
Derivative financial instruments
       
Long contracts
       
Futures
       
Commodity
 
$
(179,083
)
   
(0.16
)%
Currency
   
(431,201
)
   
(0.37
)%
Foreign bond
   
9,263,665
     
8.06
%
Foreign index
   
4,870,850
     
4.24
%
Interest rate
   
1,414,631
     
1.23
%
U.S. bond
   
2,340,158
     
2.03
%
U.S. index
   
1,166,253
     
1.01
%
Total futures
   
18,445,273
     
16.04
%
                 
Forwards
               
Foreign currency
   
(3,083,892
)
   
(2.68
)%
Total forwards
   
(3,083,892
)
   
(2.68
)%
                 
Short contracts
               
Futures
               
Commodity
   
3,780,036
     
3.29
%
Currency
   
(197,726
)
   
(0.17
)%
Foreign bond
   
(248,430
)
   
(0.22
)%
Foreign index
   
95,620
     
0.08
%
Interest rate
   
(82,984
)
   
(0.07
)%
U.S. bond
   
(73,507
)
   
(0.06
)%
U.S. index
   
(94,306
)
   
(0.08
)%
Total futures
   
3,178,703
     
2.77
%
                 
Forwards
               
Foreign currency
   
(7,308,739
)
   
(6.36
)%
Total forwards
   
(7,308,739
)
   
(6.36
)%
Total derivative financial instruments
 
$
11,231,345
     
9.77
%
 
28

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)
 
The following table shows the fair value classification of each investment type by Master Fund as of March 31, 2015:

   
Graham
Commodity
Strategies LLC
   
Graham K4D
Trading Ltd.
 
Assets
       
Level 1:
       
Commodity futures
 
$
11,386,105
   
$
12,014,817
 
Commodity futures options
   
32,019,636
     
-
 
Commodity swaps
   
8,130,750
     
-
 
Currency futures
   
-
     
21,934
 
Foreign bond futures
   
290,609
     
9,334,986
 
Foreign index futures
   
2,625,923
     
6,619,255
 
Foreign index futures options
   
1,300,699
     
-
 
Interest rate futures
   
5,002,331
     
1,414,780
 
Interest rate futures options
   
14,671,916
     
-
 
U.S. bond futures
   
40,219
     
2,604,676
 
U.S. index futures
   
8,500
     
1,488,864
 
Total Level 1
   
75,476,688
     
33,499,312
 
                 
Level 2:
               
Foreign currency forwards
   
34,597,345
     
5,933,152
 
Foreign currency options
   
132,049,424
     
-
 
Total Level 2
   
166,646,769
     
5,933,152
 
Total investment related assets
 
$
242,123,457
   
$
39,432,464
 
                 
Liabilities
               
Level 1:
               
Commodity futures
 
$
(10,473,150
)
 
$
(8,413,864
)
Commodity futures options
   
(17,120,130
)
   
-
 
Currency futures
   
-
     
(650,861
)
Foreign bond futures
   
(124,730
)
   
(319,751
)
Foreign index futures
   
(105,018
)
   
(1,652,785
)
Interest rate futures
   
(2,595,230
)
   
(83,133
)
Interest rate futures options
   
(12,552,100
)
   
-
 
U.S. bond futures
   
(405,875
)
   
(338,025
)
U.S. index futures
   
(63,375
)
   
(416,917
)
Total Level 1
   
(43,439,608
)
   
(11,875,336
)
                 
Level 2:
               
Foreign currency forwards
   
(34,872,247
)
   
(16,325,783
)
Foreign currency options
   
(68,199,189
)
   
-
 
Interest rate swaps
   
(7,271,755
)
   
-
 
Total Level 2
   
(110,343,191
)
   
(16,325,783
)
Total investment related liabilities
 
$
(153,782,799
)
 
$
(28,201,119
)
 
29

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 the Master Funds based on their average quarterly notional amounts and number of contracts for the three months ended March 31, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at March 31, 2015 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and 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.
 
   
Graham Commodity Strategies LLC
 
   
Long exposure
   
Short exposure
         
   
Notional
amounts
   
Number
of
contracts
   
Notional
amounts
   
Number
of
contracts
   
Derivative
Assets
   
Derivative
Liabilities
 
Commodity price
                       
Futures
 
$
252,174,980
     
8,439
   
$
(338,118,500
)
   
(8,135
)
 
$
11,386,105
   
$
(10,473,150
)
Options(a)
   
323,892,593
     
56,271
     
(443,497,712
)
   
(34,090
)
   
32,019,636
     
(17,120,130
)
Swaps
   
-
     
-
     
(28,019,250
)
   
(3,600
)
   
8,130,750
     
-
 
     
576,067,573
     
64,710
     
(809,635,462
)
   
(45,825
)
   
51,536,491
     
(27,593,280
)
Equity price
                                               
Futures
   
111,585,284
     
1,533
     
(85,349,045
)
   
(1,039
)
   
2,634,423
     
(168,393
)
Options(a)
   
24,214,672
     
1,000
     
-
     
-
     
1,300,699
     
-
 
     
135,799,956
     
2,533
     
(85,349,045
)
   
(1,039
)
   
3,935,122
     
(168,393
)
Foreign currency exchange rate
                                         
Forwards
   
975,183,901
     
N/A
   
(1,973,755,018
)
   
N/A
 
   
34,597,345
     
(34,872,247
)
Options(a)
   
2,670,261,070
     
77
     
(2,870,081,925
)
   
(88
)
   
132,049,424
     
(68,199,189
)
     
3,645,444,971
     
77
     
(4,843,836,943
)
   
(88
)
   
166,646,769
     
(103,071,436
)
Interest rate
                                               
Futures
   
10,980,426,942
     
38,159
     
(6,057,778,557
)
   
(25,152
)
   
5,333,159
     
(3,125,835
)
Options(a)
   
1,709,568,947
     
64,500
     
(1,542,186,312
)
   
(62,000
)
   
14,671,916
     
(12,552,100
)
Swaps
   
644,657,769
     
4
     
(644,657,769
)
   
(4
)
   
-
     
(7,271,755
)
     
13,334,653,658
     
102,663
     
(8,244,622,638
)
   
(87,156
)
   
20,005,075
     
(22,949,690
)
Total
 
$
17,691,966,158
     
169,983
   
$
(13,983,444,088
)
   
(134,108
)
 
$
242,123,457
   
$
(153,782,799
)

(a)    – Notional amounts for options are based on the delta-adjusted positions.
 
30

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 the Master Funds based on their average quarterly notional amounts and number of contracts for the three months ended March 31, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at March 31, 2015 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and 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.
 
   
Graham K4D Trading Ltd.
 
   
Long exposure
   
Short exposure
         
   
Notional
amounts
   
Number
of
contracts
   
Notional
amounts
   
Number
of
contracts
   
Derivative
Assets
   
Derivative
Liabilities
 
Commodity price
                       
Futures
 
$
196,354,505
     
4,047
   
$
(608,965,109
)
   
(12,858
)
 
$
12,014,817
   
$
(8,413,864
)
     
196,354,505
     
4,047
     
(608,965,109
)
   
(12,858
)
   
12,014,817
     
(8,413,864
)
                                                 
Equity price
                                               
Futures
   
930,261,165
     
9,465
     
(52,785,847
)
   
(565
)
   
8,108,119
     
(2,069,702
)
     
930,261,165
     
9,465
     
(52,785,847
)
   
(565
)
   
8,108,119
     
(2,069,702
)
                                                 
Foreign currency exchange rate
                                         
Forwards
   
596,062,233
     
N/A
   
(1,164,772,094
)
   
N/A
 
   
5,933,152
     
(16,325,783
)
Futures
   
79,320,712
     
815
     
(44,865,831
)
   
(484
)
   
21,934
     
(650,861
)
     
675,382,945
     
815
     
(1,209,637,925
)
   
(484
)
   
5,955,086
     
(16,976,644
)
                                                 
Interest rate
                                               
Futures
   
5,726,745,650
     
32,057
     
(164,812,829
)
   
(905
)
   
13,354,442
     
(740,909
)
     
5,726,745,650
     
32,057
     
(164,812,829
)
   
(905
)
   
13,354,442
     
(740,909
)
Total
 
$
7,528,744,265
     
46,384
   
$
(2,036,201,710
)
   
(14,812
)
 
$
39,432,464
   
$
(28,201,119
)
 
31

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at March 31, 2015 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 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
 
$
242,123,457
   
$
(153,782,799
)
 
$
88,340,658
   
$
-
   
$
88,340,658
 
Derivative liabilities
   
(153,782,799
)
   
153,782,799
     
-
     
-
     
-
 
                                         
Graham K4D Trading Ltd.2
                                       
Derivative assets
   
39,432,464
     
(17,808,489
)
   
21,623,975
     
-
     
21,623,975
 
Derivative liabilities
   
(28,201,119
)
   
17,808,489
     
(10,392,630
)
   
10,392,630
     
-
 
                                         
 
1 Net derivative asset amounts presented in the statement of financial condition are held with three counterparties. The Master Fund did not receive collateral from these counterparties that may have been used offset the derivative amounts as of March 31, 2015. At March 31, 2015 additional collateral pledged in the amount of $53,406,984 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
2 Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. The Master Fund has pledged offsetting collateral to one of these counterparties that is eligible to offset the derivative liability amount as of March 31, 2015. At March 31, 2015 additional collateral pledged in the amount of $92,485,622 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
32

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)
 
The following table summarizes the results of operations of each Master Fund for the three months ended March 31, 2015:
 
   
Graham
Commodity
Strategies LLC
   
Graham K4D
Trading Ltd.
 
         
Net investment loss
 
$
(18,350
)
 
$
(11,029
)
                 
Net realized gain (loss) on investments
   
124,394,094
     
130,023,341
 
Net increase (decrease) in unrealized appreciation on investments
   
434,484
     
(43,080,517
)
Brokerage commissions and fees
   
(3,603,352
)
   
(312,217
)
Net gain (loss) on investments
   
121,225,226
     
86,630,607
 
Net income (loss)
 
$
121,206,876
   
$
86,619,578
 
 
33

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended March 31, 2015:
 
   
Graham
Commodity
Strategies LLC
   
Graham
K4D Trading
Ltd.
 
Commodity price
       
Futures
 
$
(11,448,048
)
 
$
(7,796,168
)
Options
   
3,171,997
     
-
 
Swaps
   
3,132,000
     
-
 
     
(5,144,051
)
   
(7,796,168
)
Equity price
               
Equities
   
57,800
     
(167,500
)
Futures
   
19,751,060
     
29,601,184
 
Options
   
2,399,491
     
-
 
     
22,208,351
     
29,433,684
 
Foreign currency exchange rate
               
Forwards
   
57,127,461
     
24,727,587
 
Futures
   
-
     
9,403,836
 
Options
   
47,313,942
     
-
 
     
104,441,403
     
34,131,423
 
Interest rate
               
Futures
   
4,643,447
     
31,173,885
 
Options
   
689,668
     
-
 
Swaps
   
(2,010,240
)
   
-
 
     
3,322,875
     
31,173,885
 
Total
 
$
124,828,578
   
$
86,942,824
 
 
34

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, 2014:
 
   
Graham
Commodity
Strategies LLC
(Delaware)
   
Graham K4D
Trading Ltd.
(BVI)
 
Assets:
       
Due from brokers
 
$
83,528,234
   
$
66,195,100
 
Derivative financial instruments, at fair value
   
68,381,520
     
54,146,429
 
Exchange membership, at fair value
   
3,139,500
     
1,057,500
 
Dividends receivable
   
51,870
     
-
 
Total assets
   
155,101,124
     
121,399,029
 
                 
Liabilities:
               
Derivative financial instruments, at fair value
   
-
     
-
 
Due to brokers
   
-
     
-
 
Total liabilities
   
-
     
-
 
Net assets
 
$
155,101,124
   
$
121,399,029
 
                 
Percentage of Master Fund held by GAIT
   
5.93
%
   
10.52
%
 
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 December 31, 2014.
Description
 
Number of
Contracts / Notional
Amounts
   
Fair Value
   
Percentage
of Members'
Capital of
Master Fund
 
Graham Commodity Strategies LLC
Derivative financial instruments
Long contracts
           
Futures
           
Coffee March 2015
   
700
   
$
(8,553,900
)
   
(5.52
)%
Other commodity
           
(8,001,987
)
   
(5.16
)%
Foreign bond
           
2,283,244
     
1.47
%
Foreign index
           
179,085
     
0.12
%
Interest rate
           
31,106
     
0.02
%
U.S. bond
           
471,562
     
0.30
%
U.S. index
           
256,188
     
0.17
%
Total futures
           
(13,334,702
)
   
(8.60
)%
                         
Swaps
                       
Interest rate
           
(8,099,610
)
   
(5.22
)%
Total swaps
           
(8,099,610
)
   
(5.22
)%
                         
Forwards
                       
Swiss franc / U.S. dollar 03/02/15
 
CHF
182,595,000      
(16,076,171
)
   
(10.36
)%
Other Swiss franc / U.S. dollar 01/05/15 - 01/06/15
 
CHF 
114,126,268      
(414,594
)
   
(0.27
)%
Euro / U.S. dollar 04/09/15
 
EUR
100,000,000      
(14,993,597
)
   
(9.67
)%
Other Euro / U.S. dollar 01/02/15 - 02/23/15
 
EUR
1,037,300,000      
(5,915,527
)
   
(3.81
)%
Mexican peso / U.S. dollar 01/02/15
 
MXN
6,999,980,000      
(25,268,297
)
   
(16.29
)%
Other foreign currency
           
(3,007,519
)
   
(1.94
)%
Total forwards
           
(65,675,705
)
   
(42.34
)%
                         
Options (cost $34,120,840)
                       
U.S. dollar / Japanese yen 01/23/15, $110.00 Call
   
1
     
8,225,790
     
5.30
%
U.S. dollar / Japanese yen 01/23/15, $109.00 Call
   
1
     
13,585,305
     
8.76
%
U.S. dollar / Japanese yen 01/23/15, $115.00 Call
   
1
     
10,454,850
     
6.74
%
Other U.S. dollar / Japanese yen 01/05/15 - 12/15/15, $110.50 - $150.00 Call
   
13
     
29,792,846
     
19.21
%
Euro / U.S. dollar 01/16/15, $1.24 Put
   
2
     
13,814,595
     
8.91
%
Other Euro / U.S. dollar 01/09/15 - 08/17/15, $1.15 - $1.33 Put
   
17
     
38,010,122
     
24.50
%
Australian dollar / U.S. dollar 02/05/15 - 05/27/15, $0.81 - $0.83 Put
   
5
     
11,440,031
     
7.38
%
Other currency
           
15,269,762
     
9.85
%
Eurodollar future December 2015, $98.75 - $99.25 Put
   
2
     
10,187,500
     
6.57
%
Eurodollar future June 2015, $99.38  - $99.75 Put
   
2
     
350,000
     
0.23
%
Other interest rate futures
2,875,000
1.85
%
 
36

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 December 31, 2014.
 
Description
 
Number of
Contracts / Notional
Amounts
   
Fair Value
   
Percentage
of Members'
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued)
           
Derivative financial instruments (continued)
           
Long contracts (continued)
           
Options (continued)
           
Coffee future February 2015, $167.50 Put
   
1
   
$
23,344
     
0.02
%
Coffee future March 2015, $250.00 Call
   
1
     
20,250
     
0.01
%
Commodity futures
           
11,346,439
     
7.31
%
Total options
           
165,395,834
     
106.64
%
                         
Short contracts
                       
Futures
                       
Coffee July 2015
   
(965
)
   
11,849,513
 
   
7.64
%
Other commodity
           
14,805,620
     
9.54
%
Foreign index
           
(639,795
)
   
(0.41
)%
Interest rate
           
709,760
     
0.46
%
U.S. bond
           
(433,813
)
   
(0.28
)%
U.S. index
           
(274,750
)
   
(0.18
)%
Total futures
           
26,016,535
     
16.77
%
                         
Swaps
                       
Interest rate
           
1,056,548
     
0.68
%
Total swaps
           
1,056,548
     
0.68
%
                         
Forwards
                       
U.S. dollar / Swiss franc 03/02/15
 
$
(189,700,000
)
   
8,919,465
     
5.75
%
Other U.S. dollar / Swiss franc 01/05/15 - 01/06/15
   
(178,277,512
)
   
711,835
     
0.46
%
U.S. dollar / Euro 04/09/15
   
(100,000,000
)
   
15,093,067
     
9.73
%
Other U.S. dollar / Euro 01/02/15 - 01/05/15
   
(1,822,601,926
)
   
9,029,043
     
5.82
%
Other foreign currency
           
29,453,365
     
18.99
%
Total forwards
           
63,206,775
     
40.75
%
                         
Options (proceeds $15,318,750)
                       
U.S. dollar / Japanese yen 01/23/15, $110.00 Call
   
(1
)
   
(8,225,790
)
   
(5.30
)%
U.S. dollar / Japanese yen 01/23/15, $109.00 Call
   
(1
)
   
(13,585,305
)
   
(8.76
)%
U.S. dollar / Japanese yen 01/23/15, $115.00 Call
   
(1
)
   
(10,454,850
)
   
(6.74
)%
Other U.S. dollar / Japanese yen 01/05/15 - 05/01/15, $110.50 - $130.00 Call
   
(8
)
   
(14,193,955
)
   
(9.15
)%
U.S. dollar / Japanese yen 03/23/15 - 05/12/15, $104.20 - $109.80 Put
   
(1
)
   
(54,928
)
   
(0.04
)%
Euro / U.S. dollar 01/09/15 - 05/01/15, $1.12 - $1.30 Put
   
(12
)
   
(19,853,521
)
   
(12.80
)%
 

37

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 December 31, 2014.
 
 
 
 
Description
 
Number of
Contracts
   
Fair Value
   
Percentage
of Members' Capital of Master Fund
 
Graham Commodity Strategies LLC (continued)
           
Derivative financial instruments (continued)
           
Short contracts (continued)
           
Options (continued)
           
Other currency
     
$
(14,091,653
)
   
(9.09
)%
Coffee futures February 2015, $162.50 Put
   
(1
)
   
(211,500
)
   
(0.14
)%
Coffee futures March 2015, $275.00 Call
   
(1
)
   
(4,594
)
   
(0.00
)%
Other commodity futures
           
(7,758,059
)
   
(5.00
)%
Eurodollar future December 2015, $99.00 Put
   
(1
)
   
(9,000,000
)
   
(5.80
)%
Eurodollar future June 2015, $99.63 Call
   
(1
)
   
(500,000
)
   
(0.32
)%
Eurodollar future June 2015, $99.00 Put
   
(1
)
   
(50,000
)
   
(0.03
)%
Other interest rate futures
           
(2,200,000
)
   
(1.42
)%
Total options
           
(100,184,155
)
   
(64.59
)%
Total derivative financial instruments
         
$
68,381,520
     
44.09
%
 

38

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, 2014.
 
Description
Number of
Contracts
 
Fair Value
   
Percentage of Net Assets of Master Fund
 
Graham K4D Trading Ltd.
         
Derivative financial instruments
         
Long contracts
         
Futures
         
Commodity
   
$
(7,717,424
)
   
(6.36
)%
Currency
     
1,154,672
     
0.95
%
Foreign bond
     
20,545,048
     
16.92
%
Foreign index
     
(1,731,587
)
   
(1.43
)%
Interest rate
     
1,060,406
     
0.87
%
U.S. bond
     
3,368,832
     
2.78
%
U.S. index
     
5,498,375
     
4.53
%
Total futures
     
22,178,322
     
18.26
%
                   
Forwards
                 
Foreign currency
     
(573,341
)
   
(0.47
)%
Total forwards
     
(573,341
)
   
(0.47
)%
                   
Short contracts
                 
Futures
                 
Commodity
     
26,804,210
     
22.08
%
Currency
     
911,143
     
0.75
%
Foreign bond
     
(447,050
)
   
(0.37
)%
Foreign index
     
(1,618,985
)
   
(1.33
)%
Interest rate
     
38,574
     
0.03
%
U.S. bond
     
(157,336
)
   
(0.13
)%
U.S. index
     
(353,135
)
   
(0.29
)%
Total futures
     
25,177,421
     
20.74
%
                   
Forwards
                 
Foreign currency
     
7,364,027
     
6.07
%
Total forwards
     
7,364,027
     
6.07
%
Total derivative financial instruments
   
$
54,146,429
     
44.60
%
 

39

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, 2014:
 
   
Graham
Commodity
Strategies LLC
   
Graham K4D
Trading Ltd.
 
Assets
       
Level 1:
       
Commodity futures
 
$
27,633,798
   
$
29,282,344
 
Commodity futures options
   
11,390,033
     
-
 
Currency futures
   
-
     
2,171,127
 
Foreign bond futures
   
2,283,244
     
20,545,048
 
Foreign index futures
   
645,049
     
1,864,196
 
Interest rate futures
   
2,497,781
     
1,665,293
 
Interest rate futures options
   
13,412,500
     
-
 
U.S. bond futures
   
471,562
     
4,244,516
 
U.S. index futures
   
261,001
     
5,559,393
 
Total Level 1
   
58,594,968
     
65,331,917
 
                 
Level 2:
               
Foreign currency forwards
   
76,278,028
     
8,077,680
 
Foreign currency options
   
140,593,301
     
-
 
Interest rate swaps
   
1,056,548
     
-
 
Total Level 2
   
217,927,877
     
8,077,680
 
Total investment related assets
 
$
276,522,845
   
$
73,409,597
 
                 
Liabilities
               
Level 1:
               
Commodity futures
 
$
(17,534,552
)
 
$
(10,195,558
)
Commodity futures options
   
(7,974,153
)
   
-
 
Currency futures
   
-
     
(105,312
)
Foreign bond futures
   
-
     
(447,050
)
Foreign index futures
   
(1,105,759
)
   
(5,214,768
)
Interest rate futures
   
(1,756,915
)
   
(566,313
)
Interest rate futures options
   
(11,750,000
)
   
-
 
U.S. bond futures
   
(433,813
)
   
(1,033,020
)
U.S. index futures
   
(279,563
)
   
(414,153
)
Total Level 1
   
(40,834,755
)
   
(17,976,174
)
                 
Level 2:
               
Foreign currency forwards
   
(78,746,958
)
   
(1,286,994
)
Foreign currency options
   
(80,460,002
)
   
-
 
Interest rate swaps
   
(8,099,610
)
   
-
 
Total Level 2
   
(167,306,570
)
   
(1,286,994
)
Total investment related liabilities
 
$
(208,141,325
)
 
$
(19,263,168
)
 
40

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 the Master Funds based on their average quarterly notional amounts and number of contracts for the year ended December 31, 2014. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 2014 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and 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.
 
   
Graham Commodity Strategies LLC
 
   
Long exposure
   
Short exposure
         
   
Notional
amounts
   
Number
of
contracts
   
Notional
amounts
   
Number
of
contracts
   
Derivative
Assets
   
Derivative
Liabilities
 
Commodity price
                       
Futures
 
$
183,681,221
     
3,188
   
$
(212,148,221
)
   
(4,366
)
 
$
27,633,798
   
$
(17,534,552
)
Options(a)
   
160,621,354
     
9,042
     
(179,833,578
)
   
(9,615
)
   
11,390,033
     
(7,974,153
)
Swaps
   
7,604,787
     
800
     
(15,483,911
)
   
(1,762
)
   
-
     
-
 
     
351,907,362
     
13,030
     
(407,465,710
)
   
(15,743
)
   
39,023,831
     
(25,508,705
)
Equity price
                                               
Futures
   
106,188,081
     
1,836
     
(135,709,856
)
   
(1,482
)
   
906,050
     
(1,385,322
)
Options(a)
   
18,988,942
     
2,550
     
(30,681,556
)
   
(2,550
)
   
-
     
-
 
     
125,177,023
     
4,386
     
(166,391,412
)
   
(4,032
)
   
906,050
     
(1,385,322
)
Foreign currency exchange rate
                                         
Forwards
   
2,537,892,170
     
N/A
   
(3,436,406,268
)
   
N/A
   
76,278,028
     
(78,746,958
)
Futures
   
2,374,377
     
30
     
-
     
-
     
-
     
-
 
Options(a)
   
3,464,244,621
     
82
     
(3,405,730,397
)
   
(54
)
   
140,593,301
     
(80,460,002
)
     
6,004,511,168
     
112
     
(6,842,136,665
)
   
(54
)
   
216,871,329
     
(159,206,960
)
Interest rate
                                               
Futures
   
3,679,302,974
     
15,235
     
(2,440,223,091
)
   
(10,578
)
   
5,252,587
     
(2,190,728
)
Options(a)
   
1,976,567,695
     
44,656
     
(2,517,178,746
)
   
(47,875
)
   
13,412,500
     
(11,750,000
)
Swaps
   
840,593,936
     
5
     
(826,080,726
)
   
(4
)
   
1,056,548
     
(8,099,610
)
     
6,496,464,605
     
59,896
     
(5,783,482,563
)
   
(58,457
)
   
19,721,635
     
(22,040,338
)
Total
 
$
12,978,060,158
     
77,424
   
$
(13,199,476,350
)
   
(78,286
)
 
$
276,522,845
   
$
(208,141,325
)

(a) – Notional amounts for options are based on the delta-adjusted positions.
 
41

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 the Master Funds based on their average quarterly notional amounts and number of contracts for the year ended December 31, 2014. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 2014 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and 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.
 
   
Graham K4D Trading Ltd.
 
   
Long exposure
   
Short exposure
         
   
Notional
amounts
   
Number
of
contracts
   
Notional
amounts
   
Number
of
contracts
   
Derivative
Assets
   
Derivative
Liabilities
 
Commodity price
                       
Futures
 
$
398,132,519
     
5,751
   
$
(464,713,344
)
   
(8,537
)
 
$
29,282,344
   
$
(10,195,558
)
     
398,132,519
     
5,751
     
(464,713,344
)
   
(8,537
)
   
29,282,344
     
(10,195,558
)
                                                 
Equity price
                                               
Futures
   
848,537,897
     
8,854
     
(74,316,710
)
   
(875
)
   
7,423,589
     
(5,628,921
)
     
848,537,897
     
8,854
     
(74,316,710
)
   
(875
)
   
7,423,589
     
(5,628,921
)
                                                 
Foreign currency exchange rate
                                         
Forwards
   
809,287,149
     
N/A
   
(850,132,838
)
   
N/A
   
8,077,680
     
(1,286,994
)
Futures
   
107,908,942
     
1,119
     
(129,233,377
)
   
(1,352
)
   
2,171,127
     
(105,312
)
     
917,196,091
     
1,119
     
(979,366,215
)
   
(1,352
)
   
10,248,807
     
(1,392,306
)
                                                 
Interest rate
                                               
Futures
   
5,696,623,466
     
28,567
     
(1,199,073,059
)
   
(6,297
)
   
26,454,857
     
(2,046,383
)
     
5,696,623,466
     
28,567
     
(1,199,073,059
)
   
(6,297
)
   
26,454,857
     
(2,046,383
)
Total
 
$
7,860,489,973
     
44,291
   
$
(2,717,469,328
)
   
(17,061
)
 
$
73,409,597
   
$
(19,263,168
)
 

42

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, 2014 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 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
 
$
276,522,845
   
$
(208,141,325
)
 
$
68,381,520
   
$
-
   
$
68,381,520
 
Derivative liabilities
   
(208,141,325
)
   
208,141,325
     
-
     
-
     
-
 
                                         
Graham K4D Trading Ltd.2
                                       
Derivative assets
   
73,409,597
     
(19,263,168
)
   
54,146,429
     
-
     
54,146,429
 
Derivative liabilities
   
(19,263,168
)
   
19,263,168
     
-
     
-
     
-
 
 
1 Net derivative asset amounts presented in the statement of financial condition are held with three counterparties. The Master Fund did not receive collateral from these counterparties that may have been used to offset these derivative amounts as of December 31, 2014. At December 31, 2014 additional collateral pledged in the amount of $83,528,234 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. The Master Fund did not receive collateral from these counterparties that may have been used to offset these derivative amounts as of December 31, 2014. At December 31, 2014 additional collateral pledged in the amount of $66,195,100 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.
 
43

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 month period ended March 31, 2014:
 
   
Graham
Commodity
Strategies LLC
   
Graham Macro
Directional LLC
   
Graham
Global Monetary
Policy LLC
   
Graham K4D
Trading Ltd.
 
                 
Net investment loss
 
$
(16,904
)
 
$
(2,706
)
 
$
(15,351
)
 
$
(29,712
)
                                 
Net realized loss on investments
   
(60,677,901
)
   
(33,954,795
)
   
(29,906,674
)
   
(49,207,734
)
Net decrease in unrealized appreciation on investments
   
(24,823,212
)
   
(23,189,213
)
   
(18,555,113
)
   
(41,552,938
)
Brokerage commissions and fees
   
(2,696,906
)
   
(302,725
)
   
(1,684,300
)
   
(336,253
)
Net loss on investments
   
(88,198,019
)
   
(57,446,733
)
   
(50,146,087
)
   
(91,096,925
)
Net loss
 
$
(88,214,923
)
 
$
(57,449,439
)
 
$
(50,161,438
)
 
$
(91,126,637
)
 
The following table shows the gross gains and losses on all financial instruments held by the Master Funds reported in net realized loss and net decrease in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three month period ended March 31, 2014:
 
   
Graham
Commodity
Strategies LLC
   
Graham Macro
Directional LLC
   
Graham
Global Monetary
Policy LLC
   
Graham K4D
Trading Ltd.
 
Commodity price
               
Futures
 
$
(10,973,148
)
 
$
2,779,058
   
$
(870,593
)
 
$
(60,129,414
)
Options
   
(1,226,372
)
   
136,906
     
-
     
-
 
Swaps
   
(1,928,127
)
   
-
     
-
     
-
 
     
(14,127,647
)
   
2,915,964
     
(870,593
)
   
(60,129,414
)
Equity price
                               
Equities
   
(166,000
)
   
-
     
-
     
(24,250
)
Futures
   
3,048,083
     
(5,305,578
)
   
(15,944,671
)
   
(43,952,520
)
Options
   
(8,422,645
)
   
-
     
-
     
-
 
     
(5,540,562
)
   
(5,305,578
)
   
(15,944,671
)
   
(43,976,770
)
Foreign currency
exchange rate
                               
Forwards
   
12,431,877
     
(45,345,490
)
   
(38,464,833
)
   
12,128,452
 
Futures
   
-
     
-
     
-
     
(2,625,688
)
Options
   
(64,812,433
)
   
(911,824
)
   
6,927,752
     
-
 
     
(52,380,556
)
   
(46,257,314
)
   
(31,537,081
)
   
9,502,764
 
Interest rate
                               
Futures
   
(10,030,331
)
   
(8,497,080
)
   
522,417
     
3,842,748
 
Options
   
178,223
     
-
     
(631,859
)
   
-
 
Swaps
   
(3,600,240
)
   
-
     
-
     
-
 
     
(13,452,348
)
   
(8,497,080
)
   
(109,442
)
   
3,842,748
 
Total
 
$
(85,501,113
)
 
$
(57,144,008
)
 
$
(48,461,787
)
 
$
(90,760,672
)
 
44

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
4. Graham Cash Assets LLC
 
GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005, and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government which range in maturity from one to twenty-seven months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three months ended March 31, 2015, the total amount recognized by GAIT with respect to its investment in Cash Assets was $111,995. For the three months ended March 31, 2014, the total amount recognized by GAIT with respect to its investment in Cash Assets was $89,072. These amounts are included in interest income in the statements of operations and incentive allocation. At March 31, 2015 and December 31, 2014, GAIT owned approximately 4.83% and 4.79%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of March 31, 2015 and December 31, 2014:
 
   
March 31, 2015
   
December 31, 2014
 
Assets:
       
Cash and cash equivalents
 
$
1,158,818,615
   
$
1,074,800,890
 
Investments in fixed income securities (cost $2,249,243,577 and
$2,173,381,831, respectively)
   
2,249,243,577
     
2,173,381,831
 
Accrued interest receivable
   
5,994,683
     
4,912,030
 
Total assets
   
3,414,056,875
     
3,253,094,751
 
                 
Liabilities:
               
Other liabilities
   
-
     
-
 
Total liabilities
   
-
     
-
 
Net assets
 
$
3,414,056,875
   
$
3,253,094,751
 
 
The following table summarizes the results of operations of Cash Assets for the three months ended March 31, 2015 and 2014:
 
   
2015
   
2014
 
Investment income
       
Interest income
 
$
2,332,063
   
$
1,923,369
 
Total investment income
   
2,332,063
     
1,923,369
 
                 
Expenses:
               
Bank fee expense
   
9,854
     
11,285
 
Total expenses
   
9,854
     
11,285
 
Net investment income
   
2,322,209
     
1,912,084
 
Net income
 
$
2,322,209
   
$
1,912,084
 
 
45

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 March 31, 2015:
 
Description
 
Principal
Amount
   
Fair Value
   
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities
(cost $2,249,243,577)
           
United States
           
Government Bonds (cost $2,249,243,577)
           
U.S. Treasury 0.25% – 4.00% due 04/15/15 – 06/30/17
 
$
2,240,000,000
   
$
2,249,243,577
     
65.88
%
Total Government Bonds
           
2,249,243,577
     
65.88
%
Total United States
           
2,249,243,577
     
65.88
%
Total Investments in Fixed Income Securities
         
$
2,249,243,577
     
65.88
%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2014:
 
Description
 
Principal
Amount
   
Fair Value
   
Percentage of
Members’
Capital
 
Investments in Fixed Income Securities
(cost $2,173,381,831)
           
United States
           
Government Bonds (cost $2,173,381,831)
           
U.S. Treasury 0.25% – 4.00% due 01/15/15 – 1/31/17
 
$
2,165,000,000
   
$
2,173,381,831
     
66.81
%
Total Government Bonds
           
2,173,381,831
     
66.81
%
Total United States
           
2,173,381,831
     
66.81
%
Total Investments in Fixed Income Securities
         
$
2,173,381,831
     
66.81
%

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of March 31, 2015 and December 31, 2014:
 
   
March 31, 2015
   
December 31, 2014
 
Assets
       
Level 2:
       
Fixed income securities
       
Government Bonds
 
$
2,249,243,577
   
$
2,173,381,831
 
Total fixed income securities
   
2,249,243,577
     
2,173,381,831
 
Total Level 2
   
2,249,243,577
     
2,173,381,831
 
Total assets
 
$
2,249,243,577
   
$
2,173,381,831
 

46

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
5. Capital Accounts
 
GAIT offers Class 0 Units and Class 2 Units (collectively, the “Units”). GAIT may issue additional classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager. GAIT also has Management Units (“Class M units”) which are solely for the investment of the Manager.
 
A separate Capital Account is maintained for each member with respect to each Class of Units held by such member. The initial balance of each member’s Capital Account is equal to the initial contribution to GAIT with respect to the Class to which such Capital Account relates. Each member’s Capital Account is increased by any additional subscription, and decreased by any redemption by such member of Units of such Class to which the Capital Account relates. All income and expenses of GAIT are allocated among the Capital Accounts of the members in proportion to the balance that each Capital Account bears to the balance of all Capital Accounts as of the beginning of such fiscal period.
 
Subscriptions
 
Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. There is no minimum subscription amount.
 
Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.
 
Redemptions
 
Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of the last business day of each month upon not less than three business days’ prior written notice to the administrator.
 
6. Fees and Related Party Transactions
 
Advisory Fees
 
For the three months ended March 31, 2015 and 2014 each Class of GAIT other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.
 
47

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
6. Fees and Related Party Transactions (continued)
 
Sponsor Fees
 
For the three months ended March 31, 2015 and 2014, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.
 
Class
 
Annual Rate
 
     
Class 0
   
0.75%
 
Class 2
   
2.75%
 
 
Incentive Allocation
 
At the end of each calendar quarter, 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 to the Manager. The Incentive Allocation was $2,920,022 and $0 for the three months ended March 31, 2015 and 2014, respectively.
 
Administrator’s Fee
 
For the three months ended March 31, 2015 and 2014, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, 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 for the three months ended March 31, 2015 and 2014 were $62,256 and $54,230, respectively, of which $21,701 and $18,182 was accrued as of March 31, 2015 and 2014, 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.
 
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 revenues and expenses for income tax purposes.
 
48

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

7. Income Taxes (continued)
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year and GAIT identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated GAIT’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2011 through 2014 or expected to be taken in GAIT’s 2015 tax returns. The Manager has evaluated GAIT’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. 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.
 
8. Financial Highlights
 
The following is the per unit operating performance calculation for the three months ended March 31, 2015 and 2014:
 
   
Class 0
   
Class 2
 
Per unit operating performance
       
Net asset value per unit, December 31, 2013
 
$
127.72
   
$
98.41
 
Net loss:
               
Net investment loss
   
(0.76
)
   
(1.05
)
Net loss on investments
   
(12.93
)
   
(9.93
)
Net loss
   
(13.69
)
   
(10.98
)
Net asset value per unit, March 31, 2014
 
$
114.03
   
$
87.43
 

Net asset value per unit, December 31, 2014
 
$
149.37
   
$
113.58
 
Net income:
               
Net investment loss
   
(1.04
)
   
(1.41
)
Net gain on investments
   
11.60
     
8.95
 
Net income
   
10.56
     
7.54
 
Net asset value per unit, March 31, 2015
 
$
159.93
   
$
121.12
 
 
49

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)
 
The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three months ended March 31, 2015 and 2014:
 
   
Class 0
   
Class 2
 
   
2015
   
2014
   
2015
   
2014
 
                 
Total return before Incentive Allocation
   
8.84
%
   
(10.72
)%
   
8.31
%
   
(11.16
)%
Incentive Allocation
   
(1.77
)
   
0.00
     
(1.67
)
   
0.00
 
Total return after Incentive Allocation
   
7.07
%
   
(10.72
)%
   
6.64
%
   
(11.16
)%
                                 
Net investment loss before Incentive Allocation
   
(0.67
)%
   
(0.63
)%
   
(1.18
)%
   
(1.13
)%
Incentive Allocation
   
(1.69
)
   
0.00
     
(1.60
)
   
0.00
 
Net investment loss after Incentive Allocation
   
(2.36
)%
   
(0.63
)%
   
(2.78
)%
   
(1.13
)%
                                 
Total expenses before Incentive Allocation
   
0.73
%
   
0.68
%
   
1.25
%
   
1.19
%
Incentive Allocation
   
1.69
     
0.00
     
1.60
     
0.00
 
Total expenses after Incentive Allocation
   
2.42
%
   
0.68
%
   
2.85
%
   
1.19
%

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and net investment loss and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital of GAIT, excluding that of the Managing Member, for the three months ended March 31, 2015 and 2013.
 
9. Subsequent Events
 
GAIT had subscriptions of approximately $3.6 million and redemptions of approximately $0.4 million from April 1, 2015 through May 14, 2015, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.
 
50

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. 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, 2014 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 30, 2015. This discussion should also be read in conjunction with “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include the Blended Strategies Portfolio of GAIF I, GAIT and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended March 31, 2015 the Blended Strategies Portfolio’s net asset value increased by $6,142,569 or 6.9%. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $1,257,000 or 1.4% and net income of $6,203,516 or 7.0% partially offset by redemptions totaling $1,317,947 or -1.5%, for the period.

For the three months ended March 31, 2014 the Blended Strategies Portfolio’s net asset value decreased by $12,587,713 or -12.7%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $2,691,289 or 2.7% offset by redemptions totaling $4,503,624 or -4.5% and a net loss of $10,775,378 or -10.9% 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.
 
51

2015 Summary

Three Months Ended March 31, 2015

For the three months ended March 31, 2015, the Blended Strategies Portfolio experienced net trading gains of $8,630,974. The trading results are attributable to the following sectors:

Agriculture / Softs
 
$
231,006
 
Base metals
   
(37,105
)
Energy
   
(310,849
)
Equities
   
2,285,896
 
Foreign exchange
   
5,178,746
 
Long term / Intermediate rates
   
1,190,454
 
Precious metals
   
(483,980
)
Short term rates
   
576,806
 
   
$
8,630,974
 

The Blended Strategies Portfolio recorded a net gain for the first quarter of 2015. The portfolio recorded gains from positions in foreign exchange, particularly from a long bias in the U.S. dollar versus the Euro, Canadian dollar, British sterling and Australian dollar. Additional gains resulted from long positions in Asian and European equity index futures as prices rallied during the quarter. In long term / intermediate rates, the portfolio recorded more gains from positions in European, Canadian and Australian bond futures. The portfolio experienced losses in commodities as gains from trading natural gas, copper and wheat were offset by losses in precious metals, gas oil and heating oil.

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

For the three months ended March 31, 2015, Advisory Fees increased by $18,316 or 4.6%, Sponsor Fees increased by $48,754 or 18.1%, and Administrator’s Fees increased by $3,109 or 10.5% in the Fund over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and net income partially offset by redemptions for the period. During the same period, interest income increased by $10,229 or 21.0%. Interest was earned on free cash at an average annualized yield of 0.30% for the three months ended March 31, 2015 compared to 0.26% for the same period in 2014.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2015 the Incentive Allocation increased by $1,550,824. This was the result of a higher net gain before incentive allocation for the three months ended March 31, 2015 compared to the three months ended March 31, 2014. For the three months ended March 31, 2014, the portfolio had not yet recovered previous losses. As a result, there was no Incentive Allocation for that period.
 
52

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2015 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
   
14.6
%
Base metals
   
(6.6
)%
Energy
   
26.7
%
Equities
   
32.8
%
Foreign exchange
   
(26.1
)%
Long term / Intermediate rates
   
54.3
%
Precious metals
   
(4.7
)%
Short term rates
   
9.0
%
     
100.0
%

2014 Summary

Three Months Ended March 31, 2014

For the three months ended March 31, 2014, the Blended Strategies Portfolio experienced net trading losses of $9,953,647. The trading results are attributable to the following sectors:

Agriculture / Softs
 
$
(1,598,226
)
Base metals
   
(101,263
)
Energy
   
(1,345,672
)
Equities
   
(2,923,974
)
Foreign exchange
   
(2,631,146
)
Long term / Intermediate rates
   
(313,593
)
Precious metals
   
(869,397
)
Short term rates
   
(170,376
)
   
$
(9,953,647
)

The Blended Strategies Portfolio recorded a net loss for the first quarter of 2014.  The portfolio recorded losses from positions in commodities, particularly in agriculture / softs with additional losses in the energy and metals markets. The portfolio recorded losses from positions in equity index futures, particularly during January as global benchmark indices reversed and moved sharply lower. Performance was also impacted by currency trading as gains from the Canadian and New Zealand dollars were more than offset by losses from trading the Japanese yen, Australian dollar and European currencies.  In fixed income futures, the portfolio recorded gains from positions on the long end of the yield curve in Europe.

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

For the three months ended March 31, 2014, Advisory Fees decreased by $303,253 or -43.3%, Sponsor Fees decreased by $154,943 or -36.6%, and Administrator’s Fees decreased by $22,381 or -43.0% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from subscriptions offset by redemptions and a net loss for the period. During the same period, interest income decreased by $29,250 or -37.5%. Interest was earned on free cash at an average annualized yield of 0.26% for the three months ended March 31, 2014 compared to 0.23% for the same period in 2013.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2014 and 2013 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.
 
53

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2014 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs
   
1,251.5
%
Base metals
   
172.2
%
Energy
   
(434.9
)%
Equities
   
(83.0
)%
Foreign exchange
   
(1,227.8
)%
Long term / Intermediate rates
   
464.3
%
Precious metals
   
(52.5
)%
Short term rates
   
10.2
%
     
100.0
%

Variables Affecting Performance

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

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

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:
 
54

   
Blended Strategies
Portfolio
 
March 31, 2015
   
11.28%
December 31, 2014
   
12.51%
 
March 31, 2014
   
12.35%
 

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through March 31, 2015, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.
 
(iii)         Capital Resources
 
The Fund raises additional capital through the sale of Units and capital is increased through trading profits (if any) and interest income. The Fund may borrow money from brokers or their affiliates and other lenders. Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Fund should not have a significant impact on its operations, as the Fund has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses.
 
The Fund participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Fund’s brokers may require margin in excess of minimum exchange requirements. The Fund bears the risk of financial failure of the brokers through which it clears trades and maintains margin in respect of any such trades and of its counterparties for its foreign exchange and swap trades with whom it also maintains margin.
 
(iv)         Critical Accounting Policies
 
Presentation – Graham Alternative Investment Fund I LLC is a series Limited Liability Company under Delaware law. The financial statements and corresponding footnotes are presented solely for the Blended Strategies Portfolio, except where otherwise noted.
 
Use of Estimates – The Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars except where noted. The preparation of the financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 2 of the financial statements.
 
Fair Value Measurement – The Fund follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value and requires certain disclosures about fair value measurements. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date. The Fund reports the fair value of its investment-related assets and liabilities in accordance with the hierarchy established under U.S. GAAP.
 
The Fund records its investments in GAIT at fair value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in Master Funds at fair value in accordance with U.S. GAAP. The Fund records its proportionate share of GAIT’s investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.
 
55

The Master Funds record all their financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized gains and losses from these instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.
 
Investment CompanyThe Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Update 2013-08, Financial Services – Investment Companies (Topic 946), Amendments to the Scope, Measurement, and Disclosure Requirements. The Manager has evaluated this guidance and has determined the Fund meets the criteria to be classified as an investment company.
 
Cash Assets – GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. The financial information of Cash Assets is included in the notes to the Financial Statements of GAIT.
 
Income 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 open tax years 2011 through 2014 or expected to be taken in the Fund’s 2015 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.
 
(v)         Off-Balance Sheet Arrangements

The Fund does not engage in off-balance sheet arrangements with other entities.
 
56

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.
57

Item 4. Controls and Procedures

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

Based on their evaluation as of March 31, 2015, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the Manager’s disclosure controls and procedures with respect to the Fund (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) were effective.

Changes in Internal Control Over Financial Reporting
 
There were no changes to the Fund’s internal controls over financial reporting during the first quarter of 2015 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal controls over financial reporting.
 
58

PART II. OTHER INFORMATION
 
Item 1. Legal Proceedings
None

Item 1A.
Risk Factors
Not Required

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
For the three months ended March 31, 2015, the Fund issued 9,523.156 Units in exchange for $1,257,000 with respect to the Blended Strategies 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 purchases of Units of the Fund.

Period (as of)
 
Blended Strategies Portfolio
Total
Number of
Units Issued
 
January 1, 2015
   
502.103
 
February 1, 2015
   
829.665
 
March 1, 2015
   
8,191.388
 
 
Issuer Purchases of Units

Date
 
(a) Total Number
of Units
Purchased1
   
(b) Average
Price Paid
per Unit
   
(c) Total Number of
Units Purchased as
Part of Publicly
Announced Plans
or Programs
   
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
 
January 31, 2015
   
2,422.673
     
139.63
     
N/A
 
   
N/A
 
February 28, 2015
   
4,363.240
     
137.85
     
N/A
 
   
N/A
 
March 31, 2015
   
2,505.683
     
140.53
     
N/A
 
   
N/A
 
TOTAL
   
9,291.596
     
139.34
     
N/A
 
   
N/A
 

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

Item 3. Defaults Upon Senior Securities – None

Item 4. Mine Safety Disclosures – None

Item 5. Other Information – None
 
59

Item 6. Exhibits

** 3.1
Certificate of Formation of Graham Alternative Investment Fund I LLC
* 3.2
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
* 4.1
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC
** 10.1
Form of Subscription Agreement
** 10.2
Form of Placement Agreement
*** 10.10
Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A.
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)
Section 1350 Certification (Certification of Principal Executive Officer and Chief Financial Officer)
101.INS
XBRL Instance Document
101.SCH
XBRL Taxonomy Extension Schema
101.CAL
XBRL Taxonomy Extension Calculation Linkbase
101.DEF
XBRL Taxonomy Extension Definition Linkbase
101.LAB
XBRL Taxonomy Extension Label Linkbase
101.PRE
XBRL Taxonomy Extension Presentation Linkbase
 
 
*
Incorporated by reference to the Fund’s Form 8-K previously filed on April 11, 2013

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

 
***
Incorporated by reference to the Fund’s Form 10/A previously filed on September 3, 2010

 
****
Filed herewith
 
60

SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
Dated: May 14, 2015
GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
BLENDED STRATEGIES PORTFOLIO
 
 
 
 
 
By:
GRAHAM CAPITAL MANAGEMENT, L.P.
 
 
its Manager
 
 
 
 
 
 
By:
/s/ Paul Sedlack
  Paul Sedlack, Principal Executive Officer
 
 
By:
/s/ Brian Douglas
  Brian Douglas, Chief Financial Officer

 
61