Company Quick10K Filing
Graham Alternative Investment Fund I
10-Q 2020-06-30 Filed 2020-08-14
10-Q 2020-03-31 Filed 2020-05-15
10-K 2019-12-31 Filed 2020-03-30
10-Q 2019-09-30 Filed 2019-11-14
10-Q 2019-06-30 Filed 2019-08-14
10-Q 2019-03-31 Filed 2019-05-15
10-K 2018-12-31 Filed 2019-03-29
10-Q 2018-09-30 Filed 2018-11-14
10-Q 2018-06-30 Filed 2018-08-14
10-Q 2018-03-31 Filed 2018-05-15
10-K 2017-12-31 Filed 2018-03-29
10-Q 2017-09-30 Filed 2017-11-14
10-Q 2017-06-30 Filed 2017-08-14
10-Q 2017-03-31 Filed 2017-05-15
10-K 2016-12-31 Filed 2017-03-30
10-Q 2016-09-30 Filed 2016-11-14
10-Q 2016-06-30 Filed 2016-08-15
10-Q 2016-03-31 Filed 2016-05-16
10-K 2015-12-31 Filed 2016-03-30
10-Q 2015-09-30 Filed 2015-11-16
10-Q 2015-06-30 Filed 2015-08-14
10-Q 2015-03-31 Filed 2015-05-14
10-K 2014-12-31 Filed 2015-03-30
10-Q 2014-09-30 Filed 2014-11-14
10-Q 2014-06-30 Filed 2014-08-14
10-Q 2014-03-31 Filed 2014-05-15
10-K 2013-12-31 Filed 2014-03-28
10-Q 2013-09-30 Filed 2013-11-14
10-Q 2013-06-30 Filed 2013-08-14
10-Q 2013-03-31 Filed 2013-05-15
10-K 2012-12-31 Filed 2013-03-28
10-Q 2012-09-30 Filed 2012-11-14
10-Q 2012-06-30 Filed 2012-08-14
10-Q 2012-03-31 Filed 2012-05-15
10-K 2011-12-31 Filed 2012-03-30
10-Q 2011-09-30 Filed 2011-11-14
10-Q 2011-06-30 Filed 2011-08-15
10-Q 2011-03-31 Filed 2011-05-16
10-K 2010-12-31 Filed 2011-03-30
10-Q 2010-09-30 Filed 2010-11-15
10-Q 2010-06-30 Filed 2010-08-16
8-K 2019-02-28

GAIF 10Q Quarterly Report

Part I
Item 1. Financial Statements
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Item 4. Controls and Procedures
Part II. Other Information
Item 1. Legal Proceedings
Item 1A. Risk Factors
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Item 3. Defaults Upon Senior Securities - None
Item 4. Mine Safety Disclosures - None
Item 5. Other Information - None
Item 6. Exhibits
EX-31.1 brhc10014223_ex31-1.htm
EX-31.2 brhc10014223_ex31-2.htm
EX-32.1 brhc10014223_ex32-1.htm

Graham Alternative Investment Fund I Earnings 2020-06-30

Balance SheetIncome StatementCash Flow

10-Q 1 brhc10014223_10q.htm 10-Q
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended June 30, 2020

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

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

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

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

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

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

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

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

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

Yes   No 

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

Yes   No ☐

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

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

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

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

Yes ☐  No ☒

As of August 1, 2020, 199,906.635 Units of the Blended Strategies Portfolio were outstanding.



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

INDEX

   
Page
Number
     
PART I - Financial Information:
 
       
 
Item 1.
Financial Statements:
 
       
   
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio
 
       
   
1
       
   
2
       
   
3
       
   
5
       
   
6
       
   
Graham Alternative Investment Trading LLC
 
       
   
14
       
   
15
       
   
16
       
   
17
       
   
19
       
   
20
       
 
Item 2.
59
       
 
Item 3.
65
       
 
Item 4.
66
       
67
       
68
       
  Certification  
  Certification  
  Certification  

PART I

Item 1.
Financial Statements

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Statements of Financial Condition

   
June 30, 2020
(Unaudited)
   
December 31, 2019
(Audited)
 
Assets
           
Investment in Graham Alternative Investment Trading LLC, at fair value
 
$
27,475,546
   
$
26,882,563
 
Redemptions receivable from Graham Alternative Investment Trading LLC
   
77,055
     
144,707
 
Total assets
 
$
27,552,601
   
$
27,027,270
 
                 
Liabilities and members’ capital
               
Liabilities:
               
Redemptions payable
 
$
77,055
   
$
144,707
 
Total liabilities
   
77,055
     
144,707
 
                 
Members’ capital:
               
Class 0 Units (101,205.423 and 103,946.549 units issued and outstanding at $159.54 and $152.04, respectively)
   
16,146,540
     
15,804,368
 
Class 2 Units (99,567.417 and 102,244.827 units issued and outstanding at $113.78 and $108.35, respectively)
   
11,329,006
     
11,078,195
 
Total members’ capital
   
27,475,546
     
26,882,563
 
Total liabilities and members’ capital
 
$
27,552,601
   
$
27,027,270
 

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

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Operations

   
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
   
2020
   
2019
   
2020
   
2019
 
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
                       
Net realized gain on investment
 
$
796,313
   
$
1,460,154
   
$
1,372,358
   
$
1,199,041
 
Net (decrease) increase in unrealized appreciation on investment
   
(637,940
)
   
394,933
     
271,863
     
733,438
 
Brokerage commissions and fees
   
(25,796
)
   
(64,147
)
   
(75,011
)
   
(117,286
)
Net gain allocated from investment in Graham Alternative Investment Trading LLC
   
132,577
     
1,790,940
     
1,569,210
     
1,815,193
 
                                 
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
                               
Investment income:
                               
Interest income
   
92,009
     
147,344
     
196,764
     
294,610
 
                                 
Expenses:
                               
Advisory fees
   
103,126
     
107,527
     
202,868
     
219,332
 
Sponsor fees
   
55,737
     
57,731
     
109,548
     
117,588
 
Professional fees
   
27,337
     
39,069
     
54,036
     
70,838
 
Administrator’s fees
   
9,058
     
9,407
     
17,503
     
19,539
 
Incentive allocation
   
5,737
     
     
73,579
     
 
Interest expense
   
1,727
     
1,598
     
3,345
     
3,185
 
Total expenses
   
202,722
     
215,332
     
460,879
     
430,482
 
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
   
(110,713
)
   
(67,988
)
   
(264,115
)
   
(135,872
)
Net income
 
$
21,864
   
$
1,722,952
   
$
1,305,095
   
$
1,679,321
 

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

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital

For the Three and Six Months Ended June 30, 2020

   
Class 0 Units
   
Class 2 Units
       
   
Units
   
Capital
   
Units
   
Capital
   
Total Members’
Capital
 
                               
Members’ capital, December 31, 2019
   
103,946.549
   
$
15,804,368
     
102,244.827
   
$
11,078,195
   
$
26,882,563
 
Subscriptions
   
     
     
     
     
 
Redemptions
   
(2,339.429
)
   
(355,086
)
   
(1,542.303
)
   
(163,815
)
   
(518,901
)
Net income
   
     
738,375
     
     
544,856
     
1,283,231
 
Members’ capital, March 31, 2020
   
101,607.120
     
16,187,657
     
100,702.524
     
11,459,236
     
27,646,893
 
Subscriptions
   
     
     
     
     
 
Redemptions
   
(401.697
)
   
(64,067
)
   
(1,135.107
)
   
(129,144
)
   
(193,211
)
Net income (loss)
   
     
22,950
     
     
(1,086
)
   
21,864
 
Members’ capital, June 30, 2020
   
101,205.423
   
$
16,146,540
     
99,567.417
   
$
11,329,006
   
$
27,475,546
 

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

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Six Months Ended June 30, 2019

   
Class 0 Units
   
Class 2 Units
       
   
Units
   
Capital
   
Units
   
Capital
   
Total Members’
Capital
 
                               
Members’ capital, December 31, 2018
   
137,453.802
   
$
18,378,136
     
134,750.838
   
$
12,936,828
   
$
31,314,964
 
Subscriptions
   
564.711
     
75,000
     
     
     
75,000
 
Redemptions
   
(11,007.395
)
   
(1,465,554
)
   
(15,884.948
)
   
(1,509,226
)
   
(2,974,780
)
Net loss
   
     
(6,281
)
   
     
(37,350
)
   
(43,631
)
Members’ capital, March 31, 2019
   
127,011.118
     
16,981,301
     
118,865.890
     
11,390,252
     
28,371,553
 
Subscriptions
   
934.934
     
125,000
     
     
     
125,000
 
Redemptions
   
(16,044.659
)
   
(2,218,094
)
   
(4,461.913
)
   
(448,288
)
   
(2,666,382
)
Net income
   
     
1,025,823
     
     
697,129
     
1,722,952
 
Members’ capital, June 30, 2019
   
111,901.393
   
$
15,914,030
     
114,403.977
   
$
11,639,093
   
$
27,553,123
 

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

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Cash Flows

   
Six Months Ended
June 30,
 
   
2020
   
2019
 
Cash flows provided by operating activities
           
Net income
 
$
1,305,095
   
$
1,679,321
 
Adjustments to reconcile net income to net cash provided by operating activities:
               
Net (income) allocated from investment in Graham Alternative Investment Trading LLC
   
(1,305,095
)
   
(1,679,321
)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
   
779,764
     
5,581,339
 
Purchases of investment in Graham Alternative Investment Trading LLC
   
     
(200,000
)
Net cash provided by operating activities
   
779,764
     
5,381,339
 
                 
Cash flows used in financing activities
               
Subscriptions
   
     
200,000
 
Redemptions
   
(779,764
)
   
(5,581,339
)
Net cash used in financing activities
   
(779,764
)
   
(5,381,339
)
                 
Net change in cash and cash equivalents
   
     
 
                 
Cash and cash equivalents, beginning of period
   
     
 
Cash and cash equivalents, end of period
 
$
   
$
 

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

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements

June 30, 2020

1. Organization and Business
 
The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. Prior to March 28, 2013, GAIF I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. Prior to October 31, 2019, investors in GAIF I had the choice to invest in either or both of two different portfolios, the Blended Strategies Portfolio or the Systematic Strategies Portfolio. The Systematic Strategies Portfolio ceased trading operations on October 31, 2019. GAIF I is registered as a commodity pool and as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission (“CFTC”).
 
As a Series Limited Liability Company each series is legally segregated, and the assets associated with each series are held separately and accounted for in separate and distinct records from the assets of any other series of GAIF I. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not against the assets of GAIF I generally or any other series thereof. Further, none of the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to GAIF I are enforceable against the assets of any other series.

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

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

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

At June 30, 2020 and December 31, 2019, the Fund owned 48.94% and 48.41%, respectively of GAIT.

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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

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

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

Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.

The Fund’s investment in GAIT has been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, this investment is excluded from categorization in the fair value hierarchy. There were no Level 3 assets or liabilities held at any point during the six months ended June 30, 2020 or the year ended December 31, 2019 by the Fund, GAIT, the Master Funds or Cash Assets.
 
Cash and Cash Equivalents
 
The Fund classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents on the statements of financial condition. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of the Fund’s cash would be limited to account insurance or other protection afforded by such deposit, which could be substantially less than the amount deposited. At June 30, 2020 and December 31, 2019, the Fund did not have any cash or cash equivalents.
 
Indemnifications
 
In the normal course of business, the Master Funds, GAIT, Cash Assets and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At June 30, 2020 and December 31, 2019, no accruals have been recorded by the Fund for indemnifications.
 
3. Capital Accounts

The Fund offers two classes (each a “Class”) of Units, being Class 0 Units and Class 2 Units. The Fund may issue additional Classes in the future subject to different fees, expenses or other terms, or may invest in other investment programs or combinations of investment programs managed by the Manager.
 
See attached financial statements of Graham Alternative Investment Trading LLC.

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 Members’ Capital account is equal to the initial subscription to the Fund by such member with respect to the Class to which such capital account relates. Each Members’ Capital account is increased by any additional subscription and decreased by any redemption by such member of Units of such Class to which the capital account relates. All income and expenses of the Fund are allocated among the Members’ Capital accounts in proportion to the balance that each capital account bears to the balance of all capital as of the beginning of such fiscal period.
 
Subscriptions

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

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.
 
Redemption of Units
 
Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $10,000. The redemption proceeds will normally be remitted within 15 business days after the Valuation Day, without interest for the period from the Valuation Day to the payment date.
 
4. Fees and Related Party Transactions

Advisory Fees

Each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is affected with respect to Units of such Class during the month. For the six months ended June 30, 2020 and 2019, the Advisory Fees allocated to the Fund by each Class of GAIT totaled $202,868 and $219,332, respectively.
 
See attached financial statements of Graham Alternative Investment Trading LLC.

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Sponsor Fees

Each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the six months ended June 30, 2020 and 2019, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $109,548 and $117,588, respectively.
 
Class 0
Class 2
0.50%
1.25%

Incentive Allocation
 
At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of Members’ Capital redeemed from such class bears to the Members’ Capital of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to Graham Capital LLC. For the six months ended June 30, 2020, $73,579 of Incentive Allocation was allocated to the Fund by GAIT.  There was no Incentive Allocation allocated to the Fund by GAIT for the six months ended June 30, 2019.
 
Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with the Fund.
 
Administrator’s Fee
 
For the six months ended June 30, 2020 and 2019, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the six months ended June 30, 2020 and 2019 were $17,503 and $19,539, respectively.
 
See attached financial statements of Graham Alternative Investment Trading LLC.

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

5. Income Taxes
 
No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of the Fund’s income and expenses for income tax purposes.
 
U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Fund identifies its major tax jurisdictions as the U.S. for Federal tax purposes and Connecticut for state tax purposes. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2017 through 2019 or expected to be taken in the Fund’s 2020 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations. No such interest and/or penalties were assessed to the Fund for the six months ended June 30, 2020 and 2019.
 
6. Financial Highlights
 
The following is the per Unit operating performance calculation for the three months ended June 30, 2020 and 2019:
 
   
Class 0
   
Class 2
 
Per unit operating performance
           
Net asset value per Unit, March 31, 2019
 
$
133.70
   
$
95.82
 
Net income:
               
Net investment loss
   
(0.23
)
   
(0.35
)
Net gain on investments
   
8.74
     
6.27
 
Net income
   
8.51
     
5.92
 
Net asset value per Unit, June 30, 2019
 
$
142.21
   
$
101.74
 
                 
Net asset value per Unit, March 31, 2020
 
$
159.32
   
$
113.79
 
Net income (loss):
               
Net investment loss
   
(0.54
)
   
(0.56
)
Net gain on investments
   
0.76
     
0.55
 
Net income (loss)
   
0.22
     
(0.01
)
Net asset value per Unit, June 30, 2020
 
$
159.54
   
$
113.78
 

See attached financial statements of Graham Alternative Investment Trading LLC.

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, excluding the Managing Member, and total return for the three months ended June 30, 2020 and 2019:
 
   
Class 0
 
Class 2
 
   
2020
 
2019
 
2020
 
2019
 
                   
Total return before Incentive Allocation
 
    0.18%
 
   6.36%
 
    (0.01)%
 
   6.18%

Incentive Allocation
 
(0.04)
 
0.00
 
0.00
 
0.00
 
Total return after Incentive Allocation
 
    0.14%
 
   6.36%
 
    (0.01)%
 
   6.18%

                   
Net investment loss before Incentive Allocation
 
    (0.30)%
 
   (0.17)%
 
    (0.49)%
 
   (0.35)%

Incentive Allocation
 
(0.04)
 
0.00
 
0.00
 
0.00
 
Net investment loss after Incentive Allocation
 
    (0.34)%
 
   (0.17)%
 
    (0.49)%
 
   (0.35)%

                   
Total expenses before Incentive Allocation
 
    0.64%
 
   0.70%
 
    0.83%
 
   0.87%

Incentive Allocation
 
0.04
 
0.00
 
0.00
 
0.00
 
Total expenses after Incentive Allocation
 
    0.68%
 
   0.70%
 
    0.83%
 
   0.87%


The following is the per Unit operating performance calculation for the six months ended June 30, 2020 and 2019:
 
   
Class 0
   
Class 2
 
Per unit operating performance
           
Net asset value per Unit, December 31, 2018
 
$
133.70
   
$
96.01
 
Net income:
               
Net investment loss
   
(0.43
)
   
(0.67
)
Net gain on investments
   
8.94
     
6.40
 
Net income
   
8.51
     
5.73
 
Net asset value per Unit, June 30, 2019
 
$
142.21
   
$
101.74
 
                 
Net asset value per Unit, December 31, 2019
 
$
152.04
   
$
108.35
 
Net income:
               
Net investment loss
   
(1.58
)
   
(1.03
)
Net gain on investments
   
9.08
     
6.46
 
Net income
   
7.50
     
5.43
 
Net asset value per Unit, June 30, 2020
 
$
159.54
   
$
113.78
 

See attached financial statements of Graham Alternative Investment Trading LLC.

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, excluding the Managing Member, and total return for the six months ended June 30, 2020 and 2019:
 
   
Class 0
 
Class 2
 
   
2020
 
2019
 
2020
 
2019
 
                   
Total return before Incentive Allocation
 
    5.39%
 
   6.36%
 
    5.01%
 
   5.97%

Incentive Allocation
 
(0.46)
 
0.00
 
0.00
 
0.00
 
Total return after Incentive Allocation
 
    4.93%
 
   6.36%
 
    5.01%
 
   5.97%

                   
Net investment loss before Incentive Allocation
 
    (0.55)%
 
   (0.32)%
 
    (0.93)%
 
   (0.69)%

Incentive Allocation
 
(0.46)
 
0.00
 
0.00
 
0.00
 
Net investment loss after Incentive Allocation
 
    (1.01)%
 
   (0.32)%
 
    (0.93)%
 
   (0.69)%

                   
Total expenses before Incentive Allocation
 
    1.28%
 
   1.34%
 
    1.66%
 
   1.70%

Incentive Allocation
 
0.46
 
0.00
 
0.00
 
0.00
 
Total expenses after Incentive Allocation
 
    1.74%
 
   1.34%
 
    1.66%
 
   1.70%


Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0 and Class 2 Units of the Fund for the three and six months ended June 30, 2020 and 2019 and are not annualized.
 
7. Subsequent Events
 
The Fund had no subscriptions and redemptions of approximately $0.1 million from July 1, 2020 through August 14, 2020, the date through which subsequent events were evaluated by management and the financial statements were available for issuance. These amounts have not been included in the financial statements.

See attached financial statements of Graham Alternative Investment Trading LLC.

Graham Alternative Investment Trading LLC

Statements of Financial Condition

   
June 30, 2020
(Unaudited)
   
December 31, 2019
(Audited)
 
Assets
           
Investments in Master Funds, at fair value
 
$
6,403,141
   
$
7,251,243
 
Investment in Graham Cash Assets LLC, at fair value
   
50,151,255
     
48,977,607
 
Receivable from Master Funds
   
     
167
 
Total assets
 
$
56,554,396
   
$
56,229,017
 
                 
Liabilities and members’ capital
               
Liabilities:
               
Redemptions payable
 
$
211,887
   
$
386,119
 
Accrued professional fees
   
93,916
     
195,023
 
Accrued advisory fees
   
67,699
     
69,712
 
Accrued sponsor fees
   
36,107
     
37,281
 
Accrued administrator’s fee
   
5,997
     
6,032
 
Payable to Master Funds
   
3
     
195
 
Total liabilities
   
415,609
     
694,362
 
                 
Members’ capital:
               
Class 0 Units (206,023.230 and 213,162.414 units issued and outstanding at $159.54 and $152.04 per unit, respectively)
   
32,869,413
     
32,409,897
 
Class 2 Units (192,269.681 and 201,355.180 units issued and outstanding at $113.78 and $108.35 per unit, respectively)
   
21,876,864
     
21,816,766
 
Class M Units (4,671.470 units issued and outstanding at $298.09 and $279.99 per unit, respectively)
   
1,392,510
     
1,307,992
 
Total members’ capital
   
56,138,787
     
55,534,655
 
Total liabilities and members’ capital
 
$
56,554,396
   
$
56,229,017
 

See accompanying notes.
 
Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

   
June 30, 2020
(Unaudited)
   
December 31, 2019
(Audited)
 
Description
 
Fair Value
   
Percentage of
Members’
Capital
   
Fair Value
   
Percentage of
Members’
Capital
 
                         
Investments in Master Funds, at fair value
                       
Graham Commodity Strategies LLC
 
$
3,766,241
   
  6.71%

 
$
3,714,431
   
    6.69%

Graham K4D Trading Ltd.
   
2,636,900
   
  4.70%

   
3,536,812
   
    6.37%

Total investments in Master Funds
 
$
6,403,141
   
11.41%

 
$
7,251,243
   
  13.06%

 
See accompanying notes.
 
Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

   
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
   
2020
   
2019
   
2020
   
2019
 
Net gain allocated from investments in Master Funds:
                       
Net realized gain on investments
 
$
1,633,430
   
$
2,958,538
   
$
2,824,816
   
$
2,446,501
 
Net (decrease) increase in unrealized appreciation on investments
   
(1,310,212
)
   
779,631
     
569,656
     
1,458,419
 
Brokerage commissions and fees
   
(52,775
)
   
(129,129
)
   
(154,523
)
   
(232,890
)
Net gain allocated from investments in Master Funds
   
270,443
     
3,609,040
     
3,239,949
     
3,672,030
 
                                 
Net investment income allocated from investments in Master Funds
   
12,836
     
23,625
     
30,569
     
49,209
 
                                 
Investment income:
                               
Interest income
   
175,321
     
272,712
     
374,155
     
534,378
 
                                 
Expenses:
                               
Advisory fees
   
205,807
     
211,828
     
407,100
     
425,728
 
Sponsor fees
   
109,817
     
112,687
     
217,414
     
226,657
 
Professional fees
   
55,919
     
78,455
     
111,098
     
140,525
 
Administrator’s fee
   
18,529
     
18,922
     
35,989
     
38,680
 
Interest expense
   
3,448
     
3,215
     
6,792
     
6,310
 
Total expenses
   
393,520
     
425,107
     
778,393
     
837,900
 
Net investment loss of the Fund
   
(218,199
)
   
(152,395
)
   
(404,238
)
   
(303,522
)
                                 
Net income
   
65,080
     
3,480,270
     
2,866,280
     
3,417,717
 
                                 
Incentive allocation
   
(11,712
)
   
-
     
(150,781
)
   
-
 
                                 
Net income available for pro-rata allocation to all members
 
$
53,368
   
$
3,480,270
   
$
2,715,499
   
$
3,417,717
 

See accompanying notes.

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three and Six Months Ended June 30, 2020

   
Class 0
   
Class 2
   
Class M
   
Total
 
   
Units
   
Capital
   
Units
   
Capital
   
Units
   
Capital
   
Capital
 
                                           
Members’ capital, December 31, 2019
   
213,162.414
   
$
32,409,897
     
201,355.180
   
$
21,816,766
     
4,671.470
   
$
1,307,992
   
$
55,534,655
 
Subscriptions
   
     
     
     
     
     
     
 
Redemptions
   
(5,366.145
)
   
(816,202
)
   
(6,097.039
)
   
(673,152
)
   
     
(139,069
)
   
(1,628,423
)
Incentive allocation
   
     
(139,069
)
   
     
     
     
139,069
     
 
Net income
   
     
1,650,675
     
     
1,075,378
     
     
75,147
     
2,801,200
 
Members’ capital, March 31, 2020
   
207,796.269
     
33,105,301
     
195,258.141
     
22,218,992
     
4,671.470
     
1,383,139
     
56,707,432
 
Subscriptions
   
     
     
     
     
     
     
 
Redemptions
   
(1,773.039
)
   
(282,562
)
   
(2,988.460
)
   
(339,451
)
   
     
(11,712
)
   
(633,725
)
Incentive allocation
   
     
(11,712
)
   
     
     
     
11,712
     
 
Net income (loss)
   
     
58,386
     
     
(2,677
)
   
     
9,371
     
65,080
 
Members’ capital, June 30, 2020
   
206,023.230
   
$
32,869,413
     
192,269.681
   
$
21,876,864
     
4,671.470
   
$
1,392,510
   
$
56,138,787
 
 
See accompanying notes.

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Six Months Ended June 30, 2019

   
Class 0
   
Class 2
   
Class M
   
Total
 
   
Units
   
Capital
   
Units
   
Capital
   
Units
   
Capital
   
Capital
 
                                           
Members’ capital, December 31, 2018
   
263,114.613
   
$
35,179,498
     
251,175.400
   
$
24,114,225
     
4,671.470
   
$
1,127,501
   
$
60,421,224
 
Subscriptions
   
2,447.080
     
325,000
     
775.525
     
73,500
     
     
     
398,500
 
Redemptions
   
(15,238.411
)
   
(2,029,083
)
   
(23,162.529
)
   
(2,203,496
)
   
     
     
(4,232,579
)
Incentive allocation
   
     
     
     
     
     
     
 
Net (loss) income
   
     
(7,364
)
   
     
(60,726
)
   
     
5,537
     
(62,553
)
Members’ capital, March 31, 2019
   
250,323.282
     
33,468,051
     
228,788.396
     
21,923,503
     
4,671.470
     
1,133,038
     
56,524,592
 
Subscriptions
   
1,308.908
     
175,000
     
     
     
     
     
175,000
 
Redemptions
   
(20,134.592
)
   
(2,789,632
)
   
(9,736.326
)
   
(970,981
)
   
     
     
(3,760,613
)
Incentive allocation
   
     
     
     
     
     
     
 
Net income
   
     
2,068,954
     
     
1,333,122
             
78,194
     
3,480,270
 
Members’ capital, June 30, 2019
   
231,497.598
   
$
32,922,373
     
219,052.070
   
$
22,285,644
     
4,671.470
   
$
1,211,232
   
$
56,419,249
 
 
See accompanying notes.

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

   
Six Months Ended June 30,
 
   
2020
   
2019
 
Cash flows provided by operating activities
           
Net income
 
$
2,866,280
   
$
3,417,717
 
Adjustments to reconcile net income to net cash provided by operating activities:
               
Net (income) allocated from investments in Master Funds
   
(3,270,518
)
   
(3,721,239
)
Net (income) allocated from investment in Graham Cash Assets LLC
   
(374,155
)
   
(534,378
)
Proceeds from sale of investments in Master Funds
   
32,747,567
     
33,664,788
 
Proceeds from sale of investment in Graham Cash Assets LLC
   
22,911,926
     
31,779,972
 
Purchases of investments in Master Funds
   
(28,650,545
)
   
(30,672,927
)
Purchases of investment in Graham Cash Assets LLC
   
(23,689,846
)
   
(26,579,457
)
Changes in assets and liabilities:
               
Decrease in accrued professional fees
   
(101,107
)
   
(46,038
)
Decrease in accrued advisory fees
   
(2,013
)
   
(7,362
)
Decrease in accrued sponsor fees
   
(1,174
)
   
(4,168
)
Decrease in accrued administrator’s fee
   
(35
)
   
(657
)
Net cash provided by operating activities
   
2,436,380
     
7,296,251
 
                 
Cash flows used in financing activities
               
Subscriptions
   
     
573,500
 
Redemptions
   
(2,436,380
)
   
(7,869,751
)
Net cash used in financing activities
   
(2,436,380
)
   
(7,296,251
)
                 
Net change in cash and cash equivalents
   
     
 
                 
Cash and cash equivalents, beginning of period
   
     
 
Cash and cash equivalents, end of period
 
$
   
$
 
                 
Supplemental cash flow information
               
Interest paid
 
$
6,792
   
$
6,310
 

See accompanying notes.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

June 30, 2020

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

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
 
Due from/to Brokers
 
Due from/to brokers on the Master Funds’ financial statements primarily consist of cash balances carried as margin deposits with clearing brokers for the purpose of trading in futures contracts, foreign currency contracts and other derivative financial instruments and securities, and receivables/payables for unsettled transactions. Substantially all of the Master Funds’ cash and investments are held as collateral by its brokers to secure derivative instruments and securities.
 
Revenue Recognition
 
All positions in financial instruments are recorded on the trade date at fair value. Net unrealized appreciation or depreciation on open derivative financial instruments is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at year end. Any change in net unrealized appreciation or depreciation from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends are recorded on the ex-dividend date and are net of applicable withholding taxes. All other expenses are recorded on the accrual basis. Realized gains and losses are calculated based on the specific identification method.
 
Brokerage Commissions and Fees
 
Brokerage commissions and fees on the Master Funds’ financial statements represent all brokerage commissions and other fees incurred in connection with the Master Funds’ trading activity and are recorded on the accrual basis.
 
Foreign Currency Translation
 
Assets and liabilities denominated in foreign currencies are translated using the exchange rates at June 30, 2020 and December 31, 2019. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices held. The Master Funds’ currency translation gains and losses are included in the statements of operations and incentive allocation within net realized gain (loss) and net (decrease) increase in unrealized appreciation on investments.
 
Fair Value
 
The fair value of GAIT’s assets and liabilities, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations and incentive allocation.
 
GAIT follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. GAIT reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

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

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

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

Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.
 
GAIT’s investments in the Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, these investments are excluded from categorization in the fair value hierarchy. GAIT’s investments in the Master Funds and Cash Assets are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the six months ended June 30, 2020 or the year ended December 31, 2019 by GAIT, the Master Funds, or Cash Assets.
 
Derivative Instruments
 
In the normal course of business, the Master Funds utilize derivative financial instruments in connection with their trading activities. Derivative instruments derive their value from underlying assets, indices, reference rates or a combination of these factors. Investments in derivative financial instruments are subject to additional risks that can result in a loss of all or part of an investment. The Master Funds’ derivative financial instruments are classified by the following primary underlying risks: interest rate, foreign currency exchange rate, commodity price, and equity price risks. These risks can be in excess of the amounts recognized in the statements of financial condition. In addition, the Master Funds are also subject to additional counterparty risk should their counterparties fail to meet the terms of their contracts. Management of counterparty risk involves a number of considerations, such as the financial profile of the counterparty, specific terms and duration of the contractual agreement, and the value of collateral held, if any. The Master Funds have established initial credit approval, credit limits, and collateral requirements and may reduce their exposure to any counterparties they deem necessary. Trading in non-U.S. dollar denominated derivative instruments may subject the value of, and gains and losses associated with, such contracts to additional risks related to adverse changes in the applicable exchange rates.
 
Unrealized appreciation and depreciation from derivative financial instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net realized gain (loss) on investments in the Master Funds’ statements of operations.
 
Futures Contracts
 
The Master Funds use futures contracts in an attempt to take advantage of changes in the value of equities, commodities, interest rates, bonds and foreign currencies. Futures contracts are valued based upon the closing price as of the valuation date established by the primary exchange upon which they are traded.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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

Notes to Unaudited Financial Statements (continued)

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

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
 
Derivative Instruments (continued)
 
Options

The Master Funds may buy and sell covered and uncovered exchange-traded and over-the-counter options on futures, foreign currencies, commodities, interest rates and equities to take advantage of the price movements of the financial instrument underlying the option or to hedge positions in the underlying assets. Option contracts give one party the right, but not the obligation, to buy or sell within a limited time or on a specified date, a financial instrument, commodity or currency at a contracted price. Options may also be settled in cash, based on differentials between specified indices or prices.
 
When purchasing options, the Master Funds are exposed to counterparty risk to the extent that a seller of an over-the-counter option does not meet its obligations under the terms of the option contract. The maximum risk of loss to the Master Funds is the unrealized appreciation of the contracts and the premiums paid to purchase its open option contracts. Relative to over-the-counter options, exchange-traded options provide reduced counterparty risk to the Master Funds since the exchanges’ clearinghouse guarantees the option against default.
 
Selling uncovered options may subject the Master Funds to unlimited risk of loss. As the writer of an option, the Master Funds bear the market risk of an unfavorable change in the price of the underlying instrument.
 
Exchange-traded options are valued based upon the settlement prices published as of the valuation date by the principal exchange upon which they are traded. In the absence of an exchange published settlement price, the option will be valued using the last reported sales price reported on the exchange for the valuation date. Over-the-counter options and exchange-traded options with no reported sales price on the valuation date will generally be valued at the average of the last reported bid and offer quotes from independent brokers or from the exchange, respectively.
 
Credit Risk Related Contingent Features
 
OTC derivative instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets or rate of return and provide limits with respect to any decline in value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. There were no events that occurred throughout the six months ended June 30, 2020 and the year ended December 31, 2019 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $268,108 and $2,477,323 at June 30, 2020 and December 31, 2019, respectively. Graham Commodity Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at June 30, 2020 and December 31, 2019.
 
New York Mercantile Exchange Corporate Membership
 
Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX seats and the shares of the CME Group at fair value. As of June 30, 2020 and December 31, 2019, the two NYMEX seats were valued at $125,000 and $189,500, respectively, and the 30,000 shares of CME Group were valued at $4,876,200 and $6,021,600, respectively, both of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

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 (collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of June 30, 2020 and December 31, 2019, the two B-1/Full seats were valued at a total of $364,000 and $333,000, respectively, and the B-2/Associate seat was valued at $42,000 and $37,750, respectively, all of which are included in Exchange memberships on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns a Chicago Mercantile Exchange (“CME”) seat valued at $69,250 and $62,500 at June 30, 2020 and December 31, 2019, respectively, which is also included in Exchange memberships on the statements of financial condition. The CBOT memberships and CME seat are considered Level 1 assets as described in the Fair Value section of Note 2.
 
Fixed Income Securities

The fixed income securities positions are valued at the mean between the last reported bid and ask quotations received from independent brokers. GAIT is exposed to credit risk relating to whether the issuers will meet their obligations when they come due until the fixed income securities are sold or reach maturity.
 
Cash and Cash Equivalents
 
GAIT classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents on the statements of financial condition. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of the GAIT’s cash would be limited to account insurance or other protection afforded by such deposit, which could be substantially less than the amount deposited. At June 30, 2020 and December  31, 2019, GAIT did not have any cash or cash equivalents.
 
Indemnifications
 
In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At June 30, 2020 and December 31, 2019, no accruals have been recorded by GAIT for indemnifications.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds
 
As of June 30, 2020 and December 31, 2019, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its Members’ Capital are individually identified. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management fees or incentive allocation, and all offer monthly subscriptions and redemptions.
 
June 30, 2020
 
Investment – Objective
 
Percent of
Members’
Capital
 
Fair Value
   
Net Income (Loss)
(six months ended
June 2020)
 
                 
Global Macro Funds
               
Graham Commodity Strategies LLC
 
  6.71%
 
$
3,766,241
   
$
5,339,793
 
                     
Systematic Macro Funds
                   
Graham K4D Trading Ltd.
 
  4.70%
   
2,636,900
     
(2,090,848
)
   
11.41%
 
$
6,403,141
   
$
3,248,945
 

December 31, 2019
 
Investment – Objective
 
Percent of
Members’
Capital
 
Fair Value
   
Net Income
(six months ended
June 2019)
 
                 
Global Macro Funds
               
Graham Commodity Strategies LLC
 
  6.69%
 
$
3,714,431
   
$
1,275,321
 
                     
Systematic Macro Funds
                   
Graham K4D Trading Ltd.
 
  6.37%
   
3,536,812
     
2,445,918
 
   
13.06%
 
$
7,251,243
   
$
3,721,239
 

The following table summarizes the financial position of each Master Fund as of June 30, 2020:
 
   
Graham
Commodity
Strategies LLC
(Delaware)
   
Graham K4D
Trading Ltd.
(BVI)
 
Assets:
           
Fixed income securities, at fair value (cost $29,490,781)
 
$
   
$
29,516,133
 
Due from brokers
   
96,067,712
     
1,971,973
 
Derivative financial instruments, at fair value
   
40,306,248
     
2,165,641
 
Exchange memberships, at fair value
   
5,001,200
     
475,250
 
Interest receivable
   
     
204,231
 
Total assets
   
141,375,160
     
34,333,228
 
                 
Liabilities:
               
Derivative financial instruments, at fair value
   
     
268,108
 
Due to brokers
   
     
1,487,589
 
Total liabilities
   
     
1,755,697
 
Members’ Capital / Net Assets
 
$
141,375,160
   
$
32,577,531
 
                 
Percentage of Master Fund held by GAIT
   
2.66
%
   
8.09
%

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of June 30, 2020:
 
Description
 
Number of
Contracts / Notional
Amounts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC
                 
Exchange memberships (cost $2,146,960)
                 
United States (cost $2,146,960)
                 
Financial services (cost $2,146,960)
       
$
5,001,200
     
3.54
%
Total exchange memberships
       
$
5,001,200
     
3.54
%
                       
Derivative financial instruments
                     
Long contracts
                     
Futures
                     
Commodity
                     
Gold 100 Oz. August 2020
   
1,320
     
6,990,580
     
4.94
%
Other commodity
           
2,272,728
     
1.61
%
Foreign bond
           
1,466,806
     
1.04
%
Foreign index
           
248,561
     
0.18
%
Interest rate
           
(10,975
)
   
(0.01
)%
U.S. bond
           
49,945
     
0.04
%
U.S. index
           
7,315,912
     
5.17
%
Total futures
           
18,333,557
     
12.97
%
                         
Forwards
                       
Foreign currency
           
(1,059,179
)
   
(0.75
)%
Total forwards
           
(1,059,179
)
   
(0.75
)%
                         
Options (cost $68,131,680)
                       
Commodity futures
                       
Gold December 2020, $2,000.00 - $2,500.00 Call
   
2
     
14,552,100
     
10.29
%
Other commodity futures
           
2,767,458
     
1.96
%
Currency futures
                       
U.S. dollar / Japanese yen July 2020 - October 2020, $95.00 - $105.50 Put
   
3
     
39,778
     
0.03
%
U.S. dollar / Japanese yen July 2020 - November 2020, $108.40 -$112.00 Call
   
7
     
7,064,613
     
5.00
%
Other currency futures
           
14,640,853
     
10.35
%
Interest rate futures
           
5,055,294
     
3.58
%
U.S. bond futures
           
3,307,719
     
2.34
%
U.S. index futures
           
3,289,965
     
2.33
%
Total options
           
50,717,780
     
35.88
%

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)
 
3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of June 30, 2020:
 
Description
 
Number of
Contracts / Notional
Amounts
   
Fair Value
   
Percentage
of Members’
Capital of
Master Fund
 
Graham Commodity Strategies LLC (continued)
                 
Derivative financial instruments (continued)
                 
Short contracts
                 
Futures
                 
Commodity
       
$
420
     
0.00
%
Foreign bond
         
(1,113,599
)
   
(0.79
)%
Foreign index
         
38,556
     
0.03
%
U.S. bond
         
349,328
     
0.25
%
U.S. index
         
(1,460,055
)
   
(1.04
)%
Total futures
         
(2,185,350
)
   
(1.55
)%
                       
Forwards
                     
Foreign currency
         
(6,074,916
)
   
(4.30
)%
Total forwards
         
(6,074,916
)
   
(4.30
)%
                       
Options (proceeds $26,810,694)
                     
Commodity futures
                     
Gold December 2020, $2,250.00 - $3,000.00 Call
   
(2
)
   
(6,119,140
)
   
(4.33
)%
Other commodity futures
           
(1,068,188
)
   
(0.76
)%
Currency futures
                       
U.S. dollar / Japanese yen July 2020, $112.00 Call
   
(1
)
   
(92,454
)
   
(0.07
)%
U.S. dollar / Japanese yen July 2020, $103.50 - $105.50 Put
   
(2
)
   
(20,358
)
   
(0.01
)%
Other currency futures
           
(5,629,036
)
   
(3.97
)%
Interest rate futures
           
(4,145,499
)
   
(2.93
)%
U.S. bond futures
           
(1,549,844
)
   
(1.10
)%
U.S. index futures
           
(801,125
)
   
(0.57
)%
Total options
           
(19,425,644
)
   
(13.74
)%
Total derivative financial instruments
         
$
40,306,248
     
28.51
%

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)
 
The following schedules display the condensed schedules of investments for the Master Funds as of June 30, 2020:
 
Description
 
Principal / Number
of Contracts /
Notional Amounts
   
Fair Value
   
Percentage of
Net Assets of
Master Fund
 
Graham K4D Trading Ltd.
                 
Fixed income securities owned (cost $29,490,781)
                 
Government bonds (cost $29,490,781)
                 
United States (cost $29,490,781)
                 
Treasury Bonds (cost $29,490,781)
                 
U.S. Treasury bond 1.50% due 07/15/2020
 
$
29,500,000
   
$
29,516,133
     
90.60
%
Total United States
           
29,516,133
     
90.60
%
Total government bonds
           
29,516,133
     
90.60
%
Total fixed income securities owned
         
$
29,516,133
     
90.60
%
                         
Exchange memberships (cost $1,051,100)
                       
United States (cost $1,051,100)
                       
Financial services (cost $1,051,100)
         
$
475,250
     
1.46
%
Total exchange memberships
         
$
475,250
     
1.46
%
                         
Derivative financial instruments
                       
Long contracts
                       
Futures
                       
Commodity
                       
LME copper September 2020
   
134
   
$
1,122,057
     
3.44
%
Other commodity
           
968,879
     
2.97
%
Foreign bond