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 September 30, 2025

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-53965

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

CORE MACRO PORTFOLIO

(Exact name of registrant as specified in its charter)

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

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT 06853

(Address of principal executive offices) (Zip Code)

Brian Douglas

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT 06853

(203) 899-3400

(Registrant’s telephone number, including area code)

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

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

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

Yes ☒ No ☐

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

Yes ☒ No ☐

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


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

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

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

Yes ☐ No ☒

As of November 1, 2025, 174,625.676 Units of the Core Macro Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

CORE MACRO PORTFOLIO

FORM 10-Q

INDEX

			Page
			Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund I LLC Core Macro Portfolio

		Statements of Financial Condition at September 30, 2025 (Unaudited) and December 31, 2024 (Audited)	1

		Unaudited Statements of Operations for the Three and Nine Months Ended September 30, 2025 and 2024	2

		Unaudited Statements of Changes in Members’ Capital for the Three and Nine Months Ended September 30, 2025 and 2024	3

		Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2025 and 2024	5

		Notes to Unaudited Financial Statements	6

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at September 30, 2025 (Unaudited) and December 31, 2024 (Audited)	16

		Condensed Schedules of Investments at September 30, 2025 (Unaudited) and December 31, 2024 (Audited)	17

		Unaudited Statements of Operations and Incentive Allocation for the Three and Nine Months Ended September 30, 2025 and 2024	18

		Unaudited Statements of Changes in Members’ Capital for the Three and Nine Months Ended September 30, 2025 and 2024	19

		Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2025 and 2024	23

		Notes to Unaudited Financial Statements	24

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	72

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	81

	Item 4.	Controls and Procedures	82

PART II - Other Information			83

	Item 1.	Legal Proceedings

	Item 1A.	Risk Factors

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

	Item 3.	Defaults Upon Senior Securities

	Item 4.	Mine Safety Disclosures

	Item 5.	Other Information

	Item 6.	Exhibits	84

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

Index

PART I

Item 1. Financial Statements

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Statements of Financial Condition

	September 30, 2025 (Unaudited)		December 31, 2024 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	29,845,924	$	28,370,643
Redemptions receivable from Graham Alternative Investment Trading LLC		373,257		1,101,487
Cash and cash equivalents		275,000		130,000
Total assets	$	30,494,181	$	29,602,130

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	373,257	$	1,101,487
Subscriptions received in advance		275,000		130,000
Total liabilities		648,257		1,231,487

Members’ capital:
Class 0 Units (74,354.429 and 70,588.714 units issued and outstanding at $234.57 and $235.13, respectively)		17,441,282		16,597,335
Class 2 Units (45,079.683 and 51,013.097 units issued and outstanding at $163.38 and $164.69, respectively)		7,365,025		8,401,324
Class 3-A Units (13,208.543 and 5,611.660 units issued and outstanding at $97.42 and $97.68, respectively)		1,286,821		548,137
Class 3-B Units (39,608.907 and 29,565.170 units issued and outstanding at $94.75 and $95.51, respectively)		3,752,796		2,823,847
Total members’ capital		29,845,924		28,370,643
Total liabilities and members’ capital	$	30,494,181	$	29,602,130

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

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Unaudited Statements of Operations

	Three Months Ended September 30,						Nine Months Ended September 30,
	2025			2024			2025			2024
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC:
Net realized loss on investment	$	(810,356	)	$	(1,498,300	)	$	(527,601	)	$	(58,631	)
Net (decrease) increase in unrealized appreciation on investment		(88,002	)		54,284			266,323			751,825
Brokerage commissions and fees		(27,103	)		(19,915	)		(76,982	)		(55,177	)
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC		(925,461	)		(1,463,931	)		(338,260	)		638,017

Net investment income allocated from investment in Graham Alternative Investment Trading LLC:
Investment income:
Interest income		300,762			294,386			885,302			989,197

Expenses:
Advisory fees		120,058			107,454			353,417			325,089
Professional fees		48,664			28,489			150,422			132,284
Sponsor fees		45,576			52,292			138,351			167,016
Administrator’s fee		11,227			8,737			33,243			26,749
Operating expenses		6,040			4,374			16,037			13,711
Interest expense		1,670			1,584			4,947			4,837
Incentive allocation		–			–			20,502			141,677
Total expenses		233,235			202,930			716,919			811,363
Net investment income allocated from investment in Graham Alternative Investment Trading LLC		67,527			91,456			168,383			177,834
Net (loss) income	$	(857,934	)	$	(1,372,475	)	$	(169,877	)	$	815,851

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

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Unaudited Statements of Changes in Members’ Capital

For the Three and Nine Months Ended September 30, 2025

	Class 0 Units						Class 2 Units						Class 3-A Units						Class 3-B Units
	Units			Capital			Units			Capital			Units			Capital			Units			Capital			Total Members’ Capital

Members’ capital, December 31, 2024		70,588.714		$	16,597,335			51,013.097		$	8,401,324			5,611.660		$	548,137			29,565.170		$	2,823,847		$	28,370,643
Subscriptions		3,537.621			850,000			–			–			9,235.890			920,000			3,406.151			330,000			2,100,000
Redemptions		(893.301	)		(216,097	)		(5,132.067	)		(863,147	)		–			–			(419.639	)		(40,942	)		(1,120,186	)
Net income		–			484,424			–			221,466			–			19,855			–			67,810			793,555
Members’ capital, March 31, 2025		73,233.034			17,715,662			45,881.030			7,759,643			14,847.550			1,487,992			32,551.682			3,180,715			30,144,012
Subscriptions		2,671.216			645,000			604.687			100,000			248.221			25,000			6,355.328			615,000			1,385,000
Redemptions		(1,027.066	)		(247,633	)		(1,406.034	)		(239,028	)		(2,494.280	)		(249,458	)		(891.649	)		(86,850	)		(822,969	)
Net loss		–			(59,623	)		–			(35,975	)		–			(3,231	)		–			(6,669	)		(105,498	)
Members’ capital, June 30, 2025		74,877.184			18,053,406			45,079.683			7,584,640			12,601.491			1,260,303			38,015.361			3,702,196			30,600,545
Subscriptions		564.713			133,977			–			–			1,755.565			175,000			6,812.926			655,000			963,977
Redemptions		(1,087.468	)		(255,633	)		–			–			(1,148.513	)		(111,892	)		(5,219.380	)		(493,139	)		(860,664	)
Net loss		–			(490,468	)		–			(219,615	)		–			(36,590	)		–			(111,261	)		(857,934	)
Members’ capital, September 30, 2025		74,354.429		$	17,441,282			45,079.683		$	7,365,025			13,208.543		$	1,286,821			39,608.907		$	3,752,796		$	29,845,924

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

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Nine Months Ended September 30, 2024

	Class 0 Units						Class 2 Units						Class 3-A Units					Class 3-B Units
	Units			Capital			Units			Capital			Units		Capital			Units		Capital			Total Members’ Capital

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

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

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Unaudited Statements of Cash Flows

	Nine Months Ended September 30,
	2025			2024
Cash flows (used in) provided by operating activities
Net (loss) income	$	(169,877	)	$	815,851
Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities:
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC		169,877			(815,851	)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC		3,532,049			3,649,521
Investment in Graham Alternative Investment Trading LLC		(4,448,977	)		(2,407,000	)
Net cash (used in) provided by operating activities		(916,928	)		1,242,521

Cash flows provided by (used in) financing activities
Subscriptions (net of subscriptions received in advance)		4,593,977			3,257,000
Redemptions (net of redemptions payable)		(3,532,049	)		(3,649,521	)
Net cash provided by (used in) financing activities		1,061,928			(392,521	)

Net change in cash and cash equivalents		145,000			850,000

Cash and cash equivalents, beginning of period		130,000			80,000
Cash and cash equivalents, end of period	$	275,000		$	930,000

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

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements

September 30, 2025

1. Organization and Business

The Core Macro Portfolio (the “Fund”) is the sole series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. Prior to March 28, 2013, GAIF I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF I is registered as a commodity pool and as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission (“CFTC”).

As a Series Limited Liability Company each series is legally segregated, and the assets associated with each series are held separately and accounted for in separate and distinct records from the assets of any other series of GAIF I. The debts, liabilities, obligations, and expenses incurred, contracted for or otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not against the assets of GAIF I generally or any other series thereof. Further, none of the debts, liabilities, obligations, and expenses incurred, contracted for or otherwise existing with respect to GAIF I are enforceable against the assets of any other series. As of and for the period and year ended September 30, 2025 and December 31, 2024, respectively, the Fund is the sole series of GAIF I. GAIF I has no assets and no operations outside of those of the Fund. These financial statements fairly reflect the positions, results of operations, changes in members’ capital and cash flows of the single series constituting GAIF I.

The Fund offers members Class 0 and Class 2 Units, and effective March 19, 2024, Class 3-A Units and Class 3-B Units (collectively the “Units”). All Classes of Units are currently issued. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. GAIT invests in various master trading vehicles (“Master Funds”) and Graham Cash Assets LLC (“Cash Assets”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Manager is the manager and the sole investment advisor of GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the CFTC and is a member of the National Futures Association. The Manager is also registered with the Securities and Exchange Commission as an investment adviser. The Fund’s Units are registered under Section 12 of the Securities Exchange Act of 1934.

The investment objective of the Fund is to achieve long-term capital appreciation through professionally managed trading in both U.S. and foreign markets primarily in futures contracts, forwards contracts, spot currency contracts, and associated derivative instruments, such as options and swaps, through its investment in GAIT, which in turn invests in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. The Fund may also trade futures on virtual currencies. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.

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

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)

1. Organization and Business (continued)

The performance of the Fund is directly affected by the performance of GAIT; therefore, these financial statements should be read in conjunction with the attached financial statements of GAIT, including the condensed schedules of investments.

Duties of the Manager

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

2. Summary of Significant Accounting Policies

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

Investment in Graham Alternative Investment Trading LLC

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

GAIT charges its investors, including the Fund, an advisory fee, sponsor fee, and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however, each investor in the Fund indirectly bears a portion of the advisory fee, sponsor fee, and incentive allocation charged by GAIT.

At September 30, 2025 and December 31, 2024, the Fund owned 45.00% and 42.76%, respectively of GAIT.

Fair Value

The fair value of the assets and liabilities of the Fund and GAIT, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations.

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

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

•

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

•

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

•

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

The Fund’s investment in GAIT has been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, this investment is excluded from categorization in the fair value hierarchy. There were no Level 3 assets or liabilities held at any point during the nine months ended September 30, 2025 or the year ended December 31, 2024 by the Fund, GAIT, the Master Funds or Cash Assets.

Cash and Cash Equivalents

The Fund classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents on the statements of financial condition. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of the Fund’s cash would be limited to account insurance or other protection afforded by such deposit, which could be substantially less than the amount deposited. At September 30, 2025 and December 31, 2024, the Fund held $275,000 and $130,000, respectively, in cash and held no cash equivalents.

Recent Accounting Pronouncement

In November 2023, the FASB issued ASU No. 2023-07 (“ASU 2023-07”) Segment Reporting (Topic 280) — Improvements to Reportable Segment Disclosures. An operating segment is defined in Topic 280 as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (CODM) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Investment Committee acts as the Fund’s CODM. The Fund represents a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the Fund’s long-term strategic asset allocation is pre-determined in accordance with the terms of its LLC Agreement, based on a defined investment strategy which is executed by the Fund’s portfolio managers as a team. The financial information in the form of the Fund’s portfolio composition, total returns, expense ratios and changes in members’ capital (i.e., changes in members’ capital resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus the Fund’s comparative benchmarks and to make resource allocation decisions for the Fund’s single segment, is consistent with that presented within the Fund’s financial statements. Segment assets are reflected on the accompanying statements of financial condition as “total assets” and significant segment expenses are listed on the accompanying statements of operations. ASU 2023-07 was effective for fiscal years beginning after December 15, 2023, and interim periods in fiscal years beginning after December 15, 2024, with early adoption permitted. The Fund adopted ASU 2023-07 for annual reporting of the year ended December 31, 2024. Adoption of the new standard impacted financial statement disclosures only and did not affect the Fund’s financial position or results of operations.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Indemnifications

In the normal course of business, the Master Funds, GAIT, Cash Assets, and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At September 30, 2025 and December 31, 2024, no accruals have been recorded by the Fund for indemnifications.

3. Capital Accounts

The Fund offers members Class 0 and Class 2 Units, and effective March 19, 2024, Class 3-A Units and Class 3-B Units. All Classes are currently issued. The Fund may issue additional Classes in the future subject to different fees, expenses, or other terms, or invest in other investment programs or combinations of investment programs managed by the Manager.

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

Subscriptions

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

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Redemption of Units

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions

Advisory Fees

Class 0 and Class 2 of GAIT paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. Class 3-A and Class 3-B have an advisory fee at an aggregate annual rate of 1.50% and 2.00% of the Members’ Capital of such Class, respectively. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is affected with respect to Units of such Class during the month. For the nine months ended September 30, 2025 and 2024, the Advisory Fees allocated to the Fund by Class 0, Class 2, Class 3-A and Class 3-B of GAIT totaled $353,417 and $325,089, respectively.

Sponsor Fees

Class 0 and Class 2 of GAIT paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. Class 3-A and Class 3-B of GAIT have no sponsor fee. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the nine months ended September 30, 2025 and 2024, the Sponsor Fees allocated to the Fund by Class 0 and Class 2 of GAIT totaled $138,351 and $167,016, respectively.

Class 0	Class 2
0.50%	1.25%

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of Members’ Capital redeemed from such class bears to the Members’ Capital of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to Graham Capital LLC. For the nine months ended September 30, 2025 and 2024, Incentive Allocation of $20,502 and $141,677, respectively were allocated to the Fund by GAIT.

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with the Fund.

Administrator’s Fees

For the nine months ended September 30, 2025 and 2024, GAIT paid SEI monthly administrator’s fees based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT paid SEI for regulatory compliance services and reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the nine months ended September 30, 2025 and 2024 were $33,243 and $26,749, respectively.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Professional Fees

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s audit, tax and legal fees (“professional fees”). The total professional fees allocated to the Fund by GAIT for the nine months ended September 30, 2025 and 2024 were $150,422 and $132,284, respectively.

Operating Expenses

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s investments, operations, and business (“operating expenses”). For the nine months ended September 30, 2025 and 2024, GAIT reimbursed the Manager for operating expenses which were comprised of market data and technology costs associated with its assets allocated to the various Master Funds. The total operating expenses allocated to the Fund by GAIT for the nine months ended September 30, 2025 and 2024 were $16,037 and $13,711, respectively.

5. Income Taxes

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Fund identifies its major tax jurisdictions as the U.S. for Federal tax purposes, Connecticut for state tax purposes and various international jurisdictions. The Manager has evaluated the Fund’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations. No such interest and/or penalties were assessed to the Fund for the nine months ended September 30, 2025 and 2024.

6. Risk Factors

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended September 30, 2025 and 2024:

	Class 0			Class 2			Class 3-A			Class 3-B
Per unit operating performance
Net asset value per Unit, June 30, 2024	$	241.88		$	170.06		$	100.23		$	98.65
Net loss:
Net investment income		0.91			0.33			0.62			0.47
Net loss on investments		(12.17	)		(8.55	)		(5.17	)		(5.06	)
Net loss		(11.26	)		(8.22	)		(4.55	)		(4.59	)
Net asset value per Unit, September 30, 2024	$	230.62		$	161.84		$	95.68		$	94.06

Net asset value per Unit, June 30, 2025	$	241.11		$	168.25		$	100.01		$	97.39
Net loss:
Net investment income		0.61			0.12			0.37			0.26
Net loss on investments		(7.15	)		(4.99	)		(2.96	)		(2.90	)
Net loss		(6.54	)		(4.87	)		(2.59	)		(2.64	)
Net asset value per Unit, September 30, 2025	$	234.57		$	163.38		$	97.42		$	94.75

The following represents ratios to average Members’ Capital and total return for the three months ended September 30, 2025 and 2024:

	Class 0						Class 2						Class 3-A						Class 3-B
	2025			2024			2025			2024			2025			2024			2025			2024

Total return before Incentive Allocation		(2.71	)%		(4.66	)%		(2.90	)%		(4.83	)%		(2.59	)%		(4.54	)%		(2.71	)%		(4.65	)%
Incentive Allocation		0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(2.71	)%		(4.66	)%		(2.90	)%		(4.83	)%		(2.59	)%		(4.54	)%		(2.71	)%		(4.65	)%

Net investment income before Incentive Allocation		0.26	%		0.39	%		0.07	%		0.20	%		0.38	%		0.64	%		0.27	%		0.49	%
Incentive Allocation		0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00
Net investment income after Incentive Allocation		0.26	%		0.39	%		0.07	%		0.20	%		0.38	%		0.64	%		0.27	%		0.49	%

Total expenses before Incentive Allocation		0.72	%		0.65	%		0.91	%		0.84	%		0.59	%		0.67	%		0.74	%		0.82	%
Incentive Allocation		0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.72	%		0.65	%		0.91	%		0.84	%		0.59	%		0.67	%		0.74	%		0.82	%

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights (continued)

The following is the per Unit operating performance calculation for the nine months ended September 30, 2025 and 2024:

	Class 0			Class 2			Class 3-A			Class 3-B
Per unit operating performance
Net asset value per Unit, December 31, 2023	$	224.32		$	158.20		$	–		$	–
Initial asset value per share, May 1, 2024		–			–			–			100.00
Initial asset value per share, June 1, 2024		–			–			100.00			–
Net income (loss):
Net investment income		1.89			0.50			0.65			0.62
Net gain (loss) on investments		4.41			3.14			(4.97	)		(6.56	)
Net income (loss)		6.30			3.64			(4.32	)		(5.94	)
Net asset value per Unit, September 30, 2024	$	230.62		$	161.84		$	95.68		$	94.06

Net asset value per Unit, December 31, 2024	$	235.13		$	164.69		$	97.68		$	95.51
Net loss:
Net investment income		1.80			0.31			0.89			0.27
Net loss on investments		(2.36	)		(1.62	)		(1.15	)		(1.03	)
Net loss		(0.56	)		(1.31	)		(0.26	)		(0.76	)
Net asset value per Unit, September 30, 2025	$	234.57		$	163.38		$	97.42		$	94.75

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights (continued)

The following represents ratios to average Members’ Capital and total return for the nine months ended September 30, 2025 and 2024:

	Class 0						Class 2						Class 3-A					Class 3-B
	2025			2024			2025			2024			2025			2024	*		2025		2024	**

Total return before Incentive Allocation		(0.24	)%		3.36	%		(0.80	)%		2.77	%		0.15	%	(4.26	)%		(0.22	)%	(5.94	)%
Incentive Allocation		0.00			(0.55	)		0.00			(0.47	)		(0.41	)	(0.06	)		(0.58	)	0.00
Total return after Incentive Allocation		(0.24	)%		2.81	%		(0.80	)%		2.30	%		(0.26	)%	(4.32	)%		(0.80	)%	(5.94	)%

Net investment income before Incentive Allocation		0.75	%		1.32	%		0.19	%		0.76	%		1.18	%	0.68	%		0.77	%	0.65	%
Incentive Allocation		0.00			(0.53	)		0.00			(0.46	)		(0.29	)	(0.01	)		(0.49	)	0.00
Net investment income after Incentive Allocation		0.75	%		0.79	%		0.19	%		0.30	%		0.89	%	0.67	%		0.28	%	0.65	%

Total expenses before Incentive Allocation		2.19	%		2.13	%		2.71	%		2.65	%		1.91	%	0.72	%		2.21	%	1.12	%
Incentive Allocation		0.00			0.53			0.00			0.46			0.29		0.01			0.49		0.00
Total expenses after Incentive Allocation		2.19	%		2.66	%		2.71	%		3.11	%		2.20	%	0.73	%		2.70	%	1.12	%

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

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

Total return is calculated for Class 0, Class 2, Class 3-A and Class 3-B Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment income and total expense ratios (including Incentive Allocation) are calculated for Class 0, Class 2, Class 3-A and Class 3-B Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment income, expenses, and Incentive Allocation. Net investment income and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0, Class 2, Class 3-A and Class 3-B Units of the Fund for the three and nine months ended September 30, 2025 and 2024 and are not annualized.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund I LLC

Core Macro Portfolio

Notes to Unaudited Financial Statements (continued)

8. Subsequent Events

The Fund had subscriptions of approximately $0.5 million and redemptions of approximately $0.2 million from October 1, 2025 through November 14, 2025, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	September 30, 2025 (Unaudited)		December 31, 2024 (Audited)
Assets
Investment in Graham Cash Assets LLC, at fair value	$	59,078,478	$	61,337,499
Investments in Master Funds, at fair value		9,133,367		7,906,644
Receivable from Master Funds		28		35
Total assets	$	68,211,873	$	69,244,178

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	1,531,311	$	2,497,257
Accrued professional fees		233,324		266,875
Accrued advisory fees		84,417		87,650
Accrued sponsor fees		32,480		37,407
Accrued administrator’s fees		8,411		7,291
Accrued operating expenses		4,408		3,744
Payable to Master Funds		46		160
Total liabilities		1,894,397		2,900,384

Members’ capital:
Class 0 Units (163,095.544 and 162,734.124 units issued and outstanding at $234.57 and $235.13 per unit, respectively)		38,257,254		38,263,258
Class 2 Units (97,163.737 and 107,073.070 units issued and outstanding at $163.38 and $164.69 per unit, respectively)		15,874,369		17,633,778
Class 3-A Units (15,051.329 and 5,611.660 issued and outstanding at $97.42 and $97.68 per unit, respectively)		1,466,350		548,137
Class 3-B Units (86,477.784 and 77,520.474 units issued and outstanding at $94.75 and $95.51 per unit, respectively)		8,193,447		7,404,183
Class M Units (4,671.470 units issued and outstanding at $540.74 and $533.97 per unit, respectively)		2,526,056		2,494,438
Total members’ capital		66,317,476		66,343,794
Total liabilities and members’ capital	$	68,211,873	$	69,244,178

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	September 30, 2025 (Unaudited)					December 31, 2024 (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	$	3,558,773		5.37	%	$	2,932,998		4.42	%
Graham Derivatives Strategies LLC		2,299,140		3.47	%		1,533,539		2.31	%
Graham K4D Trading Ltd.		3,275,454		4.93	%		3,440,107		5.19	%
Total investments in Master Funds	$	9,133,367		13.77	%	$	7,906,644		11.92	%

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended September 30,						Nine Months Ended September 30,
	2025			2024			2025			2024
Net (loss) gain allocated from investments in Master Funds:
Net realized loss on investments	$	(1,822,938	)	$	(3,467,738	)	$	(1,159,797	)	$	(197,268	)
Net (decrease) increase in unrealized appreciation on investments		(205,652	)		136,935			616,695			1,694,218
Brokerage commissions and fees		(61,021	)		(46,048	)		(175,270	)		(127,386	)
Net (loss) gain allocated from investments in Master Funds		(2,089,611	)		(3,376,851	)		(718,372	)		1,369,564

Net investment income allocated from investments in Master Funds		41,911			49,644			129,580			132,597

Investment income:
Interest income		635,185			631,067			1,887,230			2,148,491

Expenses:
Advisory fees		261,392			238,465			779,040			721,041
Professional fees		109,530			65,727			342,767			305,128
Sponsor fees		99,997			116,224			305,147			362,302
Administrator’s fee		25,275			20,194			75,731			61,685
Operating expenses		13,598			10,112			36,499			31,611
Interest expense		3,759			3,661			11,270			11,158
Total expenses		513,551			454,383			1,550,454			1,492,925
Net investment income of the Fund		121,634			176,684			336,776			655,566

Net (loss) income		(1,926,066	)		(3,150,523	)		(252,016	)		2,157,727

Incentive allocation		–			–			(48,156	)		(313,592	)

Net (loss) income available for pro-rata allocation to all members	$	(1,926,066	)	$	(3,150,523	)	$	(300,172	)	$	1,844,135

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three and Nine Months Ended September 30, 2025

	Class 0						Class 2						Class 3-A
	Units			Capital			Units			Capital			Units			Capital

Members’ capital, December 31, 2024		162,734.124		$	38,263,258			107,073.070		$	17,633,778			5,611.660		$	548,137
Subscriptions		3,537.621			850,000			–			–			11,078.676			1,100,000
Redemptions		(2,428.954	)		(587,976	)		(6,092.658	)		(1,024,706	)		–			–
Incentive allocation		–			–			–			–			–			(4,375	)
Net income		–			1,109,628			–			469,230			–			28,910
Members’ capital, March 31, 2025		163,842.791			39,634,910			100,980.412			17,078,302			16,690.336			1,672,672
Subscriptions		3,075.727			741,250			604.687			100,000			248.221			25,000
Redemptions		(2,692.363	)		(649,148	)		(1,871.234	)		(317,298	)		(2,494.280	)		(249,458	)
Incentive allocation		–			–			–			–			–			–
Net loss		–			(130,939	)		–			(84,223	)		–			(3,611	)
Members’ capital, June 30, 2025		164,226.155			39,596,073			99,713.865			16,776,781			14,444.277			1,444,603
Subscriptions		965.351			228,977			–			–			1,755.565			175,000
Redemptions		(2,095.962	)		(492,476	)		(2,550.128	)		(418,005	)		(1,148.513	)		(111,892	)
Incentive allocation		–			–			–			–			–			–
Net loss		–			(1,075,320	)		–			(484,407	)		–			(41,361	)
Members’ capital, September 30, 2025		163,095.544		$	38,257,254			97,163.737		$	15,874,369			15,051.329		$	1,466,350

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Nine Months Ended September 30, 2025

	Class 3-B						Class M					Total
	Units			Capital			Units		Capital			Capital

Members’ capital, December 31, 2024		77,520.474		$	7,404,183			4,671.470	$	2,494,438		$	66,343,794
Subscriptions		6,544.830			635,000			–		–			2,585,000
Redemptions		(419.639	)		(40,942	)		–		(48,127	)		(1,701,751	)
Incentive allocation		–			(43,752	)		–		48,127			–
Net income		–			218,761			–		84,633			1,911,162
Members’ capital, March 31, 2025		83,645.665			8,173,250			4,671.470		2,579,071			69,138,205
Subscriptions		10,326.326			1,000,000			–		–			1,866,250
Redemptions		(1,523.096	)		(147,257	)		–		(29	)		(1,363,190	)
Incentive allocation		–			(29	)		–		29			–
Net (loss) income		–			(22,658	)		–		4,319			(237,112	)
Members’ capital, June 30, 2025		92,448.895			9,003,306			4,671.470		2,583,390			69,404,153
Subscriptions		13,917.449			1,340,000			–		–			1,743,977
Redemptions		(19,888.560	)		(1,882,215	)		–		–			(2,904,588	)
Incentive allocation		–			–			–		–			–
Net loss		–			(267,644	)		–		(57,334	)		(1,926,066	)
Members’ capital, September 30, 2025		86,477.784		$	8,193,447			4,671.470	$	2,526,056		$	66,317,476

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Nine Months Ended September 30, 2024

	Class 0						Class 2						Class 3-A
	Units			Capital			Units			Capital			Units		Capital

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

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three and Nine Months Ended September 30, 2024

	Class 3-B					Class M					Total
	Units		Capital			Units		Capital			Capital

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

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Nine Months Ended September 30,
	2025			2024
Cash flows provided by operating activities
Net (loss) income	$	(252,016	)	$	2,157,727
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Net loss (income) allocated from investments in Master Funds		638,833			(1,502,161	)
Net (income) allocated from investment in Graham Cash Assets LLC		(1,937,271	)		(2,148,491	)
Proceeds from sale of investments in Master Funds		57,173,704			54,287,683
Proceeds from sale of investment in Graham Cash Assets LLC		47,911,248			38,396,008
Purchases of investments in Master Funds		(59,039,367	)		(53,563,520	)
Purchases of investment in Graham Cash Assets LLC		(43,714,956	)		(35,455,704	)
Changes in assets and liabilities:
(Decrease) in accrued professional fees		(33,551	)		(18,437	)
(Decrease) in accrued advisory fees		(3,233	)		(1,870	)
(Decrease) in accrued sponsor fees		(4,927	)		(4,285	)
Increase (decrease) in accrued administrator’s fees		1,120			(312	)
Increase (decrease) in accrued operating expenses		664			(180	)
Net cash provided by operating activities		740,248			2,146,458

Cash flows used in financing activities
Subscriptions		6,195,227			4,799,000
Redemptions (net of redemptions payable)		(6,935,475	)		(6,945,458	)
Net cash used in financing activities		(740,248	)		(2,146,458	)

Net change in cash and cash equivalents		–			–

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

Supplemental cash flow information
Interest paid		$	11,270			$	11,158

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

September 30, 2025

1. Organization and Business

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

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

Graham Alternative Investment Fund I LLC Core Macro Portfolio and Graham Alternative Investment Fund II LLC Core Macro Portfolio (through its investment in Graham Alternative Investment Ltd.) are the only investors of GAIT.

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

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

Duties of the Manager

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

2. Summary of Significant Accounting Policies

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

Investments in Master Funds

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Due from/to Brokers

Due from/to brokers on the Master Funds’ and Cash Assets’ 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’ and Cash Assets’ cash and investments are held as collateral by its brokers to secure derivative instruments and securities.

Revenue Recognition

All positions in financial instruments are recorded on the trade date at fair value. Net unrealized appreciation or depreciation on open derivative financial instruments is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at year end. Any change in net unrealized appreciation or depreciation from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends, if any, are recorded on the ex-dividend date and are net of applicable withholding taxes. All other expenses are recorded on the accrual basis. Realized gains and losses are calculated based on the specific identification method.

Brokerage Commissions and Fees

Brokerage commissions and fees on the Master Funds’ financial statements represent all brokerage commissions and other fees incurred in connection with the Master Funds’ trading activity and are recorded on the accrual basis.

Foreign Currency Translation

Assets and liabilities denominated in foreign currencies are translated using the exchange rates at September 30, 2025 and December 31, 2024. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices of investments held. The Master Funds’ currency translation gains and losses are included in the statements of operations and incentive allocation within net realized 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.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

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

•

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

•

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

•

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

GAIT’s investments in the Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, these investments are excluded from categorization in the fair value hierarchy. GAIT’s investments in the Master Funds and Cash Assets are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the nine months ended September 30, 2025 or the year ended December 31, 2024 by GAIT, the Master Funds, or Cash Assets.

Derivative Instruments

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

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

Futures Contracts

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Futures Contracts (continued)

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

Forward Contracts

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

All forward contracts are valued based upon a forward curve constructed using independently quoted forward points. Changes in fair value of each forward contract are recognized as unrealized appreciation and depreciation.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Swap Contracts

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

An interest rate swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified rates for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to another. Interest rate swap positions are generally valued as the present value of the net future cash flows as estimated by the Advisor using a discount curve constructed from independently obtained future interest rate assumptions. Interest is calculated and accrued throughout the life of each swap and is included in interest receivable and interest payable on the Master Funds’ statements of financial condition. Payments received at the end of each reset period are recorded against such accruals.

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Options

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

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

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

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

Credit Risk Related Contingent Features

OTC derivative instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets or rate of return and provide limits with respect to any decline in value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. There were no events that occurred throughout the nine months ended September 30, 2025 and the year ended December 31, 2024 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had no derivative instruments subject to credit risk related contingent features in a net liability position at September 30, 2025 and December 31, 2024, respectively. Graham Commodity Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at September 30, 2025 and December 31, 2024, respectively. Graham Derivatives Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at September 30, 2025 and December 31, 2024, respectively.

New York Mercantile Exchange Corporate Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX seats and the shares of the CME Group at fair value. As of September 30, 2025 and December 31, 2024, the two NYMEX seats were valued at $360,000 and $315,000, respectively, and the 30,000 shares of CME Group were valued at $8,105,700 and $6,966,900, respectively, all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Mercantile Exchange Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Mercantile Exchange (“CME”). As a result of its membership, Graham Commodity Strategies LLC owns two CME seats and 2,232 shares of the CME Group. Graham Commodity Strategies LLC’s policy is to value the CME seats and the shares of the CME Group at fair value. As of September 30, 2025 and December 31, 2024, the two CME seats were valued at $648,500 and $596,000, respectively, and the 2,232 shares of CME Group were valued at $603,064 and $518,337, respectively, all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The CME seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the CME. As a result of its membership, Graham K4D Trading Ltd. owns one CME seat and 4,085 shares of the CME Group. Graham K4D Trading Ltd.’s policy is to value the CME seat and the shares of the CME Group at fair value. As of September 30, 2025 and December 31, 2024, the CME seat was valued at $182,000 and $160,000, respectively, and the 4,085 shares of the CME Group were valued at $1,103,726 and $948,660, respectively, all of which are included in Exchange memberships on Graham K4D Trading Ltd.’s statement of financial condition. The CME seat and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Chicago Board of Trade Membership

As of September 30, 2025, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns 3,265 shares of the CME Group as a result of its CBOT membership. Graham Commodity Strategies LLC’s policy is to value the CME shares at fair value. As of September 30, 2025 and December 31, 2024, the 3,265 shares of the CME Group were valued at $882,170 and $758,231, respectively, and are included in Exchange memberships on Graham Commodity LLC’s statement of financial condition. The CME shares are considered Level 1 assets as described in the Fair Value section of Note 2.

As of September 30, 2025, Graham Derivatives Strategies LLC, a Master Fund in which GAIT invests, is also a member of the CBOT under Rule 106.S and owns one B-1/Full seat (“CBOT membership”). Graham Derivatives Strategies LLC’s policy is to value the CBOT seat at fair value. As of September 30, 2025 and December 31, 2024, the CBOT seat was valued at $240,000 and $379,000, respectively, and is included in Exchange memberships on Graham Derivatives Strategies LLC’s statement of financial condition. The CBOT membership is considered a Level 1 asset as described in the Fair Value section of Note 2.

Graham K4D Trading Ltd., a Master Fund in which GAIT, is also a member of the CBOT under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat (collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of September 30, 2025 and December 31, 2024, the two B-1/Full seats were valued at a total of $480,000 and $758,000, respectively, and the B-2/Associate seat was valued at $54,000 and $91,500, respectively, all of which are included in Exchange memberships on Graham K4D Trading Ltd.’s statements of financial condition. Additionally, Graham K4D Trading Ltd. owns 970 shares of the CME Group as a result of its CBOT membership. Graham K4D Trading Ltd.’s policy is to value the CME Group shares at fair value. As of September 30, 2025 and December 31, 2024, the 970 shares of the CME Group were valued at $262,084 and $225,263, respectively. The CBOT memberships and shares of the CME Group are considered Level 1 assets as described in the Fair Value section of Note 2.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Commodity Exchange Membership

As of September 30, 2025, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Commodity Exchange (“COMEX”) and owns two COMEX seats. Graham Commodity Strategies LLC’s policy is to value the COMEX seats at fair value. As of September 30, 2025 and December 31, 2024, the two COMEX seats were valued at $186,000 and $172,000 in total and is included in Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The COMEX seats are considered Level 1 assets as described in the Fair Value section of Note 2.

Fixed Income Securities

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

Cash and Cash Equivalents

GAIT classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of GAIT’s cash would be limited to account insurance or other protection afforded by such deposit. At September 30, 2025 and December 31, 2024, GAIT did not have any cash or cash equivalents.

Recent Accounting Pronouncement

In November 2023, the FASB issued ASU No. 2023-07 (“ASU 2023-07”) Segment Reporting (Topic 280) —Improvements to Reportable Segment Disclosures. An operating segment is defined in Topic 280 as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (CODM) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Investment Committee acts as GAIT’s CODM. GAIT represents a single operating segment, as the CODM monitors the operating results of GAIT as a whole and GAIT’s long-term strategic asset allocation is pre-determined in accordance with the terms of its LLC Agreement, based on a defined investment strategy which is executed by GAIT’s portfolio managers as a team. The financial information in the form of GAIT’s portfolio composition, total returns, expense ratios and changes in members’ capital (i.e., changes in members’ capital resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus GAIT’s comparative benchmarks and to make resource allocation decisions for GAIT’s single segment, is consistent with that presented within GAIT’s financial statements. Segment assets are reflected on the accompanying statements of financial condition as “total assets” and significant segment expenses are listed on the accompanying statements of operations. ASU 2023-07 was effective for fiscal years beginning after December 15, 2023, and interim periods in fiscal years beginning after December 15, 2024, with early adoption permitted. GAIT adopted ASU 2023-07 for annual reporting of the year ended December 31, 2024. Adoption of the new standard impacted financial statement disclosures only and did not affect GAIT’s financial position or results of operations.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Indemnifications

In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At September 30, 2025 and December 31, 2024, no accruals have been recorded by GAIT for indemnifications.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of September 30, 2025 and December 31, 2024, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management fees or incentive allocation, and all offer monthly subscriptions and redemptions.

September 30, 2025
Investment – Objective	Percent of Members’ Capital		Fair Value		Net Income (Loss) (nine months ended September 2025)

Global Macro Funds
Graham Commodity Strategies LLC	5.37	%	$	3,558,773	$	2,478,798
Graham Derivatives Strategies LLC	3.47	%		2,299,140		(1,493,214	)

Systematic Macro Funds
Graham K4D Trading Ltd.	4.93	%		3,275,454		(1,624,417	)
	13.77	%	$	9,133,367	$	(638,833	)

December 31, 2024
Investment – Objective	Percent of Members’ Capital		Fair Value		Net Income (Loss) (nine months ended September 2024)

Global Macro Funds
Graham Commodity Strategies LLC	4.42	%	$	2,932,998	$	1,487,185
Graham Derivatives Strategies LLC	2.31	%		1,533,539		(787,569	)

Systematic Macro Funds
Graham K4D Trading Ltd.	5.19	%		3,440,107		707,112
	11.92	%	$	7,906,644	$	1,406,728

The following table summarizes the financial position of each Master Fund as of September 30, 2025:

	Graham Commodity Strategies LLC (Delaware)			Graham Derivatives Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	137,885,407		$	36,201,601		$	50,693,892
Fixed income securities, at fair value (cost $37,211,880)		–			–			37,548,534
Derivative financial instruments, at fair value		2,922,091			37,643,905			25,945,224
Exchange memberships, at fair value		10,785,434			240,000			2,081,810
Interest receivable		184,045			71,593			162,333
Total assets		151,776,977			74,157,099			116,431,793

Liabilities:
Due to brokers		–			15,204			16,605,785
Derivative financial instruments, at fair value		9,308,124			–			–
Interest payable		10,984			19,591			107,225
Total liabilities		9,319,108			34,795			16,713,010
Members’ Capital / Net Assets	$	142,457,869		$	74,122,304		$	99,718,783

Percentage of Master Fund held by GAIT		2.50	%		3.10	%		3.28	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2025:

Description	Number of Contracts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Exchange memberships (cost $3,649,411)
United States (cost $3,649,411)
Financial services (cost $3,649,411)			$	10,785,434			7.57	%
Total exchange memberships			$	10,785,434			7.57	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	1,608,107			1.14	%
Foreign bond				(509,506	)		(0.36	)%
Foreign index				461,877			0.32	%
Interest rate				(76,421	)		(0.05	)%
U.S. bond
U.S. 2 yr Note (CBT) December 2025		33,692		(8,543,164	)		(6.00	)%
U.S. 5 - 10 yr Note (CBT) December 2025		12,584		(5,608,023	)		(3.94	)%
U.S. index				782,120			0.55	%
Total futures				(11,885,010	)		(8.34	)%

Forwards
Foreign currency				1,240,899			0.87	%
Total forwards				1,240,899			0.87	%

Options (cost $6,766,941)
Commodity futures				1,073,690			0.75	%
Currency futures				2,376,432			1.67	%
Interest rate futures				1,160,569			0.81	%
U.S. bond futures
U.S. 5 yr Note Friday Week 1 October 2025, $109.25 Call		1		12,000			0.01	%
U.S. 5 yr Note Friday Week 1 October 2025, $109.50 Put		1		67,500			0.05	%
U.S. 5 yr Note Friday Week 2 October 2025, $108.75 Put		1		22,422			0.02	%
U.S. 5 yr Weekly October 2025, $109.00 Put		1		4,484			0.00	%
U.S. 10 yr December 2025, $113.00 Call		1		192,828			0.14	%
U.S. index futures				314,240			0.22	%
Total options				5,224,165			3.67	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2025:

Description	Number of Contracts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	64,358			0.05	%
Foreign bond					1,145,368			0.80	%
Foreign index					(324,708	)		(0.23	)%
Interest rate					(11,488	)		(0.01	)%
U.S. bond
U.S. Ultra Bond (CBT) December 2025		(9,477	)		1,715,156			1.20	%
U.S. 5 yr - 10 yr Note (CBT) December 2025		(1,651	)		(238,328	)		(0.17	)%
U.S. index					37,693			0.03	%
Total futures					2,388,051			1.67	%

Forwards
Foreign currency					765,719			0.54	%
Total forwards					765,719			0.54	%

Options (proceeds $5,604,732)
Commodity futures					(960,050	)		(0.67	)%
Currency futures					(1,406,865	)		(1.00	)%
Interest rate futures					(1,243,406	)		(0.87	)%
U.S. bond futures
U.S. 5 yr Note Friday Week 1 October 2025, $109.75 - $110.25 Call		(2	)		(21,002	)		(0.01	)%
U.S. 5 yr Note Friday Week 1 October 2025, $108.75 - $109.00 Put		(2	)		(60,633	)		(0.04	)%
U.S. 5 yr Note Friday Week 2 October 2025, $108.25 Put		(1	)		(13,477	)		(0.01	)%
U.S. 10 yr December 2025, $114.50 Call		(1	)		(161,719	)		(0.11	)%
U.S. index futures					(252,705	)		(0.18	)%
Total options					(4,119,857	)		(2.89	)%
Total derivative financial instruments				$	(6,386,033	)		(4.48	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2025:

Description	Number of Contracts / Notional Amount		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Derivatives Strategies LLC
Exchange memberships (cost $305,000)
United States (cost $305,000)
Financial services (cost $305,000)			$	240,000			0.32	%
Total exchange memberships			$	240,000			0.32	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	(397,094	)		(0.54	)%
Foreign bond				(312,663	)		(0.42	)%
Foreign index				1,532,697			2.07	%
Interest rate				119,390			0.16	%
U.S. bond
U.S. 2 yr – 5 yr Note (CBT) December 2025		4,360		(903,789	)		(1.22	)%
U.S. Long Bond (CBT) December 2025		999		(236,750	)		(0.32	)%
U.S. index
S&P 500 E-Mini, December 2025		346		189,750			0.26	%
Other U.S. index				140,515			0.19	%
Total futures				132,056			0.18	%

Forwards
Swiss franc / U.S. dollar 12/17/2025	₣	66,217,260		4,632,923			6.25	%
Other foreign currency				155,242			0.21	%
Total forwards				4,788,165			6.46	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (contined)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2025:

Description	Number of Contracts	Fair Value			Percentage of Members’ Capital of Master Fund
Graham Derivatives Strategies LLC (continued)
Derivative financial instruments (continued)
Long contracts (continued)
Options (cost $75,954,653)
Commodity futures
Gold (CMX) December 2025, $3,700.00 Put	1	$	565,500		0.76	%
Gold (CMX) December 2025, $4,000.00 Call	1		6,380,680		8.61	%
Other commodity futures			2,639,553		3.56	%
Currency
Australian dollar / U.S. dollar - (Digital) - November 2025, $0.68 - $0.69 Call	2		529,719		0.71	%
Australian dollar / U.S. dollar - (Digital) - October 2025, $0.65 Put	1		39,221		0.05	%
Australian dollar / U.S. dollar - (ERKO) - December 2025, $0.68 Call	1		312,690		0.42	%
Australian dollar / U.S. dollar - (RKO) - October 2025, $0.67 Call	1		38,015		0.05	%
Australian dollar / U.S. dollar - October 2025 - December 2026, $0.65 - $0.68 Call	4		4,180,700		5.64	%
Australian dollar / U.S. dollar - October 2025, $0.64 - $0.65 Put	3		58,897		0.08	%
Euro dollar / U.S. dollar - (Digital) - October 2025, $1.20 Call	1		611,929		0.83	%
Euro dollar / U.S. dollar - (Digital) - November 2025, $1.10 - $1.12 Put	2		18,117		0.02	%
Euro dollar / U.S. dollar - (EKO) - October 2025, $1.18 Call	1		166,744		0.22	%
Euro dollar / U.S. dollar - (RKO) - October 2025, $1.18 Call	1		605,129		0.82	%
Euro dollar / U.S. dollar - October 2025 - May 2026, $1.18 - $1.20 Call	6		3,409,879		4.60	%
Euro dollar / U.S. dollar - October 2025 - February 2026, $1.16 - $1.17 Put	7		3,460,387		4.67	%
U.S. dollar / Swiss Franc - (Digital) - December 2025, $0.86 - $0.88 Call	2		46,789		0.06	%
Other currency			13,054,584		17.61	%
Interest rate futures			(3,353,854	)	(4.52	)%
U.S. bond futures
U.S. 10 yr Future, November 2025 - March 2026, $109.00 - $113.00 Put	3		8,413,188		11.35	%
U.S. index futures
S&P 500 E-Mini, December 2025, $6,650.00 - $7,100.00 Call	3		27,270,150		36.80	%
Total options			68,448,017		92.34	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2025:

Description	Number of Contracts / Notional Amount			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Derivatives Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity
Gold 100 Oz., December 2025		(107	)	$	1,171,570			1.58	%
Other commodity					151,570			0.21	%
Foreign bond					(304,961	)		(0.41	)%
U.S. bond
U.S. 10 yr Note (CBT) December 2025		(1,441	)		474,438			0.64	%
Total futures					1,492,617			2.02	%

Forwards
Swiss Franc / U.S. dollar 12/17/2025	₣	(67,349,214	)		(6,067,685	)		(8.18	)%
Other foreign currency					(4,437	)		(0.01	)%
Total forwards					(6,072,122	)		(8.19	)%

Options (proceeds $38,191,355)
Commodity futures
Gold (CMX) December 2025, $4,100.00 Call		(1	)		(3,841,320	)		(5.18	)%
Gold (CMX) December 2025, $3,500.00 Put		(1	)		(135,000	)		(0.18	)%
Other commodity					(1,941,980	)		(2.62	)%
Currency
Australian dollar / U.S. dollar - October 2025 - December 2025, $0.65 - $0.70 Call		(5	)		(3,061,177	)		(4.13	)%
Euro dollar / U.S. dollar - October 2025 - May 2026, $1.21 - $1.23 Call		(3	)		(2,116,041	)		(2.85	)%
Euro dollar / U.S. dollar - December 2025 - February 2026, $1.10 - $1.15 Put		(3	)		(1,510,765	)		(2.04	)%
Other currency

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC 10-Q