form10q.htm

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 March 31, 2013

OR o 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

(Exact name of registrant as specified in its charter)

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

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT 06853

(Address of principal executive offices) (Zip Code)

Paul Sedlack

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT 06853

(203) 899-3400

(Registrant’s telephone number, including area code)

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

Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x No o

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

Large accelerated filer o

Accelerated filer o

Non-accelerated filer o

Smaller reporting company x

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

Yes o No x

As of April 1, 2013, 227,995.810 Units of the Systematic Strategies Portfolio were outstanding.

As of April 1, 2013, 1,290,464.187 Units of the Blended Strategies Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

FORM 10-Q

INDEX

			Page
			Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund I LLC

		Statements of Financial Condition at March 31, 2013 (unaudited) and December 31, 2012 (audited)	1

		Statements of Operations for the three months ended March 31, 2013 and 2012 (unaudited)	2

		Statements of Changes in Members’ Capital for the three months ended March 31, 2013 and 2012 (unaudited)	3

		Statements of Cash Flows for the three months ended March 31, 2013 and 2012 (unaudited)	5

		Notes to Unaudited Financial Statements	6

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at March 31, 2013 (unaudited) and December 31, 2012 (audited)	13

		Condensed Schedules of Investments at March 31, 2013 (unaudited) and December 31, 2012 (audited)	14

		Statements of Operations and Managing Member Allocation for the three months ended March 31, 2013 and 2012 (unaudited)	15

		Statements of Changes in Members’ Capital for the three months ended March 31, 2013 and 2012 (unaudited)	16

		Statements of Cash Flows for the three months ended March 31, 2013 and 2012 (unaudited)	17

		Notes to Unaudited Financial Statements	18

		Graham Alternative Investment Trading II LLC

		Statements of Financial Condition at March 31, 2013 (unaudited) and December 31, 2012 (audited)	57

Index

		Statements of Operations and Managing Member Allocation for the three months ended March 31, 2013 and 2012 (unaudited)	58

		Statements of Changes in Members’ Capital for the three months ended March 31, 2013 and 2012 (unaudited)	59

		Statements of Cash Flows for the three months ended March 31, 2013 and 2012 (unaudited)	60

		Notes to Unaudited Financial Statements	61

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	84

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	92

	Item 4.	Controls and Procedures	93

PART II - Other Information			94

Exhibits

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

Statements of Financial Condition

	March 31, 2013 (Unaudited)		December 31, 2012 (Audited)

Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	149,768,564	$	167,871,994
Investment in Graham Alternative Investment Trading II LLC, at fair value		17,566,697		18,488,309
Redemption receivable from Graham Alternative Investment Trading LLC		10,606,614		14,897,527
Redemption receivable from Graham Alternative Investment Trading II LLC		634,879		6,924,115
Total assets	$	178,576,754	$	208,181,945

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	11,241,493	$	21,821,642
Total liabilities		11,241,493		21,821,642

Members’ capital:
Blended Strategies Portfolio:
Class 0 Units (1,018,552.830 and 1,241,639.087 units issued and outstanding at $122.47 and $114.88, respectively)		124,737,215		142,637,622
Class 2 Units (261,296.090 and 279,471.807 units issued and outstanding at $95.80 and $90.29, respectively)		25,031,349		25,234,372
Total Blended Strategies Portfolio		149,768,564		167,871,994

Systematic Strategies Portfolio:
Class 0 Units (91,232.079 and 101,445.837 units issued and outstanding at $80.62 and $73.46, respectively)		7,355,130		7,452,523
Class 2 Units (136,763.731 and 161,427.944 units issued and outstanding at $74.67 and $68.36, respectively)		10,211,567		11,035,786
Total Systematic Strategies Portfolio		17,566,697		18,488,309
Total members’ capital		167,335,261		186,360,303
Total liabilities and members’ capital	$	178,576,754	$	208,181,945

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Operations

	Three Months Ended March 31,
	2013 (Unaudited)			2012 (Unaudited)
Net gain allocated from investments in other funds:
Net realized gain on investments	$	14,459,775		$	14,524,317
Net decrease in unrealized appreciation on investments		(384,761	)		(3,944,968	)
Brokerage commissions and fees		(309,040	)		–
Net gain allocated from investments in other funds		13,765,974			10,579,349

Net investment loss allocated from investment in other funds:
Investment income:
Interest income		86,819			161,855

Expenses:
Advisory fees		777,573			1,548,070
Sponsor fees		509,793			774,035
Brokerage fees		–			1,840,110
Professional fees and other		294,044			29,961
Administrator’s fees		57,849			–
Total expenses		1,639,259			4,192,176
Net investment loss allocated from investments in other funds		(1,552,440	)		(4,030,321	)

Net income	$	12,213,534		$	6,549,028

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Changes in Members’ Capital

For the three months ended March 31, 2013 (unaudited) and 2012 (unaudited)

	Blended Strategies Portfolio
	Class 0 Units						Class 2 Units						Total
	Units			Capital			Units			Capital			Blended Strategies Portfolio

Members’ capital, December 31, 2011		1,814,039.586		$	223,427,719			410,047.431		$	40,501,399		$	263,929,118
Subscriptions		7,911.977			980,000			6,612.488			656,540			1,636,540
Redemptions		(100,499.651	)		(12,617,330	)		(52,837.961	)		(5,277,179	)		(17,894,509	)
Net income		–			5,350,966			–			738,687			6,089,653
Members’ capital, March 31, 2012		1,721,451.912		$	217,141,355			363,821.958		$	36,619,447		$	253,760,802

	Blended Strategies Portfolio
	Class 0 Units						Class 2 Units						Total
	Units			Capital			Units			Capital			Blended Strategies Portfolio

Members’ capital, December 31, 2012		1,241,639.087		$	142,637,622			279,471.807		$	25,234,372		$	167,871,994
Subscriptions		16,433.844			1,945,000			3,741.593			351,886			2,296,886
Redemptions		(239,520.101	)		(28,917,423	)		(21,917.310	)		(2,069,889	)		(30,987,312	)
Net income		–			9,072,016			–			1,514,980			10,586,996
Members’ capital, March 31, 2013		1,018,552.830		$	124,737,215			261,296.090		$	25,031,349		$	149,768,564

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Changes in Members’ Capital (continued)

For the three months ended March 31, 2013 (unaudited) and 2012 (unaudited)

	Systematic Strategies Portfolio
	Class 0 Units						Class 2 Units						Total
	Units			Capital			Units			Capital			Systematic Strategies Portfolio			Total Members’ Capital

Members’ capital, December 31, 2011		322,756.427		$	26,254,798			255,073.907		$	19,700,814		$	45,955,612		$	309,884,730
Subscriptions		2,177.678			178,000			–			–			178,000			1,814,540
Redemptions		(21,990.662	)		(1,821,776	)		(21,224.864	)		(1,647,009	)		(3,468,785	)		(21,363,294	)
Net income		–			326,795			–			132,580			459,375			6,549,028
Members’ capital, March 31, 2012		302,943.443		$	24,937,817			233,849.043		$	18,186,385		$	43,124,202		$	296,885,004

	Systematic Strategies Portfolio
	Class 0 Units						Class 2 Units						Total
	Units			Capital			Units			Capital			Systematic Strategies Portfolio			Total Members’ Capital

Members’ capital, December 31, 2012		101,445.837		$	7,452,523			161,427.944		$	11,035,786		$	18,488,309		$	186,360,303
Subscriptions		–			–			–			–			–			2,296,886
Redemptions		(10,213.758	)		(767,533	)		(24,664.213	)		(1,780,617	)		(2,548,150	)		(33,535,462	)
Net income		–			670,140			–			956,398			1,626,538			12,213,534
Members’ capital, March 31, 2013		91,232.079		$	7,355,130			136,763.731		$	10,211,567		$	17,566,697		$	167,335,261

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Cash Flows

	Three Months Ended March 31,
	2013 (Unaudited)			2012 (Unaudited)
Cash flows provided by operating activities
Net income	$	12,213,534		$	6,549,028
Adjustments to reconcile net income to net cash provided by operating activities:
Net income allocated from investment in Graham Alternative Investment Trading LLC		(10,586,996	)		(6,089,653	)
Net income allocated from investment in Graham Alternative Investment Trading II LLC		(1,626,538	)		(459,375	)
Proceeds from sale of investments in Graham Alternative Investment Trading LLC		35,278,225			17,544,593
Proceeds from sale of investments in Graham Alternative Investment Trading II LLC		8,837,386			2,836,889
Investments in Graham Alternative Investment Trading LLC		(2,296,886	)		(1,636,540	)
Investments in Graham Alternative Investment Trading II LLC		–			(178,000	)
Net cash provided by operating activities		41,818,725			18,566,942

Cash flows used in financing activities
Subscriptions		2,296,886			1,814,540
Redemptions		(44,115,611	)		(20,381,482	)
Net cash used in financing activities		(41,818,725	)		(18,566,942	)

Net change in cash and cash equivalents		–			–

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

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements

March 31, 2013

1. Organization and Business

Graham Alternative Investment Fund I LLC (the “Fund”) was formed on May 16, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company (“LLC”). The Fund offers investors Class 0 and Class 2 shares of a Blended Strategies Portfolio, and Class 0 and Class 2 shares of a Systematic Strategies Portfolio. The Fund invests all of its Blended Strategies Portfolio assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware LLC which was formed on May 16, 2006 and commenced operations on August 1, 2006. The Fund invests all of its Systematic Strategies Portfolio assets dedicated to trading in Graham Alternative Investment Trading II LLC (“GAIT II”), a Delaware LLC which was formed on July 16, 2008 and commenced operations on January 4, 2009. GAIT and GAIT II (collectively “the GAIT Funds”) invest in various master trading vehicles (“Master Funds”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Manager is the manager and the sole investment advisor of the GAIT Funds and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association. The Manager is also registered as a Registered Investment Advisor with the Securities and Exchange Commission. The Fund is a reporting company under the Securities Exchange Act of 1934, as amended, (the “Exchange Act”) and qualifies as a smaller reporting company under the Exchange Act. Effective March 28, 2013 the Manager filed an amendment to the Certificate of Formation of the Fund to designate the interests of unitholders of the Fund as series under the Delaware Limited Liability Company Act. This amendment allows unitholders of the Fund to benefit from limitation of liability protection afforded to each series.

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 investments in the GAIT Funds, which in turn invest in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.

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

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

The performance of the Fund is directly affected by the performance of the GAIT Funds; therefore these financial statements should be read in conjunction with the attached financial statements of the GAIT Funds.

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 the GAIT Funds.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

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 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 Graham Alternative Investment Trading LLC and Graham Alternative Investment Trading II LLC

The Fund records its investments in the GAIT Funds at fair value based upon the Fund’s proportionate share of the GAIT Funds’ reported net asset value in accordance with U.S. GAAP. In determining its net asset value, the GAIT Funds record their investments in Master Funds at fair value based upon the GAIT Funds’ proportionate share of the Master Funds’ reported net asset value. The Fund records its proportionate share of the GAIT Funds’ 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 the GAIT Funds are recorded on a trade date basis. The accounting policies of the GAIT Funds are described in their attached financial statements.

Each of the GAIT Funds charges its investors, including the Fund, an advisory fee, brokerage 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 their portion of the advisory fee, brokerage fee, sponsor fee and incentive allocation charged by the GAIT Funds.

At March 31, 2013 and December 31, 2012, the Fund owned 61.03% and 63.27%, respectively of GAIT, and 58.82% and 56.47%, respectively of GAIT II.

Fair Value

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

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

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

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

Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to the Fund’s investments in the GAIT Funds, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.

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

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

In accordance with this hierarchy, the Fund’s investments in the GAIT Funds have been classified as a Level 2 valuation. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2013 or the year ended December 31, 2012 by the Fund, the GAIT Funds, or the Master Funds, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Indemnifications

In the normal course of business, the Master Funds, the GAIT Funds, Graham Cash Assets LLC (“Cash Assets”), and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote.

3. Capital Accounts

The Fund offers two classes (each a “Class”) in different series (each a “Series” or “Portfolio”) of Units (collectively the “Units”), being Class 0 Units and Class 2 Units in both Blended and Systematic Strategies Portfolios. The Fund may issue additional Classes or Series in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager.

A separate Capital Account is maintained for each Member with respect to each member’s Class of Units. The initial balance of each Member’s Capital Account is equal to the initial contribution to the Fund by such Member with respect to the Class and Series 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 and Series to which the Capital Account relates. All income and expenses of the Fund are allocated among the Members’ Capital Accounts [in respect of a Series] in proportion to the balance that each Capital Account bears to the balance of all Capital Accounts [of that Series] 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 and Series as of the immediately preceding Valuation Day as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $50,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000.

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

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

3. Capital Accounts (continued)

Redemption of Units

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $25,000. The redemption proceeds will normally be remitted within 15 days after the Valuation Day, without interest for the period from the Valuation Day to the payment date.

Redemption Fees

Class 2 Units are subject to a redemption fee equal to 2% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 1% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Class 0 Units are not subject to a redemption fee. Redemption fees are payable to the Manager upon redemption of Units from the proceeds of such redemption. Redemption fees of $0 and $3,885 were paid to the Manager for the three months ended March 31, 2013 and 2012, respectively, and are included as redemptions in the statements of changes in members’ capital.

4. Fees and Related Party Transactions

Advisory Fees

For the three months ended March 31, 2013 and 2012, each Class of the GAIT Funds other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% and 2%, respectively, of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

Sponsor Fees

For the three months ended March 31, 2013 and 2012, each Class of the GAIT Funds other than Class M pays the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate specified in the table below. This Sponsor Fee was payable monthly in arrears calculated as of the last business day of the month in the same manner as the Advisory Fee. For the three months ended March 31, 2013 the Sponsor Fee listed below for Class 2 included a selling agent fee (the “Selling Agent Fee”) of 2%. The Selling Agent Fee represented a fee for initial and on-going service fees to the Fund’s selling agents.

Class	2013 Annual Rate	2012 Annual Rate
Class 0	0.75%	1.00%
Class 2	2.75%	1.00%

Incentive Allocation

At the end of each calendar quarter, the Manager of the GAIT Funds 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 the GAIT Funds, 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 the GAIT Funds shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Brokerage Fees

For the three months ended March 31, 2012, each Class of GAIT Funds other than Class M paid the Manager a brokerage fee (the “Brokerage Fee”) at an annual rate specified in the table below. This Brokerage Fee was payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate

Class 0	2%
Class 2	4%

In consideration of the Brokerage Fee, the Manager assumed all of the GAIT Funds’ trading commissions (including exchange, clearing and regulatory fees relating to its trades), routine legal expenses, internal and external accounting, audit and tax preparation expenses, fees and expenses of an external or internal administrator, and expenses and costs of printing and mailing reports and notices, together with the costs incurred in connection with the organization of the GAIT Funds and the Fund and the continuous offering of Units. To the extent the GAIT Funds were allocated any of these expenses from the Master Funds in which they invested, the Manager reimbursed the GAIT Funds for those amounts. These reimbursements are included in commission reimbursements in the GAIT Funds’ statements of operations and managing member allocation. As a result, there is no impact to the Fund’s statement of operations.

As of January 1, 2013 the GAIT Funds eliminated the Brokerage Fee and the GAIT Funds incurred directly all costs previously covered by the Brokerage Fee.

Administrator’s Fee

For the three month period ended March 31, 2013, the GAIT Funds paid SEI a monthly administrator’s fee based on each GAIT Fund’s net asset value, calculated as of the last business day of each month. In addition, the GAIT Funds reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of the GAIT Funds. The total administrator’s fees allocated to the Fund by the GAIT Funds for the three month periods ended March 31, 2013 and 2012 were $57,849 and $0, respectively.

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

5. Income Taxes

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

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 Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. 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.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights

The following is the per Unit operating performance calculation for the three month periods ended March 31, 2013 and 2012:

	Blended Strategies Portfolio						Systematic Strategies Portfolio
	Class 0			Class 2			Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2011	$	123.17		$	98.77		$	81.35		$	77.24
Net gain:
Net investment loss		(1.20	)		(1.48	)		(0.92	)		(1.27	)
Net gain on investments		4.17			3.36			1.89			1.80
Net gain		2.97			1.88			0.97			0.53
Net asset value per unit, March 31, 2012	$	126.14		$	100.65		$	82.32		$	77.77


Net asset value per unit, December 31, 2012	$	114.88		$	90.29		$	73.46		$	68.36
Net gain:
Net investment loss		(0.88	)		(1.14	)		(0.65	)		(0.93	)
Net gain on investments		8.47			6.65			7.81			7.24
Net gain		7.59			5.51			7.16			6.31
Net asset value per unit, March 31, 2013	$	122.47		$	95.80		$	80.62		$	74.67

The following represents ratios to average members’ capital and total return for the three month periods ended March 31, 2013 and 2012 for the Blended Strategies Portfolio:

	Blended Strategies Portfolio
	Class 0						Class 2
	2013			2012			2013			2012

Total return before Incentive Allocation		6.61	%		2.41	%		6.10	%		1.90	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		6.61	%		2.41	%		6.10	%		1.90	%

Net investment loss before Incentive Allocation		(0.77	)%		(0.97	)%		(1.22	)%		(1.50	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.77	)%		(0.97	)%		(1.22	)%		(1.50	)%

Total expenses before Incentive Allocation		0.79	%		1.27	%		1.27	%		1.79	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.79	%		1.27	%		1.27	%		1.79	%

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following represents ratios to average members’ capital and total return for the three month periods ended March 31, 2013 and 2012 for the Systematic Strategies Portfolio:

	Systematic Strategies Portfolio
	Class 0						Class 2
	2013			2012			2013			2012

Total return before Incentive Allocation		9.75	%		1.19	%		9.23	%		0.69	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		9.75	%		1.19	%		9.23	%		0.69	%

Net investment loss before Incentive Allocation		(0.88	)%		(1.13	)%		(1.36	)%		(1.64	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.88	)%		(1.13	)%		(1.36	)%		(1.64	)%

Total expenses before Incentive Allocation		0.90	%		1.27	%		1.40	%		1.78	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.90	%		1.27	%		1.40	%		1.78	%

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total members’ capital adjusted for subscriptions or redemptions during the period and have not been annualized. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from the GAIT Funds. These ratios have not been annualized. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital for Class 0 and Class 2 Units of the Fund for the three month periods ended March 31, 2013 and 2012.

7. Subsequent Events

The Fund had subscriptions of approximately $2.7 million and redemptions of approximately $4.2 million through May 15, 2013, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

Index

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	March 31, 2013 (Unaudited)		December 31, 2012 (Audited)
Assets
Investments in Master Funds, at fair value	$	49,660,422	$	47,870,899
Investment in Graham Cash Assets LLC, at fair value		208,557,050		241,839,538
Accrued commission reimbursements		–		165,510
Receivable from Master Funds		2,853		1,856
Other receivable		218,078		–
Total assets	$	258,438,403	$	289,877,803

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	12,079,330	$	23,262,309
Accrued advisory fees		345,676		489,673
Accrued sponsor fees		216,714		244,837
Accrued brokerage fees		–		568,525
Accrued professional fees		362,895		–
Accrued administrator's fees		25,799		–
Payable to Master Funds		6,543		6,476
Total liabilities		13,036,957		24,571,820

Members’ capital:
Class 0 Units (1,639,090.018 and 1,922,696.211 units issued and outstanding at $122.47 and $114.88 per unit, respectively)		200,731,401		220,876,439
Class 2 Units (457,262.490 and 483,129.319 units issued and outstanding at $95.80 and $90.29 per unit, respectively)		43,804,327		43,623,249
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $185.32 and $172.60 per unit, respectively)		865,718		806,295
Total members’ capital		245,401,446		265,305,983
Total liabilities and members’ capital	$	258,438,403	$	289,877,803

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	March 31, 2013 (Unaudited)					December 31, 2012 (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	$	12,122,243		4.94	%	$	16,324,504		6.15	%
Graham Global Monetary Policy LLC		12,160,765		4.96	%		7,258,710		2.74	%
Graham K4D Trading Ltd.		25,377,414		10.34	%		24,287,685		9.15	%
Total investments in Master Funds	$	49,660,422		20.24	%	$	47,870,899		18.04	%

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Statements of Operations and Managing Member Allocation

	Three Months Ended March 31,
	2013 (Unaudited)			2012 (Unaudited)
Net gain allocated from investments in Master Funds:
Net realized gain on investments	$	20,273,648		$	20,614,297
Net decrease in unrealized appreciation on investments		(860,950	)		(5,597,814	)
Brokerage commissions and fees		(477,561	)		(1,091,330	)
Net gain allocated from investments in Master Funds		18,935,137			13,925,153

Net investment loss allocated from investments in Master Funds		(5,957	)		(35,948	)

Investment income:
Interest income		124,162			217,632

Expenses:
Advisory fees		1,109,892			2,089,945
Sponsor fees		690,123			1,044,972
Brokerage fees		–			2,423,310
Administrator’s fees		82,841			–
Professional fees and other		389,274			3,320
Commission reimbursements		–			(1,091,329	)
Total expenses		2,272,130			4,470,218
Net investment loss of the Fund		(2,147,968	)		(4,252,586	)

Net income		16,781,212			9,636,619

Incentive allocation		–			–

Net income available for pro-rata allocation to all members	$	16,781,212		$	9,636,619

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Statements of Changes in Members’ Capital

For the three months ended March 31, 2013 (unaudited) and 2012 (unaudited)

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

Members’ capital, December 31, 2011		2,827,795.124			$	348,287,779			688,937.679			$	68,048,075			4,671.470		$	822,214		$	417,158,068
Subscriptions		31,134.715				3,853,255			13,203.211				1,312,894			–			–			5,166,149
Redemptions		(151,186.869	)			(18,947,613	)		(72,757.539	)			(7,261,223	)		–			–			(26,208,836	)
Incentive allocation		–				–			–				–			–			–			–
Net income		–				8,357,220			–				1,248,999			–			30,400			9,636,619
Members’ capital, March 31, 2012		2,707,742.970			$	341,550,641			629,383.351			$	63,348,745			4,671.470		$	852,614		$	405,752,000

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

Members’ capital, December 31, 2012		1,922,696.211			$	220,876,439			483,129.319			$	43,623,249			4,671.470		$	806,295		$	265,305,983
Subscriptions		24,271.848				2,870,000			9,833.882				926,793			–			–			3,796,793
Redemptions		(307,878.041	)			(37,111,245	)		(35,700.711	)			(3,371,297	)		–			–			(40,482,542	)
Incentive allocation		–				–			–				–			–			–			–
Net income		–				14,096,207			–				2,625,582			–			59,423			16,781,212
Members’ capital, March 31, 2013		1,639,090.018			$	200,731,401			457,262.490			$	43,804,327			4,671.470		$	865,718		$	245,401,446

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Statements of Cash Flows

	Three Months Ended March 31,
	2013 (Unaudited)			2012 (Unaudited)
Cash flows provided by operating activities
Net income	$	16,781,212		$	9,636,619
Adjustments to reconcile net income to net cash provided by operating activities:
Net income allocated from investments in Master Funds		(18,929,180	)		(13,889,205	)
Net income allocated from investment in Graham Cash Assets LLC		(124,162	)		(217,632	)
Proceeds from sale of investments in Master Funds		81,395,633			188,533,634
Proceeds from sale of investments in Graham Cash Assets LLC		95,351,740			164,479,188
Investments in Master Funds		(64,256,906	)		(182,364,309	)
Investments in Graham Cash Assets LLC		(61,945,090	)		(141,756,832	)
Changes in assets and liabilities:
Accrued commission reimbursements		165,510			(7,878	)
Other receivable		(218,078	)		-
Accrued advisory fees		(143,997	)		(27,090	)
Accrued sponsor fees		(28,123	)		(13,545	)
Accrued brokerage fees		(568,525	)		(35,730	)
Accrued professional fees		362,895			-
Accrued administrator's fees		25,799			-
Net cash provided by operating activities		47,868,728			24,337,220

Cash flows used in financing activities
Subscriptions		3,796,793			5,166,149
Redemptions		(51,665,521	)		(29,503,369	)
Net cash used in financing activities		(47,868,728	)		(24,337,220	)

Net change in cash and cash equivalents		-			-

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

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

March 31, 2013

1. Organization and Business

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

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

Graham Alternative Investment Fund I LLC, Graham Alternative Investment Fund II LLC, and Graham Alternative Investment III Ltd. (collectively the “Feeder Funds”) are the primary investors of GAIT.

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

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

Duties of the Managing Member

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

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The preparation of these financial statements requires the Managing Member to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investments in Master Funds

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Investments in Master Funds (continued)

During the year ended December 31, 2012 certain Master Funds in which GAIT invested consolidated their assets under Graham Commodity Strategies LLC, then ceased operations and were dissolved. The amount of assets that were transferred in-kind in connection with this consolidation totals $1,362,929. The dates of the consolidations and dissolutions were as follows:

Master Fund	Consolidation Date	Dissolution Date
Graham Fed Policy Ltd.	May 29, 2012	October 23, 2012
Graham Energy Fundamental LLC	May 29, 2012	October 1, 2012
Graham Macro Directional LLC	May 30, 2012	October 1, 2012
Graham Macro Technical Ltd.	May 30, 2012	October 23, 2012

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 managing member allocation.

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

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

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

Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to GAIT’s investments in the other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.

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

In accordance with this hierarchy, GAIT’s investments in Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been classified as Level 2. These investments are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2013 or the twelve months ended December 31, 2012 by GAIT, the Master Funds, or Cash Assets, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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

Futures Contracts

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

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Forward Contracts

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

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

Swap Contracts

The Master Funds may enter into various swap contracts in an attempt to take advantage of changes in interest rates and asset values. Swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized gains on open positions. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Fund may not be able to enter into an offsetting contract in order to cover its risk. Swaps are subject to the International Swap and Derivative Association (“ISDA”) Master Agreements which generally require among other things, that a Master Fund maintain a predetermined level of net assets, and provide limits with respect to any decline in the Master Fund’s net asset value over 1-month, 3-month and 12-month periods. If a Master Fund were to violate such provisions, the counterparty to the swaps could demand liquidation of outstanding swap positions.

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices or rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another.

Exchange traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Total return swaps are valued based upon the exchange published settle price of the underlying reference instrument. Changes in fair value of each swap are recognized as unrealized gains or losses. The Master Funds record realized gains or losses when a swap contract is terminated.

Options

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Options (continued)

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

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

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.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of March 31, 2013 and December 31, 2012, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its members’ capital are individually identified, while smaller investments are aggregated under the caption “Other Global Macro Funds.” The number of Master Funds included in each aggregated category is disclosed parenthetically next to each name. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management or incentive fees and all offer monthly subscriptions and redemptions.

March 31, 2013
Investment – Objective	Percent of Members’ Capital	Fair Value		Net Income (three months then ended)

Systematic Macro Funds
Graham K4D Trading Ltd.	10.34%	$	25,377,414	$	13,334,035

Global Macro Funds
Other Global Macro Funds (2)	9.90%		24,283,008		5,595,145
	20.24%	$	49,660,422	$	18,929,180

December 31, 2012
Investment – Objective	Percent of Members’ Capital	Fair Value		Net Income (three months ended March 31, 2012)

Systematic Macro Funds
Graham K4D Trading Ltd.	9.15%	$	24,287,685	$	5,591,898

Global Macro Funds
Graham Commodity Strategies LLC	6.15%		16,324,504		9,902,476
Other Global Macro Funds (6)	2.74%		7,258,710		(1,605,169	)
	18.04%	$	47,870,899	$	13,889,205

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of March 31, 2013:

	Graham Commodity Strategies LLC (Delaware)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	93,430,570		$	174,649,891		$	45,625,595
Fixed income securities, at fair value		49,994,385			-			124,985,964
Derivative financial instruments, at fair value		22,809,550			-			41,487,936
CME membership, at fair value		2,365,700			-			855,250
Dividends receivable		13,500			-			-
Other assets		-			118			-
Total assets		168,613,705			174,650,009			212,954,745

Liabilities:
Derivative financial instruments, at fair value		8,713,867			8,259,984			11,277,718
Due to brokers		3,095,181			-			-
Total liabilities		11,809,048			8,259,984			11,277,718
Net assets	$	156,804,657		$	166,390,025		$	201,677,027

Percentage of Master Fund held by GAIT		7.73	%		7.31	%		12.58	%

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Collateral pledged represents the further amounts by which derivative assets and liabilities could have been reduced on the statements of financial condition. The Master Funds elect to display the amounts in due from (to) brokers on the statements of financial condition.

Description	Gross Amount			Gross Amount Offset in the Statements of Financial Condition			Net Amount Presented in the Statements of Financial Condition			Collateral Pledged			Net Amount

Graham Commodity Strategies LLC
Derivative assets	$	220,490,352		$	(197,680,802	)	$	22,809,550		$	(3,095,181	)	$	19,714,369
Derivative liabilities		(206,394,669	)		197,680,802			(8,713,867	)		8,713,867			–
	$	14,095,683		$	–		$	14,095,683		$	5,618,686		$	19,714,369

Graham Global Monetary Policy LLC
Derivative assets	$	41,388,389		$	(41,388,389	)	$	–		$	–		$	–
Derivative liabilities		(49,648,373	)		41,388,389			(8,259,984	)		8,259,984			–
	$	(8,259,984	)	$	–		$	(8,259,984	)	$	8,259,984		$	–

Graham K4D Trading Ltd.
Derivative assets	$	73,562,576		$	(32,074,640	)	$	41,487,936		$	–		$	41,487,936
Derivative liabilities		(43,352,358	)		32,074,640			(11,277,718	)		11,277,718			–
	$	30,210,218		$	–		$	30,210,218		$	11,277,718		$	41,487,936

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 March 31, 2013:

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC
Fixed income securities
Bonds (cost $49,989,257)
United States
U.S. Treasury bill 0.00% due 06/13/2013	$	50,000,000	$	49,994,385			31.88	%
Total United States				49,994,385			31.88	%
Total bonds				49,994,385			31.88	%
Total fixed income securities			$	49,994,385			31.88	%

Derivative financial instruments
Long contracts
Futures
Copper May 2013		86	$	(75,450	)		(0.05	)%
Copper June 2013		3,280		(10,337,104	)		(6.59	)%
Corn May 2013 – December 2013		8,051		(10,040,838	)		(6.40	)%
Lead June 2013		7,160		(11,378,133	)		(7.26	)%
Natural Gas May 2013 – April 2014		8,071		13,174,030			8.40	%
Wheat July 2013		534		55,300			0.04	%
Wheat December 2013		4,246		(19,394,100	)		(12.37	)%
Other Wheat May 2013 – December 2013		3,394		(6,423,388	)		(4.10	)%
WTI Crude May 2013 – December 2016		12,862		25,927,810			16.53	%
Zinc June 2013		7,986		(8,244,293	)		(5.26	)%
Other commodity				(9,841,320	)		(6.28	)%
Foreign bond				1,716,916			1.09	%
Foreign index				(458,335	)		(0.29	)%
Interest rate				541,433			0.35	%
U.S. bond				590,999			0.38	%
U.S. index				605,580			0.39	%
Total futures				(33,580,893	)		(21.42	)%

Swaps
Commodity				(317,650	)		(0.20	)%
Total swaps				(317,650	)		(0.20	)%

Forwards
Foreign currency				1,132,921			0.72	%
Total forwards				1,132,921			0.72	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2013:

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Long contracts (continued)
Options (cost $91,615,243)
U.S. dollar / Japanese Yen May 2013 Call $85.00		2		$	14,576,964			9.30	%
U.S. dollar / Japanese Yen May 2013 Call $87.00		1			11,525,668			7.35	%
U.S. dollar / Japanese Yen May 2013 Call $89.00		1			8,623,775			5.50	%
U.S. dollar / Japanese Yen May 2013 Call $94.00		2			9,940,786			6.34	%
Other U.S. dollar / Japanese Yen April 2013 - August 2013 Call $90.00 - $100.00		15			23,809,825			15.18	%
Other U.S. dollar / Japanese Yen March 2013 - April 2013 Put $93.75 - $94.00		2			1,535,276			0.98	%
Other currency					18,457,243			11.77	%
Commodity					311,000			0.20	%
Interest rate					3,705,889			2.36	%
U.S. bond					1,859,375			1.19	%
U.S. index					750,000			0.48	%
Total options					95,095,801			60.65	%

Short contracts
Futures
Copper May 2013		(586	)		524,688			0.33	%
Copper June 2013		(3,205	)		8,984,375			5.73	%
Lead June 2013		(6,542	)		11,078,565			7.07	%
Natural Gas May 2013 – March 2014		(7,447	)		(8,457,350	)		(5.39	)%
Wheat July 2013		(5,241	)		22,688,913			14.46	%
Other Wheat May 2013 – December 2013		(2,555	)		2,976,575			1.90	%
WTI Crude July 2013		(2,119	)		(9,338,550	)		(5.96	)%
Other WTI Crude May 2013 – December 2015		(10,441	)		(21,203,260	)		(13.52	)%
Zinc June 2013		(8,925	)		9,735,976			6.21	%
Other commodity					11,118,961			7.09	%
Currency					(259,388	)		(0.17	)%
Foreign bond					(22,997	)		(0.01	)%
Foreign index					71,924			0.05	%
Interest rate					(920,250	)		(0.59	)%
U.S. bond					(519,563	)		(0.33	)%
U.S. index					(375,780	)		(0.24	)%
Total futures					26,082,839			16.63	%

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 March 31, 2013:

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts (continued)
Swaps
Commodity				$	1,850,000			1.18	%
Total swaps					1,850,000			1.18	%

Forwards
Foreign currency					(6,289,929	)		(4.01	)%
Total forwards					(6,289,929	)		(4.01	)%

Options (cost $68,717,027)
U.S. dollar / Japanese Yen May 2013 Call $85.00		(2	)		(14,576,964	)		(9.30	)%
U.S. dollar / Japanese Yen May 2013 Call $87.00		(2	)		(11,525,668	)		(7.35	)%
U.S. dollar / Japanese Yen May 2013 Call $89.00		(1	)		(8,623,775	)		(5.50	)%
U.S. dollar / Japanese Yen May 2013 Call $94.00		(3	)		(9,940,786	)		(6.34	)%
Other U.S. dollar / Japanese Yen April 2013 - August 2013 Call $90.00 - $105.00		(15	)		(16,592,830	)		(10.56	)%
Other U.S. dollar / Japanese Yen April 2013 Put $93.00		(1	)		(659,576	)		(0.42	)%
Other currency					(3,680,017	)		(2.35	)%
Interest rate					(2,784,040	)		(1.78	)%
U.S. bond					(1,093,750	)		(0.70	)%
U.S. index					(400,000	)		(0.26	)%
Total options					(69,877,406	)		(44.56	)%
Total derivative financial instruments				$	14,095,683			8.99	%

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 March 31, 2013:

Description	Notional Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Derivative financial instruments
Long contracts
Futures
Commodity		$	(345,600	)		(0.21	)%
Foreign bond			2,532,977			1.52	%
Foreign index			2,697,007			1.63	%
Interest rate			(731,250	)		(0.44	)%
U.S. bond			1,375			0.00	%
U.S. index			199,650			0.12	%
Total futures			4,354,159			2.62	%

Forwards
Foreign currency			7,107,495			4.27	%
Total forwards			7,107,495			4.27	%

Options (cost $3,484,579)
Foreign currency			37,973			0.02	%
Interest rate			328,125			0.20	%
Total options			366,098			0.22	%

Short contracts
Futures
Commodity			603,600			0.36	%
Foreign bond			(1,613,144	)		(0.97	)%
Foreign index			(3,754,535	)		(2.25	)%
Interest rate			1,679,463			1.01	%
U.S. bond			(2,208,688	)		(1.33	)%
U.S. index			(1,616,325	)		(0.97	)%
Total futures			(6,909,629	)		(4.15	)%

Forwards
Foreign currency			(2,687,210	)		(1.62	)%
Total forwards			(2,687,210	)		(1.62	)%

Options (cost $12,934,391)
Foreign currency			(10,319,022	)		(6.20	)%
Interest rate			(171,875	)		(0.10	)%
Total options			(10,490,897	)		(6.30	)%
Total derivative financial instruments		$	(8,259,984	)		(4.96	)%

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 March 31, 2013:

Description	Principal Amount		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities
Bonds (cost $124,973,143)
United States
U.S. Treasury bill 0.00% due 06/13/2013	$	125,000,000	$	124,985,964			61.97	%
Total United States				124,985,964			61.97	%
Total bonds				124,985,964			61.97	%
Total fixed income securities			$	124,985,964			61.97	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	(7,896,824	)		(3.92	)%
Currency				851,699			0.42	%
Interest rate				(932,395	)		(0.46	)%
Foreign bond				19,685,680			9.76	%
Foreign index				(2,546,292	)		(1.26	)%
U.S. bond				6,146,713			3.05	%
U.S. index				13,149,000			6.52	%
Total futures				28,457,581			14.11	%

Forwards
Foreign currency				1,016,425			0.50	%
Total forwards				1,016,425			0.50	%

Short contracts
Futures
Commodity				16,169,706			8.02	%
Currency				140,392			0.07	%
Interest rate				(31,761	)		(0.02	)%
Foreign bond				(1,683,088	)		(0.83	)%
Foreign index				176,922			0.09	%
U.S. bond				(1,485,323	)		(0.74	)%
U.S. index				(247,924	)		(0.12	)%
Total futures				13,038,924			6.47	%

Forwards
Foreign currency				(12,302,712	)		(6.10	)%
Total forwards				(12,302,712	)		(6.10	)%
Total derivative financial instruments			$	30,210,218			14.98	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of March 31, 2013:

	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	106,814,417		$	983,800		$	20,586,959
Commodity futures options		311,000			-			-
Commodity futures swaps		1,850,000			-			-
Currency futures		-			-			1,260,054
Equity securities		2,365,700			-			855,250
Foreign bond futures		1,719,665			2,545,799			18,592,047
Foreign index futures		75,136			2,861,349			9,609,819
Interest rate futures		712,788			1,679,463			71,324
Interest rate futures options		3,705,889			328,125			-
U.S. bond futures		602,092			167,125			6,146,713
U.S. bond futures options		1,859,375			-			-
U.S. index futures		616,430			199,650			13,149,000
U.S. index futures options		750,000			-			-
Total Level 1		121,382,492			8,765,311			70,271,166

Level 2:
Fixed income securities		49,994,385			-			124,985,964
Foreign currency forwards		13,213,676			33,304,178			5,380,832
Foreign currency options		88,469,537			37,973			-
Total Level 2		151,677,598			33,342,151			130,366,796
Total assets	$	273,060,090		$	42,107,462		$	200,637,962
Liabilities
Level 1:
Commodity futures	$	(115,283,010	)	$	(725,800	)	$	(12,314,077	)
Commodity futures swaps		(317,650	)		-			-
Currency futures		(259,388	)		-			(267,963	)
Foreign bond futures		(25,746	)		(1,625,966	)		(589,455	)
Foreign index futures		(461,547	)		(3,918,877	)		(11,979,189	)
Interest rate futures		(1,091,605	)		(731,250	)		(1,035,480	)
Interest rate futures options		(2,784,040	)		(171,875	)		-
U.S. bond futures		(530,656	)		(2,374,438	)		(1,485,323	)
U.S. bond futures options		(1,093,750	)		-			-
U.S. index futures		(386,630	)		(1,616,325	)		(247,924	)
U.S. index futures options		(400,000	)		-			-
Total Level 1		(122,634,022	)		(11,164,531	)		(27,919,411	)

Level 2:
Foreign currency forwards		(18,370,684	)		(28,883,893	)		(16,667,119	)
Foreign currency options		(65,599,616	)		(10,319,022	)		-
Total Level 2		(83,970,300	)		(39,202,915	)		(16,667,119	)
Total liabilities	$	(206,604,322	)	$	(50,367,446	)	$	(44,586,530	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at March 31, 2013 categorized by primary underlying risk and is representative of the Derivative Instruments held by the Master Funds throughout the period. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade futures and options on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers and fixed income securities on the Master Funds’ statements of financial condition.

	Graham Commodity Strategies LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	4,516,766,981		70,286	$	(4,571,551,601	)		(66,777	)	$	106,814,417	$	(115,283,010	)
Swaps		8,915,625		250		(43,187,500	)		(1,250	)		1,850,000		(317,650	)
Options (a)		13,545,076		1,800		-			-			311,000		-
		4,539,227,682		72,336		(4,614,739,101	)		(68,027	)		108,975,417		(115,600,660	)

Equity price
Futures		319,703,527		3,817		(73,448,589	)		(1,426	)		507,659		(664,270	)
Options (a)		20,788,326		2,000		(38,792,612	)		(2,000	)		750,000		(400,000	)
		340,491,853		5,817		(112,241,201	)		(3,426	)		1,257,659		(1,064,270	)

Foreign currency exchange rate
Futures		-		-		(73,300,000	)		(500	)		-		(259,388	)
Forwards		1,446,220		N/A		(6,603,228	)		N/A			13,213,676		(18,370,684	)
Options (a)		1,772,334,519		59		(2,348,755,220	)		(42	)		88,469,537		(65,599,616	)
		1,773,780,739		59		(2,428,658,448	)		(542	)		101,683,213		(84,229,688	)

Interest rate
Futures		2,617,417,246		14,040		(1,010,151,938	)		(4,194	)		3,008,799		(1,622,261	)
Options (a)		2,648,257,934		33,000		(2,709,080,052	)		(37,000	)		5,565,264		(3,877,790	)
		5,265,675,180		47,040		(3,719,231,990	)		(41,194	)		8,574,063		(5,500,051	)
Total	$	11,919,175,454		125,252	$	(10,874,870,740	)		(113,189	)	$	220,490,352	$	(206,394,669	)

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

Collateral balances supporting all derivative positions													$	140,329,774

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham Global Monetary Policy LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	33,509,700		210	$	(47,535,675	)		(530	)	$	983,800	$	(725,800	)
		33,509,700		210		(47,535,675	)		(530	)		983,800		(725,800	)

Equity price
Futures		143,543,838		1,210		(311,994,347	)		(4,688	)		2,861,349		(5,335,552	)
		143,543,838		1,210		(311,994,347	)		(4,688	)		2,861,349		(5,335,552	)

Foreign currency exchange rate
Forwards		15,832,896		N/A		(11,412,611	)		N/A			33,304,178		(28,883,893	)
Options (a)		366,219,351		15		(484,826,175	)		(21	)		37,971		(10,319,020	)
		382,052,247		15		(496,238,786	)		(21	)		33,342,149		(39,202,913	)

Interest rate
Futures		3,944,598,156		16,140		(4,478,152,012	)		(21,072	)		3,872,966		(4,212,233	)
Options (a)		174,418,681		7,500		(312,555,660	)		(7,500	)		328,125		(171,875	)
		4,119,016,837		23,640		(4,790,707,672	)		(28,572	)		4,201,091		(4,384,108	)
Total	$	4,678,122,622		25,075	$	(5,646,476,480	)		(33,811	)	$	41,388,389	$	(49,648,373	)

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

Collateral balances supporting all derivative positions													$	174,649,891

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham K4D Trading Ltd.
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	433,953,216		6,764	$	(745,232,168	)		(12,587	)	$	20,586,959	$	(12,314,077	)
		433,953,216		6,764		(745,232,168	)		(12,587	)		20,586,959		(12,314,077	)

Equity price
Futures		1,603,347,336		21,498		(13,450,196	)		(293	)		22,510,895		(11,979,189	)
		1,603,347,336		21,498		(13,450,196	)		(293	)		22,510,895		(11,979,189	)

Foreign currency exchange rate
Futures		241,477,410		2,794		(67,067,688	)		(455	)		1,260,054		(267,963	)
Forwards		1,769,220		N/A		(13,055,508	)		N/A			5,380,832		(16,667,119	)
		243,246,630		2,794		(80,123,196	)		(455	)		6,640,886		(16,935,082	)

Interest rate
Futures		12,653,597,920		63,775		(181,044,311	)		(1,092	)		23,823,836		(2,124,010	)
		12,653,597,920		63,775		(181,044,311	)		(1,092	)		23,823,836		(2,124,010	)
Total	$	14,934,145,102		94,831	$	(1,019,849,871	)		(14,427	)	$	73,562,576	$	(43,352,358	)

Collateral balances supporting all derivative positions													$	170,611,559

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three month period ended March 31, 2013:

	Graham Commodity Strategies LLC (Delaware)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)

Net investment income (loss)	$	19,321		$	(9,933	)	$	5,727

Net realized gain on investments		48,652,796			51,104,416			97,907,052
Net (decrease) increase in unrealized appreciation on investments		(14,063,987	)		(9,355,745	)		5,166,618
Brokerage commissions and fees		(4,722,980	)		(722,451	)		(486,361	)
Net gain on investments		29,865,829			41,026,220			102,587,309
Net income	$	29,885,150		$	41,016,287		$	102,593,036

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized gain on investments and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three month period ended March 31, 2013:

	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(30,429,236	)	$	(7,314,955	)	$	(17,404,730	)
Options		(1,960,880	)		-			-
Swaps		1,625,558			-			(577,404	)
		(30,764,558	)		(7,314,955	)		(17,982,134	)
Equity price
Equities		365,400			-			61,994
Futures		1,889,027			10,440,783			101,503,652
Options		37,188			(508,058	)		-
		2,291,615			9,932,725			101,565,646
Foreign currency exchange rate
Forwards		46,415,211			46,368,216			6,982,321
Futures		(412,375	)		-			3,389,816
Options		15,244,889			(1,249,162	)		-
		61,247,725			45,119,054			10,372,137
Interest rate
Bonds		8,826			-			22,066
Futures		2,054,268			(5,221,023	)		9,095,955
Options		(601,190	)		(767,130	)		-
Swaps		352,123			-			-
		1,814,027			(5,988,153	)		9,118,021
Total	$	34,588,809		$	41,748,671		$	103,073,670

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of December 31, 2012:

	Graham Commodity Strategies LLC (Delaware)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	114,206,522		$	76,261,597		$	29,961,942
Fixed income securities, at fair value		49,996,302			-			124,990,755
Derivative financial instruments, at fair value		34,869,226			13,475,515			25,424,116
CME membership, at fair value		2,000,300			-			793,453
Dividends receivable		52,500			-			-
Other assets		-			107			-
Total assets		201,124,850			89,737,219			181,170,266

Liabilities:
Derivative financial instruments, at fair value		17,032,718			1,950,294			-
Due to brokers		-			-			1,750,659
Redemptions payable		5,369			-			-
Total liabilities		17,038,087			1,950,294			1,750,659
Net assets	$	184,086,763		$	87,786,925		$	179,419,607

Percentage of Master Fund held by GAIT		8.87	%		8.27	%		13.54	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

Description	Gross Amount			Gross Amount Offset in the Statements of Financial Condition			Net Amount Presented in the Statements of Financial Condition			Collateral Pledged		Net Amount

Graham Commodity Strategies LLC
Derivative assets	$	199,106,163		$	(164,236,937	)	$	34,869,226		$	–	$	34,869,226
Derivative liabilities		(181,269,655	)		164,236,937			(17,032,718	)		17,032,718		–
	$	17,836,508		$	–		$	17,836,508		$	17,032,718	$	34,869,226

Graham Global Monetary Policy LLC
Derivative assets	$	43,728,176		$	(30,252,661	)	$	13,475,515		$	–	$	13,475,515
Derivative liabilities		(32,202,955	)		30,252,661			(1,950,294	)		1,950,294		–
	$	11,525,221		$	–		$	11,525,221		$	1,950,294	$	13,475,515

Graham K4D Trading Ltd.
Derivative assets	$	66,291,346		$	(40,867,230	)	$	25,424,116		$	1,750,659	$	23,673,457
Derivative liabilities		(40,867,230	)		40,867,230			–			–		–
	$	25,424,116		$	–		$	25,424,116		$	1,750,659	$	23,673,457

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Principal Amount / Notional Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC
Fixed income securities
Bonds (cost $49,989,111)
United States
U.S. Treasury bill 0.00% due 03/14/13	$	50,000,000	$	49,996,302			27.16	%
Total United States				49,996,302			27.16	%
Total bonds				49,996,302			27.16	%

Derivative financial instruments
Long contracts
Futures
Brent Crude March 2013 - September 2013		9,543		14,516,600			7.89	%
Natural Gas May 2013		7,931		(14,959,620	)		(8.13	)%
Natural Gas July 2013		6,351		(11,052,940	)		(6.00	)%
Other Natural Gas February 2013 - January 2014		11,510		(4,945,000	)		(2.69	)%
Wheat March 2013 - December 2013		8,992		(7,496,000	)		(4.07	)%
WTI Crude April 2013		6,643		10,201,020			5.54	%
WTI Crude November 2013		1,999		(12,183,290	)		(6.62	)%
WTI Crude January 2014		1,999		(11,361,590	)		(6.17	)%
Other WTI Crude February 2013 - June 2014		8,570		13,477,380			7.32	%
Other commodity				(24,499,577	)		(13.31	)%
Total futures				(48,303,017	)		(26.24	)%

Swaps
Commodity futures				(162,119	)		(0.09	)%
Total swaps				(162,119	)		(0.09	)%

Forwards
Japanese Yen / U.S. dollar 01/04/13	JPY180,218,436,000			(15,289,285	)		(8.31	)%
Japanese Yen / U.S. dollar 01/07/13	JPY73,665,968,900			(5,778,001	)		(3.14	)%
Other foreign currency				1,376,864			0.75	%
Total forwards				(19,690,422	)		(10.70	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Number of Contracts		Fair Value		Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Long contracts (continued)
Options
Natural Gas Futures February 2013 - January 2015 Call $3.75 - $5.00		2,150	$	1,591,150		0.86	%
Natural Gas Futures March 2013 - April 2013 Put $0.00 - $3.25		4,100		1,971,000		1.07	%
Other commodity				521,780		0.28	%
U.S. dollar / Japanese Yen February 2013 - May 2013 Call $85.00 - $88.00		4		16,385,856		8.90	%
Other currency				1,195,163		0.66	%
U.S. bond				574,219		0.31	%
U.S. index				1,856,250		1.01	%
Total options				24,095,418		13.09	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Number of Contracts / Notional Amount			Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Brent Crude February 2013 - December 2014		(8,330	)	$	(10,374,090	)		(5.64	)%
Natural Gas March 2013		(5,467	)		16,116,840			8.76	%
Natural Gas April 2013		(10,618	)		27,581,820			14.99	%
Other Natural Gas February 2013 - April 2014		(9,670	)		5,062,300			2.75	%
Wheat March 2013 - July 2013		(8,999	)		8,924,988			4.85	%
WTI Crude March 2013		(5,663	)		(9,638,060	)		(5.24	)%
WTI Crude June 2013		(3,787	)		(12,403,880	)		(6.74	)%
Other WTI Crude February 2013 - December 2015		(10,649	)		(15,529,960	)		(8.44	)%
Other commodity					22,886,444			12.44	%
U.S. bond					45,313			0.02	%
U.S. index					7,500			0.00	%
Total futures					32,679,215			17.75	%

Swaps
Commodity futures					59,748			0.03	%
Total swaps					59,748			0.03	%

Forwards
U.S. dollar / Japanese Yen 01/04/13	JPY(179,649,983,200		)		21,846,045			11.87	%
U.S. dollar / Japanese Yen 01/07/13	JPY(186,460,696,800		)		14,713,710			7.99	%
U.S. dollar / Japanese Yen 01/07/13	JPY(2,602,098,000		)		(14,672	)		(0.01	)%
Other foreign currency					(798,071	)		(0.43	)%
Total forwards					35,747,012			19.42	%

Options
Natural Gas Futures April 2013 Put $3.00		(250	)		(182,500	)		(0.10	)%
Natural Gas Futures February 2013 - January 2015 Call $0.10 - $5.50		(3,350	)		(979,700	)		(0.53	)%
Other commodity					(21,000	)		(0.01	)%
Currency					(5,242,064	)		(2.84	)%
U.S. bond					(164,063	)		(0.09	)%
Total options					(6,589,327	)		(3.57	)%

Total				$	67,832,810			36.85	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Notional Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Derivative financial instruments
Long contracts
Futures
Foreign bond		$	145,741			0.17	%
Foreign index			2,401,384			2.73	%
Interest rate			(1,575,000	)		(1.79	)%
Total futures			972,125			1.11	%

Forwards
Brazilian Real / U.S. dollar 01/03/13	BRL838,687,500		10,278,835			11.71	%
Chinese Yuan / U.S. dollar 01/03/13 - 06/27/13			4,523,387			5.15	%
Mexican Peso / U.S. dollar 01/02/13 - 01/03/13			7,159,228			8.16	%
Other foreign currency			(963,799	)		(1.10	)%
Total forwards			20,997,651			23.92	%

Options
Interest rate			625,000			0.71	%
U.S. index			158,750			0.18	%
Foreign currency			529,605			0.61	%
Total options			1,313,355			1.50	%

Short contracts
Futures
Foreign index			(328,287	)		(0.37	)%
Foreign bond			492,734			0.56	%
Interest rate			2,371,123			2.70	%
U.S. bond			759,204			0.86	%
Total futures			3,294,774			3.75	%

Forwards
U.S. dollar / Brazilian Real 01/03/13	BRL(838,687,500)		(6,955,653	)		(7.92	)%
Other foreign currency			(4,833,382	)		(5.51	)%
Total forwards			(11,789,035	)		(13.43	)%

Options
Interest rate			(468,750	)		(0.53	)%
Foreign currency			(2,794,899	)		(3.19	)%
Total options			(3,263,649	)		(3.72	)%

Total		$	11,525,221			13.13	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Principal Amount / Notional Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Long securities
Bonds (cost $124,963,438)
United States
U.S. Treasury bill 0.00% due 03/14/13	$	125,000,000	$	124,990,755			69.66	%
Total United States				124,990,755			69.66	%
Total bonds				124,990,755			69.66	%

Derivative financial instruments
Long contracts
Futures
Nikkei 225 Index March 2013		2,254		11,197,084			6.24	%
Topix Index March 2013		1,383		11,116,231			6.20	%
Other foreign index				(1,641,221	)		(0.92	)%
Commodity				40,893			0.02	%
Currency				19,615			0.01	%
Interest rate				989,629			0.55	%
Foreign bond				3,888,306			2.17	%
U.S. bond				372,289			0.21	%
U.S. index				345,055			0.19	%
Total futures				26,327,881			14.67	%

Forwards
Foreign currency				(1,692,952	)		(0.94	)%
Total forwards				(1,692,952	)		(0.94	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2012.

Description	Notional Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Foreign index		$	(73,012	)		(0.04	)%
Commodity			(7,643,113	)		(4.27	)%
Currency			1,060,981			0.59	%
Interest rate			(39,202	)		(0.02	)%
Foreign bond			(241,205	)		(0.13	)%
U.S. bond			243,652			0.14	%
U.S. index			(353,828	)		(0.20	)%
Total futures			(7,045,727	)		(3.93	)%

Forwards
U.S. dollar / Japanese Yen 03/21/13	JPY(24,575,106,969)		9,839,401			5.48	%
Other U.S. dollar / Japanese Yen 01/04/13 - 01/07/13	JPY(2,181,627,007)		105,135			0.06	%
Other foreign currency			(2,109,622	)		(1.17	)%
Total forwards			7,834,914			4.37	%

Total		$	150,414,871			83.83	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2012:

	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.
Assets
Level 1:
U.S. bond futures	$	45,313		$	921,438		$	927,920
U.S. bond futures options		574,219			-			-
Foreign bond futures		-			638,475			7,253,098
Foreign index futures		-			2,401,384			23,920,199
U.S. index futures		7,500			-			1,461,396
U.S. index futures options		1,856,250			158,750			-
Commodity futures		136,583,500			-			10,650,606
Commodity futures options		4,083,930			-			-
Commodity futures swaps		59,748			-			-
Interest rate futures		-			2,202,373			1,735,617
Interest rate futures options		-			625,000			-
Currency futures		-			-			1,104,266
Equity securities		2,000,300			-			793,453
Total Level 1		145,210,760			6,947,420			47,846,554

Level 2:
Foreign currency forwards		38,314,684			36,251,151			19,238,245
Foreign currency options		17,581,019			529,605			-
Treasury bills		49,996,302			-			124,990,755
Total Level 2		105,892,005			36,780,756			144,229,000
Total assets	$	251,102,765		$	43,728,176		$	192,075,554
Liabilities
Level 1:
U.S. bond futures	$	-		$	(162,234	)	$	(311,979	)
U.S. bond futures options		(164,063	)		-			-
Foreign bond futures		-			-			(3,605,997	)
Foreign index futures		-			(328,287	)		(3,321,117	)
U.S. index futures		-			-			(1,470,168	)
Commodity futures		(152,260,115	)		-			(18,252,826	)
Commodity futures options		(1,183,200	)		-			-
Commodity futures swaps		(162,119	)		-			-
Interest rate futures		-			(1,406,250	)		(785,190	)
Interest rate futures options		-			(468,750	)		-
Currency futures		-			-			(23,670	)
Total Level 1		(153,769,497	)		(2,365,521	)		(27,770,947	)

Level 2:
Foreign currency forwards		(22,258,094	)		(27,042,535	)		(13,096,283	)
Foreign currency options		(5,242,064	)		(2,794,899	)		-
Total Level 2		(27,500,158	)		(29,837,434	)		(13,096,283	)
Total liabilities	$	(181,269,655	)	$	(32,202,955	)	$	(40,867,230	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2012 categorized by primary underlying risk and is representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade futures and options on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers and fixed income securities on the Master Funds’ statements of financial condition.

	Graham Commodity Strategies LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	6,957,172,641		102,887	$	(6,812,506,601	)		(100,934	)	$	136,583,500	$	(152,260,115	)
Options (a)		35,431,382		7,568		(17,122,694	)		(3,700	)		4,083,930		(1,183,200	)
Swaps		5,039,580		142		(4,869,180	)		(142	)		59,748		(162,119	)
		6,997,643,603		110,597		(6,834,498,475	)		(104,776	)		140,727,178		(153,605,434	)

Equity price
Futures		-		-		(10,650,000	)		(150	)		7,500		-
Options (a)		61,067,207		3,000		-			-			1,856,250		-
		61,067,207		3,000		(10,650,000	)		(150	)		1,863,750		-

Foreign currency exchange rate
Forwards		1,898,423,498		N/A		(1,882,366,909	)		N/A			38,314,684		(22,258,094	)
Options (a)		475,390,150		8		(245,955,750	)		(4	)		17,581,019		(5,242,064	)
		2,373,813,648		8		(2,128,322,659	)		(4	)		55,895,703		(27,500,158	)

Interest rate
Futures		-		-		(33,195,313	)		(250	)		45,313		-
Options (a)		84,078,349		3,500		(32,955,244	)		(3,500	)		574,219		(164,063	)
		84,078,349		3,500		(66,150,557	)		(3,750	)		619,532		(164,063	)
Total	$	9,516,602,807		117,105	$	(9,039,621,691	)		(108,680	)	$	199,106,163	$	(181,269,655	)

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

Collateral balances supporting all derivative positions													$	164,202,824

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2012 categorized by primary underlying risk and is representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade futures and options on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers and fixed income securities on the Master Funds’ statements of financial condition.

	Graham Global Monetary Policy LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	-		-	$	-			-		$	-	$	-
		-		-		-			-			-		-

Equity price
Futures		41,877,970		450		(9,872,405	)		(165	)		2,401,384		(328,287	)
Options (a)		-		-		(6,152,186	)		(1,500	)		158,750		-
		41,877,970		450		(16,024,591	)		(1,665	)		2,560,134		(328,287	)

Foreign currency exchange rate
Forwards		3,622,783,412		N/A		(3,613,574,796	)		N/A			36,251,151		(27,042,535	)
Options (a)		197,455,675		10		(259,686,600	)		(11	)		529,605		(2,794,899	)
		3,820,239,087		10		(3,873,261,396	)		(11	)		36,780,756		(29,837,434	)

Interest rate
Futures		2,689,682,667		10,913		(4,622,750,125	)		(19,386	)		3,762,286		(1,568,484	)
Options (a)		289,162,168		5,000		(370,156,922	)		(5,000	)		625,000		(468,750	)
		2,978,844,835		15,913		(4,992,907,047	)		(24,386	)		4,387,286		(2,037,234	)
Total	$	6,840,961,892		16,373	$	(8,882,193,034	)		(26,062	)	$	43,728,176	$	(32,202,955	)

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

Collateral balances supporting all derivative positions													$	76,261,597

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2012 categorized by primary underlying risk and is representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade futures and options on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers and fixed income securities on the Master Funds’ statements of financial condition.

	Graham K4D Trading Ltd.
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	364,319,244		4,414	$	(883,588,505	)		(13,712	)	$	10,650,606	$	(18,252,826	)
		364,319,244		4,414		(883,588,505	)		(13,712	)		10,650,606		(18,252,826	)

Equity price
Futures		1,226,779,876		13,036		(106,770,515	)		(1,893	)		25,381,594		(4,791,285	)
		1,226,779,876		13,036		(106,770,515	)		(1,893	)		25,381,594		(4,791,285	)

Foreign currency exchange rate
Futures		36,929,900		352		(136,511,977	)		(1,624	)		1,104,266		(23,670	)
Forwards		1,526,791,218		N/A		(1,520,649,257	)		N/A			19,238,245		(13,096,283	)
		1,563,721,118		352		(1,657,161,234	)		(1,624	)		20,342,511		(13,119,953	)

Interest rate
Futures		9,571,876,106		45,765		(16,351,154	)		(81	)		9,916,635		(4,703,166	)
		9,571,876,106		45,765		(16,351,154	)		(81	)		9,916,635		(4,703,166	)
Total	$	12,726,696,344		63,567	$	(2,663,871,408	)		(17,310	)	$	66,291,346	$	(40,867,230	)

Collateral balances supporting all derivative positions													$	153,202,038

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three month period ended March 31, 2012:

	Graham Commodity Strategies LLC (Delaware)			Graham Energy Focus LLC* (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)

Net investment income (loss)	$	48,651		$	6,738		$	(621	)	$	(183,235	)	$	(163,316	)	$	(1,557	)

Net realized gain (loss) on investments		97,207,797			(3,769,417	)		2,820,547			8,743,554			58,121,648			(10,190,191	)
Net (decrease) increase in unrealized appreciation on investments		(16,699,287	)		5,355,406			(11,309,018	)		(2,050,197	)		(19,255,098	)		545,825
Brokerage commissions and fees		(4,631,328	)		(205,978	)		(149,960	)		(750,439	)		(1,724,083	)		(168,365	)
Net gain (loss) on investments		75,877,182			1,380,011			(8,638,431	)		5,942,918			37,142,467			(9,812,731	)
Net income (loss)	$	75,925,833		$	1,386,749		$	(8,639,052	)	$	5,759,683		$	36,979,151		$	(9,814,288	)

* For the period from January 1, 2012 to February 29, 2012

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) on investments and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three month period ended March 31, 2012:

	Graham Commodity Strategies LLC			Graham Energy Focus LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC
Commodity price
Futures	$	84,567,986		$	12,682,853		$	-		$	2,393,663		$	23,543,861		$	(640,236	)
Options		-			789,330			-			-			-			-
Swaps		4,138,309			(11,744,944	)		-			-			1,355,801			-
		88,706,295			1,727,239			-			2,393,663			24,899,662			(640,236	)
Equity price
Equities		26,760			-			-			-			-			-
Futures		(10,251,455	)		(141,250	)		(1,750	)		(997,388	)		118,769,741			(3,172,188	)
IMM shares		11,000			-			-			-			-
NYMEX shares		-			-			-			-			(18,000	)
Options		-			-			-			-			-			-
		(10,213,695	)		(141,250	)		(1,750	)		(997,388	)		118,751,741			(3,172,188	)
Foreign currency exchange rate
Futures		2,985,381			-			-			-			(9,299,984	)		-
Forwards		(566,879	)		-			-			2,519,129			(25,296,450	)		(2,755,673	)
Options		-			-			-			112,443			-			-
		2,418,502			-			-			2,631,572			(34,596,434	)		(2,755,673	)
Interest rate
Futures		(409,272	)		-			(11,357,110	)		2,665,510			(70,205,252	)		(3,076,269	)
Options		-			-			2,870,389			-			-			-
Treasury bills		6,680			-			-			-			16,833			-
		(402,592	)		-			(8,486,721	)		2,665,510			(70,188,419	)		(3,076,269	)
Total	$	80,508,510		$	1,585,989		$	(8,488,471	)	$	6,693,357		$	38,866,550		$	(9,644,366	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005, and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government which range in maturity from one to twenty-four months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three months ended March 31, 2013, the total amount recognized by GAIT with respect to its investment in Cash Assets was $124,162. For the three months ended March 31, 2012, the total amount recognized by GAIT with respect to its investment in Cash Assets was $217,632. These amounts are included in interest income in the statements of operations and managing member allocation. At March 31, 2013 and December 31, 2012, GAIT owned approximately 5.49% and 6.02%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of March 31, 2013 and December 31, 2012:

	March 31, 2013		December 31, 2012
Assets:
Cash and cash equivalents	$	876,832,743	$	968,228,634
Investments in fixed income securities (cost $2,917,185,054 and $3,041,387,608, respectively)		2,917,185,054		3,041,387,608
Accrued interest receivable		7,023,150		5,989,305
Total assets		3,801,040,947		4,015,605,547

Liabilities:
Other liabilities		15,004		9,300
Total liabilities		15,004		9,300
Net assets	$	3,801,025,943	$	4,015,596,247

The following table summarizes the results of operations of Cash Assets for the three months ended March 31, 2013 and 2012:

	2013		2012
Investment income
Interest income	$	2,127,133	$	2,361,852
Total investment income		2,127,133		2,361,852

Expenses:
Bank fee expense		33,653		24,103
Total expenses		33,653		24,103
Net investment income		2,093,480		2,337,749
Net income	$	2,093,480	$	2,337,749

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of Cash Assets as of March 31, 2013:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,917,185,054)
United States
Government Bonds (cost $2,917,185,054)
U.S. Treasury 0.50% due 05/31/13	$	200,000,000	$	200,100,675		5.26	%
U.S. Treasury 0.13% - 2.75% due 04/15/13 – 02/15/15		2,700,000,000		2,717,084,379		71.49	%
Total Government Bonds				2,917,185,054		76.75	%

Total Investments in Fixed Income Securities			$	2,917,185,054		76.75	%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2012:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $3,041,387,608)
United States
Government Bonds (cost $3,041,387,608)
U.S. Treasury 0.13% - 2.63% due 01/15/13 – 12/31/14	$	3,025,000,000	$	3,041,387,608		75.74	%
Total Government Bonds				3,041,387,608		75.74	%

Total Investments in Fixed Income Securities			$	3,041,387,608		75.74	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of March 31, 2013 and December 31, 2012:

	March 31, 2013		December 31, 2012
Assets
Level 2:
Fixed income securities
Government Bonds	$	2,917,185,054	$	3,041,387,608
Total fixed income securities		2,917,185,054		3,041,387,608
Total Level 2		2,917,185,054		3,041,387,608
Total assets	$	2,917,185,054	$	3,041,387,608

5. Capital Accounts

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

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

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. There is no minimum subscription amount.

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

Redemptions

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of the last business day of each month upon not less than three business days’ prior written notice to the administrator.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions

Advisory Fees

For the three months ended March 31, 2013 and 2012 each Class of GAIT other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% and 2%, respectively, of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

Sponsor Fees

For the three months ended March 31, 2013 and 2012, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate specified in the table below. This Sponsor Fee was payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the three months ended March 31, 2013 the Sponsor Fee listed below for Class 2 included a selling agent fee (the “Selling Agent Fee”) of 2%. The Selling Agent Fee represented a fee for initial and on-going service fees to the Feeder Funds’ selling agents.

Class	2013 Annual Rate	2012 Annual Rate

Class 0	0.75%	1.00%
Class 2	2.75%	1.00%

Incentive Allocation

At the end of each calendar quarter, the Manager will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager.

Brokerage Fees

For the three months ended March 31, 2012, each Class of GAIT other than Class M paid the Manager a brokerage fee (the “Brokerage Fee”) at an annual rate specified in the table below. This Brokerage Fee was payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate

Class 0	2%
Class 2	4%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Brokerage Fees (continued)

In consideration of the Brokerage Fee, the Manager assumed all of GAIT’s trading commissions (including exchange, clearing and regulatory fees relating to its trades), routine legal expenses, internal and external accounting, audit and tax preparation expenses, fees and expenses of an external or internal administrator, and expenses and costs of printing and mailing reports and notices, together with the costs incurred in connection with the organization of GAIT and the continuous offering of Units. To the extent GAIT was allocated any of these expenses from the Master Funds in which it invested, the Manager reimbursed GAIT for those amounts. These reimbursements are included in commission reimbursements in the statements of operations and managing member allocation.

As of January 1, 2013 GAIT eliminated the Brokerage Fee and GAIT incurred directly all costs previously covered by the Brokerage Fee.

Administrator’s Fee

For the three month period ended March 31, 2013, GAIT paid SEI a monthly administrator’s fee based GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees incurred by GAIT for the three month periods ended March 31, 2013 and 2012 were $82,841 and $0, respectively, of which $25,799 and $0 were accrued as of March 31, 2013 and 2012, respectively.

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

7. Income Taxes

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

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended March 31, 2013 and 2012:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2011	$	123.17		$	98.77
Net gain:
Net investment loss		(1.20	)		(1.48	)
Net gain on investments		4.17			3.36
Net gain		2.97			1.88
Net asset value per unit, March 31, 2012	$	126.14		$	100.65

Net asset value per unit, December 31, 2012	$	114.88		$	90.29
Net gain:
Net investment loss		(0.88	)		(1.14	)
Net gain on investments		8.47			6.65
Net gain		7.59			5.51
Net asset value per unit, March 31, 2013	$	122.47		$	95.80

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended March 31, 2013 and 2012:

	Class 0						Class 2
	2013			2012			2013			2012

Total return before Incentive Allocation		6.61	%		2.41	%		6.10	%		1.90	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		6.61	%		2.41	%		6.10	%		1.90	%

Net investment loss before Incentive Allocation		(0.77	)%		(0.97	)%		(1.22	)%		(1.50	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.77	)%		(0.97	)%		(1.22	)%		(1.50	)%

Total expenses before Incentive Allocation		0.79	%		1.27	%		1.27	%		1.79	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.79	%		1.27	%*		1.27	%		1.79	%*

*- The percentages noted above represent total expenses before commission reimbursements, which represent 0.27% of average members’ capital for the three month period ended March 31, 2012.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period and have not been annualized. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and net investment loss and expenses allocated from Master Funds and investment income from Cash Assets. These ratios have not been annualized. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital of GAIT, excluding that of the Managing Member, for the three month periods ended March 31, 2013 and 2012.

9. Subsequent Events

GAIT had subscriptions of approximately $3.4 million and redemptions of approximately $5.7 million through May 15, 2013, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

Index

Graham Alternative Investment Trading II LLC

Statements of Financial Condition

Assets	March 31, 2013 (Unaudited)		December 31, 2012 (Audited)
Investment in Graham K4D Trading Ltd., at fair value	$	5,963,038	$	6,984,957
Investment in Graham Cash Assets LLC, at fair value		25,296,983		34,050,873
Accrued commission reimbursements		–		8,466
Receivable from Graham K4D Trading Ltd.		1,379		1,764
Other receivable		26,481		–
Total assets	$	31,287,881	$	41,046,060

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	1,266,893	$	8,098,182
Accrued advisory fees		41,900		69,458
Accrued brokerage fees		–		106,515
Accrued sponsor fees		45,737		34,729
Accrued professional fees		64,504		–
Accrued administrator’s fees		3,117		–
Total liabilities		1,422,151		8,308,884

Members’ capital:
Class 0 Units (159,719.612 and 182,134.590 units issued and outstanding at $80.62 and $73.46 per unit, respectively)		12,876,599		13,380,170
Class 2 Units (226,896.395 and 282,516.243 units issued and outstanding at $74.67 and $68.36 per unit, respectively)		16,941,368		19,313,793
Class M Units (500.000 and 500.000 units issued and outstanding at $95.53 and $86.43 per unit, respectively)		47,763		43,213
Total members’ capital		29,865,730		32,737,176
Total liabilities and members’ capital	$	31,287,881	$	41,046,060

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Operations and Managing Member Allocation

	Three Months Ended March 31,
	2013 (Unaudited)			2012 (Unaudited)
Net gain allocated from investment in Graham K4D Trading Ltd.:
Net realized gain on investments	$	2,973,567		$	2,323,627
Net increase (decrease) in unrealized appreciation on investments		220,676			(649,916	)
Brokerage commissions and fees		(15,220	)		(73,759	)
Net gain allocated from investment in Graham K4D Trading Ltd.		3,179,023			1,599,952

Net investment income (loss) allocated from investment in Graham K4D Trading Ltd.		166			(6,903	)

Investment income:
Interest income		15,257			37,236

Expenses:
Advisory fees		134,660			344,030
Brokerage fees		–			509,052
Sponsor fees		148,565			172,015
Professional fees and other		78,315			933
Administrator’s fees		10,028			–
Commission reimbursements		–			(73,759	)
Total expenses		371,568			952,271
Net investment loss of the Fund		(356,311	)		(915,035	)

Net income		2,822,878			678,014

Incentive allocation		–			–

Net income available for pro-rata allocation to all members	$	2,822,878		$	678,014

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Changes in Members’ Capital

For the three months ended March 31, 2013 (unaudited) and 2012 (unaudited)

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

Members’ capital, December 31, 2011		434,835.751		$	35,371,951			439,312.861		$	33,930,645			500.000	$	45,511	$	69,348,107
Subscriptions		5,073.642			414,000			1,294.902			100,000			–		–		514,000
Redemptions		(30,265.303	)		(2,506,412	)		(40,752.106	)		(3,169,153	)		–	–			(5,675,565	)
Incentive allocation		–			–			–			–			–	–			–
Net income		–			441,704			–			235,189			–		1,121		678,014
Members’ capital, March 31, 2012		409,644.090		$	33,721,243			399,855.657		$	31,096,681			500.000	$	46,632	$	64,864,556

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

Members’ capital, December 31, 2012		182,134.590		$	13,380,170			282,516.243		$	19,313,793			500.000	$	43,213	$	32,737,176
Subscriptions		67.173			5,000			–			–			–		–		5,000
Redemptions		(22,482.151	)		(1,700,797	)		(55,619.848	)		(3,998,527	)		–		–		(5,699,324	)
Incentive allocation		–			–			–			–			–		–		–
Net income		–			1,192,226			–			1,626,102			–		4,550		2,822,878
Members’ capital, March 31, 2013		159,719.612		$	12,876,599			226,896.395		$	16,941,368			500.000	$	47,763	$	29,865,730

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Cash Flows

	Three Months Ended March 31,
	2013 (Unaudited)			2012 (Unaudited)
Cash flows provided by operating activities
Net income	$	2,822,878		$	678,014
Adjustments to reconcile net income to net cash provided by operating activities:
Net income allocated from investment in Graham K4D Trading Ltd.		(3,179,189	)		(1,593,049	)
Net income allocated from investment in Graham Cash Assets LLC		(15,257	)		(37,236	)
Proceeds from sale of investments in Graham K4D Trading Ltd.		9,510,317			21,749,577
Proceeds from sale of investments in Graham Cash Assets LLC		18,255,435			26,562,481
Investments in Graham K4D Trading Ltd.		(5,308,824	)		(19,713,913	)
Investments in Graham Cash Assets LLC		(9,486,288	)		(22,025,717	)
Changes in assets and liabilities:
Accrued commission reimbursements		8,466			4,467
Other receivable		(26,481	)		–
Accrued advisory fees		(27,558	)		(8,718	)
Accrued brokerage fees		(106,515	)		(14,534	)
Accrued sponsor fees		11,008			(4,359	)
Accrued professional fees		64,504			–
Accrued administrator’s fees		3,117			–
Net cash provided by operating activities		12,525,613			5,597,013

Cash flows used in financing activities
Subscriptions		5,000			514,000
Redemptions		(12,530,613	)		(6,111,013	)
Net cash used in financing activities		(12,525,613	)		(5,597,013	)

Net change in cash and cash equivalents		–			–

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

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements

March 31, 2013

1. Organization and Business

Graham Alternative Investment Trading II LLC (“GAIT II”) was formed on July 16, 2008, commenced operations on January 4, 2009 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Managing Member” or “Manager”) is the managing member and the sole investment advisor. The Managing Member is registered as a Commodity Pool Operator and Commodity Trading Advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association. The Managing Member is also registered as a Registered Investment Advisor with the Securities and Exchange Commission.

The investment objective of GAIT II is to achieve long-term capital appreciation through professionally managed trading through its investment in Graham K4D Trading Ltd. (the “Master Fund” or “K4D Trading”), a master trading vehicle. K4D Trading commenced operations on January 1, 1999 and is organized as a British Virgin Islands business company. As more fully described in Notes 2 and 3, this Master Fund invests in a broad range of derivative instruments such as currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and options and swaps thereon traded on U.S. and foreign exchanges, as well as over-the-counter.

Graham Alternative Investment Fund I LLC and Graham Alternative Investment Fund II LLC (collectively the “Feeder Funds”) are the primary investors of GAIT II.

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

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

Duties of the Managing Member

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

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 preparation of these financial statements requires the Managing Member 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 K4D Trading Ltd.

GAIT II invests in K4D Trading which is managed by the Managing Member. This investment is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT II’s proportionate share of K4D Trading’s reported net asset value. Gains and losses are allocated monthly by K4D Trading to GAIT II based upon GAIT II’s proportionate share of the net asset value of K4D Trading and are included in the accompanying statements of operations and managing member allocation.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value

The fair value of GAIT II’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 managing member allocation.

GAIT II 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 II reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the activeness of the market and the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.

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

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

Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to GAIT II’s investments in other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.

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

In accordance with this hierarchy, GAIT II’s investments in K4D Trading and Graham Cash Assets LLC (“Cash Assets”) have been classified as Level 2 valuations. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2013 or the twelve months ended December 31, 2012 by GAIT II, K4D Trading, or Cash Assets, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Derivative Instruments

In the normal course of business, the Master Fund utilizes derivative financial instruments in connection with its 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 Fund’s 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 Fund is also subject to additional counterparty risk should its 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 Fund has established initial credit approval, credit limits, and collateral requirements and may reduce its exposure to any counterparties it deems 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.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

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

Futures Contracts

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

A futures contract represents a commitment for the future purchase or sale of an asset or cash settlement based on the value of an asset on a specified date. The purchase and sale of futures contracts are executed on an exchange which requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments are made or received by the Master Fund each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized gains or losses by the Master Fund. Relative to over-the-counter derivative financial instruments, futures contracts provide reduced counterparty risk to the Master Fund since futures are exchange-traded and the exchange’s clearinghouse guarantees the futures against default. However some non-U.S. exchanges are “principals’ markets” in which no common clearing facility exists and the Master Fund 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 Fund might not be fully protected in the event of the bankruptcy or insolvency of the FCM. In that case, the Master Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the FCM’s combined customer accounts, even though certain property specifically traceable to the Master Fund was held by the FCM. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Fund 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 Fund enters 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.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Swap Contracts

The Master Fund may enter into various swap contracts in an attempt to take advantage of changes in interest rates and asset values. Swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized gains on open positions. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Fund may not be able to enter into an offsetting contract in order to cover its risk. Swaps are subject to the International Swap and Derivative Association (“ISDA”) Master Agreements which generally require among other things, that a Master Fund maintain a predetermined level of net assets, and provide limits with respect to any decline in the Master Fund’s net asset value over 1-month, 3-month and 12-month periods. If a Master Fund were to violate such provisions, the counterparty to the swaps could demand liquidation of outstanding swap positions.

Exchange traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Total return swaps are valued based upon the exchange published settle price of the underlying reference instrument. Changes in fair value of each swap are recognized as unrealized gains or losses. The Master Fund records realized gains or losses when a swap contract is terminated.

Options

The Master Fund 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.

The Master Fund is 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 Fund is the unrealized gains of the contracts and the premiums paid to purchase its open option contracts. Relative to over-the-counter options, exchange traded options provide reduced counterparty risk to the Master Fund since the exchanges’ clearinghouse guarantees the option against default.

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

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Indemnifications

In the normal course of business, the Master Fund, Cash Assets, and GAIT II enter into contracts that contain a variety of indemnifications. Such contracts may include those by the Master Fund and Cash Assets with their brokers and trading counterparties. GAIT II’s maximum exposure under these arrangements is unknown; however, GAIT II has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote.

3. Investment in Graham K4D Trading Ltd.

As of March 31, 2013 and December 31, 2012, GAIT II invested in K4D Trading, a master trading vehicle also managed by the Managing Manager. GAIT II’s investment in K4D Trading, as well as its investment objective, is summarized below. K4D Trading and GAIT II are related parties. K4D Trading does not charge any management or incentive fees, and offers monthly subscriptions and redemptions.

March 31, 2013
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months then ended)

Systematic Macro
Graham K4D Trading Ltd.		19.97	%	$	5,963,038	$	3,179,189
		19.97	%	$	5,963,038	$	3,179,189

December 31, 2012
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months ended March 31, 2012)

Systematic Macro
Graham K4D Trading Ltd.		21.34	%	$	6,894,957	$	1,593,049
		21.34	%	$	6,894,957	$	1,593,049

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Graham K4D Trading Ltd. (continued)

The following table summarizes the financial position of K4D Trading as of March 31, 2013:

Assets:
Due from brokers	$	45,625,595
Fixed income securities, at fair value (cost $124,973,143)		124,985,964
Derivative financial instruments, at fair value		41,487,936
CME Membership, at fair value		855,250
Total assets		212,954,745

Liabilities:
Derivative financial instruments, at fair value		11,277,718
Total liabilities		11,277,718
Net assets	$	201,677,027

Percentage of K4D Trading held by GAIT II		2.96	%

When multiple derivative contracts are held with the same counterparty, K4D Trading will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statement of financial condition. The table below displays the amounts by which the fair values of both derivative assets and derivative liabilities were reduced within K4D Trading’s statement of financial condition as a result of this netting. Collateral pledged represents the further amounts by which derivative assets and liabilities could have been reduced on the statement of financial condition. K4D Trading elects to display the amounts in due from brokers on the statement of financial condition.

Description	Gross Amount			Gross Amount Offset in the Statement of Financial Condition			Net Amount Presented in the Statement of Financial Condition			Collateral Pledged		Net Amount

Derivative assets	$	73,562,576		$	(32,074,640	)	$	41,487,936		$	–	$	41,487,936
Derivative liabilities		(43,352,358	)		32,074,640			(11,277,718	)		11,277,718		–
	$	30,210,218		$	–		$	30,210,218		$	11,277,718	$	41,487,936

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Graham K4D Trading Ltd. (continued)

The following schedule displays the condensed schedule of investments for K4D Trading as of March 31, 2013:

Description	Principal Amount		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities
Bonds (cost $124,973,143)
United States
U.S. Treasury bill 0.00% due 06/13/2013	$	125,000,000	$	124,985,964			61.97	%
Total United States				124,985,964			61.97	%
Total bonds				124,985,964			61.97	%
Total fixed income securities			$	124,985,964			61.97	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	(7,896,824	)		(3.92	)%
Currency				851,699			0.42	%
Interest rate				(932,395	)		(0.46	)%
Foreign bond				19,685,680			9.76	%
Foreign index				(2,546,292	)		(1.26	)%
U.S. bond				6,146,713			3.05	%
U.S. index				13,149,000			6.52	%
Total futures				28,457,581			14.11	%

Forwards
Foreign currency				1,016,425			0.50	%
Total forwards				1,016,425			0.50	%

Short contracts
Futures
Commodity				16,169,706			8.02	%
Currency				140,392			0.07	%
Interest rate				(31,761	)		(0.02	)%
Foreign bond				(1,683,088	)		(0.83	)%
Foreign index				176,922			0.09	%
U.S. bond				(1,485,323	)		(0.74	)%
U.S. index				(247,924	)		(0.12	)%
Total futures				13,038,924			6.47	%

Forwards
Foreign currency				(12,302,712	)		(6.10	)%
Total forwards				(12,302,712	)		(6.10	)%
Total derivative financial instruments			$	30,210,218			14.98	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table shows the fair value classification of each investment type for K4D Trading as of March 31, 2013:

Assets
Level 1:
Commodity futures	$	20,586,959
Currency futures		1,260,054
Equity securities		855,250
Foreign bond futures		18,592,047
Foreign index futures		9,609,819
Interest rate futures		71,324
U.S. bond futures		6,146,713
U.S. index futures		13,149,000
Total Level 1		70,271,166

Level 2:
Fixed income securities		124,985,964
Foreign currency forwards		5,380,832
Total Level 2		130,366,796
Total assets	$	200,637,962

Liabilities
Level 1:
Commodity futures	$	(12,314,077	)
Currency futures		(267,963	)
Foreign bond futures		(589,455	)
Foreign index futures		(11,979,189	)
Interest rate futures		(1,035,480	)
U.S. bond futures		(1,485,323	)
U.S. index futures		(247,924	)
Total Level 1		(27,919,411	)

Level 2:
Foreign currency forwards		(16,667,119	)
Total Level 2		(16,667,119	)
Total liabilities	$	(44,586,530	)

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Fund at March 31, 2013 categorized by primary underlying risk and is representative of the derivative positions held by K4D Trading throughout the period. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. K4D Trading trades futures on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of K4D Trading by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of K4D Trading and GAIT II. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers and fixed income securities on K4D Trading’s statement of financial condition.

	Graham K4D Trading Ltd.
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	433,953,216		6,764	$	(745,232,168	)		(12,587	)	$	20,586,959	$	(12,314,077	)
		433,953,216		6,764		(745,232,168	)		(12,587	)		20,586,959		(12,314,077	)

Equity price
Futures		1,603,347,336		21,498		(13,450,196	)		(293	)		22,510,895		(11,979,189	)
		1,603,347,336		21,498		(13,450,196	)		(293	)		22,510,895		(11,979,189	)

Foreign currency exchange rate
Futures		241,477,410		2,794		(67,067,688	)		(455	)		1,260,054		(267,963	)
Forwards		1,769,220		N/A		(13,055,508	)		N/A			5,380,832		(16,667,119	)
		243,246,630		2,794		(80,123,196	)		(455	)		6,640,886		(16,935,082	)

Interest rate
Futures		12,653,597,920		63,775		(181,044,311	)		(1,092	)		23,823,836		(2,124,010	)
		12,653,597,920		63,775		(181,044,311	)		(1,092	)		23,823,836		(2,124,010	)
Total	$	14,934,145,102		94,831	$	(1,019,849,871	)		(14,427	)	$	73,562,576	$	(43,352,358	)

Collateral balances supporting all derivative positions													$	170,611,559

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the results of operations of K4D Trading for the three month period ended March 31, 2013:

Net investment income	$	5,727

Net realized gain on investments		97,907,052
Net increase in unrealized appreciation on investments		5,166,618
Brokerage commissions and fees		(486,361	)
Net gain on investments		102,587,309
Net income	$	102,593,036

The following table shows the gains and losses on all financial instruments held by K4D Trading reported in net realized gain on investments and net increase in unrealized appreciation on investments in its statement of operations segregated by primary underlying risk and contract type for the three month period ended March 31, 2013:

Commodity price
Futures	$	(17,404,730	)
Swaps		(577,404	)
		(17,982,134	)

Equity price
Equities		61,994
Futures		101,503,652
		101,565,646

Foreign currency exchange rate
Forwards		6,982,321
Futures		3,389,816
		10,372,137

Interest rate
Bonds		22,066
Futures		9,095,955
		9,118,021
Total	$	103,073,670

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Graham K4D Trading Ltd. (continued)

The following table summarizes the financial position of K4D Trading as of December 31, 2012.

Assets:
Due from brokers	$	29,961,942
Fixed income securities, at fair value		124,990,755
Derivative financial instruments, at fair value		25,424,116
CME Membership, at fair value		793,453
Total assets		181,170,266

Liabilities:
Due to brokers		1,750,659
Total liabilities		1,750,659
Net assets	$	179,419,607

Percentage of K4D Trading held by GAIT II		3.89	%

When multiple derivative contracts are held with the same counterparty, K4D Trading will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statement of financial condition. The table below displays the amounts by which the fair values of both derivative assets and derivative liabilities were reduced within K4D Trading’s statement of financial condition as a result of this netting. Collateral pledged represents the further amounts by which derivative assets and liabilities could have been reduced on the statement of financial condition. K4D Trading elects to display the amounts in due to brokers on the statement of financial condition.

Description	Gross Amount			Gross Amount Offset in the Statement of Financial Condition			Net Amount Presented in the Statement of Financial Condition		Collateral Pledged			Net Amount

Derivative assets	$	66,291,346		$	(40,867,230	)	$	25,424,116	$	(1,750,659	)	$	23,673,457
Derivative liabilities		(40,867,230	)		40,867,230			–		–			–
	$	25,424,116		$	–		$	25,424,116	$	(1,750,659	)	$	23,673,457

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Graham K4D Trading Ltd. (continued)

The following schedules display the condensed schedule of investments for K4D Trading as of December 31, 2012.

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities
Bonds (cost $124,963,438)
United States
U.S. Treasury bill 0.00% due 03/14/13	$	125,000,000	$	124,990,755			69.66	%
Total United States				124,990,755			69.66	%
Total bonds				124,990,755			69.66	%

Derivative financial instruments
Long contracts
Futures
Nikkei 225 Index March 2013		2,254		11,197,084			6.24	%
Topix Index March 2013		1,383		11,116,231			6.20	%
Other foreign index				(1,641,221	)		(0.92	)%
Commodity				40,893			0.02	%
Currency				19,615			0.01	%
Interest rate				989,629			0.55	%
Foreign bond				3,888,306			2.17	%
U.S. bond				372,289			0.21	%
U.S. index				345,055			0.19	%
Total futures				26,327,881			14.67	%

Forwards
Foreign currency				(1,692,952	)		(0.94	)%
Total forwards				(1,692,952	)		(0.94	)%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Graham K4D Trading Ltd. (continued)

The following schedules display the condensed schedule of investments for K4D Trading as of December 31, 2012.

Description	Notional Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Foreign index		$	(73,012	)		(0.04	)%
Commodity			(7,643,113	)		(4.27	)%
Currency			1,060,981			0.59	%
Interest rate			(39,202	)		(0.02	)%
Foreign bond			(241,205	)		(0.13	)%
U.S. bond			243,652			0.14	%
U.S. index			(353,828	)		(0.20	)%
Total futures			(7,045,727	)		(3.93	)%

Forwards
U.S. dollar / Japanese Yen 03/21/13	JPY(24,575,106,969)		9,839,401			5.48	%
Other U.S. dollar / Japanese Yen 01/04/13 - 01/07/13	JPY(2,181,627,007)		105,135			0.06	%
Other foreign currency			(2,109,622	)		(1.17	)%
Total forwards			7,834,914			4.37	%

Total		$	150,414,871			83.83	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table shows the fair value classification of each investment type for K4D Trading as of December 31, 2012:

Assets
Level 1:
U.S. bond futures	$	927,920
Foreign bond futures		7,253,098
U.S. index futures		1,461,395
Foreign index futures		23,920,199
Commodity futures		10,650,606
Interest rate futures		1,735,617
Currency futures		1,104,266
Equity securities		793,453
Total Level 1		47,846,554

Level 2:
Foreign currency forwards		19,238,245
Fixed income security		124,990,755
Total Level 2		144,229,000
Total assets	$	192,075,554

Liabilities
Level 1:
U.S. bond futures	$	(311,979	)
Foreign bond futures		(3,605,997	)
Foreign index futures		(3,321,117	)
U.S. index futures		(1,470,168	)
Commodity futures		(18,252,826	)
Interest rate futures		(785,190	)
Currency futures		(23,670	)
Total Level 1		(27,770,947	)

Level 2:
Foreign currency forwards		(13,096,283	)
Total Level 2		(13,096,283	)
Total liabilities	$	(40,867,230	)

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Fund at December 31, 2012 categorized by primary underlying risk and is representative of the derivative positions held by K4D Trading throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. K4D Trading trades futures on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of K4D Trading by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of K4D Trading and GAIT II. Amounts presented below as collateral balances supporting all derivative positions are included in due from brokers and fixed income securities on K4D Trading’s statement of financial condition.

	Graham K4D Trading Ltd.
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	364,319,244		4,414	$	(883,588,505	)		(13,712	)	$	10,650,606	$	(18,252,826	)
		364,319,244		4,414		(883,588,505	)		(13,712	)		10,650,606		(18,252,826	)

Equity price
Futures		1,226,779,876		13,036		(106,770,515	)		(1,893	)		25,381,594		(4,791,285	)
		1,226,779,876		13,036		(106,770,515	)		(1,893	)		25,381,594		(4,791,285	)

Foreign currency exchange rate
Futures		36,929,900		352		(136,511,977	)		(1,624	)		1,104,266		(23,670	)
Forwards		1,526,791,218		N/A		(1,520,649,257	)		N/A			19,238,245		(13,096,283	)
		1,563,721,118		352		(1,657,161,234	)		(1,624	)		20,342,511		(13,119,953	)

Interest rate
Futures		9,571,876,106		45,765		(16,351,154	)		(81	)		9,916,635		(4,703,166	)
		9,571,876,106		45,765		(16,351,154	)		(81	)		9,916,635		(4,703,166	)
Total	$	12,726,696,344		63,567	$	(2,663,871,408	)		(17,310	)	$	66,291,346	$	(40,867,230	)

Collateral balances supporting all derivative positions													$	153,202,038

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the results of operations of K4D Trading for the three month period ended March 31, 2012.

Net investment loss	$	(163,316	)

Net realized gain on investments		58,121,648
Net decrease in unrealized appreciation on investments		(19,255,098	)
Brokerage commissions and fees		(1,724,083	)
Net loss on investments		37,142,467
Net income	$	36,979,151

The following table shows the gains and losses on all financial instruments held by the Master Fund reported in net realized gain on investments and net decrease in unrealized appreciation on investments in its statement of operations segregated by primary underlying risk and contract type for the three month period ended March 31, 2012:

Commodity price
Futures	$	23,543,861
Swaps		1,355,801
		24,899,662

Equity price
Futures		118,769,741
NYMEX shares		(18,000	)
		118,751,741

Foreign currency exchange rate
Futures		(9,299,984	)
Forwards		(25,296,450	)
		(34,596,434	)

Interest rate
Futures		(70,205,252	)
Treasury bills		16,833
		(70,188,419	)
Total	$	38,866,550

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT II invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005 and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government, which range in maturity from one to twenty-four months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT II’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT II’s proportionate share of Cash Assets’ reported net asset value. GAIT II records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three months ended March 31, 2013, the total amount recognized by GAIT II with respect to its investment in Cash Assets was $15,257. For the three months ended March 31, 2012, the total amount recognized by GAIT II with respect to its investment in GCA was $37,236. These amounts are included in interest income in the statements of operations and managing member allocation. At March 31, 2013 and December 31, 2012, GAIT II owned approximately 0.67% and 0.85%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of March 31, 2013 and December 31, 2012:

	March 31, 2013		December 31, 2012
Assets:
Cash and cash equivalents	$	876,832,743	$	968,228,634
Investments in fixed income securities (cost $2,917,185,054 and $3,041,387,608, respectively)		2,917,185,054		3,041,387,608
Accrued interest receivable		7,023,150		5,989,305
Total assets		3,801,040,947		4,015,605,547

Liabilities:
Other liabilities		15,004		9,300
Total liabilities		15,004		9,300
Net assets	$	3,801,025,943	$	4,015,596,247

The following table summarizes the results of operations of Cash Assets for the three months ended March 31, 2013 and 2012:

	2013		2012
Investment income
Interest income	$	2,127,133	$	2,361,852
Total investment income		2,127,133		2,361,852

Expenses:
Bank fee expense		33,653		24,103
Total expenses		33,653		24,103
Net investment income		2,093,480		2,337,749
Net income	$	2,093,480	$	2,337,749

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of Cash Assets as of March 31, 2013:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,917,185,054)
United States
Government Bonds (cost $2,917,185,054)
U.S. Treasury 0.50% due 05/31/13	$	200,000,000	$	200,100,675		5.26	%
U.S. Treasury 0.13% - 2.75% due 04/15/13 – 02/15/15		2,700,000,000		2,717,084,379		71.49	%
Total Government Bonds				2,917,185,054		76.75	%

Total Investments in Fixed Income Securities			$	2,917,185,054		76.75	%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2012:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $3,041,387,608)
United States
Government Bonds (cost $3,041,387,608)
U.S. Treasury 0.13% - 2.63% due 01/15/13 – 12/31/14	$	3,025,000,000	$	3,041,387,608		75.74	%
Total Government Bonds				3,041,387,608		75.74	%

Total Investments in Fixed Income Securities			$	3,041,387,608		75.74	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

	March 31, 2013		December 31, 2012
Assets
Level 2:
Fixed income securities
Government Bonds	$	2,917,185,054	$	3,041,387,608
Total fixed income securities		2,917,185,054		3,041,387,608
Total Level 2		2,917,185,054		3,041,387,608
Total assets	$	2,917,185,054	$	3,041,387,608

5. Capital Accounts

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

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

Subscriptions

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

Redemptions

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions

Advisory Fees

For the three months ended March 31, 2013 and 2012 each Class of GAIT II other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% and 2%, respectively, of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

Sponsor Fees

For the three months ended March 31, 2013 and 2012, each Class of GAIT II other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate specified in the table below. This Sponsor Fee was payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the three months ended March 31, 2013 the Sponsor Fee listed below for Class 2 included a selling agent fee (the “Selling Agent Fee”) of 2%. The Selling Agent Fee represented a fee for initial and on-going service fees to the Feeder Funds’ selling agents.

Class	2013 Annual Rate	2012 Annual Rate

Class 0	0.75%	1.00%
Class 2	2.75%	1.00%

Incentive Allocation

At the end of each calendar quarter, the Manager will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT II shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager.

Brokerage Fees

For the three months ended March 31, 2012, each Class of GAIT II other than Class M paid the Manager a brokerage fee (the “Brokerage Fee”) at an annual rate specified in the table below. This Brokerage Fee was payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate

Class 0	2%
Class 2	4%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Brokerage Fees (continued)

In consideration of the Brokerage Fee, the Manager assumed all of GAIT II’s trading commissions (including exchange, clearing and regulatory fees relating to its trades), routine legal expenses, internal and external accounting, audit and tax preparation expenses, fees and expenses of an external or internal administrator, and expenses and costs of printing and mailing reports and notices, together with the costs incurred in connection with the organization of GAIT II and the continuous offering of Units. To the extent GAIT II was allocated any of these expenses from the Master Funds in which it invested, the Manager reimbursed GAIT II for those amounts. These reimbursements are included in commission reimbursements in the statements of operations and managing member allocation.

As of January 1, 2013 GAIT II eliminated the Brokerage Fee and GAIT II incurred directly all costs previously covered by the Brokerage Fee.

Administrator’s Fee

For the three month period ended March 31, 2013, GAIT II paid SEI a monthly administrator’s fee based GAIT II’s net asset value, calculated as of the last business day of each month. In addition, GAIT II reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT II. The total administrator’s fees incurred by GAIT II for the three month periods ended March 31, 2013 and 2012 were $10,028 and $0, respectively, of which $3,117 and $0 were accrued as of March 31, 2013 and 2012, respectively.

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

7. Income Taxes

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT II’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 Manager has evaluated GAIT II’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended March 31, 2013 and 2012:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2011	$	81.35		$	77.24
Net gain:
Net investment loss		(0.92	)		(1.27	)
Net gain on investments		1.89			1.80
Net gain		0.97			0.53
Net asset value per unit, March 31, 2012	$	82.32		$	77.77

Net asset value per unit, December 31, 2012	$	73.46		$	68.36
Net gain:
Net investment loss		(0.65	)		(0.93	)
Net gain on investments		7.81			7.24
Net gain		7.16			6.31
Net asset value per unit, March 31, 2013	$	80.62		$	74.67

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended March 31, 2013 and 2012:

	Class 0						Class 2
	2013			2012			2013			2012

Total return before Incentive Allocation		9.75	%		1.19	%		9.23	%		0.69	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		9.75	%		1.19	%		9.23	%		0.69	%

Net investment loss before Incentive Allocation		(0.88	)%		(1.13	)%		(1.36	)%		(1.64	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.88	)%		(1.13	)%		(1.36	)%		(1.64	)%

Total expenses before Incentive Allocation		0.90	%		1.27	%		1.40	%		1.78	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.90	%		1.27	%*		1.40	%		1.78	%*

*- The percentages noted above represent total expenses before commission reimbursements, which represent 0.11% of average members’ capital for the three month period ended March 31, 2012.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period and has not been annualized. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT II and net investment income (loss) and expenses allocated from the Master Fund and investment income from Cash Assets. These ratios have not been annualized. The computation of such ratios is based on the amount of net investment income (loss), expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital of GAIT II, excluding that of the Managing Member, for the three month periods ended March 31, 2013 and 2012.

9. Subsequent Events

GAIT II had subscriptions of approximately $10,000 and redemptions of approximately $0.5 million through May 15, 2013, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

Index

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

Forward-Looking Statements

Certain statements within this Quarterly Report on Form 10-Q may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 (“PSLRA”). These statements are being made pursuant to the PSLRA, with the intention of obtaining the benefits of the “safe harbor” provisions of the PSLRA, and, other than as required by law, we assume no obligation to update or supplement such statements. Forward-looking statements are those that do not relate solely to historical facts. They include, but are not limited to, any statement that may predict, forecast, indicate or imply future results, performance, achievements or events. You can identify these statements by the use of words such as “may,” “will,” “could,” “anticipate,” “believe,” “estimate,” “expect,” “intend,” “predict,” “continue,” “further,” “seek,” “plan,” or “project” and variations of these words or comparable words or phrases of similar meaning. These forward-looking statements reflect our current beliefs and expectations with respect to future events and are based on assumptions and are subject to risks and uncertainties and other factors outside our control that may cause actual results to differ materially from those projected. We undertake no obligation to update publicly or review any forward-looking statement, whether as a result of new information, future developments or otherwise.

(a)	Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following is a discussion of our current financial position and results of operations. This discussion should be read together with our Annual Report on Form 10-K, dated March 28, 2013. This discussion should also be read in conjunction with “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing, the term “Fund” shall include each of GAIF I, the GAIT Funds and the master funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended March 31, 2013 the Fund’s net asset value decreased by $19,025,042 or -10.2%. This decrease was attributable to a $18,103,430 or -9.7% net decrease in the Blended Strategies Portfolio and a $921,612 or -0.5% net decrease in the Systematic Strategies Portfolio. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $2,296,886 or 1.2% and net income of $10,586,996 or 5.7% offset by redemptions totaling $30,987,312 or -16.6%, for the period. The net decrease in the Systematic Strategies Portfolio was attributable to net income of $1,626,538 or 0.9% offset by redemptions totaling $2,548,150 or -1.4%, for the period.

For the three months ended March 31, 2012 the Fund’s net asset value decreased by $12,999,726 or -4.2%. This decrease was attributable to a $10,168,316 or -3.3% net decrease in the Blended Strategies Portfolio and a $2,831,410 or -0.9% net decrease in the Systematic Strategies Portfolio. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $1,636,540 or 0.5% and net income of $6,089,653 or 2.0% offset by redemptions totaling $17,894,509 or -5.8%, for the period. The net decrease in the Systematic Strategies Portfolio was attributable to total subscriptions of $178,000 or 0.1% and net income of $459,375 or 0.1% offset by redemptions totaling $3,468,785 or -1.1%, for the period.

(ii)

Results of Operations

The Fund’s success depends primarily upon the Manager’s ability to recognize and capitalize on market trends in the different and varied sectors of the global financial markets in which it trades.

Index

Blended Strategies Portfolio

2013 Summary

Three Months Ended March 31, 2013

For the three months ended March 31, 2013, the Blended Strategies Portfolio experienced net trading gains of $12,234,308. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(800,458	)
Base metals		(334,208	)
Energy		(3,065,286	)
Equities		9,287,432
Foreign exchange		6,239,752
Long term / intermediate rates		121,003
Precious metals		582,534
Short term rates		203,539
	$	12,234,308

The Blended Strategies Portfolio recorded a solid net gain for the first quarter of 2013. The majority of the gains were driven by positions in Asian, U.S. and European equity index futures. The portfolio recorded profits from trading foreign exchange, with noteworthy gains from positions in the Japanese yen, Mexican peso and Canadian dollar versus the U.S. dollar. Smaller gains in the foreign exchange sector were recorded from trading various European currency crosses. Trading in precious metals also led to modest gains for the portfolio, while losses in energy, base metals, and agricultural commodities offset a portion of the overall gains for the quarter.

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

For the three months ended March 31, 2013, Advisory Fees decreased by $619,599 or -46.9%, Brokerage Fees decreased by $1,515,874 or -100.0% and Sponsor Fees decreased by $236,274 or -35.8% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from subscriptions and net income offset by redemptions for the period. Additionally, the Brokerage Fees were eliminated in 2013 and the Advisory Fees were reduced by 0.25% for each class of units from 2% in 2012 to 1.75% in 2013. During the same period interest income decreased by $59,101 or -43.1%. Interest was earned on free cash at an average annualized yield of 0.23% for the three months ended March 31, 2013 compared to 0.25% for the same period in 2012.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2013 and 2012 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

Index

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of March 31, 2013 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	1.5	%
Base metals	(2.7	)%
Energy	(0.4	)%
Equities	10.9	%
Foreign exchange	20.6	%
Long term / intermediate rates	72.4	%
Precious metals	1.1	%
Short term rates	(3.4	)%
	100.0	%

2012 Summary

For the three months ended March 31, 2012, the Blended Strategies Portfolio experienced net trading gains of $9,472,909 attributable to the following sectors:

Agriculture / Softs	$	(1,008,654	)
Base metals		(3,329,971	)
Energy		15,135,640
Equities		10,623,609
Foreign exchange		(3,404,428	)
Long Term / intermediate rates		(7,667,567	)
Precious metals		(640,089	)
Short term rates		(235,631	)
	$	9,472,909

The Blended Strategies Portfolio posted a net gain for the first quarter of 2012 with profits from both systematic and discretionary trading. The majority of the positive performance resulted from trading in the energy markets due to the steep drop in natural gas prices that resulted from unseasonably mild weather in the U.S. and abundant supply. The portfolio also recorded profits from trading crude oil as prices climbed due to rising tensions in the Middle East. Additional gains resulted from positions in U.S., Asian and European equity indices as the portfolio benefitted from the rally in risk assets. The portfolio recorded losses in other sectors, which offset some of the overall gains for the quarter. Losses resulted from fixed income trading amidst declining prospects of quantitative easing in the U.S. The portfolio also incurred losses in foreign exchange, particularly in the Euro, Swiss franc and British pound as well as in base metals amidst rising prices. Trading in agricultural and soft commodities led to modest losses as prices were mixed during the quarter.

For the three months ended March 31, 2012, Brokerage Fees decreased by $317,520 or -17.3%, Advisory Fees decreased by $273,219 or -17.2% and Sponsor Fees decreased by $136,609 or -17.2%% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions partially offset by subscriptions and net income for the period. During the same period interest income decreased by $194,260 or -58.6%. Interest was earned on free cash at an average annualized yield of 0.28% for the three months ended March 31, 2012 compared to 0.49% for the same period in 2011.

Index

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2012 there was no Incentive Allocation compared to $7,813 for the corresponding period in 2011 due to the portfolio’s lack of year to date profitability in 2012.

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of March 31, 2012 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	25.5	%
Base metals	14.7	%
Energy	(60.7	%)
Equities	174.1	%
Foreign exchange	57.1	%
Long Term / intermediate rates	(72.1	%)
Precious metals	(0.4	%)
Short term rates	(38.2	%)
	100.0	%

Systematic Strategies Portfolio

2013 Summary

Three Months Ended March 31, 2013

For the three months ended March 31, 2013, the Systematic Strategies Portfolio experienced net trading gains of $1,840,706. The trading results are attributable to the following sectors:

Agriculture / Softs	$	28,594
Base metals		(75,439	)
Energy		(480,173	)
Equities		1,890,253
Foreign exchange		197,488
Long term / intermediate rates		98,058
Precious metals		186,374
Short term rates		(4,449	)
	$	1,840,706

The Systematic Strategies Portfolio posted a net gain for the first quarter of 2013. The majority of the gains were driven by positions in U.S., Asian and European equity index futures. The portfolio also recorded gains in the foreign exchange sector, particularly from positions in the Japanese yen, Mexican peso, and Canadian dollar versus the U.S. dollar. Trading in precious metals also contributed to gains. Losses from trading in the energy and base metals sectors offset a portion of the overall gains for the quarter.

Index

For the three months ended March 31, 2013 Advisory Fees decreased by $150,898 or -66.1%, Brokerage Fees decreased by $324,236 or -100.0% and Sponsor Fees decreased by $27,968 or -24.5% in the Systematic Strategies Portfolio over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from subscriptions and net income offset by redemptions for the period. Additionally, the Brokerage Fees were eliminated in 2013 and the Advisory Fees were reduced by 0.25% for each class of units from 2% in 2012 to 1.75% in 2013. During the same period, interest income decreased by $15,935 or -64.6%. Interest was earned on free cash at an average annualized yield of 0.23% for the three months ended March 31, 2013 compared to 0.25% for the same period in 2012.

The following table illustrates the sector distribution of the Systematic Strategies Portfolio’s investments in Master Funds as of March 31, 2013 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	4.5	%
Base metals	(1.2	)%
Energy	0.3	%
Equities	6.8	%
Foreign exchange	(6.6	)%
Long Term / intermediate rates	95.1	%
Precious metals	1.7	%
Short term rates	(0.6	)%
	100.0	%

2012 Summary

For the three months ended March 31, 2012, the Systematic Strategies Portfolio experienced net trading gains of $1,106,440 attributable to the following sectors:

Agriculture / Softs	$	(392,773	)
Base metals		(782,181	)
Energy		2,154,434
Equities		3,456,959
Foreign exchange		(1,048,694	)
Long Term / intermediate rates		(1,867,517	)
Precious metals		(315,654	)
Short term rates		(98,134	)
	$	1,106,440

The Systematic Strategies Portfolio posted a net gain for the first quarter of 2012. Performance during the quarter was primarily driven by profitable positions in global equity indices. The portfolio also recorded gains from trading crude oil and oil products as prices rose due to concerns over inventory levels and rising tensions in the Middle East. The steep drop in natural gas prices also benefitted the portfolio on the back of warmer weather and ample supplies, which fueled further gains in the energy sector. Losses resulted from trading global fixed income, particularly in the U.S., amidst diminished hopes for further quantitative easing, which offset some of the portfolio’s overall gain. Losses were also incurred in the metals markets amidst rising base metal prices and a sharp sell-off in gold on the last day of February. Losses from positions in the Euro, Swiss franc and British pound as well as agricultural and soft commodities also offset a portion of the portfolio’s net gains for the quarter.

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For the three months ended March 31, 2012, Brokerage Fees decreased by $67,246 or -17.2%, Advisory Fees decreased by $52,090 or -18.6% and Sponsor Fees decreased by $26,045 or -18.6% in the Systematic Strategies Portfolio over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions partially offset by subscriptions and net income for the period. During the same period interest income decreased by $32,614 or -56.9%. Interest was earned on free cash at an average annualized yield of 0.28% for the three months ended March 31, 2012 compared to 0.49% for the same period in 2011.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2012 there was no Incentive Allocation due to unrecovered previous losses compared to $3,007 for the corresponding period in 2011.

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of March 31, 2012 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	68.6	%
Base metals	38.5	%
Energy	(151.5	%)
Equities	412.6	%
Foreign exchange	(190.6	%)
Long Term / intermediate rates	(9.3	%)
Precious metals	(13.5	%)
Short term rates	(54.8	%)
	100.0	%

Variables Affecting Performance

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

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

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

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(ii)

Liquidity

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

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

	Blended Strategies Portfolio	Systematic Strategies Portfolio
March 31, 2013	19.18%	19.07%
December 31, 2012	16.47%	17.00%
March 31, 2012	22.70%	18.67%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through March 31, 2013, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

(iii)

Capital Resources

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

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

(iv)

Critical Accounting Policies

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

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

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

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

Cash Assets - The GAIT Funds invest a portion of their excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. The financial information of Cash Assets is included in the notes to the Financial Statements of the GAIT Funds.

Statement of Operations - As discussed under Item 1, the Fund offers Class 0 and Class 2 units of the Blended Strategies Portfolio and the Systematic Strategies Portfolio. Class 0 and Class 2 units within each portfolio differ only with respect to their fees. The Blended Strategies and Systematic Strategies Portfolios differ with respect to the underlying funds in which they invest. All items of gain, loss, income and expense of the Fund are specifically and directly allocated to each portfolio from the underlying Master Funds. The Fund presents a combined statement of operations which encompasses the amounts applicable to the Blended and Systematic Strategies Portfolios.

Income Taxes - No provision for income taxes has been made in the Fund’s financial statements, as each member is responsible for reporting income or loss based upon the member’s respective share of the Fund’s revenues and expenses for income tax purposes.

(v)

Off-Balance Sheet Arrangements

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

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Item 3.

Quantitative and Qualitative Disclosures about Market Risk

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

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Item 4.

Controls and Procedures

The Advisor’s Chief Operating Officer and Chief Financial Officer have evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures, as defined in Rules 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934, as of March 31, 2013. Based on that evaluation, the Advisor’s Chief Operating Officer and Chief Financial Officer concluded that the Fund’s disclosure controls and procedures were effective as of March 31, 2013.

There were no changes to the Fund’s internal controls over financial reporting during the first quarter of 2013 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal controls over financial reporting.

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PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None

Item 1A.

Risk Factors

Not Required

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

For the three months ended March 31, 2013, the Fund issued 20,175.437 Units in exchange for $2,296,886 with respect to the Blended Strategies Portfolio and 0.000 Units with respect to the Systematic Strategies Portfolio, in each case in a transaction that was not registered under the Securities Act of 1933, as amended (the “Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Act and Section 506 of Regulation D promulgated thereunder.

The following chart sets forth the purchases of Units of the Fund.

	Blended Strategies Portfolio	Systematic Strategies Portfolio
	Total	Total
	Number of	Number of
	Units Purchased	Units Purchased
Period (as of)
January 1, 2013	7,038.866	0.000
February 1, 2013	1,843.129	0.000
March 1, 2013	11,293.442	0.000

Item 3.

Defaults Upon Senior Securities –None

Item 4.

[Removed and Reserved]

Item 5.

Other Information –None

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Item 6.

Exhibits

* 3.1	Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
* 4.1	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC
* 10.1	Form of Subscription Agreement
* 10.2	Form of Placement Agreement
* 10.10	Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A.
31.1	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Operating Officer)
31.2	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)
32.1	Section 1350 Certification (Certification of Chief Operating Officer and Chief Financial Officer)

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

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dated: May 15, 2013	GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

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

		By:	/s/ Paul Sedlack
			Paul Sedlack, Chief Operating Officer

		By:	/s/ Brian Douglas
			Brian Douglas, Chief Financial Officer