UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) of the

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2026

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-53967

GRAHAM ALTERNATIVE INVESTMENT FUND II LLC

CORE MACRO PORTFOLIO

(Exact name of registrant as specified in its charter)

Delaware		20-4897149

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

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT 06853

(Address of principal executive offices) (Zip Code)

Brian Douglas

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT 06853

(203) 899-3400

(Registrant’s telephone number, including area code)

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

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

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

Yes ☒ No ☐

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

Yes ☒ No ☐

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

Large accelerated filer ☐

Accelerated filer ☐

Non-accelerated filer ☐

Smaller reporting company ☒

Emerging Growth company ☐

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

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

Yes ☐ No ☒

As of May 1, 2026, 158,848.391 Units of the Core Macro Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND II LLC

CORE MACRO PORTFOLIO

FORM 10-Q

INDEX

			Page
			Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund II LLC Core Macro Portfolio

		Consolidated Statements of Financial Condition at March 31, 2026 (Unaudited) and December 31, 2025 (Audited)	1

		Unaudited Consolidated Statements of Operations for the Three Months Ended March 31, 2026 and 2025	2

		Unaudited Consolidated Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2026 and 2025	3

		Unaudited Consolidated Statements of Cash Flows for the Three Months Ended March 31, 2026 and 2025	4

		Notes to Unaudited Consolidated Financial Statements	5

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at March 31, 2026 (Unaudited) and December 31, 2025 (Audited)	13

		Condensed Schedules of Investments at March 31, 2026 (Unaudited) and December 31, 2025 (Audited)	14

		Unaudited Statements of Operations and Incentive Allocation for the Three Months Ended March 31, 2026 and 2025	15

		Unaudited Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2026 and 2025	16

		Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2026 and 2025	18

		Notes to Unaudited Financial Statements	19

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	62

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	68

	Item 4.	Controls and Procedures	69

PART II - Other Information			70

	Item 1.	Legal Proceedings

	Item 1A.	Risk Factors

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

	Item 3.	Defaults Upon Senior Securities

	Item 4.	Mine Safety Disclosures

	Item 5.	Other Information

	Item 6.	Exhibits	71

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

Index

PART I

Item 1.

Financial Statements

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Consolidated Statements of Financial Condition

	March 31, 2026 (Unaudited)		December 31, 2025 (Audited)

Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	30,202,085	$	30,674,472
Redemptions receivable from Graham Alternative Investment Trading LLC		32,816		864,086
Cash and cash equivalents		–		25,000
Total assets	$	30,234,901	$	31,563,558

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	32,816	$	864,086
Subscriptions received in advance		–		25,000
Total liabilities		32,816		889,086

Members’ capital:
Class 0 Units (79,804.426 and 80,676.977 units issued and outstanding at $240.68 and $237.84, respectively)		19,207,721		19,188,019
Class 2 Units (48,975.565 and 49,944.877 units issued and outstanding at $167.00 and $165.34, respectively)		8,178,799		8,257,873
Class 3-A Units (1,842.786 and 1,842.786 units issued and outstanding at $99.95 and $98.91, respectively)		184,190		182,260
Class 3-B Units (27,074.781 and 31,710.622 units issued and outstanding at $97.19 and $96.07, respectively)		2,631,375		3,046,320
Total members’ capital		30,202,085		30,674,472
Total liabilities and members’ capital	$	30,234,901	$	31,563,558

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

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Unaudited Consolidated Statements of Operations

	Three Months Ended March 31,
	2026			2025
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
Net realized gain on investments	$	1,159,200		$	1,183,447
Net decrease in unrealized appreciation on investments		(760,942	)		(217,056	)
Brokerage commissions and fees		(34,693	)		(29,637	)
Net gain allocated from investment in Graham Alternative Investment Trading LLC		363,565			936,754

Net investment income allocated from investment in Graham Alternative Investment Trading LLC:
Investment income:
Interest income		270,815			370,862

Expenses:
Advisory fees		119,574			141,370
Professional fees		67,181			76,499
Sponsor fees		50,476			56,233
Administrator’s fees		10,722			13,243
Operating expenses		7,109			5,899
Incentive allocation		5,482			27,535
Interest expense		1,812			1,990
Total expenses		262,356			322,769
Net investment income allocated from investment in Graham Alternative Investment Trading LLC		8,459			48,093
Net income	$	372,024		$	984,847

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

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Unaudited Consolidated Statements of Changes in Members’ Capital

For the Three Months Ended March 31, 2026 and 2025

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

Members’ capital, December 31, 2024		92,145.410		$	21,665,923			56,059.973		$	9,232,454			–	$	–		47,955.304	$	4,580,336	$	35,478,713
Initial subscription, January 1, 2025		–			–			–			–			1,842.786		180,000		–		–		180,000
Subscriptions		–			–			–			–			–		–		3,138.679		305,000		305,000
Redemptions		(1,535.653	)		(371,879	)		(960.591	)		(161,559	)		–		–		–		–		(533,438	)
Net income		–			625,204			–			247,764			–		4,680		–		107,199		984,847
Members’ capital, March 31, 2025		90,609.757		$	21,919,248			55,099.382		$	9,318,659			1,842.786	$	184,680		51,093.983	$	4,992,535	$	36,415,122

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

Members’ capital, December 31, 2025		80,676.977		$	19,188,019			49,944.877		$	8,257,873			1,842.786	$	182,260		31,710.622		$	3,046,320		$	30,674,472
Subscriptions		60.800			15,000			–			–			–		–		1,751.480			175,000			190,000
Redemptions		(1,366.398	)		(337,106	)		(346.385	)		(58,934	)		–		–		(6,387.321	)		(638,371	)		(1,034,411	)
Transfers		433.047			102,995			(622.927	)		(102,995	)		–		–		–			–			–
Net income		–			238,813			–			82,855			–		1,930		–			48,426			372,024
Members’ capital, March 31, 2026		79,804.426		$	19,207,721			48,975.565		$	8,178,799			1,842.786	$	184,190		27,074.781		$	2,631,375		$	30,202,085

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

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Unaudited Consolidated Statements of Cash Flows

	Three Months Ended March 31,
	2026			2025
Cash flows provided by operating activities
Net income	$	372,024		$	984,847
Adjustments to reconcile net income to net cash provided by operating activities:
Net income allocated from investment in Graham Alternative Investment Trading LLC		(372,024	)		(984,847	)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC		1,865,681			1,898,720
Investment in Graham Alternative Investment Trading LLC		(190,000	)		(485,000	)
Net cash provided by operating activities		1,675,681			1,413,720

Cash flows used in financing activities
Subscriptions (net of subscriptions received in advance)		165,000			331,250
Redemptions (net of redemptions payable)		(1,865,681	)		(1,898,720	)
Net cash used in financing activities		(1,700,681	)		(1,567,470	)

Net change in cash and cash equivalents		(25,000	)		(153,750	)

Cash and cash equivalents, beginning of period		25,000			255,000
Cash and cash equivalents, end of period	$	–		$	101,250

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

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements

March 31, 2026

1. Organization and Business

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

As a Series Limited Liability Company each series is legally segregated, and the assets associated with each series are held separately and accounted for in separate and distinct records from the assets of any other series of GAIF II. The debts, liabilities, obligations, and expenses incurred, contracted for or otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not against the assets of GAIF II generally or any other series thereof. Further, none of the debts, liabilities, obligations, and expenses incurred, contracted for or otherwise existing with respect to GAIF II are enforceable against the assets of any other series. As of and for the period and year ended March 31, 2026 and December 31, 2025, respectively, the Fund is the sole series of GAIF II. GAIF II has no assets and no operations outside of those of the Fund. These financial statements fairly reflect the positions, results of operations, changes in members’ capital and cash flows of the single series constituting GAIF II.

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

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

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

1. Organization and Business (continued)

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

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

Duties of the Manager

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

2. Summary of Significant Accounting Policies

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

Principles of Consolidation

The Fund owns 100% of GAI’s Core Macro Portfolio and as such these consolidated financial statements include all the accounts of the Fund and GAI’s Core Macro Portfolio. Intercompany transactions and balances have been eliminated in consolidation. Creditors of the Fund have recourse to all assets of the Fund for amounts due to them, while creditors of GAI would have recourse only to the assets of GAI.

Investment in Graham Alternative Investment Trading LLC

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

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

At March 31, 2026 and December 31, 2025, the Fund owned 47.63% and 48.12%, respectively of GAIT.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value

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

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

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

•

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

•

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

•

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

The Fund’s investment in GAIT has been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, this investment is excluded from categorization in the fair value hierarchy. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2026 or the year ended December 31, 2025 by the Fund, GAI, GAIT, the Master Funds or Cash Assets.

Cash and Cash Equivalents

The Fund classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents on the statements of financial condition. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of the Fund’s cash would be limited to account insurance or other protection afforded by such deposit, which could be substantially less than the amount deposited. At March 31, 2026 and December 31, 2025, the Fund held $0 and $25,000, respectively, in cash and held no cash equivalents.

Indemnifications

In the normal course of business, the Master Funds, GAIT, Cash Assets, GAI, and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31, 2026 and December 31, 2025, no accruals have been recorded by the Fund for indemnifications.

Segment Information

The Fund represents a single operating segment. An operating segment is defined in U.S. GAAP as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Investment Committee acts as the Fund’s CODM. The Fund represents a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the Fund’s long-term strategic asset allocation is pre-determined in accordance with the terms of its LLC Agreement, based on a defined investment strategy which is executed by the Fund’s portfolio managers as a team. The financial information in the form of the Fund’s portfolio composition, total returns, expense ratios and changes in members’ capital (i.e., changes in members’ capital resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus the Fund’s comparative benchmarks and to make resource allocation decisions for the Fund’s single segment, is consistent with that presented within the Fund’s financial statements. Segment assets are reflected on the accompanying statements of financial condition as “total assets” and significant segment expenses are listed on the accompanying statements of operations.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

3. Capital Accounts

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

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

Subscriptions

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

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

Redemption of Units

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

4. Fees and Related Party Transactions

Advisory Fees

Class 0 and Class 2 of GAIT paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. Class 3-A and Class 3-B have an advisory fee at an aggregate annual rate of 1.50% and 2.00% of the Members’ Capital of such Class, respectively. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is affected with respect to Units of such Class during the month. For the three months ended March 31, 2026 and 2025, the Advisory Fees allocated to the Fund by Class 0, Class 2, Class 3-A and Class 3-B of GAIT totaled $119,574 and $141,370, respectively.

Sponsor Fees

Class 0 and Class 2 of GAIT paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. Class 3-A and Class 3-B of GAIT have no sponsor fee. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the three months ended March 31, 2026 and 2025, the Sponsor Fees allocated to the Fund by Class 0 and Class 2 of GAIT totaled $50,476 and $56,233, respectively.

Class 0	Class 2
0.50%	1.25%

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of Members’ Capital redeemed from such class bears to the Members’ Capital of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to Graham Capital LLC. For the three months ended March 31, 2026 and 2025, an Incentive Allocation of $5,482 and $27,535, respectively, was allocated to the Fund by GAIT.

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

Administrator’s Fees

For the three months ended March 31, 2026 and 2025, GAIT paid SEI monthly administrator’s fees based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT paid SEI for regulatory compliance services and reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the three months ended March 31, 2026 and 2025 were $10,722 and $13,243, respectively.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Professional Fees

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s audit, tax and legal fees (“professional fees”). The total professional fees allocated to the Fund by GAIT for the three months ended March 31, 2026 and 2025 were $67,181 and $76,499, respectively.

Operating Expenses

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s investments, operations, and business (“operating expenses”). For the three months ended March 31, 2026 and 2025, GAIT reimbursed the Manager for operating expenses which were comprised of market data and technology costs associated with its assets allocated to the various Master Funds. The total operating expenses allocated to the Fund by GAIT for the three months ended March 31, 2026 and 2025 were $7,109 and $5,899, respectively.

5. Income Taxes

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

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the consolidated financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Fund identifies its major tax jurisdictions as the U.S. for Federal tax purposes, Connecticut for state tax purposes and various international jurisdictions. The Manager has evaluated the Fund’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the consolidated 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 that are considered open by the relevant jurisdiction are subject to potential examination. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the consolidated statements of operations. No such interest and/or penalties were assessed to the Fund for the three months ended March 31, 2026 and 2025.

6. Risk Factors

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

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

7. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended March 31, 2026 and 2025:

	Class 0		Class 2			Class 3-A			Class 3-B
Per unit operating performance
Net asset value per Unit, December 31, 2024	$	235.13	$	164.69		$	–		$	95.51
Initial subscription, January 1, 2025		–		–			97.68			–
Net income:
Net investment income (loss)		0.61		0.12			(0.02	)		(0.30	)
Net gain on investments		6.17		4.32			2.56			2.50
Net income		6.78		4.44			2.54			2.20
Net asset value per Unit, March 31, 2025	$	241.91	$	169.13		$	100.22		$	97.71

Net asset value per Unit, December 31, 2025	$	237.84	$	165.34		$	98.91		$	96.07
Net income:
Net investment income (loss)		0.22		(0.16	)		(0.05	)		(0.04	)
Net gain on investments		2.62		1.82			1.09			1.16
Net income		2.84		1.66			1.04			1.12
Net asset value per Unit, March 31, 2026	$	240.68	$	167.00		$	99.95		$	97.19

The following represents ratios to average Members’ Capital and total return for the three months ended March 31, 2026 and 2025:

	Class 0						Class 2						Class 3-A						Class 3-B
	2026			2025			2026			2025			2026			2025			2026			2025

Total return before Incentive Allocation		1.20	%		2.88	%		1.00	%		2.69	%		1.33	%		3.01	%		1.20	%		2.88	%
Incentive Allocation		0.00			0.00			0.00			0.00			(0.27	)		(0.41	)		(0.03	)		(0.58	)
Total return after Incentive Allocation		1.20	%		2.88	%		1.00	%		2.69	%		1.06	%		2.60	%		1.17	%		2.30	%

Net investment income (loss) before Incentive Allocation		0.09	%		0.26	%		(0.09	)%		0.07	%		0.22	%		0.38	%		0.09	%		0.25	%
Incentive Allocation		0.00			0.00			0.00			0.00			(0.27	)		(0.40	)		(0.14	)		(0.56	)
Net investment income (loss) after Incentive Allocation		0.09	%		0.26	%		(0.09	)%		0.07	%		(0.05	)%		(0.02	)%		(0.05	)%		(0.31	)%

Total expenses before Incentive Allocation		0.78	%		0.77	%		0.96	%		0.95	%		0.65	%		0.64	%		0.76	%		0.78	%
Incentive Allocation		0.00			0.00			0.00			0.00			0.27			0.40			0.14			0.56
Total expenses after Incentive Allocation		0.78	%		0.77	%		0.96	%		0.95	%		0.92	%		1.04	%		0.90	%		1.34	%

Total return is calculated for Class 0, Class 2, Class 3-A and Class 3-B Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment income (loss) and total expense ratios (including Incentive Allocation) are calculated for Class 0, Class 2, Class 3-A and Class 3-B Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment income (loss), expenses, and Incentive Allocation. Net investment income (loss) and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0, Class 2, Class 3-A and Class 3-B Units of the Fund for the three months ended March 31, 2026 and 2025 and are not annualized.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Fund II LLC

Core Macro Portfolio

Notes to Unaudited Consolidated Financial Statements (continued)

8. Subsequent Events

The Fund had subscriptions of approximately $0.2 million and redemptions of $35,874 from April 1, 2026 through May 14, 2026, the date through which subsequent events were evaluated by management. These amounts have not been included in the consolidated financial statements.

See attached financial statements of Graham Alternative Investment Trading LLC.

Index

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	March 31, 2026 (Unaudited)		December 31, 2025 (Audited)
Assets
Investment in Graham Cash Assets LLC, at fair value	$	55,580,823	$	55,799,712
Investments in Master Funds, at fair value		8,300,787		9,128,318
Prepaid expenses		13,511		27,021
Receivable from Master Funds		133		–
Total assets	$	63,895,254	$	64,955,051

Liabilities and members’ capital
Liabilities:
Redemptions payable	$	181,352	$	864,086
Accrued professional fees		179,194		217,101
Accrued advisory fees		80,430		82,176
Accrued sponsor fees		32,377		32,656
Accrued administrator’s fees		7,636		8,016
Accrued operating expenses		4,935		4,360
Payable to Master Funds		191		60
Total liabilities		486,115		1,208,455

Members’ capital:
Class 0 Units (152,074.777 and 153,888.906 units issued and outstanding at $240.68 and $237.84 per unit, respectively)		36,602,093		36,600,560
Class 2 Units (94,055.248 and 95,024.560 units issued and outstanding at $167.00 and $165.34 per unit, respectively)		15,707,035		15,711,375
Class 3-A Units (23,135.403 and 22,969.715 issued and outstanding at $99.95 and $98.91 per unit, respectively)		2,312,447		2,271,827
Class 3-B Units (63,487.002 and 68,584.242 units issued and outstanding at $97.19 and $96.07 per unit, respectively)		6,170,251		6,588,630
Class M Units (4,671.470 units issued and outstanding at $560.27 and $551.04 per unit, respectively)		2,617,313		2,574,204
Total members’ capital		63,409,139		63,746,596
Total liabilities and members’ capital	$	63,895,254	$	64,955,051

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	March 31, 2026 (Unaudited)					December 31, 2025 (Audited)
Description	Fair Value		Percentage of Members’ Capital			Fair Value		Percentage of Members’ Capital

Investments in Master Funds, at fair value
Graham Commodity Strategies LLC	$	3,290,776		5.19	%	$	3,163,276		4.96	%
Graham Derivatives Strategies LLC		2,831,796		4.47	%		2,593,855		4.07	%
Graham K4D Trading Ltd.		2,178,215		3.43	%		3,371,187		5.29	%
Total investments in Master Funds	$	8,300,787		13.09	%	$	9,128,318		14.32	%

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended March 31,
	2026			2025
Net gain allocated from investments in Master Funds:
Net realized gain on investments	$	2,420,764		$	2,244,689
Net decrease in unrealized appreciation on investments		(1,615,757	)		(434,622	)
Brokerage commissions and fees		(72,550	)		(56,029	)
Net gain allocated from investments in Master Funds		732,457			1,754,038

Net investment income allocated from investments in Master Funds		36,913			47,879

Investment income:
Interest income		528,967			652,334
Total investment income		528,967			652,334

Expenses:
Advisory fees		240,716			255,978
Professional fees		139,922			144,368
Sponsor fees		96,517			102,828
Administrator’s fees		22,408			25,012
Operating expenses		14,856			11,144
Interest expense		3,787			3,759
Total expenses		518,206			543,089
Net investment income of the Fund		10,761			109,245

Net income		780,131			1,911,162

Incentive allocation		(12,618	)		(48,127	)

Net income available for pro-rata allocation to all members	$	767,513		$	1,863,035

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three Months Ended March 31, 2026

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

Members’ capital, December 31, 2025		153,888.906		$	36,600,560			95,024.560		$	15,711,375			22,969.715		$	2,271,827
Subscriptions		60.800			15,000			–			–			6,189.095			640,000
Redemptions		(2,307.976	)		(566,001	)		(346.385	)		(58,934	)		(6,023.407	)		(615,691	)
Transfers		433.047			102,995			(622.927	)		(102,995	)		–			–
Incentive allocation		–			(1,210	)		–			(93	)		–			(4,285	)
Net income		–			450,749			–			157,682			–			20,596
Members’ capital, March 31, 2026		152,074.777		$	36,602,093			94,055.248		$	15,707,035			23,135.403		$	2,312,447

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

Members’ capital, December 31, 2025		68,584.242		$	6,588,630			4,671.470	$	2,574,204		$	63,746,596
Subscriptions		5,866.100			575,000			–		–			1,230,000
Redemptions		(10,963.340	)		(1,094,344	)		–		(12,618	)		(2,347,588	)
Transfers		–			–			–		–			–
Incentive allocation		–			(7,030	)		–		12,618			–
Net income		–			107,995			–		43,109			780,131
Members’ capital, March 31, 2026		63,487.002		$	6,170,251			4,671.470	$	2,617,313		$	63,409,139

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital (continued)

For the Three Months Ended March 31, 2025

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

Members’ capital, December 31, 2024		162,734.124		$	38,263,258			107,073.070		$	17,633,778			5,611.660	$	548,137
Subscriptions		3,537.621			850,000			–			–			11,078.676		1,100,000
Redemptions		(2,428.954	)		(587,976	)		(6,092.658	)		(1,024,706	)		–		–
Incentive allocation		–			–			–			–			–		(4,375	)
Net income		–			1,109,628			–			469,230			–		28,910
Members’ capital, March 31, 2025		163,842.791		$	39,634,910			100,980.412		$	17,078,302			16,690.336	$	1,672,672

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

Members’ capital, December 31, 2024		77,520.474		$	7,404,183			4,671.470	$	2,494,438		$	66,343,794
Subscriptions		6,544.830			635,000			–		–			2,585,000
Redemptions		(419.639	)		(40,942	)		–		(48,127	)		(1,701,751	)
Incentive allocation		–			(43,752	)		–		48,127			–
Net income		–			218,761			–		84,633			1,911,162
Members’ capital, March 31, 2025		83,645.665		$	8,173,250			4,671.470	$	2,579,071		$	69,138,205

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Three Months Ended March 31,
	2026			2025
Cash flows provided by operating activities
Net income	$	780,131		$	1,911,162
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) allocated from investments in Master Funds		(769,370	)		(1,801,917	)
Net (income) allocated from investment in Graham Cash Assets LLC		(528,967	)		(652,334	)
Proceeds from sale of investments in Master Funds		20,676,396			21,448,475
Proceeds from sale of investment in Graham Cash Assets LLC		14,454,453			16,497,270
Purchases of investments in Master Funds		(19,079,497	)		(18,528,846	)
Purchases of investment in Graham Cash Assets LLC		(13,706,597	)		(17,465,865	)
Changes in assets and liabilities:
Decrease in prepaid expenses		13,510			–
(Decrease) in accrued professional fees		(37,907	)		(58,309	)
(Decrease) increase in accrued advisory fees		(1,746	)		1,134
(Decrease) in accrued sponsor fees		(279	)		(2,282	)
(Decrease) increase in accrued administrator’s fees		(380	)		1,237
Increase in accrued operating expenses		575			58
Net cash provided by operating activities		1,800,322			1,349,783

Cash flows used in financing activities
Subscriptions		1,230,000			2,585,000
Redemptions (net of redemptions payable)		(3,030,322	)		(3,934,783	)
Net cash used in financing activities		(1,800,322	)		(1,349,783	)

Net change in cash and cash equivalents		–			–

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

Supplemental cash flow information
Interest paid		$	3,787			$	3,759

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

March 31, 2026

1. Organization and Business

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

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

Other than with respect to the Class M shares of GAIT, Graham Alternative Investment Fund I LLC Core Macro Portfolio and Graham Alternative Investment Fund II LLC Core Macro Portfolio (through its investment in Graham Alternative Investment Ltd.) are the only investors of GAIT.

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

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

Duties of the Manager

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

2. Summary of Significant Accounting Policies

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

Investments in Master Funds

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Due from/to Brokers

Due from/to brokers on the Master Funds’ and Cash Assets’ financial statements primarily consist of cash balances carried as margin deposits with clearing brokers for the purpose of trading in futures contracts, foreign currency contracts and other derivative financial instruments and securities, and receivables/payables for unsettled transactions. Substantially all of the Master Funds’ and Cash Assets’ cash and investments are held as collateral by its brokers to secure derivative instruments and securities.

Revenue Recognition

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

Brokerage Commissions and Fees

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

Foreign Currency Translation

Assets and liabilities denominated in foreign currencies are translated using the exchange rates at March 31, 2026 and December 31, 2025. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices of investments held. The Master Funds’ currency translation gains and losses are included in the statements of operations and incentive allocation within net realized gain and net decrease in unrealized appreciation on investments.

Fair Value

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

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

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

•

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

•

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

•

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

GAIT’s investments in the Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been valued at net asset value using the practical expedient. Accordingly, under U.S. GAAP, these investments are excluded from categorization in the fair value hierarchy. GAIT’s investments in the Master Funds and Cash Assets are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2026 or the year ended December 31, 2025 by GAIT, the Master Funds, or Cash Assets.

Derivative Instruments

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

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

Futures Contracts

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Futures Contracts (continued)

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

Forward Contracts

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

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Swap Contracts

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

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

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Options

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

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

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

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

Credit Risk Related Contingent Features

OTC derivative instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets or rate of return and provide limits with respect to any decline in value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. There were no events that occurred throughout the three months ended March 31, 2026 and the year ended December 31, 2025 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had derivative instruments subject to credit risk related contingent features in a net liability position of $4,060,597 and $0 at March 31, 2026 and December 31, 2025, respectively. Graham Commodity Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at March 31, 2026 and December 31, 2025, respectively. Graham Derivatives Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at March 31, 2026 and December 31, 2025, respectively.

New York Mercantile Exchange Corporate Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX seats and the shares of the CME Group at fair value. As of March 31, 2026 and December 31, 2025, the two NYMEX seats were valued at $409,500 and $385,000, respectively, and the 30,000 shares of CME Group were valued at $8,860,500 and $8,192,400, respectively, all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Mercantile Exchange Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Mercantile Exchange (“CME”). As a result of its membership, Graham Commodity Strategies LLC owns two CME seats and 2,232 shares of the CME Group. Graham Commodity Strategies LLC’s policy is to value the CME seats and the shares of the CME Group at fair value. As of March 31, 2026 and December 31, 2025, the two CME seats were valued at $528,000 and $506,000, respectively, and the 2,232 shares of CME Group were valued at $659,221 and $609,515, respectively, all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The CME seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the CME. As a result of its membership, Graham K4D Trading Ltd. owns one CME seat and 4,085 shares of the CME Group. Graham K4D Trading Ltd.’s policy is to value the CME seat and the shares of the CME Group at fair value. As of March 31, 2026 and December 31, 2025, the CME seat was valued at $170,000 and $169,750, respectively, and the 4,085 shares of the CME Group were valued at $1,206,505 and $1,115,531, respectively, all of which are included in Exchange memberships on Graham K4D Trading Ltd.’s statement of financial condition. The CME seat and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Chicago Board of Trade Membership

As of March 31, 2026, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns 3,265 shares of the CME Group as a result of its CBOT membership. Graham Commodity Strategies LLC’s policy is to value the CME shares at fair value. As of March 31, 2026 and December 31, 2025, the 3,265 shares of the CME Group were valued at $964,318 and $891,606, respectively, and are included in Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The CME shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Graham Derivatives Strategies LLC, a Master Fund in which GAIT invests, is also a member of the CBOT under Rule 106.S and owns one B-1/Full seat (“CBOT membership”). Graham Derivatives Strategies LLC’s policy is to value the CBOT seat at fair value. As of March 31, 2026 and December 31, 2025, the CBOT seat was valued at $235,000 and $251,250, respectively, and is included in Exchange memberships on Graham Derivatives Strategies LLC’s statement of financial condition. The CBOT membership is considered a Level 1 asset as described in the Fair Value section of Note 2.

Graham K4D Trading Ltd., a Master Fund in which GAIT, is also a member of the CBOT under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat (collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of March 31, 2026 and December 31, 2025, the two B-1/Full seats were valued at a total of $470,000 and $502,000, respectively, and the B-2/Associate seat was valued at $55,250 and $51,000, respectively, all of which are included in Exchange memberships on Graham K4D Trading Ltd.’s statements of financial condition. Additionally, Graham K4D Trading Ltd. owns 970 shares of the CME Group as a result of its CBOT membership. Graham K4D Trading Ltd.’s policy is to value the CME Group shares at fair value. As of March 31, 2026 and December 31, 2025, the 970 shares of the CME Group were valued at $286,489 and $264,888, respectively. The CBOT memberships and shares of the CME Group are considered Level 1 assets as described in the Fair Value section of Note 2.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Commodity Exchange Membership

As of March 31, 2026, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Commodity Exchange (“COMEX”) and owns two COMEX seats. Graham Commodity Strategies LLC’s policy is to value the COMEX seats at fair value. As of March 31, 2026 and December 31, 2025, the two COMEX seats were valued at $155,000 and $172,000 in total and is included in Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The COMEX seats are considered Level 1 assets as described in the Fair Value section of Note 2.

Fixed Income Securities

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

Cash and Cash Equivalents

GAIT classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of GAIT’s cash would be limited to account insurance or other protection afforded by such deposit. At March 31, 2026 and December 31, 2025, GAIT did not have any cash or cash equivalents.

Indemnifications

In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31, 2026 and December 31, 2025, no accruals have been recorded by GAIT for indemnifications.

Segment Information

GAIT represents a single operating segment. An operating segment is defined in U.S. GAAP as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Investment Committee acts as GAIT’s CODM. GAIT represents a single operating segment, as the CODM monitors the operating results of GAIT as a whole and GAIT’s long-term strategic asset allocation is pre-determined in accordance with the terms of its LLC Agreement, based on a defined investment strategy which is executed by GAIT’s portfolio managers as a team. The financial information in the form of GAIT’s portfolio composition, total returns, expense ratios and changes in members’ capital (i.e., changes in members’ capital resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus GAIT’s comparative benchmarks and to make resource allocation decisions for GAIT’s single segment, is consistent with that presented within GAIT’s financial statements. Segment assets are reflected on the accompanying statements of financial condition as “total assets” and significant segment expenses are listed on the accompanying statements of operations.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of March 31, 2026 and December 31, 2025, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management fees or incentive allocation, and all offer monthly subscriptions and redemptions.

March 31, 2026
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (Loss) (three months ended March 2026)

Global Macro Funds
Graham Commodity Strategies LLC		5.19	%	$	3,290,776	$	(2,015,443	)
Graham Derivatives Strategies LLC		4.47	%		2,831,796		650,123

Systematic Macro Funds
Graham K4D Trading Ltd.		3.43	%		2,178,215		2,134,690
		13.09	%	$	8,300,787	$	769,370

December 31, 2025
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months ended March 2025)

Global Macro Funds
Graham Commodity Strategies LLC		4.96	%	$	3,163,276	$	1,276,569
Graham Derivatives Strategies LLC		4.07	%		2,593,855		514,643

Systematic Macro Funds
Graham K4D Trading Ltd.		5.29	%		3,371,187		10,705
		14.32	%	$	9,128,318	$	1,801,917

The following table summarizes the financial position of each Master Fund as of March 31, 2026:

	Graham Commodity Strategies LLC (Delaware)			Graham Derivatives Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	196,632,543		$	35,125,894		$	56,611,875
Fixed income securities, at fair value (cost $ –, $49,197,186, and $39,467,297, respectively)		–			49,575,479			39,730,163
Derivative financial instruments, at fair value		1,169,044			21,550,812			–
Exchange memberships, at fair value		11,576,539			235,000			2,188,244
Interest receivable		362,628			56,839			138,481
Total assets		209,740,754			106,544,024			98,668,763

Liabilities:
Derivative financial instruments, at fair value		32,675,740			–			18,155,046
Interest payable		67,870			28,967			91,801
Total liabilities		32,743,610			28,967			18,246,847
Members’ Capital / Net Assets	$	176,997,144		$	106,515,057		$	80,421,916

Percentage of Master Fund held by GAIT		1.86	%		2.66	%		2.71	%

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, 2026:

Description	Number of Contracts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Exchange memberships (cost $3,649,411)
United States (cost $3,649,411)
Financial services (cost $3,649,411)			$	11,576,539			6.54	%
Total exchange memberships			$	11,576,539			6.54	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	5,338,452			3.02	%
Foreign bond				(3,606,258	)		(2.04	)%
Foreign index				(1,283,935	)		(0.73	)%
Interest rate
ICE 3 Month SONIA Futures June 2027		6,345		(17,557,442	)		(9.92	)%
ICE 3 Month SONIA Futures December 2026		1,176		(663,861	)		(0.38	)%
ICE 3 Month SONIA Futures March 2027 - December 2027		7,714		1,287,757			0.73	%
Other interest rate				(4,128,353	)		(2.33	)%
U.S. bond
U.S. 2 yr Note (CBT) June 2026		14,806		(13,325,539	)		(7.53	)%
U.S. 10 yr Note (CBT) June 2026		357		(483,656	)		(0.27	)%
U.S. 5 yr - 10 yr Note (CBT) June 2026		418		97,109			0.05	%
Other U.S. bond				(70,750	)		(0.04	)%
U.S. index
S&P E-Mini Com Ser June 2026		19		7,375			0.00	%
S&P 500 E-Mini Futures June 2026		188		388,025			0.22	%
Other U.S. index				3,587,640			2.04	%
Total futures				(30,413,436	)		(17.18	)%

Forwards
Foreign currency				(8,311,434	)		(4.70	)%
Total forwards				(8,311,434	)		(4.70	)%

Options (cost $11,063,870)
Commodity futures				469,845			0.27	%
Currency futures				1,892,892			1.07	%
Interest rate futures				99,094			0.06	%
U.S. bond futures				2,108,438			1.19	%
U.S. index futures
S&P 500 E-Mini June 2026, $5,500.00 - $6,500.00 Put		4		9,167,800			5.18	%
S&P E-Mini 2nd Week April 2026, $6,000.00 Put		2		35,880			0.02	%
E-Mini SP Week April 2026, $6,400.00 Put		1		42,900			0.02	%
Total options				13,816,849			7.81	%

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, 2026:

Description	Number of Contracts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Long contracts (continued)
Swaps
Equity swap				$	76,138			0.04	%
Total swaps					76,138			0.04	%

Short contracts
Futures
Commodity				$	(690,704	)		(0.39	)%
Foreign bond					(2,018,225	)		(1.14	)%
Foreign index					62,484			0.04	%
U.S. bond
U.S. 2 yr Note (CBT) June 2026		(2,168	)		(421,688	)		(0.24	)%
Other U.S. bond					(1,346,703	)		(0.76	)%
U.S. index					306,055			0.17	%
Total futures					(4,108,781	)		(2.32	)%

Forwards
Foreign currency					10,393,958			5.87	%
Total forwards					10,393,958			5.87	%

Options (proceeds $10,417,843)
Commodity futures					(336,810	)		(0.19	)%
Currency futures					(1,110,705	)		(0.63	)%
Interest rate futures					(93,206	)		(0.05	)%
U.S. bond futures
U.S. 5 yr Note Friday Week 1 April 2026, $109.00 Call		(1	)		(12,258	)		(0.01	)%
U.S. 5 yr Future June 2026, $109.50 - $110.50 Call		(2	)		(224,625	)		(0.13	)%
U.S. 5 yr Future May 2026, $106.00 - $108.50 Put		(6	)		(1,759,703	)		(0.99	)%
U.S. index futures
S&P 500 E-Mini June 2026, $6,200.00 Put		(1	)		(9,146,550	)		(5.16	)%
E-Mini SP Week April 2026, $6,300.00 Put		(1	)		(47,580	)		(0.03	)%
S&P E-Mini 2nd Week April 2026 $6,100.00 Put		(1	)		(39,390	)		(0.02	)%
S&P500 E-Mini June 2026 $6,000.00 Put		(1	)		(189,163	)		(0.11	)%
Total options					(12,959,990	)		(7.32	)%
Total derivative financial instruments				$	(31,506,696	)		(17.80	)%

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, 2026:

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Derivatives Strategies LLC
Fixed income securities (cost $49,197,186)
Government Bonds (cost $49,197,186)
United States (cost $49,197,186)
U.S. Treasury Bills 0.00% due 06/11/2026	$	25,000,000	$	24,822,793			23.30	%
U.S. Treasury Bills 0.00% due 07/09/2026		25,000,000		24,752,686			23.24	%
Total Government Bonds				49,575,479			46.54	%
Total fixed income securities			$	49,575,479			46.54	%

Exchange memberships (cost $305,000)
United States (cost $305,000)
Financial services (cost $305,000)			$	235,000			0.22	%
Total exchange memberships			$	235,000			0.22	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	1,582,570			1.49	%
Foreign index				1,331,995			1.25	%
Interest rate
ICE 3 Month SONIA, December 2026		593		(5,903,766	)		(5.55	)%
Total futures				(2,989,201	)		(2.81	)%

Forwards
Foreign currency				315,583			0.30	%
Total forwards				315,583			0.30	%

Options (cost $71,783,348)
Commodity futures				8,498,986			7.98	%
Currency futures				19,070,218			17.89	%
Foreign bond futures				(1,986,362	)		(1.86	)%
Interest rate futures
ICE 3 Month SONIA 1 yr Mid-Curve, December 2026, $96.60 Call		1		3,603,922			3.38	%
ICE 3 Month SONIA, September 2026, $96.00 - $96.75 Call		3		(1,831,584	)		(1.72	)%
ICE 3 Month SONIA, December 2026, $96.00 Put		1		8,164,655			7.67	%
U.S. bond futures
U.S. 10 yr, May 2026, $109.50 Put		1		3,813,000			3.58	%
U.S. index futures
S&P 500 E-Mini, April 2026, $6,800.00 Call		1		5,652,488			5.31	%
S&P 500 E-Mini, April 2026, $7,000.00 Call		2		890,340			0.84	%
S&P 500 E-Mini, June 2026, $6,250.00 Put		1		7,760,400			7.29	%
Total options				53,636,063			50.36	%

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, 2026:

Description	Number of Contracts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Derivatives Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	(383,363	)		(0.37	)%
Foreign index					252,515			0.24	%
U.S. index
S&P 500 E-Mini, June 2026		(64	)		(34,275	)		(0.03	)%
Total futures					(165,123	)		(0.16	)%

Forwards
Foreign currency					(296,069	)		(0.28	)%
Total forwards					(296,069	)		(0.28	)%

Options (proceeds $42,537,510)
Commodity futures					(3,580,582	)		(3.36	)%
Currency					(4,401,485	)		(4.13	)%
Foreign bond					1,660,104			1.56	%
Interest rate futures
ICE 3 Month SONIA, September 2026, $96.25 - $96.90 Call		(2	)		1,716,384			1.61	%
ICE 3 Month SONIA 1 yr Mid-Curve, December 2026, $96.90 Call		(1	)		(2,079,186	)		(1.95	)%
ICE 3 Month SONIA, December 2026, $96.25 Put		(1	)		(9,932,057	)		(9.33	)%
U.S. bond futures					(2,090,719	)		(1.96	)%
U.S. index futures
S&P 500 E-Mini, April 2026, $6,900.00 Call		(1	)		(4,920,300	)		(4.62	)%
S&P 500 E-Mini, June 2026, $6,000.00 Put		(2	)		(5,322,600	)		(5.00	)%
Total options					(28,950,441	)		(27.18	)%
Total derivative financial instruments				$	21,550,812			20.23	%

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, 2026:

Description	Principal Amount / Number of Contracts / Notional Amount		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities (cost $39,467,297)
Government Bonds (cost $39,467,297)
United States (cost $39,467,297)
U.S. Treasury bond 0.00% due 04/23/2026	$	20,000,000	$	19,955,677			24.81	%
U.S. Treasury bond 0.00% due 07/23/2026		20,000,000		19,774,486			24.59	%
Total Government Bonds				39,730,163			49.40	%
Total fixed income securities			$	39,730,163			49.40	%

Exchange memberships (cost $1,924,208)
United States (cost $1,924,208)
Financial services (cost $1,924,208)			$	2,188,244			2.72	%
Total exchange memberships			$	2,188,244			2.72	%

Derivative financial instruments
Long contracts
Futures
Commodity			$	3,056,249			3.80	%
Currency				(49,289	)		(0.06	)%
Foreign bond				(2,978,221	)		(3.70	)%
Foreign index				(5,466,857	)		(6.81	)%
U.S. bond
U.S. 5 yr -10 yr Note (CBT) June 2026		2,380		(5,419,164	)		(6.74	)%
U.S. Long Bond (CBT) June 2026		723		(2,086,289	)		(2.59	)%
U.S. index				(2,688,798	)		(3.34	)%
Total futures				(15,632,369	)		(19.44	)%

Forwards
Foreign currency
Australian dollar / U.S. dollar 06/17/2026	AUD 168,003,000			(4,455,177	)		(5.54	)%
Other foreign currency				(4,160,502	)		(5.17	)%
Total forwards				(8,615,679	)		(10.71	)%

Swaps (proceeds $4,378,482)
Interest rate				(5,021,139	)		(6.24	)%
Total swaps				(5,021,139	)		(6.24	)%

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, 2026:

Description	Number of Contracts / Notional Amount			Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	(3,846,178	)		(4.78	)%
Currency					32,343			0.04	%
Foreign bond					1,474,426			1.83	%
Foreign index					1,791,965			2.23	%
Interest rate					1,288,251			1.60	%
U.S. bond
U.S. 2 yr Note (CBT) June 2026		(632	)		936,241			1.16	%
U.S. index					(139,128	)		(0.17	)%
Total futures					1,537,920			1.91	%

Forwards
Foreign currency
Australian dollar / U.S. dollar 06/17/2026	AUD (92,802,000)				1,059,589			1.32	%
Other foreign currency					4,303,601			5.35	%
Total forwards					5,363,190			6.67	%

Swaps (cost $3,008,059)
Interest rate					4,213,031			5.24	%
Total swaps					4,213,031			5.24	%
Total derivative financial instruments				$	(18,155,046	)		(22.57	)%

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, 2026:

	Graham Commodity Strategies LLC			Graham Derivatives Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	9,254,151		$	2,079,007		$	9,010,248
Commodity futures options		469,845			8,498,986			–
Currency futures		–			–			37,031
Exchange memberships*		11,576,539			235,000			2,188,244
Foreign bond futures		1,117,820			–			1,498,064
Foreign bond futures options		–			2,415,731			–
Foreign index futures		791,264			1,584,510			1,803,506
Interest rate futures		2,830,031			–			1,319,238
Interest rate futures options		99,094			13,484,960			–
U.S. bond futures		97,109			–			936,241
U.S. bond futures options		2,108,438			3,813,000			–
U.S. index futures		4,366,810			–			–
U.S. index futures options		9,246,580			14,303,228			–
Total Level 1		41,957,681			46,414,422			16,792,572

Level 2:
Currency futures options		1,892,892			19,070,218			–
Equity swap		76,138			–			–
Foreign currency forwards		15,424,388			1,280,075			6,281,734
Government bonds*		–			49,575,479			39,730,163
Interest rate swaps		–			–			4,593,909
Total Level 2		17,393,418			69,925,772			50,605,806
Total investment related assets	$	59,351,099		$	116,340,194		$	67,398,378

Liabilities
Level 1:
Commodity futures	$	(4,606,403	)	$	(879,800	)	$	(9,800,177	)
Commodity futures options		(336,810	)		(3,580,582	)		–
Currency futures		–			–			(53,977	)
Foreign bond futures		(6,742,303	)		–			(3,001,859	)
Foreign bond futures options		–			(2,741,989	)		–
Foreign index futures		(2,012,715	)		–			(5,478,398	)
Interest rate futures		(23,891,930	)		(5,903,766	)		(30,987	)
Interest rate futures options		(93,206	)		(13,842,826	)		–
U.S. bond futures		(15,648,336	)		–			(7,505,453	)
U.S. bond futures options		(1,996,586	)		(2,090,719	)		–
U.S. index futures		(77,715	)		(34,275	)		(2,827,926	)
U.S. index futures options		(9,422,683	)		(10,242,900	)		–
Total Level 1		(64,828,687	)		(39,316,857	)		(28,698,777	)

Level 2:
Currency futures options		(1,110,705	)		(4,401,485	)		–
Foreign currency forwards		(13,341,864	)		(1,260,561	)		(9,534,223	)
Interest rate swaps		–			–			(5,402,017	)
Total Level 2		(14,452,569	)		(5,662,046	)		(14,936,240	)
Total investment related liabilities	$	(79,281,256	)	$	(44,978,903	)	$	(43,635,017	)

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

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 categorized by primary underlying risk of Graham Commodity Strategies LLC based on its quarterly notional amounts and number of contracts for the three months ended March 31, 2026. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at March 31, 2026 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	263,023,630		2,171	$	(113,824,648	)		(1,347	)	$	9,254,151	$	(4,606,403	)
Options (a)		2,918,476		99		(2,879,816	)		(539	)		469,845		(336,810	)
		265,942,106		2,270		(116,704,464	)		(1,886	)		9,723,996		(4,943,213	)

Equity price
Futures		314,253,600		1,069		(175,138,445	)		(2,237	)		5,158,074		(2,090,430	)
Options (a)		127,852,405		1,363		(124,673,411	)		(1,469	)		9,246,580		(9,422,683	)
Swap		8,448,904		1,434		–			–			76,138		–
		450,554,909		3,866		(299,811,856	)		(3,706	)		14,480,792		(11,513,113	)
Foreign currency exchange rate
Forwards		1,112,327,432		N/A		(1,051,153,794	)		N/A			15,424,388		(13,341,864	)
Options (a)		92,690,304		11		(113,120,087	)		(25	)		1,892,892		(1,110,705	)
		1,205,017,736		11		(1,164,273,881	)		(25	)		17,317,280		(14,452,569	)

Interest rate
Futures		12,314,637,886		52,047		(2,234,787,687	)		(14,782	)		4,044,960		(46,282,569	)
Options (a)		265,626,140		4,975		(263,362,282	)		(8,666	)		2,207,532		(2,089,792	)
		12,580,264,026		57,022		(2,498,149,969	)		(23,448	)		6,252,492		(48,372,361	)
Total	$	14,501,778,777		63,169	$	(4,078,940,170	)		(29,065	)	$	47,774,560	$	(79,281,256	)

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

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 categorized by primary underlying risk of Graham Derivatives Strategies LLC based on its quarterly notional amounts and number of contracts for the three months ended March 31, 2026. The table also displays the fair value of derivative contracts held by Graham Derivatives Strategies LLC at March 31, 2026 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	132,833,288		1,734	$	(68,247,563	)		(610	)	$	2,079,007	$	(879,800	)
Options (a)		113,715,527		6,446		(65,114,719	)		(6,240	)		8,498,986		(3,580,582	)
		246,548,815		8,180		(133,362,282	)		(6,850	)		10,577,993		(4,460,382	)

Equity price
Futures		80,002,734		593		(120,491,782	)		(1,632	)		1,584,510		(34,275	)

GRAHAM ALTERNATIVE INVESTMENT FUND II LLC 10-Q