Grade layers are quick ways to color grade several layers at once.
The alternatives are to grade each layer individually (which gives you lots of control but can take some time!) or to put all the layers into an embedded composite shot and grade that (which can be inconvenient if you don't want to embed those layers). Using grade layers can be faster and easier.
Creating Grade Layers
You can create grade layers from the New Layer menu in composite shot timelines.
When they are first created, grade layers will be invisible and will have no effect on your project. Any 2D effects you add to the grade layer will affect all of the layers beneath it.
Grade layers are created at the same resolution as the currently open composite shot.
Grade layers flatten any 3D layers they are above. This means that any 3D layers above the grade layer will not be able to interact with 3D layers below.
Transforming Grade Layers
Grade layers can be transformed like any other layer, in 2D or 3D.
By transforming a grade layer you can change the area affected by it. Only layers directly behind the grade layer will be affected.
Masks can also be used to specify which parts of a grade layer affect the layers below.
3D Transform & Layer Order
If you transform a grade layer in 3D, its position in 3D space does not directly affect which layers it grades. Even when in 3D, it is its position in the layer listing on the timeline which determines which layers are affected.