In this paper, we study the structure of the graded ring associated to a limit key polynomial $Q_n$ in terms of the key polynomials that define $Q_n$. In order to do that, we use direct limits. In general, we describe the direct limit of a family of graded rings associated to a totally ordered set of valuations. As an example, we describe the graded ring associated to a valuation-algebraic valuation as a direct limit of graded rings associated to residue-transcendental valuations.