Ceres Orion (OFFLP) 10-K 2012 FY Annual report

Exhibit 99.1

To the Members of

AAA Master Fund LLC

To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.

By:	Walter Davis
	President and Director Ceres Managed Futures LLC Managing Member, AAA Master Fund LLC
Ceres Managed Futures LLC 522 Fifth Avenue 14th Floor New York, NY 10036 (855)672-4468

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Members of

AAA Master Fund LLC:

We have audited the accompanying statements of financial condition of AAA Master Fund LLC (the “Company”), including the condensed schedules of investments, as of December 31, 2012 and 2011, and the related statements of income and expenses, and changes in members’ capital for each of the three years in the period ended December 31, 2012. These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Company is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material respects, the financial position of AAA Master Fund LLC as of December 31, 2012 and 2011, and the results of its operations and its changes in members’ capital for each of the three years in the period ended December 31, 2012, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

New York, New York

March 25, 2013

AAA Master Fund LLC

Statements of Financial Condition

December 31, 2012 and 2011

	2012		2011
Assets:
Equity in trading account:
Cash (Note 3c)	$	710,986,415	$	671,605,055
Cash margin (Note 3c)		38,559,983		33,580,718
Options purchased, at fair value (cost $214,452,195 and $394,712,745, respectively)		160,438,693		374,133,088
Total assets	$	909,985,091	$	1,079,318,861
Liabilities and Members’ Capital:
Liabilities:
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	29,721,227	$	6,062,595
Options premium received, at fair value (premium $75,518,560 and $223,316,821, respectively)		37,237,413		96,374,598
Accrued expenses:
Professional fees		268,298		371,076
Total liabilities		67,226,938		102,808,269
Members’ Capital:
Members’ Capital, 82,455.2248 and 96,401.5933 units outstanding at December 31, 2012 and 2011, respectively		842,758,153		976,510,592
Total liabilities and members’ capital	$	909,985,091	$	1,079,318,861
Net asset value per unit	$	10,220.80	$	10,129.61

See accompanying notes to financial statements.

AAA Master Fund LLC

Condensed Schedule of Investments

December 31, 2012

	Number of Contracts		Fair Value			% of Members’ Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		28,941	$	(7,554,487	)		(0.90	)%
Total futures and exchange-cleared swap contracts purchased				(7,554,487	)		(0.90	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy		23,309		(22,166,740	)		(2.63	)
Total futures and exchange-cleared swap contracts sold				(22,166,740	)		(2.63	)
Options Purchased
Call
Energy
NYMEX LT Crude Oil Feb 13 – Dec 15		10,246		85,675,570			10.17
Other		3,838		2,271,899			0.27
Call options purchased				87,947,469			10.44
Put
Energy
NYMEX LT Crude Oil Feb 13 – Dec 14		8,080		50,253,660			5.96
Other		2,549		22,237,564			2.64
Put options purchased				72,491,224			8.60
Total options purchased				160,438,693			19.04
Options Premium Received
Call
Energy		11,030		(28,666,392	)		(3.40	)
Call options premium received				(28,666,392	)		(3.40	)
Put
Energy		6,042		(8,571,021	)		(1.02	)
Put options premium received				(8,571,021	)		(1.02	)
Total options premium received				(37,237,413	)		(4.42	)
Net fair value			$	93,480,053			11.09	%

See accompanying notes to financial statements.

AAA Master Fund LLC

Condensed Schedule of Investments

December 31, 2011

	Number of Contracts		Fair Value			% of Members’ Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		31,887	$	(119,406,111	)		(12.23	)%
Indices		60		(5,232	)		(0.00	)*
Lumber		41		21,365			0.00	*
Softs		430		(815,575	)		(0.08	)
Total futures and exchange-cleared swap contracts purchased				(120,205,553	)		(12.31	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy
NYMEX HH Swap Mar 12 – Dec 14		10,565		79,310,347			8.12
Other		17,763		35,201,407			3.60
Grains		153		(331,229	)		(0.03	)
Lumber		41		(37,567	)		(0.00	)*
Total futures and exchange-cleared swap contracts sold				114,142,958			11.69
Options Purchased
Call
Energy
NYMEX LT Crude Oil Feb 12 – Dec 14		9,179		97,782,830			10.01
Other		8,590		38,624,446			3.96
Indices		120		189,600			0.02
Call options purchased				136,596,876			13.99
Put
Energy
NYMEX LT Crude Oil Feb 12 – Dec 14		15,707		105,386,170			10.79
NYMEX Natural Gas E Feb 12 – Jan 13		3,022		84,054,102			8.61
Other		6,764		46,428,317			4.75
Grains		70		300,563			0.03
Indices		1,348		1,367,060			0.14
Put options purchased				237,536,212			24.32
Total options purchased				374,133,088			38.31
Options Premium Received
Call
Energy		25,531		(42,662,618	)		(4.37	)
Grains		164		(169,713	)		(0.01	)
Indices		270		(449,100	)		(0.05	)
Call options premium received				(43,281,431	)		(4.43	)
Put
Energy		25,561		(53,008,680	)		(5.43	)
Indices		585		(84,487	)		(0.01	)
Put options premium received				(53,093,167	)		(5.44	)
Total options premium received				(96,374,598	)		(9.87	)
Net fair value			$	271,695,895			27.82	%

* Due to rounding.

See accompanying notes to financial statements.

AAA Master Fund LLC

Statements of Income and Expenses

for the years ended December 31, 2012, 2011 and 2010

	2012			2011			2010
Investment Income:
Interest income	$	410,168		$	240,161		$	718,246
Expenses:
Clearing fees		3,609,734			2,400,973			3,163,655
Professional fees		222,998			548,484			739,340
Total expenses		3,832,732			2,949,457			3,902,995
Net investment income (loss)		(3,422,564	)		(2,709,296	)		(3,184,749	)
Trading Results:
Net gains (losses) on trading of commodity interest:
Net realized gains (losses) on closed contracts		156,999,501			(125,889,892	)		(66,599,159	)
Change in net unrealized gains (losses) on open contracts		(145,753,553	)		189,600,221			21,681,514
Total trading results		11,245,948			63,710,329			(44,917,645	)
Net income (loss)	$	7,823,384		$	61,001,033		$	(48,102,394	)
Net income (loss) per unit* (Note 6)	$	95.76		$	634.41		$	(431.84	)
Weighted average units outstanding		92,916.1757			101,822.4505			111,118.5200

* Based on change in net asset value per unit.

See accompanying notes to financial statements.

AAA Master Fund LLC

Statements of Changes in Members’ Capital

for the years ended December 31, 2012, 2011 and 2010

	Members’ Capital
Members’ Capital at December 31, 2009	$	1,229,195,192
Net income (loss)		(48,102,394	)
Subscriptions of 3,852.9008 Units		37,495,753
Redemptions of 24,340.2940 Units		(237,500,667	)
Distribution of interest income to feeder funds		(718,246	)
Members’ Capital at December 31, 2010		980,369,638
Net income (loss)		61,001,033
Subscriptions of 13,555.9786 Units		131,417,847
Redemptions of 20,377.5999 Units		(196,037,765	)
Distribution of interest income to feeder funds		(240,161	)
Members’ Capital at December 31, 2011		976,510,592
Net income (loss)		7,823,384
Subscriptions of 8,815.6670 Units		89,833,628
Redemptions of 22,762.0355 Units		(230,999,283	)
Distribution of interest income to feeder funds		(410,168	)
Members’ Capital at December 31, 2012	$	842,758,153

Net asset value per unit:
2010:	$	9,497.57
2011:	$	10,129.61
2012:	$	10,220.80

See accompanying notes to financial statements.

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

1. General:

AAA Master Fund LLC, (the “Master”) is a limited liability company formed under the New York Limited Liability Company Law. The Master’s purpose is to engage in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The Master may trade commodity futures and option contracts of any kind but intends initially to trade solely energy, energy related products, grains, indices, lumber and softs. The commodity interests that are traded by the Master are volatile and involve a high degree of market risk. The Master may sell an unlimited number of units of member interest (“Units”).

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the managing member (the “Managing Member”) and commodity pool operator of the Master. The Managing Member is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Inc., indirectly, owns a minority equity interest in MSSB Holdings. Citigroup Inc. also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker for the Master. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the Managing Member was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. As of December 31, 2012, all trading decisions for the Master are made by the Advisor (defined below).

On September 1, 2001 (date Master commenced trading), AAA Capital Energy Fund L.P. (“AAA”) allocated substantially all of its capital and Orion Futures Fund L.P. (“Orion”) allocated a portion of its capital to the Master. The partnerships purchased 133,712.5867 Units with a fair value of $133,712,587 (including unrealized appreciation of $7,755,035). On July 1, 2002, AAA Capital Energy Fund L.P. II (“AAA II”) allocated substantially all of its capital to the Master and purchased 64,945.0387 Units with cash equal to $94,925,000. On October 1, 2005, Tactical Diversified Futures Fund L.P. (“Tactical Diversified”) allocated a portion of its capital to the Master and purchased 13,956.1190 Units with cash equal to $50,000,000. On July 1, 2005, Institutional Futures Portfolio L.P. (“Institutional Portfolio”) allocated a portion of its capital to the Master and purchased 2,386.2338 Units with cash equal to $7,000,000. On July 1, 2006, Legion Strategies, LTD (“Legion LTD”) allocated a portion of its capital to the Master and purchased 793.9501 Units with cash equal to $4,000,000. On October 1, 2006, Energy Advisors Portfolio L.P. (“Energy Advisors”) allocated a portion of its capital to the Master and purchased 723.8213 Units with cash equal to $3,315,000. On March 1, 2007, Global Futures Fund Ltd. (“Global Futures”) allocated a portion of its capital to the Master and purchased 344.5961 Units with cash equal to $1,614,644. On April 1, 2009, Orion Futures Fund (Cayman) Ltd. (“Orion Cayman”) allocated a portion of its capital to the Master and purchased 84.1311 Units with cash equal to $800,000. On January 31, 2010, Tactical Diversified redeemed its entire investment in the Master for cash equal to $40,267,084. On December 31, 2010, Legion LTD redeemed its entire investment in the Master for cash equal to $7,941,213. On April 30, 2011, Energy Advisors redeemed its entire investment in the Master for cash equal to $3,469,560. The Master was formed to permit commodity pools managed by AAA Capital Management Advisors, Ltd. (the “Advisor”) using the Energy Program – Futures and Swaps, a proprietary, discretionary trading program, to invest together in one trading vehicle.

The Master operates under a structure where its investors consist of AAA, AAA II, Institutional Portfolio, Global Futures, Orion and Orion Cayman (each a “Member”, collectively the “Funds”). AAA, AAA II, Institutional Portfolio, Global Futures, Orion and Orion Cayman owned approximately 17.3%, 32.7%, 1.4%, 1.1%, 47.2% and 0.3%, respectively, of the Master at December 31, 2012. AAA, AAA II, Institutional Portfolio, Global Futures, Orion and Orion Cayman owned approximately 19.9%, 36.1%, 1.7%, 1.2%, 40.8% and 0.3%, respectively, of the Master at December 31, 2011.

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

The Master will be liquidated under certain circumstances as defined in the limited liability company agreement of the Master (the “Limited Liability Company Agreement”).

2. Accounting Policies:

a. Use of Estimates.    The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

b. Statement of Cash Flows.    The Master is not required to provide a Statement of Cash Flows.

c. Master’s Investments.    All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses are included in the Statements of Income and Expenses.

Master’s Fair Value Measurements.    Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement falls in its entirety shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.

The Master will separately present purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and makes disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

Effective January 1, 2012, the Master adopted Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards” (“IFRS”). The amendments within this ASU changed the wording used to describe many of the GAAP requirements for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS.

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

However, some of the amendments clarified the Financial Accounting Standards Board’s (the “FASB”) intent about the application of existing fair value measurement requirements and other amendments changed a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Master’s financial statements.

The Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange traded swaps and certain option contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the years ended December 31, 2012 and December 31, 2011, the Master did not hold any derivative instruments for which market quotations are not readily available and which were priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). For the years ended December 31, 2012 and 2011, there were no transfers of assets or liabilities between Level 1 and Level 2.

	December 31, 2012		Quoted Prices in Active  Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures and Exchange-Cleared Swaps	$	54,683,502	$	54,683,502	$	—	$	—
Options purchased		160,438,693		160,438,693		—		—
Total assets		215,122,195		215,122,195		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	84,404,729	$	84,404,729	$	—	$	—
Options premium received		37,237,413		37,237,413		—		—
Total liabilities		121,642,142		121,642,142		—		—
Net fair value	$	93,480,053	$	93,480,053	$	—	$	—

	December 31, 2011		Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Futures and Exchange-Cleared Swaps	$	149,805,316	$	149,805,316		$—		$—
Options purchased		374,133,088		374,133,088		—		—
Total assets		523,938,404		523,938,404		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	155,867,911	$	155,867,911		$—		$—
Options premium received		96,374,598		96,374,598		—		—
Total liabilities		252,242,509		252,242,509		—		—
Net fair value	$	271,695,895	$	271,695,895		$—		$—

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

d. Futures Contracts.    The Master trades futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses.

e. Options.    The Master may purchase and write (sell), both exchange-listed and over-the-counter, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Master writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses.

f. Income and Expenses Recognition.    All of the income and expenses and realized and unrealized gains and losses on trading of commodity interests are determined on each valuation day and allocated pro rata among the Funds at the time of such determination.

g. Income Taxes.    Income taxes have not been provided as each Member is individually liable for the taxes, if any, on its share of the Master’s income and expenses.

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Master’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Master level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Member concluded that no provision for income tax is required in the Master’s financial statements.

The Master files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2009 through 2012 tax years remain subject to examination by U.S. federal and most state tax authorities. The Managing Member does not believe that there are any uncertain tax positions that require recognition of a tax liability.

h. Subsequent Events.    The Managing Member evaluates events that occur after the balance sheet date but before financial statements are filed. The Managing Member has assessed the

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

i. Recent Accounting Pronouncements.    On October 1, 2012, the FASB issued ASU 2012-04 “Technical Corrections and Improvements”, which makes minor technical corrections and clarifications to Accounting Standards Codification (“ASC”) 820, “Fair Value Measurements and Disclosures.” When the FASB issued Statement 157 (codified in ASC 820), it conformed the use of the term “fair value” in certain pre-Codification standards but not others. ASU 2012-04 conforms the term’s use throughout the ASC “to fully reflect the fair value measurement and disclosure requirements” of ASC 820. ASU 2012-04 also amends the requirements that must be met for an investment company to qualify for the exemption from presenting a statement of cash flows. Specifically, it eliminates the requirements that substantially all of an entity’s investments be carried at “market value” and that the investments be highly liquid. Instead, it requires substantially all of the entity’s investments to be carried at “fair value” and classified as Level 1 or Level 2 measurements under ASC 820. The amendments are effective for fiscal periods beginning after December 15, 2012. The adoption of this ASU will not have a material impact on the Master’s financial statements.

In December 2011, the FASB issued ASU 2011-11, “Disclosures about Offsetting Assets and Liabilities,” which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Subsequently in January 2013, the FASB issued ASU 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities”, which clarifies the types of instruments and transactions that are subject to the offsetting disclosure requirements established by ASU 2011-11. Entities are required to disclose both gross and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of these disclosures is to facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Master would also provide the disclosures retrospectively for all comparative periods presented. The Master is currently evaluating the impact these pronouncements would have on the financial statements.

In October 2011, the FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by the FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, the FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. In August 2012, the FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. The Master will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

j. Net Income (Loss) per unit.    Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 6, “Financial Highlights.”

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

3. Agreements:

a. Limited Liability Company Agreement:

The Managing Member administers the business affairs of the Master, including selecting one or more advisors to make trading decisions for the Master.

b. Management Agreement:

The Managing Member, on behalf of the Master, has entered into a management agreement (the “Management Agreement”) with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the Managing Member or CGM and is not responsible for the organization or operation of the Master. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement shall be borne by the Funds. The Management Agreement may be terminated upon notice by either party.

c. Customer Agreement:

The Master has entered into a customer agreement (the “Customer Agreement”) with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master’s account in accordance with orders placed by the Advisor. All floor brokerage, exchange, clearing, service, user, give-up and National Futures Association fees (collectively the “clearing fees”) are borne by the Master consistent with contractual agreements. All other fees (management fees, administrative fees, incentive fees, brokerage commissions and offering costs) shall be borne by the Funds. All of the Master’s cash is deposited by CGM in segregated bank accounts, to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2012 and 2011, the amounts of cash held by the Master for margin requirements were $38,559,983 and $33,580,718, respectively. The Customer Agreement may be terminated by either party. All commissions in connection with the Customer Agreement shall be borne by the Funds.

4. Trading Activities:

The Master was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Master’s trading activities are shown in the Statements of Income and Expenses.

The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses on open futures and exchange-cleared swap contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and exchange-cleared swap contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” have been met.

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures and exchange-cleared swap contracts traded during the years ended December 31, 2012 and 2011 were 43,202 and 82,768, respectively. The monthly average number of option contracts traded during the years ended December 31, 2012 and 2011 were 72,140 and 108,906, respectively.

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

The following tables indicate the gross fair values of derivative instruments of futures and exchange-cleared swaps and option contracts as separate assets and liabilities as of December 31, 2012 and 2011.

	December 31, 2012
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	54,683,502
Total unrealized appreciation on open futures and exchange-cleared swap contracts		54,683,502
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy		(84,404,729	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts		(84,404,729	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(29,721,227	)*
Assets
Options Purchased
Energy	$	160,438,693
Total options purchased	$	160,438,693	**
Liabilities
Options Premium Received
Energy	$	(37,237,413	)
Total options premium received	$	(37,237,413	)***

* This amount is in “Net unrealized depreciation on open futures and exchange-cleared swap contracts” on the Statements of Financial Condition.

** This amount is in “Options purchased, at fair value” on the Statements of Financial Condition.

*** This amount is in “Options premium received, at fair value” on the Statements of Financial Condition.

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

	December 31, 2011
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	149,194,744
Indices		5,735
Lumber		21,365
Softs		583,472
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	149,805,316
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(154,089,101	)
Grains		(331,229	)
Indices		(10,967	)
Lumber		(37,567	)
Softs		(1,399,047	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(155,867,911	)
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(6,062,595	)*
Assets
Options Purchased
Energy	$	372,275,865
Grains		300,563
Indices		1,556,660
Total options purchased	$	374,133,088	**
Liabilities
Options Premium Received
Energy	$	(95,671,298	)
Grains		(169,713	)
Indices		(533,587	)
Total options premium received	$	(96,374,598	)***

* This amount is in “Net unrealized depreciation on open futures and exchange-cleared swap contracts” on the Statements of Financial Condition.

** This amount is in “Options purchased, at fair value” on the Statements of Financial Condition.

*** This amount is in “Options premium received, at fair value” on the Statements of Financial Condition.

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the years ended December 31, 2012, 2011 and 2010.

Sector	December 31, 2012 Gain (loss) from trading			December 31, 2011 Gain (loss) from trading			December 31, 2010 Gain (loss) from trading
Currencies	$	—		$	—		$	(1,876,020	)
Energy		12,879,355			66,029,795			(43,137,992	)
Grains		670,620			(37,175	)		—
Indices		(836,720	)		(836,767	)		—
Lumber		163,753			490,074			96,367
Softs		(1,631,060	)		(1,935,598	)		—
Total	$	11,245,948	****	$	63,710,329	****	$	(44,917,645	)****

**** This amount is in “Total trading results” on the Statements of Income and Expenses.

5. Subscriptions, Distributions and Redemptions:

Subscriptions are accepted monthly from investors and they become non-managing members on the first day of the month after their subscription is processed. A non-managing member may withdraw all or part of their capital contribution and undistributed profits, if any, from the Master in multiples of the net asset value per Unit as of the end of any month. The Units are classified as a liability when the non-managing member elects to redeem and informs the Master.

6. Financial Highlights:

Changes in the net asset value per unit for the years ended December 31, 2012, 2011 and 2010 were as follows:

	2012			2011			2010
Net realized and unrealized gains (losses)*	$	93.58		$	637.48		$	(431.69	)
Interest income		4.57			2.37			6.64
Expenses**		(2.39	)		(5.44	)		(6.79	)
Increase (decrease) for the year		95.76			634.41			(431.84	)
Distribution of interest income to feeder funds		(4.57	)		(2.37	)		(6.64	)
Net asset value per unit, beginning of year		10,129.61			9,497.57			9,936.05
Net asset value per unit, end of year	$	10,220.80		$	10,129.61		$	9,497.57

* Includes clearing fees.

** Excludes clearing fees.

Ratio to average net assets:
Net investment income (loss)***	(0.4	)%	(0.3	)%	(0.3	)%
Operating expenses	0.4	%	0.3	%	0.4	%
Total return	0.9	%	6.7	%	(4.4	)%

*** Interest income less total expenses.

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

The above ratios may vary for individual investors based on the timing of capital transactions during the year. Additionally, these ratios are calculated for the non-managing member class using the non-managing member’s share of income, expenses and average net assets.

7. Financial Instrument Risks:

In the normal course of business, the Master is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards, swaps and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Master is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Master’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the

contract or notional amounts of the instruments. The Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Master has credit risk and concentration risk, as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Master’s counterparty is an exchange or clearing organization.

The Advisor will concentrate the Master’s trading in energy related markets. Concentration in a limited number of commodity interests may subject the Master’s account to greater volatility than if a more diversified portfolio of contracts were traded on behalf of the Master.

As both a buyer and seller of options, the Master pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Master to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Master does not consider these contracts to be guarantees.

AAA Master Fund LLC

Notes to Financial Statements

December 31, 2012

The Managing Member monitors and attempts to control the Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Master may be subject. These monitoring systems generally allow the Managing Member to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and exchange-cleared swaps, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year of the inception date. However, due to the nature of the Master’s business, these instruments may not be held to maturity.