Ceres Orion (OFFLP) 10-K 2014 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:	Patrick T. Egan
	President and Director Ceres Managed Futures LLC Managing Member, AAA Master Fund LLC
Ceres Managed Futures LLC 522 Fifth Avenue New York, NY 10036 (855)672-4468

REPORTOFINDEPENDENTREGISTEREDPUBLICACCOUNTINGFIRM

To the Members of

AAA Master Fund LLC:

We have audited the accompanying statement of financial condition (liquidation basis) of AAA Master Fund LLC (the “Company”), as of December 31, 2014 (termination of operations) and the related statements of income and expenses (liquidation basis) and changes in members’ capital (liquidation basis) for the year ended December 31, 2014 (termination of operations). In addition, we have audited the accompanying statement of financial condition, including the condensed schedule of investments, of the Company as of December 31, 2013, and the related statements of income and expenses and changes in partners’ capital for the years ended December 31, 2013 and 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.

As discussed in Note 1 to the financial statements, the Company terminated operations on December 31, 2014. As a result, the Company changed its basis of accounting from the going concern basis to the liquidation basis.

In our opinion, such financial statements present fairly, in all material respects, (1) the financial position (liquidation basis) of AAA Master Fund LLC as of December 31, 2014 (termination of operations), (2) the results of its operations (liquidation basis) and changes in its members’ capital (liquidation basis) for the year ended December 31, 2014 (termination of operations), (3) the financial position as of December 31, 2013, and (4) the results of its operations and changes in its members’ capital for the years ended December 31, 2013 and 2012, in conformity with accounting principles generally accepted in the United States of America applied on the bases described in the preceding paragraph.

/s/ Deloitte & Touche LLP

New York, New York

March 25, 2015

AAA Master Fund LLC

Statements of Financial Condition

December 31, 2014 (termination of operations) (liquidation basis) and December 31, 2013

	December 31, 2014*		December 31, 2013
Assets:
Equity in trading account:
Cash (Note 3c)	$	154,899,638	$	427,829,581
Cash margin (Note 3c)		—		20,401,097
Net unrealized appreciation on open futures and exchange-cleared swap contracts		—		3,968,683
Options purchased, at fair value (cost $0 and $49,583,260, respectively)		—		25,074,590
Receivable from Orion		—		34,249
Total assets	$	154,899,638	$	477,308,200
Liabilities and Members’ Capital:
Liabilities:
Options premium received, at fair value (premium $0 and $35,897,312, respectively)	$	—	$	14,379,750
Accrued expenses:
Clearing fees due to MS&Co.		8,693		3,782
Professional fees		85,774		179,064
Liquidation redemptions payable		154,805,171		—
Total liabilities		154,899,638		14,562,596
Members’ Capital:
Members’ Capital, 0.0000 and 49,663.4600 units outstanding at December 31, 2014 and 2013, respectively		—		462,745,604
Total liabilities and members’ capital	$	154,899,638	$	477,308,200
Net asset value per unit	$	—	$	9,317.63

* Presented on a liquidation basis of accounting.

See accompanying notes to financial statements.

AAA Master Fund LLC

Condensed Schedule of Investments

December 31, 2013

	Number of Contracts		Fair Value			% of Members' Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		3,671	$	1,617,462			0.35	%
Total futures and exchange-cleared swap contracts purchased				1,617,462			0.35
Futures and Exchange-Cleared Swap Contracts Sold
Energy		4,485		2,351,221			0.51
Total futures and exchange-cleared swap contracts sold				2,351,221			0.51
Net unrealized appreciation on open futures and exchange-cleared swap contracts				3,968,683			0.86
Options Purchased
Call
Energy		4,990		18,832,170			4.07
Call options purchased				18,832,170			4.07
Put
Energy		2,263		6,242,420			1.35
Put options purchased				6,242,420			1.35
Total options purchased				25,074,590			5.42
Options Premium Received
Call
Energy		4,443		(3,471,110	)		(0.75	)
Call options premium received				(3,471,110	)		(0.75	)
Put
Energy		3,090		(10,908,640	)		(2.36	)
Put options premium received				(10,908,640	)		(2.36	)
Total options premium received				(14,379,750	)		(3.11	)
Net fair value			$	14,663,523			3.17	%

See accompanying notes to financial statements.

AAA Master Fund LLC

Statements of Income and Expenses

for the years ended December 31, 2014 (termination of operations) (liquidation basis),

2013 and 2012

	2014*			2013			2012
Investment Income:
Interest income	$	62,220		$	196,816		$	410,168
Expenses:
Clearing fees		1,091,333			2,780,779			3,609,734
Professional fees		115,621			368,365			222,998
Total expenses		1,206,954			3,149,144			3,832,732
Net investment income (loss)		(1,144,734	)		(2,952,328	)		(3,422,564	)
Trading Results:
Net gains (losses) on trading of commodity interest:
Net realized gains (losses) on closed contracts		(7,075,324	)		(113,661,891	)		156,999,501
Change in net unrealized gains (losses) on open contracts		(977,575	)		46,431,157			(145,753,553	)
Total trading results		(8,052,899	)		(67,230,734	)		11,245,948
Net income (loss)	$	(9,197,633	)	$	(70,183,062	)	$	7,823,384
Net income (loss) per unit** (Note 6)	$	(82.29	)	$	(900.34	)	$	95.76
Weighted average units outstanding***		42,133.1951			71,179.5822			92,916.1757

* Presented on a liquidation basis of accounting.

** Based on change in net asset value per unit before distribution of interest income to feeder funds.

*** Calculated based on pre-liquidation redemption.

See accompanying notes to financial statements.

AAA Master Fund LLC

Statements of Changes in Members’ Capital

for the years ended December 31, 2014 (termination of operations) (liquidation basis),

2013 and 2012

		Members’ Capital
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 income (loss)			(70,183,062	)
Subscriptions of 6,167.0897 Units			58,730,206
Redemptions of 38,958.8545 Units			(368,362,877	)
Distribution of interest income to feeder funds			(196,816	)
Members’ Capital at December 31, 2013			462,745,604
Net income (loss)			(9,197,633	)
Subscriptions of 2,715.8108 Units	��		25,263,220
Redemptions of 52,379.2708 Units			(478,748,971	)
Distribution of interest income to feeder funds			(62,220	)
Members’ Capital at December 31, 2014*		$	—

Net asset value per unit:
2012:	$	10,220.80
2013:	$	9,317.63
2014:	$	9,233.82	**

* Presented on a liquidation basis of accounting.

** Pre-liquidation redemption net asset value per unit.

See accompanying notes to financial statements.

AAA Master Fund LLC

Notes to Financial Statements (Liquidation Basis)

December 31, 2014

1. General:

AAA Master Fund LLC (the “Master”) was a limited liability company formed under the New York Limited Liability Company Law. The Master’s purpose was to engage in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The Master traded commodity futures and option contracts of any kind but intended to trade solely energy, energy related products, grains, indices, lumber and softs. The commodity interests that were traded by the Master were volatile and involve a high degree of market risk. The Master terminated operations on December 31, 2014. As a result, the Master changed the basis of accounting from the going concern basis to a liquidation basis. Liquidation basis accounting requires the Master to record assets and liabilities at values to be received in liquidation.

Ceres Managed Futures LLC (“CMF”), a Delaware limited liability company, acted 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”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings. 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.

On September 1, 2001 (the date the Master commenced trading), Managed Futures Premier Energy Fund L.P. (f/k/a AAA Capital Energy Fund L.P.) (“Premier Energy”) allocated substantially all of its capital and Orion Futures Fund L.P. (“Orion”) allocated a portion of its capital to the Master. Premier Energy and Orion purchased 133,712.5867 Units with a fair value of $133,712,587 (including unrealized appreciation of $7,755,035). On July 1, 2002, Managed Futures Premier Energy Fund L.P. II (f/k/a AAA Capital Energy Fund L.P. II) (“Premier Energy 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, Commodity Advisor Fund L.P. (f/k/a Energy Advisors Portfolio L.P.) (“Commodity 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, Commodity Advisors redeemed its entire investment in the Master for cash equal to $3,469,560. On June 1, 2013, Custom Solutions Fund L.P. – Series A (“Custom Solutions”) allocated a portion of its capital to the Master and purchased 134.3968 Units with cash equal to $1,300,000. On June 30, 2013, Orion Cayman redeemed its entire investment in the Master for cash equal to $1,048,869. On November 30, 2014, Orion redeemed its entire investment in the Master for cash equal to $105,808,956, Institutional Portfolio redeemed its entire investment in the Master for cash equal to $2,607,985, Global Futures redeemed its entire investment in the Master for cash equal to $2,454,075, and Custom Solutions

AAA Master Fund LLC

Notes to Financial Statements (Liquidation Basis)

December 31, 2014

redeemed its entire investment in the Master for cash equal to $1,538,244. 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.

During the year ended December 31, 2014, the Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. During prior periods included in this report, Citigroup Global Markets Inc. (“CGM”) also served as a commodity broker.

Prior to its termination on December 31, 2014, the Master operated under a structure where its investors consisted of Premier Energy and Premier Energy II (each a “Member,” collectively the “Funds”). Premier Energy and Premier Energy II owned approximately 33.0% and 67.0%, respectively, of the Master at December 31, 2014. Premier Energy, Premier Energy II, Institutional Portfolio, Global Futures, Orion and Custom Solutions owned approximately 16.8%, 32.7%, 0.7%, 1.1%, 48.1% and 0.6%, respectively, of the Master at December 31, 2013.

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 the Managing Member 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.

The liquidation basis of accounting requires the Master to record assets and liabilities at values expected to be received in liquidation. The change in basis of accounting from the going-concern basis to the liquidation basis did not have a material effect on the Master’s carrying value of assets and liabilities or its results of operations. All carrying values, whether market or fair values, are expected to be realized by the Managing Member during liquidation. Also, the liquidation basis of accounting requires the financial statements to include a statement of net assets available to shareholders or changes in net assets available. The Statements of Changes in Members’ Capital (included herein) presents the same information and thus the financial statements include a statement of net assets available to shareholders for the period January 1, 2014 to December 31, 2014.

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) were held for trading purposes. The commodity interests were 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 were translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses were realized when contracts were liquidated. Net realized gains or losses and any change in net unrealized gains or losses were 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

AAA Master Fund LLC

Notes to Financial Statements (Liquidation Basis)

December 31, 2014

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. The Managing Member has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities were actively traded.

The Master considers prices for exchange-traded commodity futures, forwards, swaps 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, 2014 and December 31, 2013, 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 the Managing Member’s assumptions and internal valuation pricing models (Level 3). For the years ended December 31, 2014 and 2013, there were no transfers of assets or liabilities between Level 1 and Level 2.

	December 31, 2013		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	$	8,128,408	$	8,128,408	$	—	$	—
Options purchased		25,074,590		25,074,590		—		—
Total assets		33,202,998		33,202,998		—		—
Liabilities
Futures and Exchange-Cleared Swaps	$	4,159,725	$	4,159,725	$	—	$	—
Options premium received		14,379,750		14,379,750		—		—
Total liabilities		18,539,475		18,539,475		—		—
Net fair value	$	14,663,523	$	14,663,523	$	—	$	—

d. Futures Contracts.    The Master traded 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”) were made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and were recorded as unrealized gains or losses by the Master. When the contract was closed, the Master recorded 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

AAA Master Fund LLC

Notes to Financial Statements (Liquidation Basis)

December 31, 2014

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 were included in the Statements of Income and Expenses.

e. Options.    The Master was permitted to purchase and write (sell) both exchange-listed andover-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 was recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master purchases an option, the premium paid was 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 were 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 were 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 2011 through 2014 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. Investment Company Status. Effective January 1, 2014, the Master adopted Accounting Standards Update (“ASU”)2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements.” ASU 2013-08 changes the approachto the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured atfair value, and requires additional disclosures about the investment company’s status as an investment company. ASU 2013-08 iseffective for interim and annual reporting periods beginning after December 15, 2013. The adoption of this ASU did not have amaterial impact on the Master’s financial statements. Based on the Managing Member’s assessment, the Master has been deemed to bean investment company since inception.

i. 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 (Liquidation Basis)

December 31, 2014

j. Subsequent Events.    The Managing Member evaluates events that occur after the balance sheet date but before financial statements are issued. The Managing Member has assessed the subsequent events through the date of issuance and determined that, other than that referenced in Note 8 to the financial statements, there were no subsequent events requiring adjustment of or disclosure in the financial statements.

3. Agreements:

a. Limited Liability Company Agreement:

The Managing Member administered 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, entered into a management agreement (the “Management Agreement”) with the Advisor, a registered commodity trading advisor. The Advisor was not affiliated with the Managing Member or MS&Co./CGM and was not responsible for the organization or operation of the Master. The Management Agreement provided that the Advisor had sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement were borne by the Funds. The Management Agreement was in effect until December 31, 2014.

c. Customer Agreement:

Prior to and during part of third quarter of 2013, the Master was party to a Customer Agreement with CGM (the “CGM Customer Agreement”). During the third quarter of 2013, the Master entered into a Customer Agreement with MS&Co. (the “MS&Co. Customer Agreement”). The Master terminated the CGM Customer Agreement.

Under the CGM Customer Agreement, CGM provided services to the Master, including, among other things, the execution and clearing of transactions for the Master’s account in accordance with orders placed by the Advisor. All exchange, service, clearing, user, give-up, floor brokerage and National Futures Association (“NFA”) fees (collectively the “CGM clearing fees”) were borne by the Master and allocated to the Funds. All other fees, including CGM’s brokerage commissions, were borne by the Funds. During the term of the CGM Customer Agreement, all of the Master’s assets were deposited in the Master’s account at CGM. The Master’s cash was deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations.

Under the MS&Co. Customer Agreement, the Master paid MS&Co. trading fees for the clearing and, where applicable, the execution of transactions. Further, all trading, exchange, clearing, user, give-up, floor brokerage and NFA fees (collectively the “MS&Co. clearing fees” and together with the CGM clearing fees, the “clearing fees”) were borne by the Master and allocated to the Funds. All other fees were borne by the Funds. All of the Master’s assets were deposited in the Master’s account at MS&Co. The Master’s cash was deposited by MS&Co. in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2014 and December 31, 2013, the amount of cash held by the Master for margin requirements was $0 and $20,401,097, respectively.

AAA Master Fund LLC

Notes to Financial Statements (Liquidation Basis)

December 31, 2014

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 MS&Co. Customer Agreement and the CGM Customer Agreement each gave 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 Accounting Standards Codification 210-20, “Balance Sheet,” were met.

All of the commodity interests owned by the Master were held for trading purposes. The monthly average number of futures and exchange-cleared swap contracts traded during the years ended December 31, 2014 and 2013 were 12,027 and 31,742, respectively. The monthly average number of option contracts traded during the years ended December 31, 2014 and 2013 were 15,290 and 43,969, respectively.

On January 1, 2013, the Master adopted ASU 2011-11, “Disclosure about Offsetting Assets and Liabilities” and ASU 2013-01, “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” ASU 2011-11 created a new disclosure requirement about the nature of an entity’s rights to setoff and the related arrangements associated with its financial instruments and derivative instruments, while ASU 2013-01 clarified 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 information 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 comparison 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 International Financial Reporting Standards. The new guidance did not have a significant impact on the Master’s financial statements.

The following tables summarize the valuation of the Master’s investments as of December 31, 2013.

	Gross Amounts Recognized			Gross Amounts Offset in the Statements of Financial Condition			Amounts Presented in the Statements of Financial Condition			Gross Amounts not Offset in the Statements of Financial Condition
December 31, 2013										Financial Instruments			Cash Collateral		Net Amount
Assets
Futures	$	8,128,408		$	(4,159,725	)	$	3,968,683		$	—		$	—	$	3,968,683
Options purchased		25,074,590			—			25,074,590			(14,379,750	)		—		10,694,840
Total Assets		33,202,998			(4,159,725	)		29,043,273			(14,379,750	)		—		14,663,523
Liabilities
Futures	$	(4,159,725	)	$	4,159,725		$	—		$	—		$	—	$	—
Options premium received		(14,379,750	)		—			(14,379,750	)		14,379,750			—		—
Total Liabilities		(18,539,475	)		4,159,725			(14,379,750	)		14,379,750			—		—
Net fair value															$	14,663,523

AAA Master Fund LLC

Notes to Financial Statements (Liquidation Basis)

December 31, 2014

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, 2013.

	December 31, 2013
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	8,128,408
Total unrealized appreciation on open futures and exchange-cleared swap contracts	$	8,128,408
Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy	$	(4,159,725	)
Total unrealized depreciation on open futures and exchange-cleared swap contracts	$	(4,159,725	)
Net unrealized appreciation on open futures and exchange-cleared swap contracts	$	3,968,683	*
Assets
Options Purchased
Energy	$	25,074,590
Total options purchased	$	25,074,590	**
Liabilities
Options Premium Received
Energy	$	(14,379,750	)
Total options premium received	$	(14,379,750	)***

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

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

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

The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the years ended December 31, 2014, 2013 and 2012.

Sector	December 31, 2014 Gain (loss) from trading			December 31, 2013 Gain (loss) from trading			December 31, 2012 Gain (loss) from trading
Energy	$	(8,052,899	)	$	(67,230,734	)	$	12,879,355
Grains		—			—			670,620
Indices		—			—			(836,720	)
Lumber		—			—			163,753
Softs		—			—			(1,631,060	)
Total	$	(8,052,899	)****	$	(67,230,734	)****	$	11,245,948	****

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

AAA Master Fund LLC

Notes to Financial Statements (Liquidation Basis)

December 31, 2014

5. Subscriptions, Distributions and Redemptions:

Subscriptions were accepted monthly from investors, who becamenon-managing members on the first day of the month after their subscription was processed. Anon-managing member had the right to withdraw all or part of its 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 after a request for withdrawal had been made to the Managing Member at least three business days in advance. The Units were classified as a liability when anon-managing member elected to redeem and informed the Master.

6. Financial Highlights:

Changes in the net asset value per unit for the years ended December 31, 2014, 2013 and 2012 were as follows:

	2014			2013			2012
Net realized and unrealized gains (losses)*	$	(87.22	)	$	(897.68	)	$	93.58
Interest income		1.52			2.83			4.57
Expenses**		3.41			(5.49	)		(2.39	)
Increase (decrease) for the year		(82.29	)		(900.34	)		95.76
Distribution of interest income to feeder funds		(1.52	)		(2.83	)		(4.57	)
Net asset value per unit, beginning of year		9,317.63			10,220.80			10,129.61
Net asset value per unit, end of year***		9,233.82			9,317.63			10,220.80
Liquidation redemption per unit at December 31, 2014		(9,233.82	)		—			—
Ending net asset value per unit	$	—		$	9,317.63		$	10,220.80

* Includes clearing fees.

** Excludes clearing fees.

*** Calculated based on pre-liquidation redemption net asset value per unit.

	2014			2013			2012
Ratio to average net assets:
Net investment income (loss)****		(0.3	)%		(0.4	)%		(0.4	)%
Operating expenses		0.3	%		0.5	%		0.4	%
Total return		(0.9	)%		(8.8	)%		0.9	%

**** Interest income less total expenses.

The above ratios may vary for individual investors based on the timing of capital transactions during the year. Additionally, these ratios were calculated for thenon-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 was party to financial instruments withoff-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments included futures, options and swaps whose values were 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 were either traded on an exchange, a swap execution facility orover-the-counter (“OTC”). Exchange-traded instruments

AAA Master Fund LLC

Notes to Financial Statements (Liquidation Basis)

December 31, 2014

include futures and certain standardized forward, option and swap contracts. Certain swap contracts may have also been traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward 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 was 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 was 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 was 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 was exposed to credit risk and concentration risk, during the reporting period and prior periods, as MS&Co. and/or CGM or their affiliates were the counter-parties or brokers with respect to the Master’s assets. Credit risk with respect to exchange-traded instruments was reduced to the extent that, through MS&Co. and/or CGM, the Master’s counterparty was an exchange or clearing organization.

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

As both a buyer and seller of options, the Master paid or received a premium at the outset and then bore the risk of unfavorable changes in the price of the contract underlying the option. Written options exposed the Master to potentially unlimited liability; for purchased options, the risk of loss was 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 did not consider these contracts to be guarantees.

The Managing Member monitored and attempted to control the Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems and, accordingly, believed that it had effective procedures for evaluating and limiting the credit and market risks to which the Master may have been subject. These monitoring systems generally allowed the Managing Member to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provided account analysis of futures, exchange-cleared swaps and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

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

8. Liquidation of the Master

Distributions of the Master’s capital to the Funds were made on January 5, 2015 and January 20, 2015.