General:

6 Months Ended

Jun. 30, 2011

General: [Abstract]

General:

1.   General:

AAA Capital Energy Fund L.P. (the “Partnership”) is a limited partnership organized on January 5, 1998 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including commodity options and commodity futures contracts on U.S. exchanges and certain foreign exchanges. The Partnership, through its investment in the Master (defined below), may trade commodity futures and options contracts of any kind. In addition, the Partnership, through its investment in the Master, may enter into swap contracts on energy-related products. During the initial offering period (February 12, 1998 through March 15, 1998), the Partnership sold 49,538 redeemable units of limited partnership interest (“Redeemable Units”). The Partnership commenced trading on March 16, 1998. From March 16, 1998 to August 31, 2001, the Partnership engaged directly in the speculative trading of a diversified portfolio of commodity interests. The Partnership no longer offers Redeemable Units for sale.

Ceres Managed Futures LLC (“CMF”), a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner 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 Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner 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. As of June 30, 2011, all trading decisions for the Partnership are made by the Advisor (defined below).

On September 1, 2001, the Partnership allocated substantially all of its capital to AAA Master Fund LLC (the “Master”), a New York limited liability company. The Partnership purchased 128,539.1485 units of the Master with a fair value of $128,539,149 (including unrealized appreciation of $7,323,329). The Master was formed in order to permit commodity pools managed now or in the future 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. In addition, the Advisor is a special limited partner of the Partnership (in its capacity as special limited partner, the “Special Limited Partner”) of the Partnership. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected. The Master’s commodity broker is CGM and its managing member is CMF. The Master may trade commodity futures and options contracts of any kind, but trades solely energy, energy-related products, lumber, grains and softs. In addition, the Master may enter into swap contracts or trade in energy-related products. The commodity interests that are traded by the Partnership through its investment in the Master are volatile and involve a high degree of market risk.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended June 30, 2011.

At June 30, 2011, the Partnership owned approximately 21.5% of the Master. At December 31, 2010, the Partnership owned approximately 24.4% of the Master. It is the Partnership’s intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swaps and options contracts, as applicable, is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with CGM. The Master’s Statements of Financial Condition, including Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Members’ Capital are included herein.

The General Partner and each limited partner share in the profits and losses of the Partnership, after the allocation to the Special Limited Partner, in proportion to the amount of partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions.

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at June 30, 2011 and December 31, 2010, and the results of its operations for the three and six months ended June 30, 2011 and 2010. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.

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.

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2011 and December 31, 2010 and Statements of Income and Expenses and Changes in Members’ Capital for the three and six months ended June 30, 2011 and 2010 are presented below:

AAA Master Fund LLC
Statements of Financial Condition

	(Unaudited) June 30,		December 31,
	2011		2010
Assets:
Equity in trading account:
Cash	$	750,938,124	$	786,204,916
Cash margin		33,664,044		84,669,985
Net unrealized appreciation on open futures and exchange-cleared swap contracts		26,942,951		—
Options purchased, at fair value (cost $456,343,040 and $561,437,849, respectively)		304,026,927		363,802,239
Total assets	$	1,115,572,046	$	1,234,677,140
Liabilities and Members’ Capital:
Liabilities:
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	—	$	6,571,110
Options premium received, at fair value (premium $244,452,199 and $354,410,825, respectively)		148,184,988		239,504,355
Accrued expenses:
Professional fees		321,551		290,824
Redemptions payable		—		7,941,213
Total liabilities		148,506,539		254,307,502
Members’ Capital:
Members’ Capital, 102,369.6485 and 103,223.2146 units outstanding at June 30, 2011 and December 31, 2010, respectively		967,065,507		980,369,638
Total liabilities and members’ capital	$	1,115,572,046	$	1,234,677,140
Net asset value per unit	$	9,446.80	$	9,497.57

AAA Master Fund LLC
Condensed Schedule of Investments
June 30, 2011
(Unaudited)

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		42,510	$	(75,944,534	)		(7.86	)%
Lumber		29		43,967			0.01
Softs		147		(848,830	)		(0.09	)
Total futures and exchange-cleared swap contracts purchased				(76,749,397	)		(7.94	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy
NYMEX HH Swap Nov 11 - Dec 14		15,563		60,933,758			6.30
Other		25,713		42,796,249			4.42
Lumber		29		(37,659	)		(0.00	)*
Total futures and exchange-cleared swap contracts sold				103,692,348			10.72
Options Purchased
Energy
Call
NYMEX LT Crude Oil Aug 11 - Dec 14		10,328		96,054,920			9.93
Other		14,758		61,893,618			6.40
Call options purchased				157,948,538			16.33
Put
NYMEX LT Crude Oil Aug 11 - Dec 14		9,310		50,548,880			5.23
NYMEX Natural Gas E Aug 11 - May 14		4,056		54,694,364			5.66
Other		8,962		40,835,145			4.22
Put options purchased				146,078,389			15.11
Total options purchased				304,026,927			31.44
Options Premium Received
Energy
Call
NYMEX LT Crude Oil Aug 11 - Dec 16		9,138		(58,189,420	)		(6.02	)
Other		18,970		(44,527,399	)		(4.60	)
Call options premium received				(102,716,819	)		(10.62	)
Put
Other		13,762		(45,468,169	)		(4.70	)
Put options premium received				(45,468,169	)		(4.70	)
Total options premium received				(148,184,988	)		(15.32	)
Net fair value			$	182,784,890			18.90	%

* Due to rounding.

AAA Master Fund LLC
Condensed Schedule of Investments
December 31, 2010

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		49,880	$	(76,588,395	)		(7.75	)%
Total futures and exchange-cleared swap contracts purchased				(76,588,395	)		(7.75	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy
NYMEX HH Swap Feb 11 – Dec 14		24,098		119,170,628			12.06
Other		27,946		(49,185,903	)		(4.98	)
Lumber		72		32,560			0.00	*
Total futures and exchange-cleared swap contracts sold				70,017,285			7.08
Options Purchased
Energy
Call
NYMEX Crude Oil E Jun 11 – Dec 12		3,098		50,475,970			5.11
NYMEX LT Crude Oil Feb 11 – Dec 13		9,371		97,741,150			9.89
Other		17,005		46,219,048			4.67
Call options purchased				194,436,168			19.67
Put
NYMEX Natural Gas E Feb 11 – May 14		17,363		82,281,218			8.33
Other		20,468		87,084,853			8.81
Put options purchased				169,366,071			17.14
Total options purchased				363,802,239			36.81
Options Premium Received
Energy
Call
NYMEX Heating Oil Feb 11 – Jun 11		5,580		(64,361,900	)		(6.51	)
NYMEX LT Crude Oil Feb 11 – Dec 16		9,485		(62,747,240	)		(6.35	)
Other		21,649		(52,266,589	)		(5.29	)
Call options premium received				(179,375,729	)		(18.15	)
Put
Other		21,624		(60,128,626	)		(6.08	)
Put options premium received				(60,128,626	)		(6.08	)
Total options premium received				(239,504,355	)		(24.23	)
Net fair value			$	117,726,774			11.91	%

* Due to rounding.

AAA Master Fund LLC
Statements of Income and Expenses and Changes in Members’ Capital
(Unaudited)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
Investment income:
Interest income		32,232			208,928			210,599			309,170
Expenses:
Clearing fees		604,928			840,845			1,246,945			1,786,167
Professional fees		181,223			179,295			352,828			354,649
Total expenses		786,151			1,020,140			1,599,773			2,140,816
Net investment income (loss)		(753,919	)		(811,212	)		(1,389,174	)		(1,831,646	)
Trading results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(105,994,346	)		10,673,183			(64,414,036	)		(50,774,547	)
Change in net unrealized gains (losses) on open contracts		77,837,677			(21,835,116	)		60,194,299			6,775,577
Total trading results		(28,156,669	)		(11,161,933	)		(4,219,737	)		(43,998,970	)
Net income (loss)		(28,910,588	)		(11,973,145	)		(5,608,911	)		(45,830,616	)
Subscriptions		53,542,535			923,181			106,019,273			15,611,134
Redemptions		(44,594,880	)		(30,813,437	)		(113,503,894	)		(161,403,924	)
Distribution of interest income to feeder funds		(32,232	)		(208,928	)		(210,599	)		(309,170	)
Net increase (decrease) in Members’ Capital		(19,995,165	)		(42,072,329	)		(13,304,131	)		(191,932,576	)
Members’ Capital, beginning of period		987,060,672			1,079,334,945			980,369,638			1,229,195,192
Members’ Capital, end of period	$	967,065,507		$	1,037,262,616		$	967,065,507		$	1,037,262,616
Net asset value per unit (102,369.6485 and 108,871.6670 units outstanding in June 30, 2011 and 2010, respectively)	$	9,446.80		$	9,527.39		$	9,446.80		$	9,527.39
Net income (loss) per unit*	$	(277.70	)	$	(111.98	)	$	(48.70	)	$	(405.87	)
Weighted average units outstanding		104,376.4270			110,761.3661			104,211.0155			115,131.4869

* Based on change in net asset value per unit.