General (Tables)

6 Months Ended

Jun. 30, 2013

Statements of Financial Condition

AAA Master Fund LLC

Statements of Financial Condition

	(Unaudited) June 30,		December 31,
	2013		2012
Assets:
Equity in trading account:
Cash	$	609,712,360	$	710,986,415
Cash margin		28,434,614		38,559,983
Options purchased, at fair value (cost $176,179,528 and $214,452,195, respectively)		97,288,719		160,438,693
Total assets	$	735,435,693	$	909,985,091
Liabilities and Members’ Capital:
Liabilities:
Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	13,176,347	$	29,721,227
Options premium received, at fair value (premium $81,917,009 and $75,518,560, respectively)		32,987,494		37,237,413
Accrued expenses:
Professional fees		203,622		268,298
Total liabilities		46,367,463		67,226,938
Members’ Capital:
Members’ Capital, 71,776.9756 and 82,455.2248 units outstanding at June 30, 2013 and December 31, 2012, respectively		689,068,230		842,758,153
Total liabilities and members’ capital	$	735,435,693	$	909,985,091
Net asset value per unit	$	9,600.13	$	10,220.80

Condensed Schedule of Investments

AAA Master Fund LLC

Condensed Schedule of Investments

June 30, 2013

(Unaudited)

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange-Cleared Swap Contracts Purchased
Energy		21,335	$	(63,559,287	)		(9.22	)%
Total futures and exchange-cleared swap contracts purchased				(63,559,287	)		(9.22	)
Futures and Exchange-Cleared Swap Contracts Sold
Energy		23,408		50,382,940			7.31
Total futures and exchange-cleared swap contracts sold				50,382,940			7.31
Options Purchased
Call
Energy		14,369		34,677,359			5.03
Call options purchased				34,677,359			5.03
Put
Energy
NYMEX LT Crude Oil Aug 13 - Dec 14		8,314		35,400,440			5.14
Other		6,543		27,210,920			3.95
Put options purchased				62,611,360			9.09
Total options purchased				97,288,719			14.12
Options Premium Received
Call
Energy		15,677		(11,611,202	)		(1.69	)
Call options premium received				(11,611,202	)		(1.69	)
Put
Energy		9,515		(21,376,292	)		(3.10	)
Put options premium received				(21,376,292	)		(3.10	)
Total options premium received				(32,987,494	)		(4.79	)
Net fair value			$	51,124,878			7.42	%

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	%

Statements of Income and Expenses and Changes in Members' Capital

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,
	2013			2012			2013			2012
Investment income:
Interest income	$	34,266		$	92,856		$	125,430		$	157,292
Expenses:
Clearing fees		922,068			790,621			2,040,592			1,652,070
Professional fees		120,782			74,318			210,125			177,763
Total expenses		1,042,850			864,939			2,250,717			1,829,833
Net investment income (loss)		(1,008,584	)		(772,083	)		(2,125,287	)		(1,672,541	)
Trading results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(18,681,459	)		39,149,093			(50,416,448	)		134,716,666
Change in net unrealized gains (losses) on open contracts		24,875,100			(67,053,724	)		2,315,941			(163,313,608	)
Total trading results		6,193,641			(27,904,631	)		(48,100,507	)		(28,596,942	)
Net income (loss)		5,185,057			(28,676,714	)		(50,225,794	)		(30,269,483	)
Subscriptions		9,473,871			16,009,192			32,831,819			41,315,481
Redemptions		(78,520,824	)		(57,232,435	)		(136,170,518	)		(88,582,174	)
Distribution of interest income to feeder funds		(34,266	)		(92,856	)		(125,430	)		(157,292	)
Net increase (decrease) in Members’ Capital		(63,896,162	)		(69,992,813	)		(153,689,923	)		(77,693,468	)
Members’ Capital, beginning of period		752,964,392			968,809,937			842,758,153			976,510,592
Members’ Capital, end of period	$	689,068,230		$	898,817,124		$	689,068,230		$	898,817,124
Net asset value per unit (71,776.9756 and 91,670.4071 units outstanding in June 30, 2013 and 2012, respectively)	$	9,600.13		$	9,804.88		$	9,600.13		$	9,804.88
Net income (loss) per unit*	$	68.40		$	(306.12	)	$	(619.08	)	$	(323.06	)
Weighted average units outstanding		76,990.8136			95,105.6175			79,462.4536			96,034.5722

* Based on change in net asset value per unit.