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, 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”). 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 and 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 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 Inc. As of June 30, 2013, 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 permits 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”). 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 Citigroup Global Markets Inc. (“CGM”) and its managing member is CMF. The Master may trade commodity futures and option contracts of any kind, but trades solely energy, energy-related products, grains, indices, lumber and softs. In addition, the Master may enter into swap contracts. 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, 2013.

At June 30, 2013, the Partnership owned approximately 15.9% of the Master. At December 31, 2012, the Partnership owned approximately 17.3% 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, swap and option 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 and losses, if any.

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, 2013 and December 31, 2012, and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2013 and 2012. 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, 2012.

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, 2013 and December 31, 2012 and Statements of Income and Expenses and Changes in Members’ Capital for the three and six months ended June 30, 2013 and 2012 are presented below:

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

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	%

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.