3. Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro rata share of the results of the Master’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

Subsequent to June 30, 2013, AAA Master Fund LLC entered into brokerage account agreements with Morgan Stanley & Co. LLC (“MS&Co.”) and expects to commence trading during the third quarter of 2013. The Partnership, through its investment in the Master, will pay MS&Co. a service fee equal to $0.70 per round-turn for futures transactions, an equivalent amount for swaps, excluding forward foreign currency transactions, and $0.35 per side for option transactions, excluding foreign exchange options.

The customer agreements between the Partnership and CGM, a commodity broker for the Partnership and the Master and CGM give the Partnership and the Master, respectively, 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 (“ASC”) 210-20, “Balance Sheet,” have been met.

Brokerage commissions are based on the number of trades executed by the Advisor and the Partnership’s ownership percentage of the Master.

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 three months ended June 30, 2013 and 2012 were 45,323 and 27,942, respectively. The monthly average number of futures and exchange-cleared swap contracts traded during the six months ended June 30, 2013 and 2012 were 46,021 and 41,054, respectively. The monthly average number of option contracts traded during the three months ended June 30, 2013 and 2012 were 58,260 and 71,373, respectively. The monthly average number of option contracts traded during the six months ended June 30, 2013 and 2012 were 57,321 and 77,841, respectively.

On January 1, 2013, the Partnership adopted Accounting Standards Update (“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 U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (“IFRS”). The new guidance did not have a significant impact on the Partnership’s financial statements.

The following tables summarize the valuation of the Master’s investments as of June 30, 2013 and December 31, 2012, respectively.


June 30, 2013	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in the Statement of Financial Condition
Assets
Futures and exchange-cleared swaps	$	8,115,777	$	(71,675,064	)	$	(63,559,287	)
Options purchased		97,810,694		(521,975	)		97,288,719

Total Assets	$	105,926,471	$	(72,197,039	)	$	33,729,432

Liabilities
Futures and exchange-cleared swaps	$	54,116,616	$	(3,733,676	)	$	50,382,940
Options premium received		8,614,810		(41,602,304	)		(32,987,494	)

Total Liabilities	$	62,731,426	$	(45,335,980	)	$	17,395,446

Net unrealized depreciation on open futures and exchange-cleared swaps						$	(13,176,347	)
Total options purchased							97,288,719
Total options premium received							(32,987,494	)

Total net unrealized gain (loss) on total contracts						$	51,124,878

December 31, 2012	Gross Amounts Recognized		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts Presented in the Statement of Financial Condition
Assets
Futures and exchange-cleared swaps	$	37,825,169	$	(45,379,656	)	$	(7,554,487	)
Options purchased		160,452,143		(13,450	)		160,438,693

Total Assets	$	198,277,312	$	(45,393,106	)	$	152,884,206

Liabilities
Futures and exchange-cleared swaps	$	16,858,333	$	(39,025,073	)	$	(22,166,740	)
Options premium received		8,878,980		(46,116,393	)		(37,237,413	)

Total Liabilities	$	25,737,313	$	(85,141,466	)	$	(59,404,153	)

Net unrealized depreciation on open futures and exchange-cleared swaps						$	(29,721,227	)
Total options purchased							160,438,693
Total options premium received							(37,237,413	)

Total net unrealized gain (loss) on total contracts						$	93,480,053

The following tables indicate the Master’s gross fair values of derivative instruments of futures and exchange-cleared swap and option contracts as separate assets and liabilities as of June 30, 2013 and December 31, 2012.


	June 30, 2013
Assets
Futures and Exchange-Cleared Swap Contracts
Energy	$	62,232,394

Total unrealized appreciation on open futures and exchange-cleared swap contracts		62,232,394


Liabilities
Futures and Exchange-Cleared Swap Contracts
Energy		(75,408,741	)

Total unrealized depreciation on open futures and exchange-cleared swap contracts		(75,408,741	)


Net unrealized depreciation on open futures and exchange-cleared swap contracts	$	(13,176,347	)*


Assets
Options Purchased
Energy	$	97,288,719

Total options purchased	$	97,288,719	**


Liabilities
Options Premium Received
Energy	$	(32,987,494	)

Total options premium received	$	(32,987,494	)***

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

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

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


	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 Master’s Statements of Financial Condition.

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

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

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2013 and 2012.


Sector	Three Months Ended June 30, 2013 Gain (loss) from trading			Three Months Ended June 30, 2012 Gain (loss) from trading			Six Months Ended June 30, 2013 Gain (loss) from trading			Six Months Ended June 30, 2012 Gain (loss) from trading
Energy	$	6,193,641		$	(27,407,405	)	$	(48,100,507	)	$	(26,926,017	)
Grains		—			156,569			—			633,102
Indices		—			438,249			—			(836,720	)
Lumber		—			108,627			—			163,753
Softs		—			(1,200,671	)		—			(1,631,060	)

Total	$	6,193,641	****	$	(27,904,631	)****	$	(48,100,507	)****	$	(28,596,942	)****

****	This amount is in “Total trading results” on the Master’s Statements of Income and Expenses and Changes in Members’ Capital.