UNITED STATES

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    FORM 10-K

                  Annual Report Pursuant to Section 13 or 15(d)

                     of the Securities Exchange Act of 1934

                   For the fiscal year ended December 31, 2002

     Commission File Number 000-25921

                        SMITH BARNEY AAA ENERGY FUND L.P.
             (Exact name of registrant as specified in its charter)

                    New York                               13-3986032
         (State or other jurisdiction of               (I.R.S. Employer
          incorporation or organization)              Identification No.)

                     c/o Smith Barney Futures Management LLC
                           388 Greenwich St. - 7th Fl.
                            New York, New York 10013
              (Address and Zip Code of principal executive offices)

                                 (212) 723-5424
              (Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Units of Limited
                                                            Partnership
                                                            Interest
                                                            (Title of Class)


Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the  preceding 12 months (or for such  shorter  period that the  registrant  was
required  to file  such  reports),  and  (2) has  been  subject  to such  filing
requirements for the past 90 days.

                                                         Yes   X    No


Indicate by check mark if disclosure of delinquent  filers  pursuant to Item 405
of Regulation  S-K is not contained  herein,  and will not be contained,  to the
best of registrant's  knowledge,  in definitive proxy or information  statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
form 10-K [X]

Indicate  by check mark  whether  the  registrant  is an  accelerated  filer (as
defined in Rule 12b-2 of the Acts).

                                                     Yes   X    No

Limited   Partnership  Units  with  an  aggregate  value  of  $169,195,731  were
outstanding  and  held by  non-affiliates  as of the  last  business  day of the
registrant's most recently completed second fiscal quarter.

As of February 28, 2003, 68,723.0178 Limited Partnership Units were outstanding.

                       DOCUMENTS INCORPORATED BY REFERENCE

                                      None


<PAGE>

                                     PART I

Item 1. Business.

     (a) General development of business. Smith Barney AAA 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. The objective of the  Partnership is
to achieve substantial  appreciation of its assets through speculative  trading,
directly or indirectly,  in commodity  interests  generally  including commodity
options and commodity  futures  contracts on United States exchanges and certain
foreign  exchanges.  The  Partnership  may trade  commodity  futures and options
contracts of any kind,  but initially it traded solely energy and energy related
products. In addition, the Partnership has entered into swap contracts on energy
related products (together with other traded futures and options contracts,  the
"Commodity  Interests").  During the initial  offering period (February 12, 1998
through  March 15, 1998) the  Partnership  sold 49,538  Units.  The  Partnership
commenced  its  Commodity  Interest  trading  activities  on March 16, 1998.  No
securities  which  represent  an equity  interest  or any other  interest in the
Partnership  trade on any  public  market.  Sales and  redemptions  of Units and
general partner  contributions  and redemptions for the years ended December 31,
2002,  2001 and 2000 are reported in the Statement of Partners'  Capital on page
F-6 under "Item 8. Financial Statements and Supplementary Data."

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
following:  December 31, 2018;  if the net asset value per Unit falls below $400

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<PAGE>

as of the close of business on any business  day or upon the earlier  occurrence
of certain other circumstances set forth in the Limited Partnership Agreement of
the Partnership (the "Limited Partnership Agreement").

     Effective September 1, 2001, the Partnership transferred  substantially all
of its assets (including unrealized  appreciation of $7,323,329) in exchange for
128,539.1485  Units of the Master and a fair value of $128,539,149 as a tax-free
transfer to the SB AAA Master  Fund LLC, a New York  limited  liability  company
(the "Master"). The Master was formed in order to permit commodity pools managed
now or in the future by AAA Capital  Management,  Inc. (the "Advisor") using the
Energy with Swaps Program, the Advisor's  proprietary trading program, to invest
together in one trading vehicle. Smith Barney Futures Management LLC acts as the
general  partner (the  "General  Partner") of the  Partnership  and the managing
member of the Master.  Expenses to  investors as a result of  investment  in the
Master are approximately the same and redemption rights are not affected.

     At December 31, 2002, the Partnership  owns 55.5% 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.

     Prior to September 1, 2001, the Partnership's  commodity broker was Salomon
Smith  Barney Inc.  ("SSB").  SSB is an affiliate  of the General  Partner.  The
General Partner is wholly owned by Salomon Smith Barney Holdings Inc. ("SSBHI"),
which is the sole owner of SSB. SSBHI is a wholly owned  subsidiary of Citigroup
Inc.


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<PAGE>

     The  Master's  trading of  futures,  forwards  and  options  contracts,  if
applicable,  on  commodities  is done  primarily  on United  States  of  America
commodity exchanges and foreign commodity exchanges.  It engages in such trading
through a commodity brokerage account maintained with SSB.

     Under the  Limited  Partnership  Agreement,  the  General  Partner has sole
responsibility  for  the  administration  of the  business  and  affairs  of the
Partnership,  but  may  delegate  trading  discretion  to  one or  more  trading
advisors.  The  General  Partner  administers  the  business  and affairs of the
Partnership  including  selecting one or more advisors to make trading decisions
for the Partnership.

     The  General   Partner  has  entered  into  a  management   agreement  (the
"Management  Agreement")  with the Advisor who will make all  commodity  trading
decisions  for the  Partnership.  Mr. A. Anthony  Annunziato is the sole trading
principal  of the Advisor  and is also an  employee  of SSB.  The Advisor is not
responsible for the organization or operation of the Partnership.

     Prior  to  August  31,  2001,  pursuant  to the  terms  of  the  Management
Agreement, the Partnership was obligated to pay the Advisor a monthly management
fee equal to 1/6 of 1% (2% per year) of Net Assets  allocated  to the Advisor as
of the end of the  month.  Effective  September  1,  2001,  the  Partnership  is
obligated to pay the Advisor a monthly management fee equal to 1/6 of 1% (2% per
year) of month-end Net Assets allocated pro-rata by the Master. In addition, the
Advisor is a Special  Limited  Partner of the Partnership and receives an annual

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<PAGE>

profit share  allocation to its capital account in the Partnership  equal to 20%
of New Trading Profits (as defined in the Management Agreement) earned on behalf
of the  Partnership  during each  calendar  year in the form of Special  Limited
Partner Units.

     Prior to August 31, 2001, the Customer  Agreement  between the  Partnership
and SSB  (the  "Customer  Agreement")  provided  that  the  Partnership  pay SSB
brokerage  commissions  at $18 per round turn for futures and swap  transactions
and $9 per side for  options.  SSB pays a portion of its  brokerage  fees to its
financial  consultants  who have sold Units.  The brokerage fee was inclusive of
floor brokerage.  The Partnership paid for National Futures  Association ("NFA")
fees, exchange and clearing fees, give-up and user fees.  Effective September 1,
2001, all brokerage commissions, exchange, clearing, user, give-up, and NFA fees
will be borne  by the  Master  and  allocated  to the  Partnership  through  its
investment in the Master. The Customer Agreement between the Partnership and SSB
gives  the  Partnership  the legal  right to net  unrealized  gains and  losses.
Brokerage fees will be paid for the life of the  Partnership,  although the rate
at  which  such  fees  are  paid  may be  changed.  In  addition,  SSB  pays the
Partnership  interest on 80% of the average  daily equity  maintained in cash in
its account  during each month at a 30 day U.S.  Treasury  bill rate  determined
weekly by SSB based on the non-competitive  yield on 3 month U.S. Treasury bills
maturing  in 30 days  from the date in which  such  weekly  rate is  determined.



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<PAGE>

Effective September 1, 2001, SSB will pay the Partnership interest on 80% of the
average  daily equity  allocated to the  Partnership  by the Master  during each
month at a 30-day U.S.  Treasury bill rate determined weekly by SSB based on the
average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days
from the date on which such weekly rate is  determined.  The Customer  Agreement
may be terminated upon notice by either party.

     (b)  Financial  information  about  industry  segments.  The  Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests.  The Partnership  does not engage in sales of goods or services.  The
Partnership's  net income from operations for the years ended December 31, 2002,
2001,  2000,  1999 and the period from March 16, 1998  (commencement  of trading
operations) to December 31, 1998 are set forth under "Item 6. Selected Financial
Data." The Partnership's capital as of December 31, 2002, was $181,851,658.

     (c) Narrative description of business.

     See Paragraphs (a) and (b) above.

     (i) through (xii) - Not applicable.

     (xiii) - The Partnership has no employees.


     (d) Financial  Information About Geographic Areas. The Partnership does not
engage in sales of goods or services or own any long lived assets, and therefore
this item is not applicable.

Item 2. Properties.

          The  Partnership  does not own or lease any  properties.  The  General
     Partner operates out of facilities provided by its affiliate, SSB.

Item 3.  Legal Proceedings.

     This section  describes  the major pending  legal  proceedings,  other than
ordinary routine litigation  incidental to the business,  to which Salomon Smith

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<PAGE>

Barney Holdings Inc. ("SSBHI") or its subsidiaries is a party or to which any of
their  property is  subject.  There are no material  legal  proceedings  pending
against the Partnership or the General Partner.

     Salomon  Smith  Barney  Inc.  ("SSB")  is a New York  corporation  with its
principal place of business at 388 Greenwich St., New York, New York 10013.  SSB
is registered as a broker-dealer and futures  commission  merchant ("FCM"),  and
provides futures  brokerage and clearing  services for  institutional and retail
participants  in the  futures  markets.  SSB and  its  affiliates  also  provide
investment banking and other financial services for clients worldwide.

     There have been no  administrative,  civil or criminal actions pending,  on
appeal or concluded  against SSB or any of its individual  principals within the
past five years that  management  believes  may have a material  impact on SSB's
ability to act as an FCM. In the ordinary course of its business, SSB is a party
to various claims and regulatory  inquiries.  Proceedings  deemed to be material
for  purposes  of  Commodity  Futures  Trading  Commission  ("CFTC")  disclosure
requirements are:

     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
SSB, in the U.S. Bankruptcy Court for the Central District of California (County
of Orange et al. v. Bear  Stearns & Co. Inc.  et al.).  The  complaint  alleged,
among other things,  that the brokerage  firms  recommended  and sold unsuitable
securities to Orange County. SSB and the remaining  brokerage firms settled with
Orange County in mid 1999. SSB paid $1,333,333 to settle this matter.


                                       7
<PAGE>

     In June  1998,  complaints  were filed in the U.S.  District  Court for the
Eastern District of Louisiana in two actions (Board of  Liquidations,  City Debt
of the City of New  Orleans v. Smith  Barney  Inc.  et ano.  and The City of New
Orleans v. Smith Barney Inc. et ano.),  in which the City of New Orleans seeks a
determination that Smith Barney Inc. and another underwriter will be responsible
for any  damages  that the City may  incur in the  event  the  Internal  Revenue
Service  denies tax exempt  status to the City's  General  Obligation  Refunding
Bonds Series 1991. The complaints were subsequently  amended.  SSB has asked the
court to dismiss the amended complaints.  The court denied the motion but stayed
the case. Subsequently, the City withdrew its lawsuit.

     In November 1998, a class action  complaint was filed in the U.S.  District
Court for the Middle  District  of Florida  (Dwight  Brock as Clerk for  Collier
County v. Merrill  Lynch,  et al.).  The complaint  alleged that,  pursuant to a
nationwide  conspiracy,  17  broker-dealer  defendants,  including SSB,  charged
excessive  mark-ups in connection with advanced  refunding  transactions.  Among
other relief,  plaintiffs sought compensatory and punitive damages,  restitution
and/or  rescission of the  transactions  and  disgorgement of alleged  excessive
profits.  In October 1999, the plaintiff  filed a second amended  complaint.  In
November  1999,  SSB moved to dismiss the amended  complaint.  In May 2001,  the
parties reached and the court preliminarily approved a tentative settlement. SSB
paid  $1,063,457 to settle this matter and in September 2001, the court approved
the settlement.


                                       8
<PAGE>

     In  connection  with the  Louisiana  and Florida  matters,  the IRS and SEC
conducted an industry-wide investigation into the pricing of Treasury securities
in  advanced  refunding  transactions.  In April  2000,  SSB and  several  other
broker-dealers  entered into a settlement with the IRS and the SEC.  Thereafter,
the plaintiffs filed voluntary discontinuances.

     In December  1998,  SSB was one of 28 market  making  firms that  reached a
settlement  with the SEC in the matter  titled In the  Matter of Certain  Market
Making  Activities on NASDAQ.  As part of the  settlement  of that matter,  SSB,
without admitting or denying the factual  allegations,  agreed to an order which
required that it: (i) cease and desist from committing or causing any violations
of Sections  15(c)(1)  and (2) of the  Securities  Exchange  Act of 1934 and SEC
Rules  15c1-2,  15c2-7  and  17a-3  thereunder,   (ii)  pay  penalties  totaling
approximately  $760,000 and (iii) submit  certain  policies and procedures to an
independent consultant for review.

     In March 1999, a complaint seeking in excess of $250 million was filed by a
hedge fund and its  investment  advisor  against SSB in the Supreme Court of the
State of New York,  County of New York (MKP Master  Fund,  LDC et al. v. Salomon
Smith Barney Inc.).  The complaint  included  allegations  that, while acting as
prime broker for the hedge fund,  SSB breached its  contracts  with  plaintiffs,
misused their monies and engaged in tortious  conduct,  including  breaching its
fiduciary  duties.  SSB asked the court to dismiss  the  complaint  in full.  In
October  1999,  the court  dismissed  the tort claims,  including  the breach of

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<PAGE>

fiduciary  duty claims.  The court allowed the breach of contract and conversion
claims  to  stand.   In  December   1999,  SSB  filed  an  answer  and  asserted
counterclaims  against the investment advisor. In response to plaintiff's motion
to strike out the counterclaims,  in January 2000, SSB amended its counterclaims
against  the  investment  advisor  to  seek  indemnification  and  contribution.
Plaintiffs  moved to strike SSB's  amended  counterclaims  in February  2000. In
September   2000,  the  court  denied   plaintiffs'   motion  to  dismiss  SSB's
counterclaims  based on  indemnification  and contribution.  In August 2002, SSB
filed a motion for summary judgment.

     In April 2002,  numerous class action complaints were filed against Salomon
Smith  Barney  and other  investment  banks in the U.S.  District  Court for the
Southern District of New York alleging  violations of certain federal securities
laws  (including  Section 11 of the  Securities Act of 1933 and Section 10(b) of
the  Securities  Exchange Act of 1934) with respect to the  allocation of shares
for certain initial public  offerings and related  aftermarket  transactions and
damage to investors  caused by allegedly  biased research  analyst  reports.  On
February 19, 2003, the court issued an opinion denying the defendants' motion to
dismiss. Also pending in the Southern District of New York against SSB and other
investment banks are several alleged class actions which have been  consolidated
into a single  class action  alleging  violations  of certain  federal and state
antitrust  laws in connection  with the  allocation of shares in initial  public
offerings  underwritten  by such parties.  The  defendants in these actions have
moved to dismiss the  consolidated  amended  complaint but the court has not yet
rendered a decision on those motions.



                                       10
<PAGE>

     In April 2002,  Citigroup  and, in one case,  SSB were named as  defendants
along with, among others,  commercial and/or  investment banks,  certain current
and former Enron officers and directors,  lawyers and accountants in two alleged
consolidated  class action complaints that were filed in the U.S. District Court
for the Southern  District of Texas  seeking  unspecified  damages.  One action,
brought on behalf of individuals who purchased Enron securities  (Newby,  et al.
v.  Enron  Corp.,  et al.),  alleges  violations  of  Sections  11 and 15 of the
Securities Act of 1933 and Sections  10(b) and 20(a) of the Securities  Exchange
Act of 1934 and the other action,  brought on behalf of current and former Enron
employees  (Tittle,  et al. v. Enron Corp., et al.), alleges violations of ERISA
and RICO, as well as negligence and civil conspiracy.  On May 8, 2002, Citigroup
and SSB filed  motions to dismiss the  complaints.  On December  19,  2002,  the
motions to dismiss the Newby  complaint  were denied.  The motion to dismiss the
complaint in Tittle remains pending.

     Since April 2002,  SSB and  several  other  broker  dealers  have  received
subpoenas  and/or  requests  for  information  from  various   governmental  and
self-regulatory agencies and Congressional  committees,  including the NASD Inc.
which has raised  issues about SSB's  internal  e-mail  retention  practices and
research  on Winstar  Communications,  Inc.  With  respect to  Winstar,  SSB has
entered into a settlement  agreement.  SSB agreed to pay a penalty in the amount
of $5 million and did not admit to any  wrongdoing.  With  respect to other such
matters,  on December 20, 2002,  Citigroup and a number of other  broker/dealers


                                       11
<PAGE>

reached a  settlement-in-principle  with the SEC,  the NASD  Inc.,  the New York
Stock  Exchange (the "NYSE") and the Attorney  General of New York of all issues
raised   in  their   research,   initial   public   offerings   allocation   and
spinning-related  inquiries.  In addition,  with respect to issues raised by the
NASD,  the NYSE and the SEC  about  SSB's  and  other  firms'  e-mail  retention
practices,  SSB and several other  broker/dealers and the NASD, the NYSE and the
SEC entered into a settlement  agreement in December  2002.  SSB agreed to pay a
penalty in the amount of $1.65  million and did not admit to any  allegation  of
wrongdoing.

     Since May 2002, Citigroup,  SSB and certain principals,  executive officers
and current and former  employees  have been named as  defendants in a number of
alleged  class  action  complaints  filed in the  U.S.  District  Court  for the
Southern District of New York by purchasers of various securities  alleging they
violated federal  securities law, including Sections 10 and 20 of the Securities
Exchange Act of 1934 by issuing  research  reports without  reasonable basis and
failing  to  disclose   conflicts  of  interest  in  connection  with  published
investment research,  including Global Crossing,  WorldCom, Inc., AT&T, Winstar,
Rhythm Net Connections,  Level 3  Communications,  MetroMedia Fiber Network,  XO
Communications  and  Williams  Communications  Group  Inc.  Nearly  all of these
actions are pending  before a single  judge in the U.S.  District  Court for the
Southern  District  of New York  for  coordinated  proceedings.  The  court  has
consolidated  these actions into nine separate  categories  corresponding to the
companies named above.


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<PAGE>

     Additional  actions have been filed  against  Citigroup  and certain of its
affiliates,  including  SSB, and certain of their current and former  directors,
officers and employees, along with other parties,  including: (1) three putative
class actions filed in state courts and federal  courts on behalf of persons who
maintained accounts with SSB asserting,  among other things,  common law claims,
claims under state  statutes,  and claims under the  Investment  Advisers Act of
1940,  for  allegedly  failing  to provide  objective  and  unbiased  investment
research and investment management,  seeking, among other things, return of fees
and  commissions;  (2)  approximately  fifteen  actions filed in different state
courts by  individuals  asserting,  among  other  claims,  common law claims and
claims under state  securities  laws,  for allegedly  issuing  research  reports
without  a  reasonable  basis  in fact and for  allegedly  failing  to  disclose
conflicts of interest with  companies in connection  with  published  investment
research,  including Global Crossing and WorldCom,  Inc.; (3) approximately five
actions  filed in different  state  courts by pension and other funds  asserting
common law claims and  statutory  claims under,  among other  things,  state and
federal  securities  laws,  for allegedly  issuing  research  reports  without a
reasonable  basis in fact and for  allegedly  failing to disclose  conflicts  of
interest  with  companies in  connection  with  published  investment  research,
including WorldCom,  Inc. and Qwest  Communications  International Inc.; and (4)
more than two hundred  arbitrations  asserting  common law claims and  statutory
claims  under,  among other  things,  state and  federal  securities  laws,  for
allegedly  issuing  research  reports without a reasonable basis in fact and for

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allegedly failing to disclose conflicts of interest with companies in connection
with published investment research.

     In July 2002,  Citigroup,  SSB and various of its affiliates and certain of
their officers and other employees were named as defendants,  along with,  among
others,  commercial and/or  investment  banks,  certain current and former Enron
officers and directors, lawyers and accountants in an alleged class action filed
in the U.S.  District  Court for the Southern  District of New York on behalf of
purchasers  of the Yosemite  Notes and Enron  Credit-Linked  Notes,  among other
securities (Hudson Soft Co., Ltd v. Credit Suisse First Boston  Corporation,  et
al.). The complaint  alleges  violations of RICO and of Sections 10(b) and 20(a)
of the Securities Exchange Act of 1934 and seeks unspecified damages.

     Additional  actions have been filed  against  Citigroup  and certain of its
affiliates, including SSB, along with other parties, including (i) three actions
brought in state courts by state pension  plans for alleged  violations of state
securities  law and common law fraud and  unjust  enrichment;  (ii) an action by
banks that  participated  in two Enron  revolving  credit  facilities,  alleging
fraud,  gross  negligence  and  breach  of  implied  duties in  connection  with
defendants'  administration  of a credit  facility  with Enron;  (iii) an action
brought by several funds in connection with secondary  market purchases of Enron
Corp. debt securities  alleging  violations of federal securities law, including
Section  11  of  the   Securities   Act  of  1933,  and  claims  for  fraud  and
misrepresentation;  (iv) a series of  alleged  class  actions by  purchasers  of

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<PAGE>

NewPower  Holdings common stock alleging  violations of federal  securities law,
including  Section 11 of the  Securities  Act of 1933 and  Section  10(b) of the
Securities  Exchange Act of 1934; (v) an action brought by two investment  funds
in connection with purchases of Enron-related  securities for alleged violations
of state securities and unfair competition  statutes;  (vi) an action brought by
several  investment  funds and fund owners in connection with purchases of notes
of the Osprey I and Osprey II Trusts for alleged  violation of state and federal
securities  laws  and  claims  for  common  law  fraud,   misrepresentation  and
conspiracy;  (vii) an action brought by several investment funds and fund owners
in connection  with  purchases of notes of the Osprey I and Osprey II Trusts for
alleged  violation  of  state  and  federal  securities  laws and  state  unfair
competition laws and claims for common law fraud and  misrepresentation;  (viii)
an action  brought by the Attorney  General of  Connecticut  in connection  with
various  commercial and investment  banking services  provided to Enron;  (ix) a
putative  class action  brought by clients of SSB in  connection  with  research
reports  concerning Enron,  alleging breach of contract;  (x) actions brought by
several  investment  funds in  connection  with  the  purchase  of notes  and/or
certificates of the Osprey Trusts, the Marlin Trust, and the Marlin Water trust,
as well as the  purchase of other Enron or  Enron-related  securities,  alleging
violation of state and federal  securities laws, and common law civil conspiracy
and fraud;  (xi) an action brought by a retirement  and health  benefits plan in
connection  with the  purchase of certain  Enron  notes,  alleging  violation of
federal  securities law,  including Section 11 of the Securities Act of 1933, as

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<PAGE>

amended,  violations of state securities and unfair  competition law, and common
law fraud and  breach of  fiduciary  duty;  and (xii) an action  brought  by two
broker/dealers  in  connection  with the  purchase  of certain  notes,  alleging
violation of federal and state securities laws. Several of these cases have been
consolidated  with the Newby action and stayed  pending the Court's  decision on
the pending motions of certain defendants to dismiss Newby.

     Additionally,  Citigroup and certain of its affiliates, including SSB, have
provided   substantial   information  to,  and  have  entered  into  substantive
discussions  with, the Securities and Exchange  Commission  regarding certain of
their  transactions with Enron and a transaction with Dynegy Inc.  Citigroup and
certain of its  affiliates,  including  SSB,  also have  received  subpoenas and
requests for information from various other regulatory and governmental agencies
and Congressional  committees, as well as from the Special Examiner in the Enron
bankruptcy, regarding certain transactions and business relationships with Enron
and  its  affiliates.   Citigroup  and  such  affiliates,   including  SSB,  are
cooperating fully with all such requests.

     Citigroup  and SSB are involved in a number of lawsuits  arising out of the
underwriting  of debt  securities  of  WorldCom,  Inc.  These  lawsuits  include
putative class actions filed in July 2002 by alleged purchasers of WorldCom debt
securities in the United States District Court for the Southern  District of New
York (Above  Paradise  Investments  Ltd. V.  Worldcom,  Inc., et al.;  Municipal
Police Employees Retirement System Of Louisiana V. Worldcom,  Inc., et al.), and
in the United States  District  Court for the Southern  District of  Mississippi
(Longacre  Master Fund V. Worldcom,  Inc., et al.).  These putative class action

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<PAGE>

complaints assert violations of federal  securities law,  including  Sections 11
and 12 of the Securities Act of 1933, as amended,  and seek unspecified  damages
from the underwriters.

     On October 11, 2002,  the Above  Paradise and  Municipal  Police  Employees
lawsuits filed in the United States District Court for the Southern  District of
New York were  superseded by the filing of a consolidated  putative class action
complaint in the United States  District Court for the Southern  District of New
York  (In  Re  Worldcom,  Inc.  Securities  Litigation).   In  the  consolidated
complaint,  in addition to the claims of violations by the  underwriters  of the
federal  securities law,  including  Sections 11 and 12 of the Securities Act of
1933,  as amended,  the  plaintiffs  allege  violations  of Section 10(b) of the
Securities  Exchange  Act of  1934,  as  amended,  and  Rule  10b-5  promulgated
thereunder,  by SSB arising out of alleged conflicts of interest of SSB and Jack
Grubman.  The plaintiffs continue to seek unspecified  compensatory  damages. In
addition to the consolidated  class action  complaint,  the Southern District of
Mississippi  class  action  has  been  transferred  by  the  Judicial  Panel  on
MultiDistrict  Litigation to the Southern  District of New York for  centralized
pre-trial proceedings with other WorldCom-related actions.

     In addition to the several putative class actions that have been commenced,
certain  individual  actions have been filed in various federal and state courts
against  Citigroup and SSB, along with other parties,  concerning  WorldCom debt


                                       17
<PAGE>

securities  including individual state court actions brought by approximately 18
pension  funds  and  other  institutional   investors  in  connection  with  the
underwriting of debt securities of WorldCom alleging violations of Section 11 of
the Securities Act of 1933, as amended,  and, in one case, violations of various
state  securities  laws and common law fraud.  Most of these  actions  have been
removed to federal court and have been  transferred to the Southern  District of
New York for  centralized  pre-trial  proceedings  with  other  WorldCom-related
actions.

     A putative  class action on behalf of  participants  in  WorldCom's  401(k)
salary savings plan and those  WorldCom  benefit plans covered by ERISA alleging
violations of ERISA and common law fraud  (Emanuele V. Worldcom,  Inc., Et Al.),
which was  commenced  in the United  States  District  Court for the District of
Columbia,  also has been  transferred  by the  Judicial  Panel on  MultiDistrict
Litigation  to the  Southern  District  of New  York for  centralized  pre-trial
proceedings with other  WorldCom-related  actions.  In December 2002, the claims
against SSB and the other underwriters were dismissed without prejudice.

     On or about January 27, 2003,  lead  plaintiff in a  consolidated  putative
class action in the United States  District Court for the District of New Jersey
(In Re  AT&T  Corporation  Securities  Litgation)  sought  leave  to  amend  its
complaint on behalf of purchasers of AT&T common stock asserting claims against,
among others, AT&T Corporation,  to add as named defendants  Citigroup,  SSB and
certain executive  officers and current and former  employees,  asserting claims


                                       18
<PAGE>

under federal  securities laws for allegedly  issuing research reports without a
reasonable  basis in fact and for  allegedly  failing to disclose  conflicts  of
interest with AT&T in connection with published investment research.

     On or about January 28, 2003,  lead  plaintiff in a  consolidated  putative
class action in the United States  District  Court for the Southern  District of
New  York  (In  Re  Global  Crossing,   Ltd.  Securities   Litigation)  filed  a
consolidated  complaint  on behalf of  purchasers  of the  securities  of Global
Crossing  and  its  subsidiaries,  which  names  as  defendants,  among  others,
Citigroup,  SSB and certain executive officers and current and former employees,
asserting  claims under federal  securities laws for allegedly  issuing research
reports without a reasonable basis in fact and for allegedly failing to disclose
conflicts  of  interest  with  Global  Crossing  in  connection  with  published
investment research.

     SSBHI  and  various  subsidiaries  have also been  named as  defendants  in
various  matters  incident  to and typical of the  businesses  in which they are
engaged. These include numerous civil actions, arbitration proceedings and other
matters in which SSBHI's broker-dealer  subsidiaries have been named, arising in
the  normal  course of  business  out of  activities  as a broker  and dealer in
securities,  as an  underwriter  of  securities,  as  an  investment  banker  or
otherwise.  In the  opinion  of  SSBHI's  management,  none of these  actions is
expected  to have a  material  adverse  effect  on the  results  of  operations,
consolidated financial condition or liquidity of SSBHI and its subsidiaries.



                                       19
<PAGE>

Item 4. Submission of Matters to a Vote of Security Holders.

     There were no matters  submitted to the security  holders for a vote during
the last fiscal year covered by this report.

                                     PART II

Item 5.  Market for  Registrant's  Common  Equity and  Related  Security  Holder
         Matters.

               (a)  Market  Information.  The  Partnership  has issued no stock.
                    There  is  no  public   market  for  the  Units  of  Limited
                    Partnership Interest.

               (b)  Holders.  The  number  of  holders  of Units of  Partnership
                    Interest as of December 31, 2002, was 1,241.

               (c)  Distribution. The Partnership did not declare a distribution
                    in 2002 or 2001.

               (d)  Use of Proceeds.  For the twelve  months ended  December 31,
                    2002,  there  were  additional  sales  of  3,071.2548  Units
                    totaling  $5,862,000.  For the twelve months ended  December
                    31, 2001, there were additional  sales of 25,182.0535  Units
                    totaling   $40,789,000  and  contributions  by  the  General
                    Partner  representing  209.6498  Unit  equivalents  totaling
                    $355,000.  For the twelve  months  ended  December 31, 2000,
                    there were  additional  sales of 3,923.1399  Units  totaling
                    $4,455,000  and   contributions   by  the  General   Partner
                    representing  22.0154 Unit equivalents totaling $25,000. For
                    the  twelve  months  ended  December  31,  1999,  there were
                    additional sales of 2,558.8989 Units totaling $3,354,000 and


                                       20
<PAGE>

                    contributions  by the General Partner  representing  15.2588
                    Unit equivalents totaling $20,000.

                    Proceeds from the sale of  additional  Units are used in the
                    trading of commodity  interests including futures contracts,
                    options, swaps and forward contracts.



                                       21
<PAGE>

Item 6. Selected Financial Data. The Partnership commenced trading operations on
march 16, 1998.

Net realized and unrealized trading gains (losses),  interest income, net income
(loss) and increase  (decrease)  in Net Asset Value per Unit for the years ended
December  31,  2002,  2001,  2000,  1999 and the  period  from  March  16,  1998
(commencement  of trading  operations)  to December 31, 1998 and total assets at
December 31, 2002, 2001, 2000, 1999 and 1998 were as follows:

<TABLE>
<CAPTION>
<S>                                <C>            <C>             <C>           <C>             <C>
                                   2002          2001           2000           1999              1998

Net realized and unrealized
 trading gains (losses) net
 of brokerage commissions
 and clearing fees of
 $15,155,860, $3,892,417,
 $7,591,291, $12,587,354
 and $5,527,260,
 respectively                 $ 63,718,803   $ 35,724,000   $ 14,488,934    $ (4,677,441)   $ 14,675,192

Interest income                  2,199,382      2,745,908      2,520,294       3,411,756       1,978,202


                              $ 65,918,185   $ 38,469,908   $ 17,009,228    $ (1,265,685)   $ 16,653,394
Net income (loss) before
 Special Allocation to
 Special Limited Partners     $ 62,361,519   $ 36,115,307   $ 15,501,056    $ (3,236,003)   $ 15,401,913


Allocation to Special
 Limited Partners               12,019,017      6,669,865      1,831,884             -         2,699,932


Net income (loss) available
 For pro rata distribution
 To Partners                  $ 50,342,502   $ 29,445,442   $ 13,669,172    $ (3,236,003)   $ 12,701,981
Increase(decrease) in Net
 Asset Value per Unit         $     691.35   $     489.01   $     272.65    $     (48.76)   $     184.33


Total assets                  $194,697,342   $144,011,712   $ 95,783,289    $ 86,241,742    $ 84,035,617
</TABLE>





                                       22
<PAGE>

Item 7. Management's  Discussion and Analysis of Financial Condition and Results
        of Operations.

     (a)  Liquidity.  The  Partnership  does  not  engage  in  sales of goods or
services.  Its only assets are its  investment in the Master,  cash and interest
receivable. The Master does not engage in the sale of goods or services. Because
of the low margin deposits  normally required in commodity  trading,  relatively
small  price  movements  may result in  substantial  losses to the  Partnership,
through its investment in the Master.  Such  substantial  losses could lead to a
material  decrease in  liquidity.  To  minimize  this risk,  the Master  follows
certain policies including:

     (1) Master funds are invested only in commodity  interests which are traded
in sufficient  volume to permit,  in the opinion of the Advisor,  ease of taking
and liquidating positions.

     (2) The Master  diversifies  its positions among various  commodities.  The
Advisor does not initiate  additional  positions in any commodity for the Master
if such  additional  positions  would  result  in  aggregate  positions  for all
commodities  requiring a margin of more than 66-2/3% of net assets of the Master
managed by the Advisor.

     (3) The Master may occasionally accept delivery of a commodity. Unless such
delivery  is  disposed  of  promptly  by  retendering   the  warehouse   receipt
representing  the  delivery  to  the  appropriate  clearinghouse,  the  physical
commodity position is fully hedged.



                                       23
<PAGE>

     (4) The Master  does not employ the  trading  technique  commonly  known as
"pyramiding",  in which the  speculator  uses  unrealized  profits  on  existing
positions as margin for the purchase or sale of additional positions in the same
or related commodities.

     (5) The Master does not utilize borrowings except short-term  borrowings if
the Master takes delivery of any cash commodities.

     (6) The Advisor may, from time to time,  employ trading  strategies such as
spreads or straddles on behalf of the Master.  The term  "spread" or  "straddle"
describes a commodity futures trading strategy involving the simultaneous buying
and selling of futures  contracts on the same commodity but involving  different
delivery  dates or markets and in which the trader expects to earn a profit from
a  widening  or  narrowing  of the  difference  between  the  prices  of the two
contracts.

     The Partnership,  through the  Partnership's  investment in the Master,  is
party to financial instruments with off-balance sheet risk, including derivative
financial instruments and derivative commodity instruments, in the normal course
of its  business.  These  financial  instruments  may include  forwards,  swaps,
futures and options,  whose value is based upon an underlying  asset,  index, or
reference  rate,  and  generally   represent  future   commitments  to  exchange
currencies or cash flows, or to purchase or sell other financial  instruments at
specified terms at specified future dates.  Each of these instruments is subject
to  various  risks  similar  to  those  relating  to  the  underlying  financial
instruments  including  market and credit risk. The General Partner monitors and


                                       24
<PAGE>

controls the Master's risk exposure on a daily basis through  financial,  credit
and risk  management  monitoring  systems and  accordingly  believes that it has
effective  procedures for evaluating and limiting the credit and market risks to
which the  Master  is  subject.  (See also  "Item 8.  Financial  Statements  and
Supplementary  Data"  for  further  information  on  financial  instrument  risk
included in the notes to financial statements). Other than the risks inherent in
commodity  trading,  the Partnership knows of no trends,  demands,  commitments,
events or uncertainties  which will result in or which are reasonably  likely to
result in the Partnership's  liquidity  increasing or decreasing in any material
way. The Limited Partnership  Agreement provides that the Partnership will cease
trading operations and liquidate all open positions under certain  circumstances
including  a  decrease  in Net Asset  Value per Unit to less than $400 as of the
close of business on any business day.

     (b) Capital resources. (i) The Partnership has made no material commitments
for capital expenditures.

     (ii) The Partnership's capital consists of the capital contributions of the
partners as  increased  or  decreased  by gains or losses on  commodity  futures
trading by the Master and by expenses, interest income, redemptions of Units and
distributions of profits,  if any. Gains or losses on commodity  futures trading
cannot be predicted.  Market moves in commodities are dependent upon fundamental
and technical  factors which the Partnership may or may not be able to identify.
Partnership  expenses  will  consist of,  among other  things,  commissions  and


                                       25
<PAGE>

advisory  fees.  The  level of these  expenses  is  dependent  upon the level of
trading  gains or losses and the  ability of the  Advisor to  identify  and take
advantage of price movements in the commodity markets,  in addition to the level
of Net  Assets  maintained.  The  amount of  interest  income  payable by SSB is
dependent upon interest rates over which the Partnership has no control.

     For the year  ended  December  31,  2002,  there were  additional  sales of
3,071.2548  Units  totaling  $5,862,000.  For the Year ended  December 31, 2001,
there were  additional  sales of  25,182.0535  Units  totaling  $40,789,000  and
contributions  by the General  Partner  representing  209.6498 Unit  equivalents
totaling  $355,000.  For the year ended December 31, 2000, there were additional
sales of 3,923.1399 Units totaling  $4,455,000 and  contributions by the General
Partner representing 22.0154 Unit equivalents totaling $25,000.

     No forecast can be made as to the level of redemptions in any given period.
A limited  partner may require the  Partnership to redeem his Units at their Net
Asset  Value as of the last day of a month on 10  business  day's  notice to the
General  Partner.  For the year ended December 31, 2002,  3,916.9924  Units were
redeemed totaling $9,240,665 and 4,643.0922 Units of Special Limited Partnership
Interest totaling $12,019,016.  For the year ended December 31, 2001, 5,774.1030
Units were redeemed totaling  $8,196,401 and 4,816.4313 Units of Special Limited
Partnership  Interest  totaling  $8,501,749  were  redeemed.  For the year ended
December 31, 2000, 17,900.7647 Units were redeemed totaling $19,960,815.


                                       26
<PAGE>

     Units of Limited Partnership Interest were sold to persons and entities who
are accredited  investors as that term is defined in rule 501(a) of Regulation D
under  the  Securities  Act of  1933,  as well as to those  persons  who are not
accredited  investors  but who  have  either  a net  worth  (exclusive  of home,
furnishings and automobile)  either  individually or jointly with the investor's
spouse of at least three times his  investment in the  Partnership  (the minimum
investment for which was $25,000) or gross income for the two previous years and
projected  gross income for the current fiscal year of not less than three times
his investment in the Partnership for each year.

     (c) Results of  Operations.  For the year ended  December  31, 2002 the Net
Asset Value Per Unit increased  36.4% from $1,897.23 to $2,588.58.  For the year
ended  December  31,  2001 the Net Asset  Value Per Unit  increased  34.7%  from
$1,408.22 to  $1,897.23.  For the year ended  December  31, 2000,  the net asset
value Per Unit increased 24.0% from $1,135.57 to $1,408.22.

     The Partnership, for its own account, through its investment in the Master,
experienced net trading gains of $63,718,803 before commissions and expenses for
the year ended  December  31, 2002.  Gains were  primarily  attributable  to the
trading of NYMEX  Natural Gas,  NYMEX  Heating Oil, IPE Gas Oil and energy swaps
and were  partially  offset by losses in NYMEX Unleaded Gas, IPE Brent Crude and
NYMEX Crude Oil.

     The Partnership, for its own account, through its investment in the Master,
experienced net trading gains of $39,616,417 before commissions and expenses for

                                       27
<PAGE>

the year ended  December  31, 2001.  Gains were  primarily  attributable  to the
Master's  trading of NYMEX Natural Gas and NYMEX Heating Oil and were  partially
offset by losses in NYMEX Brent Crude,  NYMEX Crude Oil,  NYMEX Unleaded Gas and
IPE Gas Oil and Brent Crude and energy swaps.

     The  Partnership  experienced  net  trading  gains  of  $22,080,225  before
commissions  and  expenses  for the year ended  December  31,  2000.  Gains were
primarily  attributable  to the trading of NYMEX  Natural Gas,  NYMEX Crude Oil,
NYMEX Heating Oil and energy swaps and were partially  offset by losses in NYMEX
Unleaded Gas and IPE Gas Oil and Brent Crude.

     Commodity markets are highly volatile.  Broad price  fluctuations and rapid
inflation  increase the risks involved in commodity  trading,  but also increase
the possibility of profit.  The  profitability of the Master and the Partnership
depends  on the  Advisor's  ability  to  forecast  changes  in energy and energy
related  commodities.  Such price changes are influenced by, among other things,
changing supply and demand relationships,  weather, governmental,  agricultural,
commercial and trade programs and policies, national and international political
and  economic  events and  changes in  interest  rates.  To the extent  that the
Advisor correctly makes such forecasts, the Master and the Partnership expect to
increase capital through operations.

          (d) Operational Risk

     The Partnership,  through its investment in the Master, is directly exposed
to market risk and credit risk, which arise in the normal course of its business
activities.  Slightly  less  direct,  but  of  critical  importance,  are  risks


                                       28
<PAGE>

pertaining to operational and back office support. This is particularly the case
in a rapidly  changing  and  increasingly  global  environment  with  increasing
transaction volumes and an expansion in the number and complexity of products in
the marketplace.

Such risks include:

Operational/Settlement  Risk - the risk of financial  and  opportunity  loss and
legal liability attributable to operational problems, such as inaccurate pricing
of transactions,  untimely trade execution,  clearance and/or settlement, or the
inability to process large volumes of transactions. The Partnership, through the
Partnership's  investment  in the  Master,  is subject to  increased  risks with
respect  to  its  trading  activities  in  emerging  market  securities,   where
clearance,  settlement,  and  custodial  risks  are often  greater  than in more
established markets.

Technological Risk - the risk of loss attributable to technological  limitations
or hardware failure that constrain the Partnership's and the Master's ability to
gather, process, and communicate  information efficiently and securely,  without
interruption,  to  customers,  among Units  within the  Partnership,  and in the
markets where the Partnership and the Master participates.

Legal/Documentation  Risk - the risk of loss attributable to deficiencies in the
documentation  of  transactions  (such  as  trade  confirmations)  and  customer
relationships  (such as master  netting  agreements)  or errors  that  result in
noncompliance with applicable legal and regulatory requirements.

Financial  Control  Risk - the  risk  of loss  attributable  to  limitations  in

                                       29
<PAGE>

financial  systems and controls.  Strong  financial  systems and controls ensure
that assets are safeguarded,  that  transactions are executed in accordance with
management's   authorization,   and  that  financial   information  utilized  by
management and  communicated to external  parties,  including the  Partnership's
unitholders, creditors, and regulators, is free of material errors. Quantitative
and Qualitative Disclosures About Market Risk

     (e) Critical Accounting Policies

     The General Partner believes that the accounting policies that will be most
critical to the  Partnership's  financial  condition  and results of  operations
relate to the  valuation  of the  Partnership's  positions.  The majority of the
Partnership's positions will be exchange-traded futures contracts, which will be
valued daily at settlement  prices  published by the  exchanges.  Swap contracts
generally will be valued by reference to published settlement prices or dealers'
quotes in related markets or other measures of fair value deemed  appropriate by
the General Partner. The General Partner expects that under normal circumstances
substantially  all of the  Partnership's  assets  will be  valued  by  objective
measures  and  without   difficulty.

Item 7A. Quantitative and Qualitative Disclosures About Market Risk

     The  Master  is  a  speculative   commodity  pool.  The  market   sensitive
instruments  held by the Master are acquired for speculative  trading  purposes,
and all or substantially all of the Partnership's assets are subject to the risk
of trading  loss  through  its  investment  in the Master.  Unlike an  operating


                                       30
<PAGE>

company, the risk of market sensitive  instruments is integral,  not incidental,
to the Master's and the Partnership's main line of business.

     Market movements result in frequent changes in the fair market value of the
Master's open  positions and,  consequently,  in its earnings and cash flow. The
Master's and the  Partnership's  market risk is  influenced by a wide variety of
factors,  including the level and volatility of interest rates,  exchange rates,
equity price levels,  the market value of financial  instruments  and contracts,
the diversification  results among the Master's open positions and the liquidity
of the markets in which it trades.

     The Master rapidly acquires and liquidates both long and short positions in
a wide range of different markets.  Consequently,  it is not possible to predict
how a  particular  future  market  scenario  will  affect  performance,  and the
Master's past performance is not necessarily indicative of its future results.

     Value at Risk is a measure of the  maximum  amount  which the Master  could
reasonably be expected to lose in a given market sector.  However,  the inherent
uncertainty  of the  Master's  speculative  trading  and the  recurrence  in the
markets  traded by the Master of market  movements  far  exceeding  expectations
could result in actual  trading or  non-trading  losses far beyond the indicated
Value at Risk or the  Master's  experience  to date (i.e.,  "risk of ruin").  In
light of the foregoing as well as the risks and  uncertainties  intrinsic to all
future projections, the inclusion of the quantification included in this section


                                       31
<PAGE>

should not be considered to constitute any assurance or representation  that the
Master's  losses in any market sector will be limited to Value at Risk or by the
Master's attempts to manage its market risk.

Quantifying the Partnership's Trading Value at Risk

     The  following  quantitative  disclosures  regarding  the  Master's and the
Partnership's market risk exposures contain "forward-looking  statements" within
the meaning of the safe harbor from civil liability provided for such statements
by the Private  Securities  Litigation  Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of  1934).  All  quantitative  disclosures  in this  section  are  deemed  to be
forward-looking statements for purposes of the safe harbor except for statements
of historical fact (such as the terms of particular  contracts and the number of
market risk  sensitive  instruments  held during or at the end of the  reporting
period).

     The  Master's and the  Partnership's  risk  exposure in the various  market
sectors traded by the Advisor is quantified below in terms of Value at Risk. Due
to the  Master's  mark-to-market  accounting,  any loss in the fair value of the
Master's open positions is directly reflected in the Master's earnings (realized
or unrealized) and cash flow.

     Exchange  maintenance  margin  requirements have been used by the Master as
the measure of its Value at Risk.  Maintenance  margin  requirements  are set by
exchanges  to equal or exceed  the  maximum  losses  reasonably  expected  to be
incurred  in the fair value of any given  contract  in  95%-99%  of any  one-day
intervals.  The  maintenance  margin  levels  are  established  by  dealers  and


                                       32
<PAGE>

exchanges  using  historical  price  studies as well as an assessment of current
market  volatility  (including the implied  volatility of the options on a given
futures contract) and economic fundamentals to provide a probabilistic  estimate
of the maximum expected near-term one-day price fluctuation.  Maintenance margin
has been used rather than the more generally  available initial margin,  because
initial margin  includes a credit risk component  which is not relevant to Value
at Risk.

     In the case of market sensitive  instruments  which are not exchange traded
(almost  exclusively  currencies  in the case of the  Partnership),  the  margin
requirements  for the  equivalent  futures  positions have been used as Value at
Risk. In those rare cases in which a futures-equivalent margin is not available,
dealers' margins have been used.

     The fair value of the Master's futures and forward  positions does not have
any optionality  component.  However,  the Advisor does trade commodity options.
The Value at Risk associated with options is reflected in the following table as
the margin  requirement  attributable to the instrument  underlying each option.
Where this instrument is a futures contract,  the futures margin, and where this
instrument is a physical commodity,  the  futures-equivalent  maintenance margin
has been used. This calculation is conservative in that it assumes that the fair
value of an option  will  decline  by the same  amount as the fair  value of the
underlying  instrument,  whereas, in fact, the fair values of the options traded
by the Master in almost all cases fluctuate to a lesser extent than those of the
underlying instruments.


                                       33
<PAGE>

     In quantifying the Master's Value at Risk, 100% positive correlation in the
different  positions  held  in each  market  risk  category  has  been  assumed.
Consequently,  the margin  requirements  applicable to the open  contracts  have
simply been added to determine each trading category's  aggregate Value at Risk.
The diversification  effects resulting from the fact that the Master's positions
are rarely, if ever, 100% positively correlated have not been reflected.


                                       34
<PAGE>

The Master's Trading Value at Risk in Different Market Sectors

     The following table indicates the trading Value at Risk associated with the
Master's  open  positions  by market  category as of  December  31, 2002 and the
highest and lowest value at any point during the year. All open position trading
risk exposures of the Master have been included in  calculating  the figures set
forth below.  As of December 31, 2002,  the Master's  total  capitalization  was
$353,700,050.


                               December 31, 2002,

<TABLE>
<CAPTION>
<S>                     <C>             <C>              <C>            <C>
                                                                   Year to Date
                                      % of Total         High          Low
Market Sector      Value at Risk   Capitalization    Value at Risk  Value at Risk

Energy             $47,253,146          13.36%       $64,130,606     $5,737,107
Energy Swaps         9,245,703           2.61%       $30,923,087     $1,395,629
                   -----------           ----
Total              $56,498,849          15.97%
                    ----------          -----
</TABLE>


                                       35
<PAGE>

The following  table  indicates the trading  Value at risk  associated  with the
Master's  open  positions  by market  category as of December  31,  2001.  As of
December 31, 2002, the Partnership's total capitalization was $152,214,723.


                               December 31, 2001,


<TABLE>
<CAPTION>
<S>                     <C>             <C>              <C>            <C>
                                                                   Year to Date
                                      % of Total         High          Low
Market Sector      Value at Risk   Capitalization    Value at Risk  Value at Risk

Energy              $13,681,991      8.99%           $30,660,157     $7,703,528
Energy Swaps          2,689,299      1.77%
                     ----------     -----
Total               $16,371,290     10.76%
                     ----------     -----
</TABLE>



                                       36
<PAGE>

Material Limitations on Value at Risk as an Assessment of Market Risk

     The face  value of the  market  sector  instruments  held by the  Master is
typically  many times the applicable  margin  requirement  (margin  requirements
generally range between 2% and 15% of contract face value) as well as many times
the  capitalization of the Master.  The magnitude of the Master's open positions
creates a "risk of ruin" not typically found in most other investment  vehicles.
Because of the size of its positions,  certain market conditions -- unusual, but
historically  recurring  from time to time -- could  cause  the  Master to incur
severe losses over a short period of time. The foregoing  Value at Risk table --
as well as the past performance of the Partnership -- give no indication of this
"risk of ruin."

     Materiality  as  used  in  this  section,   "Qualitative  and  Quantitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements,  taking into
account the leverage, optionality and multiplier features of the Master's market
sensitive instruments.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

     The following  qualitative  disclosures  regarding the Master's market risk
exposures - except for (i) those  disclosures  that are statements of historical
fact and (ii) the descriptions of how the Master manages its primary market risk
exposures - constitute  forward-looking statements within the meaning of Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of 1934.  The Master's  primary  market risk exposures as well as the strategies


                                       37
<PAGE>

used and to be used by the General  Partner and the  Advisor for  managing  such
exposures are subject to numerous  uncertainties,  contingencies  and risks, any
one of which  could cause the actual  results of the  Master's  risk  control to
differ   materially   from  the  objectives  of  such   strategies.   Government
interventions,  defaults and expropriations,  illiquid markets, the emergence of
dominant fundamental factors,  political upheavals,  changes in historical price
relationships,  an influx of new market  participants,  increased regulation and
many  other  factors  could  result in  material  losses as well as in  material
changes to the risk exposures and the management strategies of the Master. There
can be no  assurance  that the  Master's  current  market  exposure  and/or risk
management  strategies  will not change  materially or that any such  strategies
will be effective in either the short- or long- term. Investors must be prepared
to lose all or substantially all of their investment in the Partnership.

     The following  were the primary  trading risk exposures of the Master as of
December 31, 2002, by market sector.

     Energy.  Energy related products,  such as crude oil, heating oil, gasoline
and natural gas,  constitute the principal  market  exposure of the Master.  The
Master has  substantial  market exposure to gas and oil price  movements,  often
resulting from political developments in the Middle East. Political developments
in other  countries  or regions  can also  materially  impact upon the prices of
energy  products,  as could changing supply and demand  relationships,  weather,
governmental,  commercial and trade programs and policies, and other significant
economic  events.  Energy  prices can be volatile  and  substantial  profits and

                                       38
<PAGE>

losses  have  been and are  expected  to  continue  to be  experienced  in these
markets.

     The  Master  engages  in swap  transactions  in crude oil and other  energy
related products. In this connection, the Master contracts with its counterparty
to exchange a stream of payments  computed by reference to a notional amount and
the price of the energy product that is the subject of the swap.  Swap contracts
are not guaranteed by an exchange or clearinghouse.  SSB does not engage in swap
transactions as a principal.

     The Master usually enters into swaps on a net basis,  i.e., the two payment
streams  are  netted  out in a cash  settlement  on the  payment  date or  dates
specified in the agreement, with the Master receiving or paying, as the case may
be, only the net amount of the two  payments.  Swaps do not involve the delivery
of underlying assets or principal. Accordingly, the risk of loss with respect to
swaps is limited to the net amount of payments that the Master is  contractually
obligated to make. If the counterparty to a swap defaults,  the Master's risk of
loss  consists  of the net amount of payments  that the Master is  contractually
entitled to receive.

     The  Master  may also  enter into spot  transactions  to  purchase  or sell
commodities  with  SSB,  or one of  its  affiliates,  as  principal.  Such  spot
transactions  provide  for  two  day  settlement  and  are  not  margined.  Such
transactions  may be entered  into in  connection  with  exchange  for  physical
transactions.  Like the swap contract  market,  the spot market is a principals'
market so there is no  clearinghouse  guarantee  of  performance.  Instead,  the
Master is subject to the risk of inability of, or refusal by, a counterparty  to
perform with respect to the underlying contract.


                                       39
<PAGE>

     Other Commodity  Interests.  The Master primarily emphasizes the trading of
energy  products,  but may  also  trade  some  portion  of its  assets  in other
commodity interests, including, but not limited to, commodity interest contracts
on the Goldman Sachs  Commodity  Index (an index future  comprised  primarily of
energy products). Commodity interest prices can be affected by numerous factors,
including political developments, weather conditions, seasonal effects and other
factors which affect supply and demand for the underlying commodity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

     The General Partner  monitors and controls the  Partnership's,  through its
investment  in the Master,  risk  exposure on a daily basis  through  financial,
credit and risk management  monitoring systems and accordingly  believes that it
has effective procedures for evaluating and limiting the credit and market risks
to which the Master and the Partnership is subject.

     The General Partner monitors the Master's performance and the concentration
of its open  positions,  and consults with the Advisor  concerning  the Master's
overall  risk  profile.  If the General  Partner felt it necessary to do so, the
General  Partner could require the Advisor to close out individual  positions as
well as enter  programs  traded  on  behalf  of the  Master.  However,  any such
intervention  would be a highly unusual  event.  The General  Partner  primarily
relies on the Advisor's own risk control  policies  while  maintaining a general
supervisory overview of the Master's market risk exposures.


                                       40
<PAGE>

     The Advisor  applies its own risk management  policies to its trading.  The
Advisor often follows  diversification  guidelines,  margin limits and stop loss
points to exit a  position.  The  Advisor's  research of risk  management  often
suggests ongoing modifications to its trading programs.

     As part of the General  Partner's  risk  management,  the  General  Partner
periodically  meets with the Advisor to discuss its risk  management and to look
for  any  material  changes  to the  Advisor's  portfolio  balance  and  trading
techniques.  The  Advisor  is  required  to notify  the  General  Partner of any
material changes to its programs.



                                       41
<PAGE>

Item 8.    Financial Statements and Supplementary Data.

                    SMITH BARNEY AAA ENERGY FUTURES FUND L.P.
                          INDEX TO FINANCIAL STATEMENTS

                                                                Page
                                                               Number

    Oath or Affirmation.                                         F-2

    Report of Independent Accountants.                        F-3 - F-4

    Financial Statements:
    Statement of Financial Condition
    at December 31, 2002 and 2001.                               F-5

    Statement of Income and Expenses
    For the years ended December 31,
    2002, 2001 and 2000.                                         F-6

    Statement of Partners' Capital
    for the years ended December 31,
    2002, 2001 and 2000.                                      F-6 - F-7

    Notes to Financial Statements.                            F-8- F-12

    Selected unaudited quarterly financial
    data.                                                       F-13


    Financial Statements of the SB AAA
    Master Fund LLC
    Oath or Affirmation.                                         F-14

    Report of Independent Accountants.                       F-15 - F-16

    Statement of Financial Condition at
    December 31, 2002 and 2001.                                  F-17

    Condensed Schedule of Investments at
    December 31, 2002 and 2001.                               F-18 - F-19

    Statement of Income and Expenses for the
    Year ended December 341, 2002 and the
    period September 1, 2001 (commencement of
    trading operations) to December 31, 2001.                    F-20

    Statement of Members' Capital for the
    Year ended December 31, 2002 and for the
    period September 1, 2001 (commencement of
    trading operations) to December 31, 2001.                    F-21

    Notes to Financial Statements.                           F-22 - F-26

    Selected unaudited quarterly financial
    data.                                                       F-27



                                       F-1

<PAGE>

                           To The Limited Partners of
                        Smith Barney AAA Energy Fund L.P.

To the best of the  knowledge  and belief of the  undersigned,  the  information
contained herein is accurate and complete.






By:/s/ Daniel R. McAuliffe, Jr.
     Daniel R. McAuliffe, Jr.
     Chief Financial Officer and Director
     Smith Barney Futures Management LLC
     General Partner, Smith Barney AAA
     Energy Fund L.P.

Smith Barney Futures Management LLC
388 Greenwich Street
7th Floor
New York, N.Y. 10013
212-723-5424


                                      F-2
<PAGE>




..
                         Report of Independent Auditors

To the Partners of
   Smith Barney AAA Energy Fund L.P.:

     We have audited the accompanying  statement of financial condition of Smith
Barney AAA Energy Fund L.P. (the Partnership),  as of December 31, 2002, and the
related  statements of income and expenses,  and partners'  capital for the year
then  ended.   These  financial   statements  are  the   responsibility  of  the
Partnership's  management.  Our responsibility is to express an opinion on these
financial  statements  based  on our  audit.  The  financial  statements  of the
Partnership  as of December  31, 2001 and for the years ended  December 31, 2001
and 2000 were audited by other  auditors  whose  report dated  February 28, 2002
expressed an unqualified opinion on those statements.

     We conducted our audit in  accordance  with  auditing  standards  generally
accepted in the United States of America.  Those standards  require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement.  An audit includes examining, on a
test basis,  evidence  supporting  the amounts and  disclosures in the financial
statements.  An audit also includes assessing the accounting principles used and
significant  estimates  made by  management,  as well as evaluating  the overall
financial  statement  presentation.   We  believe  that  our  audit  provides  a
reasonable basis for our opinion.

     In our opinion,  the financial statements referred to above present fairly,
in all material respects, the financial position of Smith Barney AAA Energy Fund
L.P. as of December 31, 2002,  and the results of its  operations and changes in
its partners'  capital for the year then ended,  in conformity  with  accounting
principles generally accepted in the United States of America.

KPMG LLP
New York, New York
March 7, 2003



                                      F-3
<PAGE>

                        Report of Independent Accountants

To the Partners of
   Smith Barney AAA Energy Fund L.P.:

In our opinion,  the  accompanying  statement of  financial  condition,  and the
related  statements  of income and  expenses and of  partners'  capital  present
fairly,  in all material  respects,  the financial  position of Smith Barney AAA
Energy Fund L.P. at December 31, 2001 and the results of its operations for each
of the two years in the period  ended  December  31, 2001,  in  conformity  with
accounting principles generally accepted in the United States of America.  These
financial  statements  are the  responsibility  of the management of the General
Partner;  our  responsibility  is to  express  an  opinion  on  these  financial
statements  based on our  audits.  We  conducted  our audits of these  financial
statements  in  accordance  with auditing  standards  generally  accepted in the
United  States of America,  which  require that we plan and perform the audit to
obtain reasonable  assurance about whether the financial  statements are free of
material  misstatement.  An audit 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 the management
of  the  General  Partner,   and  evaluating  the  overall  financial  statement
presentation.  We believe  that our audits  provide a  reasonable  basis for our
opinion.


PricewaterhouseCoopers LLP
New York, New York
February 28, 2002



                                      F-4

<PAGE>

                                Smith Barney AAA
                                Energy Fund L.P.
                        Statements of Financial Condition
                           December 31, 2002 and 2001

<TABLE>
<CAPTION>
<S>                                                                            <C>              <C>
                                                                        December 31,        December 31,
                                                                            2002                2001
      Assets:
      Investment in Master, at fair value                                $194,537,976        $143,835,729
      Cash                                                                      5,181              11,680
                                                                        -------------       -------------
                                                                          194,543,157         143,847,409
      Interest receivable                                                     154,185             164,303
                                                                        -------------       -------------
                                                                         $194,697,342        $144,011,712
                                                                        -------------       -------------


      Liabilities and Partners' Capital:
      Liabilities:
        Accrued expenses:
         Commissions (Note 3c)                                                      -            $519,842
         Management fees (Note 3b)                                           $330,695             243,694
         Professional fees                                                      8,590              20,302
         Other                                                                  5,223               6,791
        Redemptions payable (Note 5)                                       12,501,176           8,333,262
                                                                          -------------       -------------
                                                                           12,845,684           9,123,891
                                                                           -------------       -------------
      Partners' capital (Notes 1 and 5):
        General Partner 913.9790 Unit equivalents outstanding
         in 2002 and 2001, respectively                                     2,365,908           1,734,028
        Limited Partners, 69,337.6030 and 70,183.3406 Units of
         Limited Partnership Interest outstanding in 2002 and 2001,
         respectively                                                     179,485,750         133,153,793
                                                                          -------------       -------------
                                                                          181,851,658         134,887,821
                                                                         -------------       -------------
                                                                         $194,697,342        $144,011,712
                                                                        -------------       -------------
</TABLE>

See accompanying notes to financial statements.


                                      F-5
<PAGE>

                                Smith Barney AAA
                                Energy Fund L.P.
                        Statements of Income and Expenses
              for the years ended December 31, 2002, 2001 and 2000



<TABLE>
<CAPTION>
<S>                                                               <C>                  <C>                 <C>
                                                                  2002                2001                2000

Income:
  Realized gains on closed positions from Master               $70,639,778         $22,488,035    $             --
  Change in unrealized gains (losses) on open
   positions from Master                                         8,167,821          (5,460,297)                 --
  Income allocated from Master                                      67,064              20,077                  --
  Expenses allocated from Master                               (15,155,860)         (2,885,462)                 --
  Net gains (losses) on trading of commodity interests:
   Realized gains (losses) on closed positions                          --          57,859,372*        (23,193,801)
   Change in unrealized gains (losses) on open positions                --         (32,405,308)*        45,274,026
                                                                63,718,803          39,616,417          22,080,225
                                                                --------------      --------------      --------------
  Interest income (Note 3c)                                      2,199,382           2,745,908           2,520,294
                                                               --------------      --------------      --------------
                                                                65,918,185          42,362,325          24,600,519
                                                                 --------------      --------------      --------------
Expenses:
  Brokerage commissions including clearing
   fees of $0, $637,145* and 1,024,792,
   respectively (Note 3c)                                                -           3,892,417           7,591,291
  Management fees (Note 3b)                                      3,488,171           2,197,448           1,365,960
  Professional fees                                                 49,098              74,195             111,791
  Other expenses                                                    19,397              82,958              30,421
                                                              --------------      --------------      --------------
                                                                 3,556,666           6,247,018           9,099,463
                                                              --------------      --------------      --------------
Net income before allocation to the Special
  Limited Partner                                               62,361,519          36,115,307          15,501,056
Allocation to the Special Limited Partner                       12,019,017           6,669,865           1,831,884
                                                              --------------      --------------      --------------
Net income available for pro rata distribution                 $50,342,502         $29,445,442         $13,669,172
                                                             --------------      --------------      --------------


Net income per Unit of Limited Partnership Interest and
  General Partner Unit equivalent (Notes 1 and 7)                  $691.35             $489.01             $272.65
                                                             --------------      --------------      --------------
</TABLE>

*  For the period from January 1, 2001 to August 31, 2001.

See accompanying notes to financial statements.


                                      F-6
<PAGE>

                                Smith Barney AAA
                                Energy Fund L.P.
                         Statements of Partners' Capital
              for the years ended December 31, 2002, 2001 and 2000


<TABLE>
<CAPTION>
<S>                                                             <C>               <C>               <C>             <C>
                                                                                 Special
                                                              Limited            Limited          General
                                                              Partners           Partner          Partner            Total

Partners' capital at December 31, 1999                     $  73,531,608   $         --      $     774,815   $  74,306,423
Sale of 3,923.1399 Units of Limited Partnership
   Interest and General Partner's contribution
   representing 22.0154 Unit equivalents                       4,455,000             --             25,000       4,480,000
Redemption of 17,900.7647 Units of Limited Partnership
   Interest                                                  (19,960,815)            --               --       (19,960,815)
Allocation of net income for the year ended December
   31, 2000:

llocation of 1,300.8510 Units of Limited Partnership                --          1,831,884             --         1,831,884
   Interest to the Special Limited Partner (Note 3b)
Net income available for pro rata distribution                13,477,137             --            192,035      13,669,172
                                                           -------------    -------------    -------------   -------------
Partners' capital at December 31, 2000                        71,502,930        1,831,884          991,850      74,326,664
Sale of 25,182.0535 Units of Limited Partnership
   Interest and General Partner's contribution
   representing 209.6498 Unit equivalents                     40,789,000             --            355,000      41,144,000
Redemption of 5,774.1030 Units of Limited Partnership
   Interest                                                   (8,196,401)            --               --        (8,196,401)
Redemption of 4,816.4313 Units of Special Limited
   Partnership Interest                                             --         (8,501,749)            --        (8,501,749)
Allocation of net income for the year ended December
   31, 2001:
Allocation of 3,515.5803 Units of Limited Partnership
   Interest to the Special Limited Partner                          --          6,669,865             --         6,669,865
Net income available for pro rata distribution                29,058,264             --            387,178      29,445,442
                                                           -------------    -------------    -------------   -------------
Partners' capital at December 31, 2001                       133,153,793             --          1,734,028     134,887,821
Sale of 3,071.2548 Units of Limited Partnership Interest       5,862,000             --               --         5,862,000
Redemption of 3,916.9924 Units of Limited Partnership
   Interest                                                   (9,240,665)            --               --        (9,240,665)
Redemption of 4,643.0922 Units of Special Limited
   Partnership Interest                                             --        (12,019,016)            --       (12,019,016)
Allocation of net income for the year ended
   December 31, 2002:
   Allocation of 4,643.0922 Units of Limited
   Partnership Interest to the Special Limited Partner              --         12,019,016             --        12,019,016
   (Note 3b)
Net income available for pro rata distribution                49,710,622             --            631,880      50,342,502
                                                           -------------    -------------    -------------   -------------
Partners' capital at December 31, 2002                     $ 179,485,750   $         --      $   2,365,908   $ 181,851,658
                                                           -------------    -------------    -------------   -------------
</TABLE>



See accompanying notes to financial statements.

                                      F-7
<PAGE>

                                Smith Barney AAA
                                Energy Fund L.P.
                          Notes to Financial Statements


1.   Partnership Organization:

     Smith  Barney  AAA  Energy  Fund  L.P.  (the  "Partnership")  is a  limited
     partnership  which was  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 United
     States exchanges and certain foreign  exchanges.  The Partnership may trade
     commodity  futures and options  contracts of any kind but intends initially
     to trade  solely  energy and energy  related  products.  In  addition,  the
     Partnership may enter into swap contracts on energy related  products.  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 commodity
     interests  that are traded by the  Partnership  are  volatile and involve a
     high degree of market risk.

     Effective September 1, 2001, the Partnership transferred  substantially all
     of its assets (including unrealized appreciation of $7,323,329) in exchange
     for  128,539.1485  Units of the SB AAA Master Fund LLC, a New York  limited
     liability  company (the  "Master")  and a fair value of  $128,539,149  as a
     tax-free  transfer to the Master.  The Master was formed in order to permit
     commodity  pools  managed now or in the future by AAA  Capital  Management,
     Inc. (the  "Advisor")  using the Energy with Swaps  Program,  the Advisor's
     proprietary  trading  program,  to invest together in one trading  vehicle.
     Smith  Barney  Futures  Management  LLC acts as the  general  partner  (the
     "General  Partner")  of the  Partnership  and the  managing  member  of the
     Master.  Expenses to investors as a result of the  investment in the Master
     are approximately the same and redemption rights are not affected.

     The financial statements of the Master, including the condensed schedule of
     investments,  should  be read  together  with the  Partnership's  financial
     statements.

     At  December  31,  2002 and 2001,  the  Partnership  owns  55.5% and 94.5%,
     respectively,  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.

     Prior to September 1, 2001, the Partnership's  commodity broker was Salomon
     Smith Barney Inc. ("SSB").  SSB is an affiliate of the General Partner. The
     General  Partner is wholly  owned by Salomon  Smith  Barney  Holdings  Inc.
     ("SSBHI"),  which  is the  sole  owner  of SSB.  SSBHI  is a  wholly  owned
     subsidiary of Citigroup Inc.

     The  General  Partner  and each  limited  partner  share in the profits and
     losses of the  Partnership,  after the  allocation  to the Special  Limited
     Partner (as defined in Note 3b), 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  their  initial  capital
     contribution and profits, if any, net of distributions.

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
     following:  December 31, 2018;  the net asset value of a Unit  decreases to
     less than $400 as of a close of any business  day; the aggregate net assets
     of the Partnership decline to less than $1,000,000;  or under certain other
     circumstances as defined in the Limited Partnership Agreement.

2.   Accounting Policies:

     a.   The value of the  Partnership's  investment in the Master reflects the
          Partnership's  proportional  interest in the  Members'  Capital of the
          Master.  All of the  unrealized and realized gains and losses from the
          commodity  transactions of the Master are allocated pro rata among the
          investors at the time of such  determination.  All commodity interests


                                      F-8
<PAGE>

          (including  derivative financial  instruments and derivative commodity
          instruments)  held by the Master and prior to September 1, 2001 by the
          Partnership are used for trading purposes. The commodity interests are
          recorded  on  trade  date  and  open  contracts  are  recorded  in the
          statement  of financial  condition at fair value on the last  business
          day of the year,  which  represents  market value for those  commodity
          interests for which market  quotations are readily  available or other
          measures of fair value deemed appropriate by management of the General
          Partner for those commodity interests and foreign currencies for which
          market quotations are not readily  available,  including dealer quotes
          for swaps and  certain  option  contracts.  Investments  in  commodity
          interests  denominated in foreign  currencies are translated into U.S.
          dollars at the exchange  rates  prevailing on the last business day of
          the year.  Realized gains (losses) and changes in unrealized values on
          commodity interests are recognized in the period in which the contract
          is closed or the changes  occur and are  included in net  realized and
          unrealized gains (losses).

     b.   Income taxes have not been  provided as each  partner is  individually
          liable  for the taxes,  if any,  on their  share of the  Partnership's
          income and expenses.

     c.   The preparation of financial  statements in conformity with accounting
          principles generally accepted in the United States of America requires
          management to make estimates and assumptions  that affect the reported
          amounts of assets and liabilities, and disclosure of contingent assets
          and  liabilities  at the  date  of the  financial  statements  and the
          reported amounts of revenues and expenses during the reporting period.
          Actual results could differ from these estimates.

     d.   Certain  prior  period  amounts have been  reclassified  to conform to
          current year presentation.

3.  Agreements:

     a.   Limited Partnership Agreement:

          The  General  Partner  administers  the  business  and  affairs of the
          Partnership  including  selecting one or more advisors to make trading
          decisions for the Partnership.

     b. Management Agreement:

          The General Partner, on behalf of the Partnership,  has entered into a
          Management  Agreement with the Advisor, a registered commodity trading
          advisor.  Mr. A. Anthony  Annunziato is the sole trading  principal of
          the Advisor and is also an employee of SSB.  Prior to August 31, 2001,
          the Partnership was obligated to pay the Advisor a monthly  management
          fee equal to 1/6 of 1% (2% per year) of month-end Net Assets allocated
          to the Advisor.  Month-end Net Assets,  for the purpose of calculating
          management fees are Net Assets, as defined in the Limited  Partnership
          Agreement,  prior to the reduction of redemptions  and incentive fees.
          Effective  September 1, 2001, the  Partnership is obligated to pay the
          Advisor a monthly  management  fee equal to 1/6 of 1% (2% per year) of
          month-end  Net  Assets  allocated  by  the  Master.  One  half  of the
          management fee will be paid to the Advisor, and the other half will be
          paid to SSB for services it provides in  connection  with the Advisor.
          In  addition,  the  Advisor  is  a  Special  Limited  Partner  of  the
          Partnership  and  receives an annual  profit share  allocation  to its
          capital  account  in the  Partnership  equal  to  20%  of New  Trading
          Profits, as defined in the Management  Agreement,  earned on behalf of
          the  Partnership  during  each  calendar  year in the form of  Special
          Limited Partner Units.


                                      F-9
<PAGE>

     c. Customer Agreement:

          Prior to August 31,  2001,  the  Partnership  entered  into a Customer
          Agreement  which  provided  that  the  Partnership  pay SSB  brokerage
          commissions  at $18 per round turn for futures  and swap  transactions
          and $9 per half turn for options.  The  brokerage fee was inclusive of
          applicable  floor  brokerage.  In addition,  the Partnership  paid SSB
          National  Futures  Association  ("NFA")  fees,  as well  as  exchange,
          clearing,  user and give-up  fees.  Effective  September 1, 2001,  all
          brokerage commissions, exchange, clearing, user, give-up, and NFA fees
          will be borne by the Master and allocated to the  Partnership  through
          its investment in the Master. SSB will pay a portion of brokerage fees
          to its financial  consultants who have sold Units in this Partnership.
          All of the  Partnership's  assets are  deposited in the  Partnership's
          account  at  SSB.  The  Partnership's  cash  is  deposited  by  SSB in
          segregated bank accounts to the extent  required by Commodity  Futures
          Trading  Commission  regulations.  Effective  September 1, 2001,  cash
          margin requirements were maintained by the Master.  Prior to September
          1, 2001, SSB had agreed to pay the Partnership  interest on 80% of the
          average  daily equity  maintained  in cash in its account  during each
          month at a 30-day U.S.  Treasury  bill rate  determined  weekly by SSB
          based on the average  noncompetitive  yield on 3-month  U.S.  Treasury
          bills  maturing  in 30 days from the date on which such weekly rate is
          determined.  Effective September 1, 2001, SSB will pay the Partnership
          interest  on  80%  of  the  average  daily  equity  allocated  to  the
          Partnership by the Master during each month at a 30-day U.S.  Treasury
          bill   rate   determined   weekly   by  SSB   based  on  the   average
          non-competitive  yield on 3-month U.S.  Treasury  bills maturing in 30
          days  from the date on  which  such  weekly  rate is  determined.  The
          Customer   Agreement   between  the  Partnership  and  SSB  gives  the
          Partnership  the legal right to net unrealized  gains and losses.  The
          Customer Agreement may be terminated upon notice by either party.

4.   Trading Activities:

     The results of the Master's and prior to August 31, 2001, the Partnership's
     trading activities are shown in the statement of income and expenses.

5.   Distributions and Redemptions:

     Distributions  of profits,  if any, will be made at the sole  discretion of
     the General  Partner  and at such times as the General  Partner may decide.
     Beginning  with the first full month ending at least three months after the
     commencement  of trading,  a limited partner may require the Partnership to
     redeem  their  Units at their Net Asset Value as of the last day of a month
     on 10 days'  notice to the  General  Partner.  There is no fee  charged  to
     limited partners in connection with redemptions.


                                      F-10
<PAGE>


6.   Financial Highlights:

     Changes in the net asset  value per Unit of  Partnership  interest  for the
     years ended December 31, 2002, 2001 and 2000 were as follows:

<TABLE>
<CAPTION>
<S>                                                                     <C>               <C>                 <C>
                                                                       2002               2001                2000

     Net realized and unrealized gains*                              $875.42            $592.31             $290.47
     Interest income                                                   31.29              46.08               41.32
     Expenses**                                                      (215.36)           (149.38)             (59.14)
                                                                   ----------         -----------         -----------
     Increase for period                                              691.35             489.01              272.65
     Net asset value per Unit, beginning of year                    1,897.23           1,408.22            1,135.57
                                                                 -----------         -----------         -----------
     Net asset value per Unit, end of year                         $2,588.58          $1,897.23           $1,408.22
                                                                 -----------         -----------         -----------
</TABLE>

     *  Includes brokerage commissions
      ** Excludes brokerage commissions
<TABLE>
<CAPTION>
<S>                                                                      <C>               <C>
     Ratios to average net assets:
      Net investment loss before incentive fee allocation             (10.1)%              (1.4)%
      ***
      Incentive fee allocation                                         (7.3)%              (6.5)%
                                                                     ---------           ---------
      Net investment loss after incentive fee allocation              (17.4)%              (7.9)%
                                                                     ---------           ---------


      Net income before incentive fee allocation****                   38.1%               35.2%
      Incentive fee allocation****                                     (7.3)%              (6.5)%
                                                                     ---------           ---------
      Net income after incentive fee allocation****                    30.8%               28.7%
                                                                    ---------           ---------


      Operating expenses                                               11.4%               8.9%
      Incentive fee allocation                                          7.3%               6.5%
                                                                   ---------           ---------
      Total expenses                                                   18.7%              15.4%
                                                                     ---------         ---------


     Total return:
      Total return before incentive fee allocation                     45.5%              42.6%
      Incentive fee allocation                                         (9.1)%             (7.9)%
                                                                   ---------           ---------
      Total return after incentive fee allocation                      36.4%              34.7%
                                                                   ---------           ---------
</TABLE>

     ***  Interest  income  less total  expenses  (exclusive  of  incentive  fee
          allocation)
     ****Supplemental information not required.

     The above ratios may vary for individual  investors  based on the timing of
     capital transactions during the year.

7.   Financial Instrument Risks:

     In the  normal  course  of  its  business,  the  Partnership,  through  the
     Partnership's  investment in the Master, is party to financial  instruments
     with off-balance sheet risk, including derivative financial instruments and
     derivative commodity  instruments.  These financial instruments may include
     forwards,  futures,  options  and  swaps,  whose  values  are based upon an
     underlying asset,  index, or reference rate, and generally represent future
     commitments  to exchange  currencies or cash flows,  or 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 or with  another  financial  instrument.
     These instruments may be traded on an exchange or over-the-counter ("OTC").
     Exchange  traded  instruments  are  standardized  and  include  futures and
     certain option contracts.  OTC contracts are negotiated between contracting
     parties and include forwards and certain options. 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



                                      F-11
<PAGE>

     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.  The  Master's  swap  contracts  are OTC
     contracts.

     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.

     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. Credit risk
     with respect to exchange  traded  instruments is reduced to the extent that
     an  exchange  or  clearing  organization  acts  as a  counterparty  to  the
     transactions.  The  Partnership's/Master's  risk of loss  in the  event  of
     counterparty  default is typically limited to the amounts recognized in the
     statement of financial  condition  and not  represented  by the contract or
     notional  amounts  of  the  instruments.   The  Partnership,   through  its
     investment  in  the  Master,   has  concentration  risk  because  the  sole
     counterparty or broker with respect to the Master's assets is SSB.

     The General Partner monitors and controls the  Partnership's/Master's  risk
     exposure on a daily basis  through  financial,  credit and risk  management
     monitoring  systems,   and  accordingly  believes  that  it  has  effective
     procedures for evaluating and limiting the credit and market risks to which
     the  Partnership/  Master is subject.  These  monitoring  systems allow the
     General Partner to  statistically  analyze actual trading results with risk
     adjusted performance  indicators and correlation  statistics.  In addition,
     on-line  monitoring  systems provide account analysis of futures,  forwards
     and  options  positions  by  sector,  margin  requirements,  gain  and loss
     transactions and collateral positions.

     The majority of these  instruments  mature  within one year of December 31,
     2002. However,  due to the nature of the  Partnership's/Master's  business,
     these instruments may not be held to maturity.

                                      F-12
<PAGE>
Selected  unaudited  quarterly  financial  data for the years ended December 31,
2002 and December 31, 2001 is summarized below:

<TABLE>
<CAPTION>
<S>                                          <C>              <C>               <C>              <C>
                                      For the period     For the period     For the period   For the period
                                           from              from               from             from
                                      October 1, 2002     July 1, 2002       April 1, 2002   January 1, 2002
                                            to                to                  to              to
                                     December 31, 2002  September 30, 2002   June 30, 2002   March 31, 2002
Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income            $12,880,854        $ 8,504,250        $ 20,314,775    $ 24,218,306

Net Income (loss)                     $ 9,694,864        $ 6,175,754        $ 15,629,025    $ 18,842,859

Increase (decrease) in Net Asset
 Value per Unit                       $    137.26        $     86.93            $ 211.99        $ 255.17

                                      For the period     For the period     For the period   For the period
                                           from              from               from             from
                                      October 1, 2001     July 1, 2001       April 1, 2001   January 1, 2001
                                            to                to                  to              to
                                     December 31, 2001  September 30, 2001   June 30, 2001   March 31, 2001


Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income            $ 8,755,705        $10,364,608        $ 6,098,085    $ 13,251,510

Net Income (loss)                     $ 6,524,539        $ 7,916,335        $ 4,636,368    $ 10,368,200

Increase (decrease) in Net Asset
 Value per Unit                       $     91.15        $    112.78            $ 88.45        $ 196.63
</TABLE>


                                      F-13
<PAGE>

                                To The Members of
                             SB AAA Master Fund LLC

To the best of the  knowledge  and belief of the  undersigned,  the  information
contained herein is accurate and complete.






By:/s/ Daniel R. McAuliffe, Jr.
       Daniel R. McAuliffe, Jr.
       Chief Financial Officer and Director
       Smith Barney Futures Management LLC
       Managing Member, SB AAA Master Fund LLC

Smith Barney Futures Management LLC
388 Greenwich Street
7th Floor
New York, N.Y. 10013
212-723-5424

                                      F-14
<PAGE>


                         Report of Independent Auditors

To the Members of
   SB AAA Master Fund LLC:

We have audited the  accompanying  statement  of  financial  condition of SB AAA
Master Fund LLC (the Company),  including the condensed schedule of investments,
as of December 31, 2002, and the related statements of income and expenses,  and
members'  capital for the year then ended.  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  audit.  The  financial
statements  of the  Company as of  December  31,  2001 and for the  period  from
September 1, 2001 (commencement of trading operations) to December 31, 2001 were
audited by other  auditors  whose  report dated  February 28, 2002  expressed an
unqualified opinion on those statements.

We conducted our audit in accordance with auditing standards  generally accepted
in the  United  States of  America.  Those  standards  require  that we plan and
perform the audit to obtain  reasonable  assurance  about  whether the financial
statements are free of material misstatement.  An audit includes examining, on a
test basis,  evidence  supporting  the amounts and  disclosures in the financial
statements.  An audit also includes assessing the accounting principles used and
significant  estimates  made by  management,  as well as evaluating  the overall
financial  statement  presentation.   We  believe  that  our  audit  provides  a
reasonable basis for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all material  respects,  the financial  position of SB AAA Master Fund LLC as of
December 31, 2002, and the results of its operations and changes in its members'
capital  for the year then  ended,  in  conformity  with  accounting  principles
generally accepted in the United States of America.

KPMG LLP
New York, New York
March 7, 2003

                                      F-15
<PAGE>

                        Report of Independent Accountants

To the Members of
   SB AAA Master Fund LLC:

In our opinion, the accompanying statement of financial condition, including the
condensed  schedule of  investments,  and the related  statements  of income and
expenses and of members' capital present fairly, in all material  respects,  the
financial  position SB AAA Master Fund LLC at December  31, 2001 and the results
of its operations for the period from September 1, 2001 (commencement of trading
operations)  to December 31, 2001,  in  conformity  with  accounting  principles
generally accepted in the United States of America.  These financial  statements
are  the   responsibility  of  the  management  of  the  Managing  Member;   our
responsibility  is to express an opinion on these financial  statements based on
our audit.  We conducted our audit of these  financial  statements in accordance
with  auditing  standards  generally  accepted in the United  States of America,
which require that we plan and perform the audit to obtain reasonable  assurance
about whether the financial  statements  are free of material  misstatement.  An
audit 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 the management of the Managing  Member,
and evaluating the overall financial statement presentation. We believe that our
audit provides a reasonable basis for our opinion.



PricewaterhouseCoopers LLP
New York, New York
February 28, 2002


                                      F-16
<PAGE>

                             SB AAA Master Fund LLC
                        Statements of Financial Condition
                           December 31, 2002 and 2001



<TABLE>
<CAPTION>
<S>                                                                             <C>                <C>
                                                                              2002                 2001
Assets:
  Equity in commodity futures trading account:
    Cash (restricted $53,522,255 and $21,792,237, respectively)            $330,218,077        $156,846,978
    Net unrealized appreciation on open futures positions                     9,188,483           1,084,800
    Unrealized appreciation on open swaps positions                          38,011,771           2,366,125
    Commodity options owned, at fair value (cost $63,879,907
    and $3,003,750, respectively)                                            83,252,102           2,135,700
                                                                           ------------        ------------
                                                                            460,670,433         162,433,603
  Due from brokers                                                           12,595,792             481,935
  Interest receivable                                                             6,712               2,911
                                                                           ------------        ------------
                                                                           $473,272,937        $162,918,449
                                                                          --------------       -------------

Liabilities and Members' Capital:
  Liabilities:
   Unrealized depreciation on open swap positions                           $48,470,222          $2,972,435
   Commodity options written, at fair value
      (premium received $59,666,185 and $8,994,064, respectively)            67,724,777           6,501,746
   Accrued expenses:
      Commissions                                                             5,210,167             261,717
      Professional fees                                                          20,117              38,000
   Due to brokers                                                             1,541,223             906,850
   Due to SSB                                                                    22,978              22,978
                                                                           --------------       ------------
                                                                            122,989,484          10,703,726
  Members' Capital:
    Members' Capital, 216,158.4103 and 137,224.2994 Units
    outstanding in 2002 and 2001, respectively                              350,283,453         152,214,723
                                                                            --------------      ------------
                                                                           $473,272,937        $162,918,449
                                                                          --------------       -------------
</TABLE>

  See accompanying notes to financial statements.


                                      F-17
<PAGE>

                                                     SB AAA Master Fund LLC
                                               Condensed Schedule of Investments
                                                       December 31, 2002

<TABLE>
<CAPTION>
<S>                                  <C>                          <C>                                                  <C>
                                 Number of                       Contract                                         Fair Value
Sector                           Contracts
Energy                                            Futures contracts purchased 17.92%
                                     6,228        IPE Gas Oil 5.45% Jan. - Feb. 2003                               $19,089,003
                                                  Other 12.47%                                                      43,677,214
                                                                                                                    ------------
                                                                                                                    62,766,217

                                                  Futures contracts sold (15.30)%
                                    13,454        NYMEX Light Sweet Crude Oil (7.22)% Feb. 03 - June 04            (25,271,391)
                                     7,578        NYMEX Natural Gas (6.05)% Feb. 03 - Feb. 04                      (21,203,640)
                                                  Other (2.03)%                                                     (7,102,703)
                                                                                                                   ------------
                                                                                                                   (53,577,734)

                                                  Options owned 23.77%
                                     7,293        NYMEX Natural Gas Call 10.40% Feb. 03 - June 03                   36,430,400
                                     5,325        NYMEX Natural Gas Put 5.37% Feb. 03 - June 03                     18,812,110
                                                  Other 8.00%                                                       28,009,592
                                                                                                                    ------------
                                                                                                                    83,252,102

                                                  Options written (19.33)%
                                    12,086        NYMEX Light Sweet Crude Call (6.90)% Feb. 03 - June 03           (24,193,640)
                                                  Other (12.43)%                                                   (43,531,137)
                                                                                                                   ------------
                                                                                                                   (67,724,777)

                                                  Unrealized appreciation on Swaps contracts 10.85%
                                     3,354        NYMEX Natural Gas 5.46%                                           19,130,237
                                                  Other 5.39%                                                       18,881,534
                                                                                                                    ------------
                                                                                                                    38,011,771

                                                  Unrealized depreciation on Swaps contracts (13.84)%
                                     1,809        NYMEX Natural Gas (5.17)%                                        (18,107,814)
                                                  Other (8.67)%                                                    (30,362,408)
                                                                                                                    ------------
                                                                                                                   (48,470,222)
                                                                                                                    ------------
    Total Energy 4.07%                                                                                              14,257,357
                                                                                                                    ------------
Total Fair Value 4.07%                                                                                             $14,257,357
                                                                                                                    ------------
                              Investments at   % of Investments at
   Country Composition         Fair Value         Fair Value
   --------------------        -----------      ---------------

   United Kingdom              $25,728,485         180.46%
   United States               (11,471,128)        (80.46)
                              ------------         ------
                               $14,257,357         100.00%
                              ------------         ------
</TABLE>

Percentages are based on Members' Capital unless otherwise indicated.

See accompanying notes to financial statements.


                                      F-18
<PAGE>

                             SB AAA Master Fund LLC
                        Condensed Schedule of Investments
                                December 31, 2001


<TABLE>
<CAPTION>
<S>                                      <C>                  <C>                                                   <C>
                                     Number of          Contract                                                 Fair Value
Sector                               Contracts

Energy                                              Futures contracts purchased  (10.53)%
                                       5,210        NYMEX Natural Gas  (8.61)%, Apr. 2002 - Nov. 2003           $(13,102,072)
                                                    Other  (1.92)%                                                (2,924,740)

                                                    Futures contracts sold  11.24%
                                       5,550        NYMEX Natural Gas  8.73%, Feb. 2002 - June 2004               13,281,102
                                                    Other  2.51%                                                   3,830,510

                                                    Options owned  1.40%                                           2,135,700

                                                    Options written  (4.27)%                                      (6,501,746)

                                                    Swaps contracts purchased  (1.50)%                            (2,277,251)

                                                    Swaps contracts sold  1.11%                                    1,670,941
                                                                                                                  -----------
    Total Energy  (2.55)%                                                                                         (3,887,556)
                                                                                                                   -----------
Total Fair Value  (2.55)%                                                                                        $(3,887,556)
                                                                                                                   -----------

                               Investments at      % of Investments at
   Country Composition            Fair Value            Fair Value
   --------------------         -----------       ----------------
   United Kingdom               $ 2,662,253            68.48%
   United States                 (6,549,809)         (168.48)
                                ------------          ------
                                $(3,887,556)          100.00%
                                ------------          ------
</TABLE>

Percentages are based on Members' Capital unless otherwise indicated.

See accompanying notes to financial statements.


                                      F-19
<PAGE>

                             SB AAA Master Fund LLC
                        Statements of Income and Expenses
                      for the year ended December 31, 2002
                    and for the period from September 1, 2001
                      (commencement of trading operations)
                              to December 31, 2001


<TABLE>
<CAPTION>
<S>                                                          <C>                 <C>
                                                            2002               2001
Income:
  Net gains on trading of commodity interests:
   Realized gains on closed positions                    $96,247,547         $23,522,245
   Change in unrealized gains (losses)
    on open positions                                      7,940,877          (5,652,277)
                                                         ------------        ------------
                                                         104,188,424          17,869,968
  Interest income                                            102,864              21,054
                                                         ------------        ------------
                                                         104,291,288          17,891,022
                                                         ------------        ------------

Expenses:
  Brokerage commissions including clearing fees of
   $2,515,609 and $361,342, respectively                  21,769,166           2,992,446
  Professional fees                                           37,083              38,000
                                                         ------------        ------------
                                                          21,806,249           3,030,446
                                                         ------------        ------------
Net income                                               $82,485,039         $14,860,576
                                                         ------------        ------------

Net income per Unit of Member Interest                       $511.25             $109.24
                                                        ------------        ------------
</TABLE>


See accompanying notes to financial statements.

                                      F-20
<PAGE>

                             SB AAA Master Fund LLC
                         Statements of Members' Capital
                      for the year ended December 31, 2002
                    and for the period from September 1, 2001
                      (commencement of trading operations)
                              to December 31, 2001




<TABLE>
<CAPTION>
<S>                                                        <C>
                                                        Members'
                                                        Capital
Initial in-kind contribution from the Members
  representing 133,712.5867 Units                    $133,712,587
Net Income                                             14,860,576
Sale of 6,891.1523 Units of
  Member Interest                                       6,104,660
Redemptions of 3,379.4396 Units of
  Member Interest                                      (2,463,100)
                                                       -------------
Members' Capital at December 31, 2001                 152,214,723
Net Income                                             82,485,039
Sale of 103,668.6762 Units of
  Member Interest                                     149,182,059
Redemptions of 24,734.5653 Units of
  Member Interest                                     (33,598,368)
                                                      -------------
Members' Capital at December 31, 2002                $350,283,453
                                                     -------------
</TABLE>




See accompanying notes to financial statements.

                                      F-21
<PAGE>

                             SB AAA Master Fund LLC
                          Notes to Financial Statements



1.  General:

     SB AAA Master Fund LLC (the "Master") is a limited liability company formed
     under the New York Limited  Liability  Company Law. The Master's purpose is
     to  engage  in  the  speculative  trading  of a  diversified  portfolio  of
     commodity  interests  including  commodity  futures contracts and commodity
     options contracts on United States exchanges and certain foreign exchanges.
     The Master may trade commodity futures and option contracts of any kind but
     intends  initially to trade solely energy and energy related  products.  In
     addition,  the  Master  may  enter  into  swap  contracts.  The  Master  is
     authorized to sell an unlimited number of Units of member interest.

     On  September  1, 2001 (date Master  commenced  trading),  Smith Barney AAA
     Energy Fund L.P. ("AAA")  transferred  substantially  all of its assets and
     Smith Barney Orion Futures Fund L.P. ("Orion") transferred a portion of its
     assets to the Master as a tax-free transfer having a combined fair value of
     $133,712,587  (including unrealized appreciation of $7,755,035) in exchange
     for 133,712.5867  Units of the Master as non-managing  members.  On July 1,
     2002,  Salomon  Smith Barney AAA Energy Fund L.P. II ("AAAII")  transferred
     substantially  all of its assets to the Master as a  tax-free  transfer  in
     exchange for 64,945.0387 Units of the Master as a non-managing  member. The
     Master was formed to permit commodity pools managed now or in the future by
     AAA Capital  Management,  Inc. (the "Advisor")  using the Energy with Swaps
     Program,  the Advisor's  proprietary trading program, to invest together in
     one vehicle.

     The  Master  operates  under a  "master/feeder  fund"  structure  where its
     investors consist of AAA, AAAII and Orion (collectively the "Feeder Funds")
     with 55.5%, 37.2% and 7.3% investments in the Master, respectively.

     Smith  Barney  Futures  Management  LLC acts as the  managing  member  (the
     "Managing  Member") of the Master. The Master's commodity broker is Salomon
     Smith Barney Inc. ("SSB").  SSB is an affiliate of the Managing Member. The
     Managing  Member is wholly  owned by Salomon  Smith  Barney  Holdings  Inc.
     ("SSBHI"),  which  is the  sole  owner  of SSB.  SSBHI  is a  wholly  owned
     subsidiary of Citigroup Inc. As of December 31, 2001, all trading decisions
     for the Master are made by the Advisor.

2.  Accounting Policies:

     a.   All commodity interests (including  derivative  financial  instruments
          and derivative  commodity  instruments) are used for trading purposes.
          The commodity  interests are recorded on trade date and open contracts
          are recorded in the statement of financial  condition at fair value on
          the last business day of the year, which  represents  market value for
          those  commodity  interests  for which market  quotations  are readily
          available  or other  measures  of fair  value  deemed  appropriate  by
          management of the Managing  Member for those  commodity  interests and
          foreign  currencies  for  which  market  quotations  are  not  readily
          available,  including  dealer  quotes  for  swaps and  certain  option
          contracts.  Investments in commodity interests  denominated in foreign
          currencies  are  translated  into U.S.  dollars at the exchange  rates
          prevailing  on the  last  business  day of the  year.  Realized  gains
          (losses) and changes in unrealized  gains  (losses) on open  positions
          are  recognized  in the period in which the  contract is closed or the
          changes  occur and are  included  in net gains  (losses) on trading of
          commodity interests.

     b.   The Master  may  purchase  and write  (sell)  options.  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  is  recorded  as a
          liability in the statement of financial condition and marked to market

                                      F-22
<PAGE>



          daily.  When the Master  purchases  an  option,  the  premium  paid is
          recorded  as an asset in the  statement  of  financial  condition  and
          marked to market daily.

     c.   All of income and  expenses  and  realized  and  unrealized  gains and
          losses on  trading  of  commodity  interests  are  determined  on each
          valuation  day and  allocated  pro rata among the Feeder  Funds at the
          time of such determination.

     d.   Income  taxes have not been  provided  as each  partner of each of the
          members (the Feeder Funds) is  individually  liable for the taxes,  if
          any, on their share of the Master's income and expenses.

     e.   The preparation of financial  statements in conformity with accounting
          principles generally accepted in the United States of America requires
          management to make estimates and assumptions  that affect the reported
          amounts of assets and liabilities, and disclosure of contingent assets
          and  liabilities  at the  date  of the  financial  statements  and the
          reported amounts of revenues and expenses during the reporting period.
          Actual results could differ from these estimates.

 3.  Agreements:

     a. Managing Member Agreement:

         The Managing Member administers the business affairs of the Master.

     b. Management Agreement:

          The  Managing  Member,  on behalf of the  Master  has  entered  into a
          Management  Agreement with the Advisor, a registered commodity trading
          advisor.  The Advisor is affiliated  with the Managing  Member and SSB
          but is not  responsible  for  the  organization  or  operation  of the
          Master.  The Management  Agreement  provides that the Advisor has sole
          discretion in determining  the investment of the assets of the Master.
          All management fees in connection with the Management  Agreement shall
          be borne by the Feeder Funds. c. Customer Agreement:

          The Master has entered into a Customer  Agreement with SSB whereby SSB
          provides services which include,  among other things, the execution of
          transactions for the Master's account in accordance with orders placed
          by the Advisor.  The Master will pay SSB brokerage  commissions at $18
          per  round  turn  for  futures,  options  and swap  transactions.  The
          brokerage  fee  is  inclusive  of  applicable  floor  brokerage.   All
          exchange,  clearing,  user,  give-up and National Futures  Association
          fees  are  borne by the  Master.  All  other  fees  (management  fees,
          administrative fees, incentive fees and offering costs) shall be borne
          by the Feeder  Funds.  All of the Master's cash is deposited by SSB in
          segregated bank accounts,  to the extent required by Commodity Futures
          Trading  Commission  regulations.  At December 31, 2002 and 2001,  the
          amount  of  cash  held  by the  Master  for  margin  requirements  was
          $53,522,255  and  $21,792,237,  respectively.  The Customer  Agreement
          between  the Master  and SSB gives the  Master the legal  right to net
          unrealized gains and losses.  The Customer Agreement may be terminated
          by either  party.  All  commissions  in  connection  with the Customer
          Agreement shall be borne by the Feeder Funds.

                                      F-23
<PAGE>



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 statement of income and expenses.

     All of the  commodity  interests  owned by the Master are held for  trading
     purposes.  The average fair values for the year ended December 31, 2002 and
     during  the  period  from  September  1,  2001   (commencement  of  trading
     operations)  to December 31,  2001,  based on a monthly  calculation,  were
     $13,217,805  and  $(927,070),   respectively.  The  fair  values  of  these
     commodity interests,  including options thereon, if applicable, at December
     31, 2002 and 2001 were $14,257,357 and $(3,887,556), respectively.

5.  Distributions and Redemptions:

     Distributions  of profits,  if any, will be made at the sole  discretion of
     the Managing Member and at such time as the Managing  Member may decide.  A
     member  may  require  the Master to redeem  their  Units at their Net Asset
     Value as of the last day of the month.  The  Managing  Member,  at its sole
     discretion,  may permit redemptions more frequently than monthly.  There is
     no fee charged to members in connection with redemptions.

6.  Financial Highlights:

     Changes  in the net asset  value per unit of Member  interest  for the year
     ended  December  31,  2002  and for  the  period  from  September  1,  2001
     (commencement of trading operations) to December 31, 2001 were as follows:

<TABLE>
<CAPTION>
<S>                                                                     <C>              <C>
                                                                       2002             2001

     Net realized and unrealized gains *                              $510.93          $109.36
     Interest income                                                     0.54             0.16
     Expenses **                                                        (0.22)           (0.28)
                                                                      -------          --------
     Increase for year                                                 511.25           109.24
     Net asset value per Unit, beginning of year/period              1,109.24         1,000.00
                                                                     --------         --------
     Net asset value per Unit, end of year/period                   $1,620.49        $1,109.24
                                                                     --------         ---------

     *    Includes brokerage commissions
     **   Excludes brokerage commissions

     Ratio to average net assets:
       Net investment loss ***                                          (8.9)%           (2.1)%*****
       Net income ****                                                  34.0%            31.7%*****
       Operating expenses                                                9.0%             6.5%*****
     Total Return                                                       46.1%            10.9%
</TABLE>

     ***  Interest income less total expenses
     **** Supplemental information not required
     *****Annualized

     The above ratios may vary for individual  investors  based on the timing of
     capital transactions during the year.

                                      F-24

<PAGE>



7.  Financial Instrument Risks:

     The Master is party to financial  instruments with off-balance  sheet risk,
     including  derivative   financial   instruments  and  derivative  commodity
     instruments  in  the  normal  course  of  its  business.   These  financial
     instruments  may include  forwards,  futures and options,  whose values are
     based upon an underlying  asset,  index,  or reference  rate, and generally
     represent  future  commitments  to exchange  currencies  or cash flows,  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 may be traded on an
     exchange or  over-the-counter  ("OTC").  Exchange  traded  instruments  are
     standardized  and  include  futures  and  certain  option  contracts.   OTC
     contracts are negotiated between  contracting  parties and include forwards
     and certain options.  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.

     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. Credit risk
     with respect to exchange  traded  instruments is reduced to the extent that
     an  exchange  or  clearing  organization  acts  as a  counterparty  to  the
     transactions.  The  Master's  risk  of loss in the  event  of  counterparty
     default is typically limited to the amounts  recognized in the statement of
     financial condition and not represented by the contract or notional amounts
     of the  instruments.  The Master has  concentration  risk  because the sole
     counterparty  or broker with respect to the  Master's  assets is SSB. As of
     December 31, 2002, the  counterparties  to the Master's swap contracts were
     Citibank, N.A., which is affiliated with the Master, Morgan Stanley Capital
     Group Inc., J. Aron & Company and Hess Trading Company, LLC. As of December
     31, 2002, the Master owed Citibank,  N.A. $7,665,  which is included in due
     to brokers and  represents  cash due to Citibank,  N.A.  for realized  swap
     transactions.

     The Managing  Member  monitors and controls the Master's risk exposure on a
     daily  basis  through  financial,  credit  and risk  management  monitoring
     systems and,  accordingly  believes  that it has effective  procedures  for
     evaluating  and limiting the credit and market risks to which the Master is
     subject.   These   monitoring   systems   allow  the  Managing   Member  to
     statistically analyze actual trading results with risk adjusted performance
     indicators and  correlation  statistics.  In addition,  on-line  monitoring
     systems provide account analysis of futures, forwards and options positions
     by sector,  margin requirements,  gain and loss transactions and collateral
     positions.

     The majority of these  instruments  mature  within one year of December 31,
     2002.  However,  due  to  the  nature  of  the  Master's  business,   these
     instruments may not be held to maturity.

                                      F-25
<PAGE>

8.  Subsequent Event (Unaudited):

     During the period  January 1, 2003 through  February  28, 2003,  the Master
     experienced a cumulative loss of approximately 25%. This loss was primarily
     attributable to  extraordinary  price activity in US natural gas markets at
     the end of  February  which  led to losses in the  Master's  energy  market
     positions.

     The natural gas market  experienced an upward increase in price of over 50%
     in two days in the April  futures  contract and a 300% increase in physical
     gas market  prices.  Such extreme moves happen only in  exceptionally  rare
     circumstances  and can lead to  "hyper-volatility"  and generally  illiquid
     market conditions.

     The  Masters'  liquidity  was not  hindered  as a result  of  these  market
     movements.


                                      F-26


<PAGE>

Selected  unaudited  quarterly  financial  data for the years ended December 31,
2002 and December 31, 2001 is summarized below:

<TABLE>
<CAPTION>
<S>                                          <C>              <C>               <C>              <C>
                                      For the period     For the period     For the period   For the period
                                           from              from               from             from
                                      October 1, 2002     July 1, 2002       April 1, 2002   January 1, 2002
                                            to                to                  to              to
                                     December 31, 2002  September 30, 2002   June 30, 2002   March 31, 2002


Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income              $20,900,856         $13,555,805        $21,669,451     $26,396,010

Net Income (loss)                       $20,891,458         $13,546,406        $21,660,359     $26,386,816

Increase (decrease) in Net Asset
 Value per Unit                              $96.86              $62.01            $158.46         $193.92

                                      For the period     For the period from
                                           from           September 1, 2001
                                      October 1, 2001    (Commencenment of
                                            to            Operations) to
                                     December 31, 2001  September 30, 2001
Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income                $8,474,195        $6,424,381

Net Income (loss)                         $8,436,195        $6,424,381

Increase (decrease) in Net Asset
 Value per Unit                               $61.67            $47.57
</TABLE>

                                     F-27
<PAGE>


Item  9.  Changes  in and  Disagreements  with  Accountants  on  Accounting  and
          Financial Disclosure.

PricewaterhouseCoopers  LLP was  previously  the  principal  accountant  for the
Partnership.  On July 9, 2002,  that firm was dismissed as principal  accountant
and KPMG LLP was  engaged  as  principal  accountant.  The  decision  to  change
accountants was approved by the general partner of the Partnership.

     In  connection  with the audits of the two fiscal years ended  December 31,
2001,   and   through   July  9,  2002,   there  were  no   disagreements   with
PricewaterhouseCoopers  LLP on any matter of accounting principles or practices,
financial  statement  disclosure,   or  auditing  scope  or  procedures,   which
disagreements  if not resolved to their  satisfaction  would have caused them to
make  reference  thereto in their reports on the financial  statements  for such
years.

     The audit reports of PricewaterhouseCoopers LLP on the financial statements
of the  Partnership as of and for the years ended December 31, 2001 and 2000 did
not  contain  any  adverse  opinion  or  disclaimer  of  opinion,  nor were they
qualified or modified as to uncertainty, audit scope, or accounting principle.

                                    PART III

Item 10. Directors and Executive Officers of the Registrant.

     The Partnership has no officers or directors and its affairs are managed by
its General Partner,  Smith Barney Futures Management LLC. Investment  decisions
are made by the Advisor, AAA Capital Management, Inc.


                                       42
<PAGE>

Item 11. Executive Compensation.

     The  Partnership  has no directors or officers.  Its affairs are managed by
Smith  Barney  Futures  Management  LLC,  its General  Partner,  which  receives
compensation  for its services,  as set forth under "Item 1.  Business." SSB, an
affiliate of the General  Partner,  is the commodity  broker for the Partnership
and receives brokerage  commissions for such services,  as described under "Item
1. Business." During the year ended December 31, 2002, SSB earned $15,155,860 in
brokerage  commissions  and clearing fees from the  Partnership  and through the
Partnership's  investment  in the  Master.  The  Advisor  earned  $3,488,171  in
management fees during 2002.

Item 12. Security Ownership of Certain Beneficial Owners and Management.

     (a). Security ownership of certain beneficial owners. The Partnership knows
of no person who beneficially owns more than 5% of the Units outstanding.

     (b).  Security  ownership  of  management.  Under the terms of the  Limited
Partnership  Agreement,  the  Partnership's  affairs  are managed by the General
Partner.  The  General  Partner  owns  Units  of  general  partnership  interest
equivalent  to  913.9790  (1.3%)  Units of Limited  Partnership  Interest  as of
December 31, 2002. Principals who own Units of the Partnership:

David J. Vogel                     101.0801 Units
Daniel R. McAuliffe, Jr.            10.3165 Units

     (c). Changes in control. None.

                                       43
<PAGE>

Item 13. Certain Relationships and Related Transactions.

     Salomon Smith Barney Inc. and Smith Barney Futures  Management LLC would be
considered  promoters for purposes of item 404(d) of Regulation  S-K. The nature
and the amounts of compensation  each promoter will receive from the Partnership
are set forth under  "Item 1.  Business.",  "Item 8.  Financial  Statements  and
Supplementary Data." and "Item 11. Executive Compensation." Item 14. Control and
Procedures

     Based on their  evaluation  of the  Partnership's  disclosure  controls and
procedures  as of a date within 90 days of the filing of this report,  the Chief
Executive  Officer and Chief Financial Officer have concluded that such controls
and procedures are effective.

     There were no significant changes in the Partnership's internal controls or
in other factors that could significantly affect such controls subsequent to the
date of their evaluation.

                                     PART IV

Item 15. Exhibits, Financial Statement Schedules, and Reports on Form 8-K.

          (a)  (1)  Financial Statements:  Statements of Financial  Condition at
                    December 31, 2002 and 2001.

                    Statements  of  Income  and  Expenses  for the  years  ended
                    December 31, 2002, 2001 and 2000.

                    Statements of Partners' Capital for the years ended December
                    31, 2002, 2001 and 2000.


                                       44
<PAGE>


                    (2) Financial Statement  Schedules:  Financial Data Schedule
                        for year ended December 31, 2002.

                    (3) Exhibits:

                    3.1  -  Certificate  of  Limited   Partnership   (previously
                         filed).

                    3.2  - Limited Partnership Agreement (previously filed).

                    10.1 -  Management  Agreement  among  the  Partnership,  the
                         General  Partner  and  AAA  Capital  Management,   Inc.
                         (previously filed).

                    10.2 -  Customer  Agreement  between  Registrant  and  Smith
                         Barney Inc.  (the  predecessor  to Salomon Smith Barney
                         Inc.) (previously filed).

                    10.3 - Form of Subscription Agreement (previously filed).

                    10.4 -  Letter   from   General   Partner  to  AAA   Capital
                         Management, Inc. extending the Management Agreement for
                         1999 (previously filed).

                    10.5 -  Letter  from  the  General  Partner  to AAA  Capital
                         Management, Inc. extending the Management Agreement for
                         2000 (previously filed).

                    10.6 -  Letter  from  the  General  Partner  to AAA  Capital
                         Management, Inc. extending the Management Agreement for
                         2001 (previously filed).



                                       45
<PAGE>

                    10.7 -  Letter  from  the  General  Partner  to AAA  Capital
                         Management,  Inc.  extending the  Management  Agreement
                         for02 (filed herein).

                    99.1 Certificate of Chief Executive Officer.

                    99.2 Certificate of Chief Financial Officer.

         (b)      Report on Form 8-K: None Filed.




                                       46
<PAGE>

     Supplemental  Information  To Be Furnished  With Reports Filed  Pursuant To
Section 15(d) Of The Act by  Registrants  Which Have Not  Registered  Securities
Pursuant To Section 12 Of the Act.




Annual Report to Limited Partners
No proxy material has been sent to Limited Partners.

                                       47
<PAGE>

                                   SIGNATURES

     Pursuant  to the  requirements  of  Section  13 or 15(d) of the  Securities
Exchange Act of 1934,  the Registrant has duly caused this annual report on Form
10-K  authorized,  in the City of New York and State of New York on the 28th day
of March 2003.


SMITH BARNEY AAA ENERGY FUTURES FUND L.P.


By:       Smith Barney Futures Management LLC
          (General Partner)



By   /s/  David J. Vogel
          David J. Vogel, President & Director


     Pursuant to the  requirements of the Securities  Exchange Act of 1934, this
annual report on Form 10-K has been signed below by the following persons in the
capacities and on the date indicated.



/s/ David J. Vogel                               /s/ Shelley Ullman
    David J. Vogel                                   Director
    Director, Principal Executive
    Officer and President



/s/ Maureen O'Toole                             /s/ Steve J. Keltz
    Maureen O'Toole                                 Secretary and Director
    Director



/s/ Daniel R. McAuliffe, Jr.
    Daniel R. McAuliffe, Jr.
    Chief Financial Officer and
    Director


                                       48

<PAGE>
    TYPE>                                          EX-27
    DESCRIPTION>                                   FINANCIAL DATA SCHEDULE
TEXT>
ARTICLE>                                           5
CIK>                                               0001057051
NAME>                                    Smith Barney AAA Energy Fund L.P.
<TABLE>
<S>                                                   <C>
PERIOD-TYPE>                                       12-MONTHS
FISCAL-YEAR-END>                                   DEC-31-2002
PERIOD-START>                                      JAN-01-2002
PERIOD-END>                                        DEC-31-2002
CASH>                                                           5,181
SECURITIES>                                               194,537,976
RECEIVABLES>                                                  154,185
ALLOWANCES>                                                         0
INVENTORY>                                                          0
CURRENT-ASSETS>                                           194,697,342
PP&E>                                                               0
DEPRECIATION>                                                       0
TOTAL-ASSETS>                                             194,697,342
CURRENT-LIABILITIES>                                       12,845,684
BONDS>                                                              0
PREFERRED-MANDATORY>                                                0
PREFERRED>                                                          0
COMMON>                                                             0
OTHER-SE>                                                 181,851,658
TOTAL-LIABILITY-AND-EQUITY>                               194,697,342
SALES>                                                              0
TOTAL-REVENUES>                                            65,918,185
CGS>                                                                0
TOTAL-COSTS>                                                        0
OTHER-EXPENSES>                                            15,575,683
LOSS-PROVISION>                                                     0
INTEREST-EXPENSE>                                                   0
INCOME-PRETAX>                                             50,342,502
INCOME-TAX>                                                         0
INCOME-CONTINUING>                                                  0
DISCONTINUED>                                                       0
EXTRAORDINARY>                                                      0
CHANGES>                                                            0
NET-INCOME>                                                50,342,502
EPS-PRIMARY>                                                   691.35
EPS-DILUTED>                                                        0
</TABLE>

<PAGE>

                                  Exhibit 99.1
                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Smith Barney AAA Energy Fund L.P. (the
"Partnership") on Form 10-K for the year ending December 31, 2002 as filed with
the Securities and Exchange Commission on the date hereof (the "Report"), I,
David J. Vogel, President of Smith Barney Futures Management LLC, certify,
pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss. 906 of the
Sarbanes-Oxley Act of 2002, that:
          (1) The Report fully complies with the requirements of section 13(a)
or 15(d) of the Securities Exchange Act of 1934; and
          (2) The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the
Partnership.

/s/ David J. Vogel
    David J. Vogel
    Smith Barney Futures Management LLC
    Chief Executive Officer
    March 28, 2003

<PAGE>

                                  Exhibit 99.2
                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Annual Report of Smith Barney AAA Energy Fund L.P. (the
"Partnership") on Form 10-K for the year ending December 31, 2002 as filed with
the Securities and Exchange Commission on the date hereof (the "Report"), I,
Daniel R. McAuliffe, Jr., Chief Financial Officer and Director of Smith Barney
Futures Management LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted
pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:
          (1) The Report fully complies with the requirements of section 13(a)
          or 15(d) of the Securities Exchange Act of 1934; and (2) The
          information contained in the Report fairly presents, in all material
          respects, the financial condition and results
of operations of the Partnership.

/s/ Daniel R. McAuliffe, Jr
    Daniel R. McAuliffe, Jr.
    Smith Barney Futures Management LLC
    Chief Financial Officer and Director
    March 28, 2003