##### Table of Contents





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, 2008
  OR ( ) TRANSITION
    REPORT PURSUANT TO SECTION 13 OR 15(d)
 OF THE SECURITIES EXCHANGE ACT
    OF 1934
  
  000-25921
  SMITH BARNEY AAA ENERGY
    FUND L.P.
    New York

13-3986032(State or other jurisdiction of
    incorporation or organization)

(I.R.S. Employer
    Identification No.)   c/o Citigroup
    Managed Futures LLC
 55 East
59th Street -
10th Fl.
 New York, New York
    10022
    (212) 559-2011
    None
  Securities registered pursuant to Section 12(g) of the Act:

Redeemable Units of Limited Partnership Interest     (Title of Class)
    Yes



No

X
    Yes



No

X
     Yes

X

No
   Regulation S-K Form 10-K form 10-K [X].
  Rule 12b-2
  Large accelerated filer



Accelerated filer



Non-accelerated filer

X

Smaller reporting company   Rule 12b-2
 Yes



No

X
       DOCUMENTS
    INCORPORATED BY REFERENCE




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##### Table of Contents





PART I
 
  Item 1.
    Business.  General Development of Business
  page F-9 Financial Statements and
    Supplementary Data
                 1




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##### Table of Contents



1 6
    give-up, 30-day 3-month
  Financial Information about Industry
    Segments Selected Financial
    Data
  Narrative Description of Business.
        Financial Information About Geographic
    Areas
  Available Information
  Reports to Security Holders
  Enforceability of Civil Liabilities Against
    Foreign Persons
  Smaller Reporting Companies
 
  Item 1A.
    Risk
    Factors.  As
    a result of leverage, small changes in the price of the
    Partnerships positions may result in major
    losses.
   2




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An
    investor may lose all of their investment.
    The
    Partnership will pay substantial fees and expenses regardless of
    profitability.
    An
    investors ability to redeem or transfer units is
    limited.
    Conflicts
    of interest exist.
    1.
    The General Partner and commodity broker are affiliates;2.
    The Advisor, the commodity broker and their principals and
    affiliates may trade in commodity interests for their own
    accounts; and3.
    Smith Barney financial advisors will receive ongoing
    compensation for providing services to an investors
    account.  Investing
    in units might not provide the desired diversification of an
    investors overall portfolio.
    Past
    performance is no assurance of future results.
    An
    investors tax liability may exceed cash
    distributions.
    New regulation may impact the Partnerships trading.
   
  Item 2.
    Properties.   
  Item 3.
    Legal
    Proceedings.    3




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##### Table of Contents



Regulatory Matters
  IPO Civil Litigation
   In
Re: Initial Public Offering Securities Litigation en banc
 4




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##### Table of Contents



Enron-Related Civil Actions
  Enron v. Citigroup, et al. (In re Enron Corp., et
al.)
 In Re:
NewPower Holdings Securities Litigation
 OCM
Opportunities Fund III, L.P., et al. v. Citigroup Inc., et al.; Pacific Investment Management Co.
LLC, et al. v. Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc., et al. and Principal
Global Investors v. Citigroup Inc., et al
 Newby Retirement Systems of Alabama v. Merrill Lynch, et al.
 Newby, et
al. v. Enron Corp., et al.
 5




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##### Table of Contents



Ravenswood I, L.L.C., et al. v.
Citigroup, Inc., et al. Newby
 American National Insurance Co., et al. v. Citigroup Inc.,
et al. Newby
 Silvercreek Management Inc. v. Salomon Smith Barney, Inc.
 Public Employees Retirement
Systems of Ohio v. Fastow, et al. Newby
 Connecticut Resources Recovery Authority v. Lay,
et al. Newby
 Public Utility District
No. 1 of Snohomish County, Washington v. Citigroup, et al. Newby
 Newby
 6




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##### Table of Contents



Avenue Capital Management II, L.P., et al. v. J.P. Morgan Chase & Co.,
et al., DK Acquisition, et al. v. J.P. Morgan Chase, et al. Newby Bayerische Landesbank, et al. v. J.P.
Morgan Chase Bank, et al. Newby
  Vanguard Balanced Index Fund, et al. v. Citigroup, et al. Newby
  Dynegy Inc.
 In Re: Dynegy Inc. Securities Litigation
 7




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##### Table of Contents



WorldCom-Related Litigation
 In Re: WorldCom, Inc. Securities
Litigation
   In Re:
WorldCom, Inc. Securities Litigation
 8




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##### Table of Contents



Weinstein, et al. v. Ebbers, et al.
 Retirement Systems of Alabama, et al. v. J.P. Morgan Chase & Co., et al. Public
Employees Retirement System of Ohio v. Ebbers, et al. New York City
Employees Retirement System v. Ebbers, et al.
  Sturm, et al. v. Citigroup, et al.
 In Re: Targets Securities Litigation
 9




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Global Crossing
 In Re: Global Crossing, Ltd.
Securities Litigation
   Adelphia Communications Corporation
  10




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##### Table of Contents



In Re Adelphia Communications Corporation Securities and
Derivative Litigation
 Mutual Funds
   11




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##### Table of Contents



Research Analyst Litigation
   In Re Salomon Analyst Metromedia Litigation
 In Re Salomon
Analyst AT&T Litigation In Re Salomon Analyst Level 3 Litigation, In Re Salomon Analyst
XO Litigation In Re Salomon Analyst Williams Litigation
 California State Teachers Retirement System v. Qwest
Communications
 12




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##### Table of Contents



International, Inc., et al. State Universities Retirement System of Illinois v.
Qwest Communications International Inc., et al
  Norman v. Salomon Smith Barney, et al.
 Disher v. Citigroup Global Markets Inc.
 Supervisory Investigation
  Citigroup Shareholder Litigation
  13




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##### Table of Contents



NASD Settlement
  Auction Rate Securities
  Finn v. Smith
Barney, et al.
 Hansen Beverage Co. v. Citigroup Inc., et al.
 In Re Citigroup Auction Rate Securities Litigation
 Mayor and City Council of Baltimore, Maryland v. Citigroup Inc., et al. Mayfield v.
Citigroup Inc., et al.
 14




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Subprime-Mortgage Related Litigation
 In Re American Home Mortgage Securities
Litigation
 In re Citigroup
Inc. Bond Litigation
 In Re Ambac Financial Group, Inc. Securities Litigation
 Other Matters
 In Re American Home Mortgage securities
 15




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##### Table of Contents



In Re MAT Five Securities Litigation In Re
MAT Five Securities Litigation
 Leber v. Citigroup Inc., et al.
 Leber v. Citigroup, Inc., et al.
  16




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Item 4.
    Submission
    of Matters to a Vote of Security
    Holders.   17




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##### Table of Contents



PART II
 
  Item 5.  Market
    for Registrants Common Equity, Related Stockholder Matters
    and Issuer
    Purchases of Equity Securities.
  (a)
    Market Information. The Partnership has issued no stock.
    There is no public market for the Redeemable Units.(b)
    Holders. The number of holders of
    Redeemable Units as of December 31, 2008 was 735.(c)
    Dividends. The Partnership did not declare
    a distribution in 2008 or 2007. The Partnership does not intend to declare dividends in the foreseeable future.(d)
    Securities Authorized for Issuance Under
    Equity Compensation Plans. None.(e)
    Performance Graph. Not applicable.(f)
    Use of Proceeds. There were no additional sales of
    Redeemable Units for the twelve months ended December 31,
    2008, 2007 and 2006. 18




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##### Table of Contents



Item 6.
    Selected
    Financial
    Data.    2008

2007


2006


2005


2004Net realized and unrealized trading gains (losses) net of
    expenses allocated from Master and brokerage commissions
    (including clearing fees) of $5,086,378, $3,960,395, $4,740,069,
$5,383,149 and $4,721,137, respectively


$
130,274,917

$
27,234,329


$
61,630,927


$
170,933,637


$
55,011,111Interest income allocated from Master



1,194,256


6,743,998



9,819,323



5,081,028



1,393,628$
131,469,173

$
33,978,327


$
71,450,250


$
176,014,665


$
56,404,739Net income (loss) before allocation to Special Limited Partner


$
125,747,278

$
28,681,741


$
65,331,807


$
170,951,340


$
53,540,506Allocation to Special Limited Partner



(24,914,378
)

(4,492,189
)


(11,102,497
)


(33,174,063
)


(2,333,604
)Net income (loss) after allocation to Special Limited Partner


$
100,832,900

$
24,189,552


$
54,229,310


$
137,777,277


$
51,206,902Increase (decrease) in Net Asset Value per Redeemable Unit


$
3,239.74

$
655.84


$
1,064.98


$
2,545.62


$
885.09Total assets


$
310,559,773

$
242,063,671


$
259,688,401


$
309,054,933


$
157,137,085  
  Item 7.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Overview
    on-site
 19




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##### Table of Contents




    due diligence examinations of the Advisor;
    selection, appointment and termination of the Advisor;
    negotiation of the Management Agreement; and
    monitoring the activity of the Advisor.      AAA Capital Management Advisors, Ltd.
            (a)
    Liquidity.      (i)
    The Master invests its assets only in commodity interests that
    the Advisor believes are traded in sufficient volume to permit
    ease of taking and liquidating positions. Sufficient volume, in
    this context, refers to a level of liquidity that the Advisor
    believes will permit it to enter and exit trades without
    noticeably moving the market. 20




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##### Table of Contents



(ii)
    The Advisor will not initiate additional positions in any
    commodity if these positions would result in aggregate positions
    requiring a margin of more than
    662/3%
    of the Masters net assets allocated to the Advisor.(iii)
    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.(iv)
    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
    purchases or sale of additional positions in the same or related
    commodities.(v)
    The Master does not utilize borrowings except short-term
    borrowings if the Master takes delivery of any cash commodities.(vi)
    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.(vii)
    The Master will not permit the churning of its commodity trading
    account. The term churning refers to the practice of
    entering and exiting trades with a frequency unwarranted by
    legitimate efforts to profit from the trades, driven by the
    desire to generate commission income.             21




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Financial
    Statements and Supplementary Data
    (b)
    Capital
    Resources.          (c)
    Results
    of
    Operations.           22




---



##### Table of Contents



supply-and-demand
   23




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##### Table of Contents



(d)
    Operational
    Risk.      Operational/Settlement Risk and/or
  Technological Risk
  Legal/Documentation Risk
  Financial Control Risk
  (e)
    Critical
    Accounting
    Policies.  Use of Estimates.
  Statement of Cash Flows.
  Investments.
  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
      Futures Contracts.
 24




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Options.
  Brokerage Commissions
  Income Taxes.
      Recent Accounting Pronouncements.
 25




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##### Table of Contents



Item 7A.
    Quantitative
    and Qualitative Disclosures About Market Risk            Quantifying
    the Partnerships Trading Value at Risk
   26




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##### Table of Contents



one-day one-day
        The
    Masters Trading Value at Risk in Different Market
    Sectors
    December 31,
    2008
  % of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Energy

$
306,037,030



22.86
%

$
393,679,114


$
86,922,706


$
205,141,776Total

$
306,037,030



22.86
%     *
    
    Annual average of month-end Values at Risk    December 31,
    2007
  % of Total


High


Low


AverageMarket Sector

Value at Risk


Capitalization


Value at Risk


Value at Risk


Value at Risk*Energy

$
88,573,625



8.86
%

$
169,737,673


$
65,718,285


$
84,130,315Energy Swaps


1,620,046



0.16
%


4,720,046



1,620,046



4,203,379Grains


194,727



0.02
%


800,333



175,124



361,975Total

$
90,388,398



9.04
%     *
    
    Annual average of month-end Values at Risk 27




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Material
    Limitations on Value at Risk as an Assessment of Market
    Risk
      Qualitative
    Disclosures Regarding Primary Trading Risk Exposures
  and/or
    Energy
   28




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##### Table of Contents



two-day
  Grains
  Other Commodity Interests
  Qualitative
    Disclosures Regarding Means of Managing Risk Exposure
         29




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##### Table of Contents



Item 8.
    Financial
    Statements and Supplementary
    Data.  SMITH
    BARNEY AAA ENERGY FUND L.P.
  INDEX TO
    FINANCIAL STATEMENTS
  PageNumberOath or Affirmation

F-2Managements Report on Internal Control over Financial
    Reporting

F-3Reports of Independent Registered Public Accounting Firms

F-4  F-6Financial Statements:Statements of Financial Condition at December 31, 2008 and
    2007

F-7Statements of Income and Expenses for the years ended
    December 31, 2008, 2007 and 2006

F-8Statements of Changes in Partners Capital for the years
    ended December 31, 2008, 2007 and 2006

F-9Notes to Financial Statements

F-10  F-17Selected Unaudited Quarterly Financial Data

F-18Financial Statements of the Citigroup AAA Master Fund LLCOath or Affirmation

F-19Reports of Independent Registered Public Accounting Firms

F-20  F-21Statements of Financial Condition at December 31, 2008
and     2007

F-22Schedules of Investments at December 31, 2008 and 2007

F-23  F-24Statements of Income and Expenses for the years ended
    December 31, 2008, 2007 and 2006

F-25Statements of Changes in Members Capital for the years
    ended December 31, 2008, 2007 and 2006

F-26Notes to Financial Statements

F-27  F-32Selected Unaudited Quarterly Financial Data

F-33  F-1




---



TABLE OF CONTENTS  PART IItem 1. Business.Item 1A. Risk Factors.Item 2. Properties.Item 3. Legal Proceedings.Item 4. Submission of Matters to a Vote of Security HoldersPART IIItem 5. Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.Item 6. Selected Financial Data.Item 7. Managements Discussion and Analysis of Financial Condition and Results of Operations.Item 7A. Quantitative and Qualitative Disclosures About Market RiskItem 8. Financial Statements and Supplementary Data.To the Limited Partners of Smith Barney AAA Energy Fund L.P.Managements Report on Internal Control Over Financial ReportingReport of Independent Registered Public Accounting FirmStatements of Financial Condition December 31, 2008 and 2007Statements of Income and Expenses for the years ended December 31, 2008, 2007 and 2006Statements of Changes in Partners Capital for the years ended December 31, 2008, 2007 and 2006Notes to Financial Statements December 31, 2008Statements of Financial Condition December 31, 2008 and 2007Schedule of Investments December 31, 2008Schedule of Investments December 31, 2007Statements of Income and Expenses for the years ended December 31, 2008, 2007 and 2006Statements of Changes in Members Capital for the years ended December 31, 2008, 2007 and 2006Notes to Financial Statements December 31, 2008Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.Item 9A(T). Controls and Procedures.Item 9B. Other Information.PART IIIItem 10. Directors, Executive Officers and Corporate Governance.Item 11. Executive Compensation.Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.Item 13. Certain Relationships and Related Transactions, and Director Independence.Item 14. Principal Accountant Fees and Services.PART IVItem 15. Exhibits, Financial Statement Schedules.SIGNATURESEX-10.13: LETTER EXTENDING THE MANAGEMENT AGREEMENTEX-23.1: CONSENT OF KPMG LLPEX-31.1: CERTIFICATIONEX-31.2: CERTIFICATIONEX-32.1: CERTIFICATIONEX-32.2: CERTIFICATION    Table of Contents  
  To the Limited
    Partners of
    Smith Barney AAA Energy Fund L.P.
    
  By:
    Jennifer Magro      Citigroup Managed Futures LLC
    212-559-2011
 F-2




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Managements
    Report on Internal Control Over
    Financial Reporting
            Internal Control-Integrated Framework
    
       F-3




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##### Table of Contents



Report of Independent Registered Public Accounting Firm
 
 Internal Control  Integrated Framework
  F-4




---



##### Table of Contents



F-5




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##### Table of Contents



Report of Independent Registered Public Accounting Firm
 
     
 F-6




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.

    Statements of Financial Condition
    December 31, 2008 and 2007
  2008


2007Assets:Investment in Master, at fair value (Note 1)

$
310,392,645


$
241,670,802Cash (Note 3c)


163,730



63,818Distribution receivable


3,398



329,051Total assets

$
310,559,773


$
242,063,671Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions (Note 3c)

$
1,371,845


$
834,962Management fees (Note 3b)


515,036



401,891Professional fees


103,124



72,415Other


63,365



21,520Redemptions payable (Note 5)


6,705,722



1,391,840Total liabilities


8,759,092



2,722,628Partners Capital (Notes 1 and 5):General Partner, 830.6049 Unit Equivalents outstanding at
    December 31, 2008 and 2007


8,554,400



5,863,414Special Limited Partner, 1,035.1345 and 55.6523 Redeemable Units
    of Limited Partnership Interest outstanding at December 31,
    2008 and 2007, respectively


10,660,850



392,861Limited Partners, 27,438.1447 and 33,018.5334 Redeemable Units
    of Limited Partnership Interest outstanding at December 31,
    2008 and 2007, respectively


282,585,431



233,084,768Total partners capital


301,800,681



239,341,043Total liabilities and partners capital

$
310,559,773


$
242,063,671   See accompanying notes to financial statements.
 F-7




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.

    Statements of Income and Expenses
    for the years ended December 31, 2008, 2007 and
    2006
  2008


2007


2006Income:Net realized gains (losses) on closed positions allocated from
    Master

$
89,348,243


$
34,823,784


$
157,253,890Change in net unrealized gains (losses) on open positions
    allocated from Master


46,013,052



(3,629,060
)


(90,882,894
)Interest income allocated from Master


1,194,256



6,743,998



9,819,323Expenses allocated from Master


(967,985
)


(933,591
)


(1,129,950
)Total income (loss)


135,587,566



37,005,131



75,060,369Expenses:Brokerage commissions (Note 3c)


4,118,393



3,026,804



3,610,119Management fees (Note 3b)


5,437,800



5,033,763



5,986,521Professional fees


215,114



187,541



109,734Other


68,981



75,282



22,188Total expenses


9,840,288



8,323,390



9,728,562Net income (loss) before allocation to Special Limited Partner


125,747,278



28,681,741



65,331,807Allocation to Special Limited Partner (Note 3b)


(24,914,378
)


(4,492,189
)


(11,102,497
)Net income (loss) after allocation to Special Limited Partner

$
100,832,900


$
24,189,552


$
54,229,310Net income (loss) per Redeemable Unit of Limited Partnership
    Interest and General Partner Unit Equivalent (Notes 1 and 6)

$
3,239.79


$
655.84


$
1,064.98   See accompanying notes to financial statements.
 F-8




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.

    Statements of Changes in Partners Capital
    for the years ended December 31, 2008, 2007 and
    2006
  SpecialLimited


Limited


GeneralPartners


Partner


Partner


TotalPartners Capital at December 31, 2005

$
268,174,760


$
3,174,063


$
4,879,176


$
276,227,999Redemption of 11,922.8081 Redeemable Units of Limited
    Partnership Interest


(75,400,663
)










(75,400,663
)Redemption of 1,467.0888 Redeemable Units of Special Limited
    Partnership Interest






(9,100,000
)






(9,100,000
)Allocation of net income (loss) for the year ended
    December 31, 2006:Allocation of 1,790.5932 Redeemable Units of Limited Partnership
    Interest to the Special Limited Partner (Note 3b)






11,102,497







11,102,497Net income (loss) available for pro rata distribution


52,553,711



702,229



973,370



54,229,310Partners Capital at December 31, 2006


245,327,808



5,878,789



5,852,546



257,059,143Redemption of 5,293.7553 Redeemable Units of Limited Partnership
    Interest


(35,330,949
)










(35,330,949
)Redemption of 1,514.3085 Redeemable Units of Special Limited
    Partnership Interest






(10,537,346
)






(10,537,346
)Redemption of 83.3741 Units of General Partner Equivalents










(531,546
)


(531,546
)Allocation of net income (loss) for the year ended
    December 31, 2007:Allocation of 651.8834 Redeemable Units of Limited Partnership
    Interest to the Special Limited Partner (Note 3b)






4,492,189







4,492,189Net income (loss) available for pro rata distribution


23,087,909



559,229



542,414



24,189,552Partners Capital at December 31, 2007


233,084,768



392,861



5,863,414



239,341,043Sale of 102.0000 Redeemable Units of Limited Partnership Interest


1,006,658











1,006,658Redemption of 5,682.3887 Redeemable Units of Limited Partnership
    Interest


(47,287,192
)










(47,287,192
)Redemption of 1,773.3087 Redeemable Units of Special Limited
    Partnership Interest






(17,007,106
)






(17,007,106
)Allocation of net income (loss) for the year ended
    December 31, 2008:Allocation of 2,752.7909 Redeemable Units of Limited Partnership
    Interest to the Special Limited Partner (Note 3b)






24,914,378







24,914,378Net income (loss) available for pro rata distribution


95,781,197



2,360,717



2,690,986



100,832,900Partners Capital at December 31, 2008

$
282,585,431


$
10,660,850


$
8,554,400


$
301,800,681Net Asset Value Per Unit:   2006:

$
6,403.372007:

$
7,059.212008:

$
10,299.00
   See accompanying notes to financial statements.
 F-9




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.

    Notes to Financial Statements
    December 31, 2008
  1.
    Partnership
    Organization:             F-10




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.
    Notes to Financial Statements
    December 31, 2008
      2.
    Accounting
    Policies:  a.
    Use of Estimates.The preparation of financial statements
    and accompanying notes in conformity with U.S. generally
    accepted accounting principles (GAAP) requires
    management to make estimates and assumptions that affect the
    reported amounts of assets and liabilities, income and expenses,
    and related disclosures of contingent assets and liabilities in
    the financial statements and accompanying notes. Actual results
    could differ from these estimates.b.
    Statement of Cash Flows.The Partnership has elected not
    to provide a Statement of Cash Flows as permitted by Statement
    of Financial Accounting Standards No. 102 Statement
    of Cash Flows-Exemption of Certain Enterprises and
    Classification of Cash Flows from Certain Securities Acquired
    for Resale (FAS 102).c.
    Investments.The Partnership values its investment in the
    Master at its net asset value per unit as calculated by the
    Master. The Master values its investments as described in
    note 2 of the Masters notes to the annual financial
    statements as of December 31, 2008.  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
    F-11




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.
    Notes to Financial Statements
    December 31, 2008
  Quoted Pricesin Active


SignificantMarkets for


Other


SignificantIdentical


Observable


UnobservableAssets


Inputs


Inputs12/31/2008


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master

$
310,392,645


$



$
310,392,645


$
Total fair value

$
310,392,645


$



$
310,392,645


$
   Investments.
  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
   F-12




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.
    Notes to Financial Statements
    December 31, 2008
    QuotedPricesin Active


SignificantMarkets for


Other


SignificantIdentical


Observable


UnobservableAssets


Inputs


Inputs12/31/2008


(Level 1)


(Level 2)


(Level 3)AssetsFutures and Exchange Cleared Swaps

$
268,819,884


$
268,819,884


$



$
Options owned


906,666,577



906,666,577







Total assets


1,175,486,461



1,175,486,461







LiabilitiesOptions written

$
624,018,932


$
624,018,932


$



$
Total liabilities


624,018,932



624,018,932







Total fair value

$
551,467,529


$
551,467,529


$



$
   d.
    Futures Contracts.The Master trades futures contracts. A
    futures contract is a firm commitment to buy or sell a specified
    quantity of investments, currency or a standardized amount of a
    deliverable grade commodity, at a specified price on a specified
    future date, unless the contract is closed before the delivery
    date or if the delivery quantity is something where physical
    delivery cannot occur (such as S&P 500 Index), whereby
    such contract is settled in cash. Payments (variation
    margin) may be made or received by the Master each
    business day, depending on the daily fluctuations in the value
    of the underlying contracts, and are recorded as unrealized
    gains or losses by the Master. When the contract is closed, the
    Master records a realized gain or loss equal to the difference
    between the value of the contract at the time it was opened and
    the value at the time it was closed. Because transactions in
    futures contracts require participants to make both initial
    margin deposits of cash or other assets and variation margin
    deposits, through the futures broker, directly with the exchange
    on which the contracts are traded, credit exposure is limited.
    Realized gains (losses) and changes in unrealized gains (losses)
    on futures contracts are included in the Statements of Income
    and Expenses.  e.
    Options.The Master may purchase and write (sell), both
    exchange listed and over-the-counter, options on commodities or
    financial instruments. 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 Statements of Financial Condition and marked to
    market daily. When the Master purchases an option, the premium
    paid is recorded as an asset in the Statements of Financial
    Condition and marked to market daily. Realized gains (losses)
    and changes in unrealized gains (losses) on options contracts
    are included in the Statements of Income and Expenses.  f.
    Brokerage Commissions.Commission charges to open and
    close futures and exchange traded swap contracts are expensed at
    the time the positions are opened. Commission charges on option
    contracts are expensed at the time the position is established
    and when the option contract is closed.  g.
    Income Taxes.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. F-13




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.
    Notes to Financial Statements
    December 31, 2008
      h.
    Recent Accounting Pronouncements.On March 19, 2008,
    Financial Accounting Standards Board released Statement of
    Financial Accounting Standards No. 161, Disclosures
    about Derivative Instruments and Hedging Activities
    (FAS 161). FAS 161 requires qualitative
    disclosures about objectives and strategies for using
    derivatives, quantitative disclosures about fair value amounts
    of and gains and losses on derivative instruments, and
    disclosures about credit-risk-related contingent features in
    derivative agreements. The application of FAS 161 is
    required for fiscal years beginning after November 15, 2008
    and interim periods within those fiscal years. The standard
    expands the disclosure requirements for derivatives and hedged
    items and has no impact on how the Partnership accounts for
    derivatives (the Partnership does not have hedged items).
    Management is evaluating the enhanced disclosure requirements
    and does not believe that there will be any material impact on
    the financial statement disclosures.  3.
    Agreements:  a.
    Limited Partnership Agreement:    b.
    Management Agreement:  1 6
   F-14




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.
    Notes to Financial Statements
    December 31, 2008
   c.
    Customer Agreement:  give-up, 30-day 3-month
  4.
    Trading
    Activities:      5.
    Distributions and
    Redemptions:    6.
    Financial
    Highlights:    2008


2007


2006Net realized and unrealized gains (losses)*

$
4,192.14


$
741.55


$
1,198.31Interest income


36.89



179.39



214.93Expenses and allocation to Special Limited Partner**


(989.24
)


(265.10
)


(348.26
)Increase (decrease) for year


3,239.79



655.84



1,064.98Net Asset Value per Redeemable Unit, beginning of year


7,059.21



6,403.37



5,338.39Net Asset Value per Redeemable Unit, end of year

$
10,299.00


$
7,059.21


$
6,403.37   *
    
    Includes Partnership commissions and expense allocated from
    Master**
    
    Excludes Partnership commissions and expense allocated from
    Master and includes allocation to Special Limited Partner  F-15




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##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.
    Notes to Financial Statements
    December 31, 2008
  2008


2007


2006Ratios to average net assets:Net investment income (loss) before allocation to Special
    Limited Partner ***


(3.7
)%


(1.0
)%


(0.4
)%Operating expenses


4.1
%


3.7
%


3.8
%Allocation to Special Limited Partner


9.5
%


1.8
%


3.9
%Total expenses and allocation to Special Limited Partner


13.6
%


5.5
%


7.7
%Total return:Total return before allocation to Special Limited Partner


57.9
%


12.3
%


25.1
%Allocation to Special Limited Partner


(12.0
)%


(2.1
)%


(5.2
)%Total return after allocation to Special Limited Partner


45.9
%


10.2
%


19.9
%   ***
    
    Interest income allocated from Master less total expenses
    (exclusive of allocation to Special Limited Partner)    7.
    Financial
    Instrument Risks:       F-16




---



##### Table of Contents



Smith Barney AAA
    Energy Fund L.P.
    Notes to Financial Statements
    December 31, 2008
           F-17




---



##### Table of Contents



For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    
    September 30, 2008
    
    June 30, 2008
    
    March 31, 2008Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    40,018,033
    
    
    $
    44,770,520
    
    
    $
    37,993,457
    
    
    $
    8,687,163Net income
(loss) before allocation to Special Limited Partner
    
    $
    38,407,154
    
    
    $
    43,267,393
    
    
    $
    36,648,202
    
    
    $
    7,424,529Net income
(loss) after allocation to Special Limited Partner
    
    $
    30,741,338
    
    
    $
    34,685,958
    
    
    $
    29,347,762
    
    
    $
    6,057,842Increase (decrease)
in Net Asset Value per Redeemable Unit
    
    $
    1,024.90
    
    
    $
    1,111.97
    
    
    $
    920.42
    
    
    $
    182.50
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2007 to
    
    July 1, 2007 to
    
    April 1, 2007 to
    
    January 1, 2007 toDecember 31, 2007
    
    September 30, 2007
    
    June 30, 2007
    
    March 31, 2007Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    4,419,383
    
    
    $
    7,117,449
    
    
    $
    22,619,419
    
    
    $
    (177,924
    )Net income
(loss) before allocation to Special Limited Partner
    
    $
    3,049,776
    
    
    $
    5,776,842
    
    
    $
    21,295,913
    
    
    $
    (1,440,790
    )Net income
(loss) after allocation to Special Limited Partner
    
    $
    2,656,915
    
    
    $
    4,945,312
    
    
    $
    18,028,115
    
    
    $
    (1,440,790
    )Increase (decrease)
in Net Asset Value
per Redeemable Unit
    
    $
    79.61
    
    
    $
    130.22
    
    
    $
    473.95
    
    
    $
    (27.94)
 F-18




---



##### Table of Contents



To the Members
    of
    Citigroup AAA Master Fund LLC
    
  By:
    Jennifer Magro      Citigroup Managed Futures LLC
    212-559-2011
 F-19




---



##### Table of Contents



Report of Independent Auditors
 
   
 F-20




---



##### Table of Contents



Report of Independent Registered Public Accounting Firm
 
     
 F-21




---



##### Table of Contents



Citigroup AAA
    Master Fund LLC

    Statements of Financial Condition
    December 31, 2008 and 2007
  2008


2007Assets:Equity in commodity futures trading account:Cash (Note 3c)

$
696,338,412


$
708,737,391Cash margin (Note 3c)


90,640,874



1,620,046Net unrealized appreciation on open futures and exchange cleared
    swap contracts


268,819,884



Unrealized appreciation on open swaps contracts






92,444,714Options owned, at fair value (cost $839,906,163 and
    $359,627,764, respectively)


906,666,577



349,972,9591,962,465,747



1,152,775,110Due from brokers


518,950



5,911,586Interest receivable


15,536



1,444,226Total assets

$
1,963,000,233


$
1,160,130,922Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and exchange cleared
    swap contracts

$



$
42,694,277Unrealized depreciation on open swap contracts






15,443,679Options written, at fair value (premium $589,026,274 and
    $163,294,959, respectively)


624,018,932



91,112,724Accrued expenses:Professional fees


334,666



94,011Due to brokers






5,772,030Distribution Payable (Note 5)


15,536



1,438,406Redemptions Payable






4,122,259Total liabilities


624,369,134



160,677,386Members Capital:Members Capital, 150,805.9242 and 184,668.8591
    Units outstanding at December 31, 2008 and 2007,
    respectively


1,338,631,099



999,453,536Total liabilities and members capital

$
1,963,000,233


$
1,160,130,922   See accompanying notes to financial statements.
 F-22




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##### Table of Contents



Citigroup AAA
    Master Fund LLC

    Schedule of Investments
    December 31, 2008
  Number of





% of MembersContracts


Fair Value


CapitalFutures and Exchange Cleared Swap Contracts PurchasedEnergyNYMEX Heating Oil Feb 09  Aug 11


8,011


$
(441,745,130
)


(33.00
)%NYMEX HH N Gas Swap Feb 09  Dec 14


18,654



(89,160,340
)


(6.66
)NYMEX LS Crude Oil Feb 09  Dec 12


11,641



(129,427,041
)


(9.67
)NYMEX Natural Gas May 09  Dec 13


8,255



(139,708,500
)


(10.44
)NYMEX NYH RBOB Gas Feb 09  Dec 11


4,404



(119,810,053
)


(8.95
)NYMEX WTI Financial Jun 09  Dec 16


4,936



(209,218,410
)


(15.63
)Other






(151,807,029
)


(11.34
)Total futures and exchange cleared swap contracts purchased






(1,280,876,503
)


(95.69
)Futures and Exchange Cleared Swap Contracts SoldEnergyIPE Brent Crude Oil Mar 09  Dec 14


4,692



121,030,070



9.04IPE Gas Oil Jan 09  Jun 11


11,819



535,126,020



39.98NYMEX Heating Oil Feb 09  Dec 11


3,501



166,705,095



12.45NYMEX HH N Gas Swap Mar 09  Dec 12


29,532



155,897,847



11.65NYMEX Natural Gas Feb 09  Dec 14


13,299



260,526,256



19.46NYMEX NYH RBOB Gas Apr 09  Apr 10


3,293



137,456,648



10.27Other






172,954,451



12.92Total futures and exchange cleared swap contracts sold






1,549,696,387



115.77Net unrealized appreciation on open futures and exchange cleared
    swap contracts






268,819,884



20.08Options OwnedEnergyNYMEX Brent Crude EP Jun 09  Dec 10


2,533



73,938,930



5.52NYMEX Crude EP Mar 09  Dec 16


11,958



253,787,240



18.96NYMEX LS Crude Oil P Feb 09  Dec 12


6,383



205,040,500



15.32NYMEX Natural Gas EC Feb 09  May 14


28,842



164,736,675



12.31NYMEX Natural Gas EP Mar 09  Mar 11


4,433



70,822,470



5.29Other






138,340,762



10.33Total options owned






906,666,577



67.73Options WrittenEnergyNYMEX LS Crude Oil P Feb 09  Dec 12


6,493



(131,792,570
)


(9.84
)NYMEX Natural Gas EP Feb 09  May 11


6,340



(209,214,966
)


(15.63
)Other






(283,011,396
)


(21.14
)Total options written






(624,018,932
)


(46.61
)Total fair value





$
551,467,529



41.20
%   See accompanying notes to financial statements.
 F-23




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##### Table of Contents



Citigroup AAA
    Master Fund LLC

    Schedule of Investments
    December 31, 2007
  Number of





% of MembersContracts


Fair Value


CapitalFutures and Exchange Cleared Swap Contracts PurchasedEnergy





$
162,833,367



16.29
%Futures and Exchange Cleared Swap Contracts SoldEnergyIPE Brent Crude Oil Feb 08  Dec 10


6,602



(77,608,996
)


(7.76
)Other






(126,738,498
)


(12.68
)Grains






(1,180,150
)


(0.12
)Total futures and exchange cleared swap contracts sold






(205,527,644
)


(20.56
)Net unrealized depreciation on open futures and exchange cleared
    swap contracts






(42,694,277
)


(4.27
)Options OwnedEnergyNYMEX Crude Oil Mar 08  Dec 11


6,694



62,612,920



6.27NYMEX Natural Gas Feb 08  Oct 12


27,108



218,208,060



21.83Other






66,409,454



6.65Grains






2,742,525



0.27Total options owned






349,972,959



35.02Options WrittenEnergy






(91,112,724
)


(9.12
)Unrealized Appreciation on Swap ContractsEnergy






92,444,714



9.25Unrealized Depreciation on Swap ContractsEnergy






(15,443,679
)


(1.55
)Total fair value





$
293,166,993



29.33
%   See accompanying notes to financial statements.
 F-24




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##### Table of Contents



Citigroup AAA
    Master Fund LLC

    Statements of Income and Expenses
    for the years ended December 31, 2008, 2007 and
    2006
  2008


2007


2006Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed positions

$
383,464,674


$
139,780,388


$
529,546,800Change in net unrealized gains (losses) on open positions


187,955,527



(15,598,237
)


(305,074,936
)Gain (loss) from trading, net


571,420,201



124,182,151



224,471,864Interest income


5,262,752



27,854,202



35,497,663Total income (loss)


576,682,953



152,036,353



259,969,527Expenses:Clearing fees


3,223,638



3,197,637



3,594,424Professional fees


848,543



508,210



366,093Total expenses


4,072,181



3,705,847



3,960,517Net income (loss)

$
572,610,772


$
148,330,506


$
256,009,010Net income (loss) per Unit of Member Interest (Notes 1 and
    6)

$
3,494.47


$
756.40


$
1,088.38   See accompanying notes to financial statements.
 F-25




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##### Table of Contents



Citigroup AAA
    Master Fund LLC

    Statements of Changes in Members Capital
    for the years ended December 31, 2008, 2007 and
    2006
  MembersCapitalMembers Capital at December 31, 2005

$
954,082,152Net income (loss)


256,009,010Sale of 58,368.3423 Units of Member Interest


249,113,429Redemption of 98,007.5492 Units of Member Interest


(430,561,037
)Distribution of interest income to feeder funds


(35,283,655
)Members Capital at December 31, 2006


993,359,899Net income (loss)


148,330,506Sale of 28,091.0093 Units of Member Interest


140,284,151Redemption of 50,568.2147 Units of Member Interest


(254,888,582
)Distribution of interest income to feeder funds


(27,632,438
)Members Capital at December 31, 2007


999,453,536Net income (loss)


572,610,772Sale of 26,018.8922 Units of Member Interest


176,599,395Redemption of 59,881.8271 Units of Member Interest


(404,833,765
)Distribution of interest income to feeder funds


(5,198,839
)Members Capital at December 31, 2008

$
1,338,631,099Net Asset Value per Unit of Member Interest:   2006:

$
4,795.462007:

$
5,412.142008:

$
8,876.52
   See accompanying notes to financial statements.
 F-26




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##### Table of Contents



Citigroup AAA
    Master Fund LLC

    Notes to Financial Statements
    December 31, 2008
  1.
    General:         F-27




---



##### Table of Contents



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
      2.
    Accounting
    Policies:  a.
    Use of Estimates.  The preparation of financial
    statements and accompanying notes in conformity with
    U.S. generally accepted accounting principles
    (GAAP) requires management to make estimates and
    assumptions that affect the reported amounts of assets and
    liabilities, income and expenses, and related disclosures of
    contingent assets and liabilities in the financial statements
    and accompanying notes. Actual results could differ from these
    estimates.b.
    Statement of Cash Flows.  The Master has
    elected not to provide a Statement of Cash Flows as permitted by
    Statement of Financial Accounting Standards No. 102
    Statement of Cash Flows-Exemption of Certain Enterprises
    and Classification of Cash Flows from Certain Securities
    Acquired for Resale (FAS 102).c.
    Investments.  All commodity interests of the
    Master (including derivative financial instruments and
    derivative commodity instruments) are held for trading purposes.
    The commodity interests are recorded on trade date and open
    contracts are recorded at fair value (as described below) at the
    measurement date. Investments in commodity interests denominated
    in foreign currencies are translated into U.S. dollars at
    the exchange rates prevailing at the measurement date. Gains or
    losses are realized when contracts are liquidated. Unrealized
    gains or losses on open contracts are included as a component of
    equity in commodity futures trading account on the Statements of
    Financial Condition. Realized gains or losses and any change in
    net unrealized gains or losses from the preceding period are
    reported in the Statements of Income and Expenses.Fair Value Measurements.  The Master adopted
    Statement of Financial Accounting Standards No. 157,
    Fair Value Measurements (SFAS 157) as of
    January 1, 2008 which defines fair value as the price that
    would be received to sell an asset or paid to transfer a
    liability in an orderly transaction between market participants
    at the measurement date. SFAS 157 establishes a framework
    for measuring fair value and expands disclosures regarding fair
    value measurements in accordance with GAAP. The fair value
    hierarchy gives the highest priority to unadjusted quoted prices
    in active markets for identical assets or liabilities
    (Level 1) and the lowest priority to fair values
    derived from unobservable inputs (Level 3). The level in
    the fair value hierarchy within which the fair value measurement
    in its entirety falls shall be determined based on the lowest
    level input that is significant to the fair value measurement in
    its entirety. The Master did not apply the deferral allowed by
    FASB Staff Positions
    No. FAS 157-2,
    Effective Date of FASB Statement No. 157, for
    nonfinancial assets and nonfinancial liabilities measured at
    fair value on a nonrecurring basis.The Master considers prices for exchange traded commodity
    futures, forwards and options contracts to be based on quoted
    prices in active markets for identical assets (Level 1).
    The values of non exchange traded forwards, swaps and certain
    options contracts for which market quotations are not readily
    available are priced by broker-dealers who derive fair values
    for those F-28




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##### Table of Contents



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
  assets from observable inputs (Level 2). As of
    December 31, 2008, the Master did not hold any derivative
    instruments for which market quotations are not readily
    available, are priced by broker-dealers who derive fair values
    for those assets from observable inputs (Level 2) or that
    are priced at fair value using unobservable inputs through the
    application of managements assumptions and internal
    valuation pricing models (Level 3).  SignificantQuoted Prices in


Other


SignificantActive Markets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2008


(Level 1)


(Level 2)


(Level 3)AssetsFutures and Exchange Cleared Swaps

$
268,819,884


$
268,819,884


$



$
Options owned


906,666,577



906,666,577







Total assets


1,175,486,461



1,175,486,461







LiabilitiesOptions written

$
624,018,932


$
624,018,932


$



$
Total liabilities


624,018,932



624,018,932







Total fair value

$
551,467,529


$
551,467,529


$



$
   d.
    Futures Contracts.  The Master trades futures
    contracts. A futures contract is a firm commitment to buy or
    sell a specified quantity of investments, currency or a
    standardized amount of a deliverable grade commodity, at a
    specified price on a specified future date, unless the contract
    is closed before the delivery date or if the delivery quantity
    is something where physical delivery cannot occur (such as
    S&P 500 Index), whereby such contract is settled in
    cash. Payments (variation margin) may be made or
    received by the Master each business day, depending on the daily
    fluctuations in the value of the underlying contracts, and are
    recorded as unrealized gains or losses by the Master. When the
    contract is closed, the Master records a realized gain or loss
    equal to the difference between the value of the contract at the
    time it was opened and the value at the time it was closed.
    Because transactions in futures contracts require participants
    to make both initial margin deposits of cash or other assets and
    variation margin deposits through the futures broker directly
    with the exchange on which the contracts are traded, credit
    exposure is limited. Realized gains (losses) and changes in
    unrealized gains (losses) on futures contracts are included in
    the Statements of Income and Expenses.e.
    Options.  The Master may purchase and write
    (sell), both exchange listed and over-the-counter, options on
    commodities or financial instruments. 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 Statements of Financial
    Condition and marked to market daily. When the Master purchases
    an option, the premium paid is recorded as an asset in the
    Statements of Financial Condition and marked to market daily.
    Realized gains (losses) and changes in unrealized gains (losses)
    on options contracts are included in the Statements of Income
    and Expenses.f.
    Income and Expenses Recognition.  All of the
    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 Funds at the time
    of such determination.g.
    Income Taxes.  Income taxes have not been
    provided as each member is individually liable for the taxes, if
    any, on their share of the Masters income and expenses. F-29




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##### Table of Contents



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
   In 2007, the Master adopted FASB Interpretation No. 48
    Accounting for Uncertainty in Income Taxes
    (FIN 48). FIN 48 provides guidance for how
    uncertain tax positions should be recognized, measured,
    presented and disclosed in the financial statements. FIN 48
    requires the evaluation of tax positions taken or expected to be
    taken in the course of preparing the Masters financial
    statements to determine whether the tax positions are
    more-likely-than-not to be sustained by the
    applicable tax authority. Tax positions with respect to tax at
    the partnership level not deemed to meet the
    more-likely-than-not threshold would be recorded as
    a tax benefit or expense in the current year. The Managing
    Member has concluded that the adoption of FIN 48 had no
    impact on the operations of the Master for the year ended
    December 31, 2008 and that no provision for income tax is
    required in the Masters financial statements.The following are the major tax jurisdictions for the Master and
    the earliest tax year subject to examination: United
    States  2005.h.
    Recent Accounting Pronouncements.  On
    March 19, 2008, Financial Accounting Standards Board
    released Statement of Financial Accounting Standards
    No. 161, Disclosures about Derivative Instruments and
    Hedging Activities (FAS 161).
    FAS 161 requires qualitative disclosures about objectives
    and strategies for using derivatives, quantitative disclosures
    about fair value amounts of and gains and losses on derivative
    instruments, and disclosures about credit-risk-related
    contingent features in derivative agreements. The application of
    FAS 161 is required for fiscal years beginning after
    November 15, 2008 and interim periods within those fiscal
    years. The standard expands the disclosure requirements for
    derivatives and hedged items and has no impact on how the Master
    accounts for derivatives (the Master does not have hedged
    items). Management is evaluating the enhanced disclosure
    requirements and does not believe that there will be any
    material impact on the financial statement disclosures.  3.
    Agreements:  a.
    Managing Member Agreement:The Managing Member administers the business affairs of the
    Master including selecting one or more advisors to make trading
    decisions for the Master.b.
    Management Agreement:The Managing Member, on behalf of the Master has entered into a
    management agreement (the Management Agreement) with
    the Advisor, a registered commodity trading advisor. The Advisor
    is affiliated with the Managing Member and CGM 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 Funds. The Management Agreement
    may be terminated upon notice by either party.c.
    Customer Agreement:The Master has entered into a customer agreement (the
    Customer Agreement) with CGM whereby CGM provides
    services which include, among other things, the execution of
    transactions for the Masters account in accordance with
    orders placed by the Advisor. All floor brokerage, exchange,
    clearing, user,
    give-up and
    National Futures Association fees (collectively the
    clearing fees) are borne by the Master consistent
    with contractual agreements. All other fees (management fees,
    administrative fees, incentive fees, brokerage commissions and
    offering costs) shall be borne by the Funds. All of the
    Masters cash is deposited by CGM in segregated bank
    accounts, to the extent required by Commodity Futures Trading
    Commission regulations. At December 31, 2008 and 2007, the
    amount of cash held by the Master for margin requirements was
    $90,640,874 and $1,620,046, respectively. The Customer Agreement
    between the Master F-30




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##### Table of Contents



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
  and CGM 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 Funds.  4.
    Trading
    Activities:      5.
    Distributions and
    Redemptions:    6.
    Financial
    Highlights:    2008


2007


2006Net realized and unrealized gains (losses)*

$
3,469.13


$
618.16


$
930.06Interest income


30.48



140.84



159.95Expenses**


(5.14
)


(2.60
)


(1.63
)Increase (decrease) for the year


3,494.47



756.40



1,088.38Distribution of interest income to feeder funds


(30.09
)


(139.72
)


(158.96
)Net Asset Value per Unit of Member Interest, beginning of year


5,412.14



4,795.46



3,866.04Net Asset Value per Unit of Member Interest, end of year

$
8,876.52


$
5,412.14


$
4,795.46    *
    
    Includes brokerage commissions**
    
    Excludes brokerage commissions  Ratio to average net assets:Net investment income (loss)***


0.1
%


2.4
%


3.0
%Operating expenses


0.4
%


0.4
%


0.4
%Total return


64.6
%


15.8
%


28.2
%   ***
    
    Interest income less total expenses   F-31




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##### Table of Contents



Citigroup AAA
    Master Fund LLC
    Notes to Financial Statements
    December 31, 2008
   7.
    Financial
    Instrument Risks:             F-32




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##### Table of Contents



For the period from
    
    For the period from
    
    For the period
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    from April 1, 2008
    
    January 1, 2008 toDecember 31, 2008
    
    September 30, 2008
    

to June 30, 2008
    
    March 31, 2008Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    175,399,992
    
    
    $
    194,086,196
    
    
    $
    163,785,949
    
    
    $
    40,187,178Net income (loss)
    
    $
    175,150,122
    
    
    $
    193,836,326
    
    
    $
    163,573,146
    
    
    $
    40,051,178Increase (decrease)
in Net Asset Value per Unit
    
    $
    1,134.53
    
    
    $
    1,182.02
    
    
    $
    954.68
    
    
    $
    223.24
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2007 to
    
    July 1, 2007 to
    
    April 1, 2007 to
    
    January 1, 2007 toDecember 31, 2007
    
    September 30, 2007
    
    June 30, 2007
    
    March 31, 2007Net realized and
unrealized trading
gains (losses) net
of brokerage
commissions and
clearing fees
including interest
income
    
    $
    21,874,494
    
    
    $
    30,964,379
    
    
    $
    92,827,279
    
    
    $
    3,172,564Net income (loss)
    
    $
    21,747,533
    
    
    $
    30,790,629
    
    
    $
    92,723,530
    
    
    $
    3,068,814Increase (decrease)
in Net Asset Value
per  Unit
    
    $
    117.32
    
    
    $
    156.94
    
    
    $
    462.46
    
    
    $
    19.68
 F-33




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##### Table of Contents



Item 9.
    Changes
    in and Disagreements with Accountants on Accounting and
    Financial
    Disclosure.       
  Item 9A(T).
    Controls
    and
    Procedures.      Rule 13a-15(e) 15d-15(e)
  internal control over financial
    reporting
  
    pertain to the maintenance of records that in reasonable detail
    accurately and fairly reflect the transactions and dispositions
    of the assets of the Partnership;
    provide reasonable assurance that (i) transactions are
    recorded as necessary to permit preparation of financial
    statements in accordance with GAAP, and (ii) the Partnerships
    receipts are handled and expenditures are made only pursuant to
    authorizations of the General Partner; and
    provide reasonable assurance regarding prevention or timely
    detection of unauthorized acquisition, use or disposition of the
    Partnerships assets that could have a material effect on
    the financial statements.  Financial
    Statements and Supplementary Data
   
  Item 9B.
    Other
    Information.   30




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##### Table of Contents



PART III
 
  Item 10.
    Directors,
    Executive Officers and Corporate
    Governance.     
  Item 11.
    Executive
    Compensation.  Business Business
 
  Item 12.  Security
    Ownership of Certain Beneficial Owners and Management and
    Related Stockholder Matters.
  Security ownership of certain beneficial
    owners
  Security ownership of management
    * A. Anthony Annunziato

70.000 Redeemable Units       Changes in control
 
  Item 13.
    Certain
    Relationships and Related Transactions, and Director
    Independence.  Regulation S-K. Business Financial Statements and Supplementary Data Executive Compensation
 
  Item 14.
    Principal
    Accountant Fees and
    Services.  Audit Fees
  PwC
$101,300KPMG
$94,400   Audit-Related Fees
  Tax Fees
  PwC
$15,700KPMG
$29,200   All Other Fees
     31




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##### Table of Contents



PART IV
 
  Item 15.
    Exhibits,
    Financial Statement
    Schedules.  (a)(1)
    Financial Statements:        (2)
    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).10
.7

-

Letter from the General Partner to AAA Capital Management, Inc.
    extending the Management Agreement for 2002 (previously filed).10
.8

-

Letter from the General Partner to AAA Capital Management, Inc.
    extending the Management Agreement for 2003 (previously filed).10
.9

-

Letter from the General Partner to AAA Capital Management, Inc.
    extending the Management Agreement for 2004 (previously filed).10
.10

-

Letter from the General Partner to AAA Capital Management, Inc.
    extending the Management Agreement through September 30,
    2005 (previously filed).10
.11

-

Amended and Restated Advisory Agreement among the Partnership,
    the General Partner and AAA Capital Management Advisors, Ltd.
    (previously filed).10
.12

-

Letter from the General Partner to AAA Capital Management, Inc.
    extending the Management Agreement for 2007 (previously filed).10
.13

-

Letter from the General Partner to AAA
Capital Management, Inc. extending the Management Agreement for 2008
(filed herein).23
.1

-

Consent from KPMG LLP dated March 26,
2009 (filed herein).  Regulation S-K
  (a)
    Exhibit - 31.1 -
    Rule 13a-14(a)/15d-14(a)
    Certification (Certification of President and Director)  Rule 13a-14(a)/15d-14(a)
     32




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##### Table of Contents



SIGNATURES
  st
     By:
    /s/  Citigroup
    Managed Futures LLC    By:
    /s/  Jerry
    Pascucci  
  
  /s/  Jerry
    PascucciJerry
    Pascucci
    President and Director

/s/  Shelley Deavitt
    UllmanShelley Deavitt
    Ullman
    Executive Director/s/  Jennifer
    MagroJennifer
    Magro
    Chief Financial Officer and
    Director

/s/  Ihor
    RakowskyIhor
    Rakowsky
    Secretary and Director/s/  Steve
    CiampiSteve
    Ciampi
    Director

/s/  Daryl
    DewbreyDaryl
    Dewbrey
    Director/s/  Raymond
    NolteRaymond
    Nolte
    Director 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.
      33