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, 2001

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]

As of February 28, 2002,  Limited  Partnership  Units with an aggregate value of
$141,285,344 were outstanding and held by non-affiliates.


                       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,
2001,  2000 and 1999 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


                                       2
<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, 2001, the Partnership  owns 94.5% 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  effected 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.


                                       3
<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


                                       4
<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


                                       5
<PAGE>

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.
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, 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, 2001, was $134,887,821.

         (c) Narrative description of business.

         See Paragraphs (a) and (b) above.
         (i) through (x) - Not applicable.
         (xi) 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.


                                       6
<PAGE>

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
Barney Holdings Inc.  ("SSBH") 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 September 1992,  Harris Trust and Savings Bank (as trustee for Ameritech
Pension Trust ("APT"), Ameritech Corporation,  and an officer of Ameritech filed
suit  against  Salomon   Brothers  Inc.  ("SBI")  and  Salomon  Brothers  Realty
Corporation  ("SBRC")  in  the  U.S. District Court for the Northern District of


                                       7
<PAGE>

Illinois  (Harris Trust Savings Bank, not individually but solely as trustee for
the Ameritech  Pension  Trust,  Ameritech  Corporation  and John A. Edwardson v.
Salomon  Brothers Inc and Salomon  Brothers  Realty  Corp.).  The second amended
complaint  alleges that three purchases by APT from defendants of  participation
interests  in net cash flow or resale  proceeds  of three  portfolios  of motels
owned by Motels of America, Inc. ("MOA"), as well as a fourth purchase by APT of
a similar  participation  interest in a portfolio  of motels owned by Best Inns,
Inc. ("Best"),  violated the Employee  Retirement Income Security Act ("ERISA"),
and  that  APT's  purchase  of the  participation  interests  in the  third  MOA
portfolio  and in the Best  portfolio  violated  the  Racketeer  Influenced  and
Corrupt  Organization Act ("RICO") and the Illinois Consumer Fraud and Deceptive
Practices  Act  ("Consumer  Fraud  Act"),  and  constituted   fraud,   negligent
misrepresentation,  breach of contract and unjust  enrichment.  SBI had acquired
the participation interests when it purchased principal mortgage notes issued by
MOA and Best to finance  purchases  of motel  portfolios;  95% of three of those
interests  and 100% of the fourth were sold to APT for a total of  approximately
$20.9 million.  Plaintiffs'  second amended  complaint seeks judgment (a) on the
ERISA claims for the approximately  $20.9 million purchase price, for rescission
and for  disgorgement of profits,  as well as other relief,  and (b) on the RICO
and state law claims in the amount of $12.3 million, with damages trebled to $37
million on the RICO  claims  and  punitive  damages in excess of $37  million on
certain of the state law claims as well as other relief.


                                       8
<PAGE>

Following  motions by defendants,  the court dismissed the RICO,  Consumer Fraud
Act,  fraud,  negligent  misrepresentation,   breach  of  contract,  and  unjust
enrichment  claims.  The  court  also  found  that  defendants  were  not  ERISA
fiduciaries  and  dismissed  two of the three claims  based on that  allegation.
Defendants moved for summary judgment on plaintiffs' only remaining claim, which
alleged an ERISA violation.  The motion was denied,  and defendants  appealed to
the U.S. Court of Appeals for the Seventh Circuit. In July 1999, the U. S. Court
of Appeals for the Seventh Circuit reversed the denial of defendants' motion for
summary  judgment  and  dismissed  the sole  remaining  ERISA claim  against the
Company. Plaintiffs filed a petition for certiorari with the U. S. Supreme Court
seeking  review of the  decision of the Court of  Appeals,  which was granted in
January 2000.  After hearing oral argument,  on June 12, 2000, the U.S.  Supreme
Court  reversed the U.S.  Court of Appeals for the Seventh  Circuit's  judgment,
which had overturned the denial of defendants'  motion for summary  judgment and
dismissed the sole remaining  ERISA claim against the Company,  and remanded the
matter to the circuit court for further proceedings.  Subsequently,  the circuit
court remanded the matter to the U.S.  District Court for the Northern  District
of Illinois for further proceedings.

     Both the Department of Labor and the Internal  Revenue Service ("IRS") have
advised SBI that they were or are reviewing the  underlying  transactions.  With
respect to the IRS,  SSBH, SBI and SBRC have consented to extensions of time for
the  assessment  of  excise  taxes  that  may be  claimed  with  respect  to the
transactions  for the years 1987,  1988 and 1989.  In August 1996 , the IRS sent



                                       9
<PAGE>

SSBH,  SBI and SBRC what appeared to be draft  "30-day  letters" with respect to
the  transactions and SSBH, SBI and SBRC were given an opportunity to comment on
whether the IRS should issue 30-day letters,  which would actually  commence the
assessment  process.  In October 1996, SSBH, SBI and SBRC submitted a memorandum
setting  forth reasons why the IRS should not issue such 30-day  letters.  Since
that time, the IRS has not issued such 30-day letters to SSBH, SBI or SBRC.

     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 Count.  SSB and the remaining  brokerage  firms
settled with Orange County in mid 1999.

     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 IRS 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 the lawsuit.


                                       10
<PAGE>

In  November  1998,  a class  action  complaint  was filed in the United  States
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.  SSB
has asked the court to dismiss the 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. In September 2001, the
court approved the settlement.

     In connection with the Louisiana and Florida matters,  the IRS and SEC have
been  conducting  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.

     In December  1998,  SSB was one of  twenty-eight  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  allegation,  agreed to an order
that  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


                                       11
<PAGE>

and Rules 15cl -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.).  Plaintiffs  allege that while acting as their prime broker
SSB breached its contracts with  plaintiffs,  converted  plaintiffs'  monies and
engaged in tortious  conduct,  including  breaching  its  fiduciary  duties.  In
October 1999, the court dismissed plaintiffs' tort claims,  including the breach
of  fiduciary  duty claims,  but 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 plaintiffs' motion
to strike 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. Discovery is ongoing.

     SSBH 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  SSBH's  broker-dealer  subsidiaries  have been  named,  arising in the




                                       12
<PAGE>
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  SSBH'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 SSBH and its subsidiaries.

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, 2001, was 1,243.

          (c)  Distribution.  The  Partnership did not declare a distribution in
               2001 or 2000.

          (d)  Use of Proceeds.  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



                                       13
<PAGE>

               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  contributions
               by the General  Partner  representing  15.2588  Unit  equivalents
               totaling  $20,000.  For the period ended December 31, 1998, there
               were additional sales of 16,475.2559  Units totaling  $15,973,000
               and  contributions by the General Partner  representing  166.0550
               Unit equivalents totaling $161,000.

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


                                       14
<PAGE>



Item 6. Selected Financial Data. The Partnership commenced trading operations on
March 16, 1998. 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, 2001,  2000,  1999 and the period from March 16, 1998
(commencement  of trading  operations)  to December 31, 1998 and total assets at
December 31, 2001, 2000, 1999 and 1998 were as follows:

<TABLE>
<CAPTION>
<S>                                    <C>            <C>             <C>               <C>
                                        2001         2000             1999             1998
                                   ------------   -----------     -------------   -------------
Realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 of $3,892,417, $7,591,291,
 $12,587,354 and $5,527,260,
 respectively                      $ 35,724,000   $ 14,488,934    $ (4,677,441)   $ 14,675,192

Interest Income                       2,745,908      2,520,294       3,411,756       1,978,202
                                   ------------   ------------    ------------    ------------
                                   $ 38,469,908   $ 17,009,228    $ (1,265,685)   $ 16,653,394
                                   ============   ============    ============    ============
Net income (loss) before
 Special Allocation to
 Special Limited Partner           $ 36,115,307   $ 15,501,056    $ (3,236,003)   $ 15,401,913
Allocation to Special
 Limited Partner                   $  6,669,865   $  1,831,884         $     -    $  2,699,932
                                   ------------   ------------    ------------    ------------
Net income (loss) available
 for pro rata distribution
 to Partners                       $ 29,445,442   $ 13,669,172    $ (3,236,003)   $ 12,701,981
                                   ============   ============    ============    ============
Increase (decrease) in
 Net  Asset Value per Unit         $     489.01   $     272.65    $     (48.76)   $     184.33
                                   ============   ============    ============    ============
Total assets                       $144,011,712   $ 95,783,289    $ 86,241,742    $ 84,035,617
                                   ============   ============    ============    ============
</TABLE>


                                       15
<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.



                                       16
<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  purchases 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 contracts.

     The Partnership and 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




                                       17
<PAGE>

instruments  including  market and credit risk. The General Partner 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.  (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  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




                                       18
<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.  In addition, 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,  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.  For the year ended December 31, 1999, there were
additional  sales of 2,558.8989 Units totaling  $3,354,000 and  contributions by
the General Partner representing 15.2588 Unit equivalents totaling $20,000.

     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  days  notice  to the
General  Partner.  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.  For the year ended
December 31, 1999, 2,177.4358 Units were redeemed totaling $2,858,982.



                                       19
<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, 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. For the year ended December 31, 1999 the Net Asset Value
Per Unit decreased 4.1% from $1,184.33 to $1,135.57.

     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
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,



                                       20
<PAGE>

NYMEX Heating Oil and energy swaps and were partially  offset by losses in NYMEX
Unleaded Gas and IPE Gas Oil and Brent Crude.

     The  Partnership   experienced  net  trading  gains  of  $7,909,913  before
commissions  and  expenses  for the year ended  December  31,  1999.  Gains were
primarily  attributable to the trading of NYMEX Electricity,  NYMEX Natural Gas,
NYMEX  Crude  Oil and IPE Gas Oil and were  partially  offset by losses in NYMEX
Unleaded  Gas,  NYMEX  Heating Oil,  IPE Brent  Crude,  CME GSC Index and energy
swaps.

     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 existence of major price trends and the ability of the Advisor to
identify  those price trends  correctly.  Price trends 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 market  trends  exist and the Advisor is able to identify  them,
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




                                       21
<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
financial  systems and controls.  Strong  financial  systems and controls ensure



                                       22
<PAGE>

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.

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
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



                                       23
<PAGE>

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
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).



                                       24
<PAGE>

     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
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.



                                       25
<PAGE>

     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.

     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.



                                       26
<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, 2001.  All open
position  trading risk exposures of the Master have been included in calculating
the figures set forth  below.  As of  December  31,  2001,  the  Master'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>




                                       27
<PAGE>



The following  table  indicates the trading  Value at risk  associated  with the
Partnership's  open positions by market  category as of December 31, 2000. As of
December 31, 2000, the Partnership's total capitalization was $74,326,664.

<TABLE>
<CAPTION>
                                December 31, 2000
<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          $ 4,708,717       6.34%         $16,360,644        $3,346,961
Energy Swaps      6,991,928       9.40%
                -----------      -----
Total           $11,700,645      15.74%
                ===========      =====
</TABLE>







                                       28
<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



                                       29
<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, 2001, 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




                                       30
<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.


                                       31
<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.


                                       32
<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.





                                       33
<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

     Financial Statements:
     Statement of Financial Condition
     at December 31, 2001 and 2000.                        F-4

     Statement of Income and Expenses
     For the years ended December 31,
     2001, 2000 and 1999.                                  F-5

     Statement of Partners' Capital
     for the years ended December 31,
     2001, 2000 and 1999.                                  F-6

     Notes to Financial Statements.                     F-7 - F-11

     Financial Statements of the SB AAA
     Master Fund LLC
     Oath or Affirmation.                                 F-12

     Report of Independent Accountants.                   F-13

     Statement of Financial Condition at
     December 31, 2001.                                   F-14

     Condensed Schedule of Investments at
     December 31, 2001                                    F-15

     Statement of Income and Expenses for the
     period September 1, 2001 (commencement of
     trading operations) to December 31, 2001             F-16

     Statement of Members' Capital for the
     period September 1, 2001 (commencement of
     trading operations) to December 31, 2001             F-17

     Notes to Financial Statements.                    F-18 - F-21



                                       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:  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 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 2000 and the results of its operations
for each of the three 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-3

<PAGE>



                                Smith Barney AAA
                                Energy Fund L.P.
                        Statement of Financial Condition
                           December 31, 2001 and 2000

<TABLE>
<CAPTION>
                                                                       December 31,   December 31,
                                                                           2001          2000
<S>                                                                        <C>              <C>

      Assets:
      Investment in Master, at fair value                             $143,835,729   $         --
      Cash, in commodity futures trading account                            11,680     20,958,126
      Net unrealized depreciation on open positions, in commodity
        futures trading account                                                 --    (13,615,408)
      Net unrealized depreciation on open swaps contracts, in
        commodity futures trading account                                       --       (231,661)
      Commodity options owned, at market value (cost $0
        and $21,531,952, respectively), in commodity futures
        trading account                                                         --     79,038,621
                                                                      ------------   ------------
                                                                       143,847,409     86,149,678
      Due from brokers                                                          --      9,617,028
      Interest receivable                                                  164,303         16,583
                                                                      ------------   ------------
                                                                      $144,011,712   $ 95,783,289
                                                                      ============   ============


      Liabilities and Partners' Capital:
      Liabilities:
        Commodity options written, at fair value
         (premium received $0 and $8,255,382, respectively)           $         --   $ 12,063,964
        Accrued expenses:
         Commissions                                                       519,842        335,187
         Management fees                                                   243,694        132,182
         Professional fees                                                  20,302         58,534
         Other                                                               6,791         14,035
        Due to brokers                                                          --      4,937,803
        Due to SSB                                                              --        343,968
        Redemptions payable (Note 5)                                     8,333,262      3,570,952
                                                                      ------------   ------------
                                                                         9,123,891     21,456,625
                                                                      ------------   ------------
      Partners' capital (Notes 1, 5 and 7):
        General Partner, 913.9790 and 704.3292 Unit equivalents
         outstanding in 2001 and 2000, respectively                      1,734,028        991,850
        Limited Partners, 70,183.3406 and 50,775.3901 Units of
         Limited Partnership Interest outstanding in 2001 and 2000,
         respectively                                                  133,153,793     71,502,930
        Special Limited Partner, 0 and 1,300.8510 Units of Limited
         Partnership Interest outstanding in 2001 and 2000,
         respectively                                                           --      1,831,884
                                                                      ------------   ------------
                                                                       134,887,821     74,326,664
                                                                      ------------   ------------
                                                                      $144,011,712   $ 95,783,289
                                                                      ============   ============
</TABLE>



See notes to financial statements.

                                      F-4
<PAGE>


                                Smith Barney AAA
                                Energy Fund L.P.
                        Statement of Income and Expenses
              for the years ended December 31, 2001, 2000 and 1999

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

Income:
  Realized gains on closed positions from Master           $ 22,488,035     $         --    $         --
  Change in unrealized losses on open positions from
   Master                                                    (5,460,297)              --              --
  Income allocated from Master                                   20,077               --              --
  Expenses allocated from Master                             (2,885,462)              --              --
  Net gains (losses) on trading of commodity interests:
   Realized gains (losses) on closed positions               57,859,372*     (23,193,801)     20,438,146
   Change in unrealized gains (losses) on open positions    (32,405,308)*     45,274,026     (12,528,233)
                                                           ------------     ------------    ------------
                                                             39,616,417       22,080,225       7,909,913
  Less, Brokerage commissions including clearing
   fees of $637,145*, $1,024,792 and 1,574,467,
   respectively (Note 3c)                                    (3,892,417)      (7,591,291)    (12,587,354)
                                                           ------------     ------------    ------------
  Net realized and unrealized gains (losses)                 35,724,000       14,488,934      (4,677,441)
  Interest income (Notes 3c and 6)                            2,745,908        2,520,294       3,411,756
                                                           ------------     ------------    ------------
                                                             38,469,908       17,009,228      (1,265,685)
                                                           ------------     ------------    ------------
Expenses:
  Management fees (Note 3b)                                   2,197,448        1,365,960       1,820,154
  Professional fees                                              74,195          111,791         111,375
  Other expenses                                                 82,958           30,421          38,789
                                                           ------------     ------------    ------------
                                                              2,354,601        1,508,172       1,970,318
                                                           ------------     ------------    ------------
Net income (loss) before allocation to the Special
  Limited Partner                                            36,115,307       15,501,056      (3,236,003)
Allocation to the Special Limited Partner                     6,669,865        1,831,884              --
                                                           ------------     ------------    ------------
Net income (loss) available for pro rata distribution      $ 29,445,442     $ 13,669,172    $ (3,236,003)
                                                           ------------     ------------    ------------


Net income (loss) per Unit of Limited Partnership
  Interest and General Partner Unit equivalent (Notes 1
  and 7)                                                   $     489.01     $     272.65    $     (48.76)
                                                           ============     ============    ============
</TABLE>


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



See notes to financial statements.

                                      F-5
<PAGE>


                                Smith Barney AAA
                                Energy Fund L.P.
                         Statement of Partners' Capital
              for the years ended December 31, 2001, 2000 and 1999


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

Partners' capital at December 31, 1998              $  76,237,395    $   2,699,932    $     790,013    $  79,727,340
Sale of 2,558.8989 Units of Limited Partnership
   Interest and General Partner's contribution
   representing 15.2588 Unit equivalents                3,354,000               --           20,000        3,374,000
Redemption of 2,177.4358 Units of Limited
   Partnership Interest                                (2,858,982)              --               --       (2,858,982)
Redemption of 2,279.7128 Units of Special Limited
   Partnership Interest                                        --       (2,699,932)              --       (2,699,932)
Net loss available for pro rata distribution           (3,200,805)              --          (35,198)      (3,236,003)
                                                    -------------    -------------    -------------    -------------
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:
Allocation of 1,300.8510 Units of Limited
   Partnership Interest to the Special Limited                 --        1,831,884               --        1,831,884
   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 (Note 3b)                                           --        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
                                                    =============    =============    =============    =============
</TABLE>



See notes to financial statements.

                                      F-6
<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 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.

     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, 2001, the Partnership  owns 94.5% 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
     effected 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, 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 his 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; 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 Member's 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  (including
     derivative financial instruments and derivative commodity instruments) held

                                      F-7
<PAGE>

     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 gains  (losses) on trading of
     commodity interests.

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

  c. The  preparation  of  financial  statements  in conformity  with generally
     accepted  accounting  principles  requires management to make estimates and
     assumptions  that affect the reported  amounts of 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. 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.  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,  earned on behalf of the
     Partnership  during  each  calendar  year in the  form of  Special  Limited
     Partner Units.

   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 side for
     options. The brokerage fee was inclusive of applicable floor brokerage.  In
     addition,  the Partnership  paid SSB National Futures  Association  ("NFA")
     fees,  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

                                      F-8
<PAGE>

     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. At
     December  31,  2000,  the amount of cash held for margin  requirements  was
     $6,991,928.  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 activity are shown in the statement of income and expenses.

     The average fair value of the Partnership's  commodity interests during the
     year  ended  December  31,  2000,  based  on  a  monthly  calculation,  was
     $9,388,872. The fair value of these commodity interests,  including options
     and swaps thereon, if applicable, at December 31, 2000, was $53,127,588, as
     detailed below.

                          Fair Value
                       December 31, 2000

     Energy              $53,359,249
     Energy swaps           (231,661)
                          ----------
     Total               $53,127,588
                          ----------



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 his 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-9
<PAGE>



6.   Financial Highlights:

     Changes in the net asset  value per Unit of  Partnership  interest  for the
     years ended December 31, 2001, 2000 and 1999 were as follows:




<TABLE>
<CAPTION>
                                                             2001           2000           1999

<S>                                                          <C>             <C>           <C>
     Net realized and unrealized gains (losses)              $592.31        $290.47       $(70.95)
     Interest income                                           46.08          41.32         51.81
     Expenses                                                (149.38)        (59.14)       (29.62)
                                                          ----------     ----------    ----------
     Increase (decrease) for period                           489.01         272.65        (48.76)
     Net asset value per Unit, beginning of period          1,408.22       1,135.57      1,184.33
                                                          ----------     ----------    ----------
     Net asset value per Unit, end of period               $1,897.23      $1,408.22     $1,135.57
                                                          ==========      =========      ========


     Ratios to average net assets:
     Net income before incentive fee                           35.2%
     Incentive fee                                             (6.5)%
                                                               ----
     Net income after incentive fee                            28.7%
                                                               ====


     Operating expenses                                         8.9%
     Incentive fee                                              6.5%
                                                                ---
     Total expenses and incentive fee                          15.4%
                                                               ====


     Total return:
     Total return before incentive fee                         42.6%
     Incentive fee                                             (7.9)%
                                                               ----
     Total return after incentive fee                          34.7%
                                                               ====
</TABLE>



7.   Financial Instrument Risks:


     The Partnership and 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,  futures,  options  and  swaps,  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 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
     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 Partnership's/Master's  swap contracts
     are OTC contracts.

     Market  risk is the  potential  for  changes in the value of the  financial
     instruments  traded  by the  Partnership/  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.

                                      F-10
<PAGE>

     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  notional  or   contractual   amounts  of  these   instruments,   while
     appropriately not recorded in the financial statements,  reflect the extent
     of  the  Partnership's/Master's   involvement  in  these  instruments.  The
     majority of these instruments  mature within one year of December 31, 2001.
     However, due to the nature of the  Partnership's/Master's  business,  these
     instruments may not be held to maturity.

8.   Subsequent Events:

     On January 1, 2002,  there were additional  sales  representing  1,309.8043
     Units of Limited  Partnership  Interest totaling  $2,485,000 and on January
     31, 2002,  there were  additional  redemptions  of 110.5826  Units totaling
     $212,006.




                                      F-11

<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:    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-12
<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  of 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-13
<PAGE>



                             SB AAA Master Fund LLC
                        Statement of Financial Condition
                                December 31, 2001



<TABLE>
<CAPTION>
                                                                              2001
<S>                                                                           <C>
Assets:
  Equity in commodity futures trading account:
    Cash                                                                   $156,846,978
    Net unrealized appreciation on open futures positions                     1,084,800
    Net unrealized depreciation on open swaps positions                        (606,310)
    Commodity options owned, at fair value (cost $3,003,750)                  2,135,700
                                                                         --------------
                                                                            159,461,168
  Due from brokers                                                              481,935
  Interest receivable                                                             2,911
                                                                         --------------
                                                                           $159,946,014
                                                                           ============



Liabilities and Members' Capital:
  Liabilities:
   Commodity options written, at fair value
      (premium received $8,994,064)                                          $6,501,746
   Accrued expenses:
      Commissions                                                               261,717
      Professional fees                                                          38,000
   Due to brokers                                                               906,850
   Due to SSB                                                                    22,978
                                                                         --------------
                                                                              7,731,291
  Members' Capital:
    Members' Capital, 137,224.2994 Units outstanding                        152,214,723
                                                                         --------------
                                                                           $159,946,014
                                                                          =============
</TABLE>




See notes to financial statements.


                                      F-14
<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 States                      $(3,887,556)           100.00%
                                                      ===========           ======
</TABLE>


Percentages are based on Members' Capital unless otherwise indicated.

See notes to financial statements.

                                      F-15
<PAGE>


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


<TABLE>
<CAPTION>
                                                             2001
<S>                                                           <C>
Income:
  Net gains on trading of commodity interests:
   Realized gains on closed positions                    $23,522,245
   Change in unrealized losses
    on open positions                                     (5,652,277)
                                                        ------------
                                                          17,869,968
  Less, brokerage commissions including
   clearing fees of $361,342                              (2,992,446)
                                                        ------------
  Net realized and unrealized gains                       14,877,522
  Interest income                                             21,054
                                                        ------------
                                                          14,898,576

Expenses:
  Professional fees                                           38,000
                                                        ------------
                                                              38,000
Net income                                               $14,860,576
                                                          ==========
Net income per Unit of Member Interest                       $109.24
                                                           =========
</TABLE>

See notes to financial statements.


                                      F-16
<PAGE>


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




<TABLE>
<CAPTION>

                                                       Members'
                                                       Capital
<S>                                                      <C>
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
                                                      ===========
</TABLE>




See notes to financial statements.


                                      F-17
<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 Partnership may enter into swap contracts and energy related
     products.  The Master is authorized  to sell an unlimited  number 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.  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 and Orion  (collectively the "Feeder Funds") with
     94.5% and 5.5% investments in the Master, respectively.

     Smith  Barney  Futures  Management  LLC acts as the  managing  member  (the
     "Managing Member") of the Partnership.  The Partnership'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 Partnership 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 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 and
     foreign  currencies  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 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.

                                      F-18
<PAGE>

  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 member is individually liable
     for the taxes, if any, on his share of the Master's income and expenses.

  e. The  preparation  of  financial  statements in  conformity  with  generally
     accepted  accounting  principles  requires management to make estimates and
     assumptions  that affect the reported  amounts of 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. All exchange, clearing, user, give-up, floor brokerage and NFA
     fees are borne by the  Master.  All other fees 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,  2001,  the amount of cash held by the Master
     for margin requirements was $21,792,237. 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.

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
     activity 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 value during the period from  September 1, 2001
     (commencement  of trading  operations)  to December  31,  2001,  based on a
     monthly  calculation,  was  $(927,070).  The fair value of these  commodity
     interests,  including options thereon, if applicable,  at December 31, 2001
     was $(3,887,556).

                                      F-19
<PAGE>

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 his 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 period
     from September 1, 2001 (commencement of trading operations) to December 31,
     2001 were as follows:


<TABLE>
<CAPTION>
                                                                       2001

<S>                                                                   <C>
     Net realized and unrealized gains                                $109.36
     Interest income                                                     0.16
     Expenses                                                           (0.28)
                                                                   ----------
     Increase for period                                               109.24
     Net asset value per Unit, beginning of period                   1,000.00
                                                                   ----------
     Net asset value per Unit, end of period                        $1,109.24
                                                                     ========

     Total return                                                        10.9%
     Ratio of expenses, including brokerage commissions, to
      average net assets*                                                 6.5%
     Ration of net income to average net assets*                         31.7%
</TABLE>

    * Annualized

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 value is 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.


                                      F-20
<PAGE>

     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, 2001, 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, 2001, the Master owed Citibank, N.A. $503,780, 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  notional  or  contractual  amounts  of these  instruments,  while  not
     recorded in the  financial  statements,  reflect the extent of the Master's
     involvement in these instruments.  The majority of these instruments mature
     within one year of December  31,  2001.  However,  due to the nature of the
     Master's business, these instruments may not be held to maturity.

8.  Subsequent Event:

     On January 1, 2002,  there were additional  sales  representing  3,252.0230
     Units of Member Interest totaling $3,607,275 and on January 31, 2002, there
     were  additional  redemptions   representing  7,846.0367  Units  of  Member
     Interest totaling $8,703,140.


                                      F-21






<PAGE>






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

     During the last two fiscal  years and any  subsequent  interim  period,  no
independent  accountant who was engaged as the principal accountant to audit the
Partnership's financial statements has resigned or was dismissed.

                                    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.

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, 2001, SSB earned $6,741,866 in
brokerage  commissions  and clearing fees from the  Partnership  and through the
Partnership's  investment  in the  Master.  The  Advisor  earned  $2,197,448  in
management fees during 2001.



                                       34
<PAGE>



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, 2001.

Principals who own Units of the Partnership:
David J. Vogel                              75 Units
Daniel R. McAuliffe, Jr.               10.3165 Units

     (c). Changes in control. None.

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."

                                     PART IV

Item 14. Exhibits, Financial Statement Schedules, and Reports on Form 8-K.

               (a)  (1) Financial  Statements:  Statement of Financial Condition
                        at December 31, 2001 and 2000.



                                       35
<PAGE>




                    Statement  of  Income  and  Expenses  for  the  years  ended
                    December 31, 2001, 2000 and 1999.

                    Statement of Partners'  Capital for the years ended December
                    31, 2001, 2000 and 1999.

               (2)  Financial Statement  Schedules:  Financial Data Schedule for
                    year ended December 31, 2001.

               (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).


                                       36
<PAGE>



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

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



                                       37
<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



                                       38
<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 29th day
of March 2002.


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


                                       39