10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For The Quarterly Period Ended June 30, 2009

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from            to           

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 Citigroup Managed Futures LLC
55 E. 59^th Street – 10^th Floor
New York, New York 10022

(Address of principal executive offices) (Zip Code)

(212) 559-2011

(Registrant’s telephone number, including area code)

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 whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes    No  

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer __ Accelerated filer __ Non-accelerated filer   X Smaller reporting company __ 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes   No X

As of July 31, 2009, 26,242.2565 Limited Partnership Redeemable Units were outstanding.

SMITH BARNEY AAA ENERGY FUND L.P.

FORM 10-Q

INDEX

		Page
		Number
PART I - Financial Information:
Item 1.	Financial Statements:
	Statements of Financial Condition at June 30, 2009 and December 31, 2008 (unaudited)	3
	Statements of Income and Expenses and Partners’ Capital for the three and six months ended June 30, 2009 and 2008 (unaudited)	4
	Notes to Financial Statements, including the Financial Statements of Citigroup AAA Master Fund LLC (unaudited)	5 – 15
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	16 – 19
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	20
Item 4T.	Controls and Procedures	21
PART II - Other Information		22 – 25
Exhibits
EX-10 JOINDER AGREEMENT
EX-31.1 CERTIFICATION
EX-31.2 CERTIFICATION
EX-32.1 CERTIFICATION
EX-32.2 CERTIFICATION

2

PART I

Item 1. Financial Statements

Smith Barney AAA Energy Fund L.P.
Statements of Financial Condition

(Unaudited)

	June 30,		December 31,
	2009		2008
Assets:
Investment in Master, at fair value	$	295,585,986	$	310,396,043
Cash		160,659		163,730
Total assets	$	295,746,645	$	310,559,773
Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage commissions	$	1,362,646	$	1,371,845
Management fees		490,392		515,036
Other		148,518		166,489
Redemptions payable		355,109		6,705,722
Total liabilities		2,356,665		8,759,092
Partners’ Capital:
General Partner, 830.6049 Unit equivalents outstanding at June 30, 2009 and December 31, 2008		8,993,026		8,554,400
Special Limited Partner, 201.9485 and 1,035.1345 Redeemable Units of Limited Partnership Interest outstanding at June 30, 2009 and December 31, 2008, respectively		2,186,513		10,660,850
Limited Partners, 26,065.2280 and 27,438.1447 Redeemable Units of Limited Partnership Interest outstanding at June 30, 2009 and December 31, 2008, respectively		282,210,441		282,585,431
Total partners’ capital		293,389,980		301,800,681
Total liabilities and partners’ capital	$	295,746,645	$	310,559,773

See accompanying notes to financial statements.

3

Smith Barney AAA Energy Fund L.P.
Statements of Income and Expenses and Partners’ Capital
(Unaudited)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Income:
Net realized gains (losses) on closed positions allocated from Master	$	136,989,236		$	(23,787,868	)	$	150,625,015		$	(37,564,605	)
Change in net unrealized gains (losses) on open positions allocated from Master		(134,099,529	)		63,117,654			(126,289,546	)		86,144,709
Interest income allocated from Master		42,190			146,001			88,054			755,964
Expenses allocated from Master		(211,496	)		(246,591	)		(415,010	)		(456,298	)
Total income (loss)		2,720,401			39,229,196			24,008,513			48,879,770
Expenses:
Brokerage commissions		784,714			1,235,739			1,543,380			2,199,151
Management fees		1,506,451			1,281,286			3,059,567			2,480,571
Other		68,725			63,969			138,483			127,317
Total expenses		2,359,890			2,580,994			4,741,430			4,807,039
Net income (loss) before allocation to Special Limited Partner		360,511			36,648,202			19,267,083			44,072,731
Allocation to Special Limited Partner		(63,664	)		(7,300,440	)		(3,835,806	)		(8,667,127	)
Net income (loss) after allocation to Special Limited Partner		296,847			29,347,762			15,431,277			35,405,604
Additions — Special Limited Partner		63,664			7,300,440			3,835,806			8,667,127
Redemptions — Special Limited Partner		(12,999,014	)		—			(12,999,014	)		—
Redemptions — Limited Partners		(3,239,204	)		(12,995,671	)		(14,678,770	)		(26,082,260	)
Net increase (decrease) in Partners’ Capital		(15,877,707	)		23,652,531			(8,410,701	)		17,990,471
Partners’ Capital, beginning of period		309,267,687			233,678,983			301,800,681			239,341,043
Partners’ Capital, end of period	$	293,389,980		$	257,331,514		$	293,389,980		$	257,331,514
Net Asset Value per Unit (27,097.7814 and 31,527.4822 Units outstanding at June 30, 2009 and 2008, respectively)	$	10,827.08		$	8,162.13		$	10,827.08		$	8,162.13
Net income (loss) per Redeemable Units of Limited Partnership Interest and General Partner Unit Equivalents	$	4.69		$	920.42		$	528.08		$	1,102.92

See accompanying notes to financial statements.

4

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

1.   General:

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 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, through its investment in the Master (defined herein), may trade commodity futures and options contracts of any kind. In addition, the Partnership, through its investment in the Master, may enter into swap contracts on energy related products. During the initial offering period (February 12, 1998 through March 15, 1998), the Partnership sold 49,538 redeemable units of Limited Partnership Interest (“Redeemable Units”). The Partnership commenced trading on March 16, 1998. From March 16, 1998 to August 31, 2001, the Partnership engaged directly in the speculative trading of a diversified portfolio of commodity interests.

Citigroup Managed Futures LLC, a Delaware Limited Liability Company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. Through July 31, 2009, the General Partner was wholly owned by Citigroup Global Markets Holdings Inc. (“CGMHI”), a wholly owned subsidiary of Citigroup Inc. (“Citigroup”). On July 31, 2009, the General Partner was transferred from CGMHI to Morgan Stanley Smith Barney Holdings LLC, as further described in Item 5, “Other Information.”

Citigroup Global Markets Inc. (“CGM”) is the commodity broker and a selling agent for the Partnership. CGM is an affiliate of the General Partner and is wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of CGMHI.

On September 1, 2001, the Partnership allocated substantially all of its capital to the Citigroup AAA Master Fund LLC, (formerly known as SB AAA Master Fund LLC), a New York Limited Liability Company (the “Master”). The Partnership purchased 128,539.1485 units of the Master with a fair value of $128,539,149 (including unrealized appreciation of $7,323,329). The Master was formed in order to permit commodity pools managed now or in the future by AAA Capital Management Advisors, Ltd. (successor to AAA Capital Management, Inc.) (the “Advisor”) using the Energy Program—Futures and Swaps, the Advisor’s proprietary trading program, to invest together in one trading vehicle. In addition, the Advisor is a special limited partner (the “Special Limited Partner”) of the Partnership. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected. The Master’s commodity broker is CGM and its managing member is CMF. The Master may trade commodity futures and options contracts of any kind, but trades solely energy, energy-related products and grains. In addition, the Master may enter into swap contracts or trade in energy-related products. The commodity interests that are traded by the Master are volatile and involve a high degree of market risk.

At June 30, 2009, the Partnership owned approximately 22.8% of the Master. At December 31, 2008, the Partnership owned approximately 23.2%, of the Master. It is the Partnership’s intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s Statements of Financial Condition, including Schedules of Investments and Statements of Income and Expenses and Members’ Capital are included herein.

The General Partner and each Limited Partner share in the profits and losses of the Partnership, after the allocation to the Special Limited Partner (defined herein), in proportion to the amount of partnership interest owned by each except that no Limited Partner shall be liable for obligations of the Partnership in excess of its initial capital contribution and profits, if any, net of distributions.

The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at June 30, 2009 and December 31, 2008 and the results of its operations for the three and six months ended June 30, 2009 and 2008. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2008.

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the Partnership’s Statements of Financial Condition through August 14, 2009, which is the date the financial statements were issued. As a result, actual results could differ from these estimates.

     The Partnership has elected not to provide a Statement of Cash Flows as permitted by Statement of Financial Accounting Standards No. 102 “Statement of Cash Flows-Exemption of Certain Enterprises and Classification of Cash Flows from Certain Securities Acquired for Resale” (“FAS 102”).

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

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

5

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

The Master’s Statements of Financial Condition and Schedules of Investments as of June 30, 2009 and December 31, 2008 and Statements of Income and Expenses and Members’ Capital for the three and six months ended June 30, 2009 and 2008 are presented below:

Citigroup AAA Master Fund LLC
Statements of Financial Condition
(Unaudited)

	June 30,		December 31,
	2009		2008
Assets:
Equity in trading account:
Cash	$	980,259,799	$	696,338,412
Cash margin		110,238,070		90,640,874
Net unrealized appreciation on open futures and exchange cleared swap contracts		—		268,819,884
Options owned, at fair value (cost $935,750,483 and $867,124,483, respectively)		727,859,274		906,666,577
		1,818,357,143		1,962,465,747
Due from brokers		—		518,950
Total assets	$	1,818,357,143	$	1,962,984,697
Liabilities and Members’ Capital:
Liabilities:
Net unrealized depreciation on open futures and exchange cleared swap contracts	$	156,262,877	$	—
Options written, at fair value (premium $465,823,950 and $600,446,669, respectively)		364,438,153		624,018,932
Accrued expenses:
Professional fees		361,416		334,666
Total liabilities		521,062,446		624,353,598
Members’ Capital:
Members’ Capital, 135,316.1386 and 150,805.9242 Units outstanding at June 30, 2009 and December 31, 2008, respectively		1,297,294,697		1,338,631,099
Total liabilities and members’ capital	$	1,818,357,143	$	1,962,984,697

6

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

Citigroup AAA Master Fund LLC
Schedule of Investments
June 30, 2009
(Unaudited)

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange Cleared Swap Contracts Purchased
Energy
NYMEX Heating Oil Oct 09 - Dec 11		5,380	$	(106,514,213	)		(8.21	)%
NYMEX WTI Financial Dec 09 - Dec 16		4,543		(110,530,580	)		(8.52	)
Other		63,641		(58,046,189	)		(4.47	)
Total futures and exchange cleared swap contracts purchased				(275,090,982	)		(21.20	)
Futures and Exchange Cleared Swap Contracts Sold
Energy
NYMEX HH Gas Swap Aug 09 - Dec 14		30,611		82,047,360			6.32
NYMEX HH Natural Gas Dec 09 - Dec 14		7,574		69,939,986			5.39
Other		29,089		(33,159,241	)		(2.56	)
Total futures and exchange cleared swap contracts sold				118,828,105			9.15
Options Owned
Energy
NYMEX Crude Oil E Aug 09 - Dec 16		20,616		208,038,220			16.04
NYMEX LT Crude Oil Aug 09 - Dec 13		16,388		127,302,890			9.81
NYMEX Natural Gas E Aug 09 - Oct 14		42,530		302,414,444			23.31
Other		21,905		90,103,720			6.95
Total options owned				727,859,274			56.11
Options Written
Energy
NYMEX LT Crude Oil Aug 09 - Dec 12		18,763		(110,836,220	)		(8.54	)
NYMEX Natural Gas E Aug 09 - Oct 14		26,332		(119,604,500	)		(9.22	)
Other		25,896		(133,997,433	)		(10.33	)
Total options written				(364,438,153	)		(28.09	)
Total fair value			$	207,158,244			15.97	%

7

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

Citigroup AAA Master Fund LLC
Schedule of Investments
December 31, 2008
(Unaudited)

	Number of					% of Members’
	Contracts		Fair Value			Capital
Futures and Exchange Cleared Swap Contracts Purchased
Energy
NYMEX Heating Oil Feb 09 – Aug 11		8,011	$	(441,745,130	)		(33.00	)%
NYMEX HH N Gas Swap Feb 09 – Dec 14		18,654		(89,160,340	)		(6.66	)
NYMEX LS Crude Oil Feb 09 – Dec 12		11,641		(129,427,041	)		(9.67	)
NYMEX Natural Gas May 09 – Dec 13		8,255		(139,708,500	)		(10.44	)
NYMEX NYH RBOB Gas Feb 09 – Dec 11		4,404		(119,810,053	)		(8.95	)
NYMEX WTI Financial Jun 09 – Dec 16		4,936		(209,218,410	)		(15.63	)
Other		16,316		(151,807,029	)		(11.34	)
Total futures and exchange cleared swap contracts purchased				(1,280,876,503	)		(95.69	)
Futures and Exchange Cleared Swap Contracts Sold
Energy
IPE Brent Crude Oil Mar 09 – Dec 14		4,692		121,030,070			9.04
IPE Gas Oil Jan 09 – Jun 11		11,819		535,126,020			39.98
NYMEX Heating Oil Feb 09 – Dec 11		3,501		166,705,095			12.45
NYMEX HH N Gas Swap Mar 09 – Dec 12		29,532		155,897,847			11.65
NYMEX Natural Gas Feb 09 – Dec 14		13,299		260,526,256			19.46
NYMEX NYH RBOB Gas Apr 09 – Apr 10		3,293		137,456,648			10.27
Other		16,695		172,954,451			12.92
Total futures and exchange cleared swap contracts sold				1,549,696,387			115.77
Options Owned
Energy
NYMEX Brent Crude EP Jun 09 – Dec 10		2,533		73,938,930			5.52
NYMEX Crude EP Mar 09 – Dec 16		11,958		253,787,240			18.96
NYMEX LS Crude Oil P Feb 09 – Dec 12		6,383		205,040,500			15.32
NYMEX Natural Gas EC Feb 09 – May 14		28,842		164,736,675			12.31
NYMEX Natural Gas EP Mar 09 – Mar 11		4,433		70,822,470			5.29
Other		25,417		138,340,762			10.33
Total options owned				906,666,577			67.73
Options Written
Energy
NYMEX LS Crude Oil P Feb 09 – Dec 12		6,493		(131,792,570	)		(9.84	)
NYMEX Natural Gas EP Feb 09 – May 11		6,340		(209,214,966	)		(15.63	)
Other		56,413		(283,011,396	)		(21.14	)
Total options written				(624,018,932	)		(46.61	)
Total fair value			$	551,467,529			41.20	%

8

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

Citigroup AAA Master Fund LLC
Statements of Income and Expenses and Members’ Capital
(Unaudited)

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Income:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts	$	595,784,413		$	(99,509,226	)	$	651,081,333		$	(156,630,223	)
Change in net unrealized gains (losses) on open contracts		(583,657,445	)		263,468,933			(547,558,004	)		358,850,486
Gain (loss) from trading, net		12,126,968			163,959,707			103,523,329			202,220,263
Interest income		195,232			641,551			402,818			3,300,053
Total income (loss)		12,322,200			164,601,258			103,926,147			205,520,316
Expenses:
Clearing fees		744,041			815,309			1,434,130			1,547,189
Professional fees		176,910			212,803			354,285			348,803
Total expenses		920,951			1,028,112			1,788,415			1,895,992
Net income (loss)		11,401,249			163,573,146			102,137,732			203,624,324
Additions		56,890,013			39,657,908			112,639,044			54,398,042
Redemptions		(121,659,829	)		(86,032,294	)		(255,710,360	)		(141,674,303	)
Distribution of interest income to feeder funds		(195,232	)		(633,607	)		(402,818	)		(3,280,069	)
Net increase (decrease) in Members Capital		(53,563,799	)		116,565,153			(41,336,402	)		113,067,994
Members’ Capital, beginning of period		1,350,858,496			995,956,377			1,338,631,099			999,453,536
Members’ Capital, end of period	$	1,297,294,697		$	1,112,521,530		$	1,297,294,697		$	1,112,521,530
Net Asset Value per Unit (135,316.1386 and 169,286.3660 Units outstanding at June 30, 2009 and 2008, respectively)	$	9,587.14		$	6,571.83		$	9,587.14		$	6,571.83
Net income (loss) per Unit of Member Interest	$	79.60		$	954.68		$	713.50		$	1,177.92

9

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

2.   Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three and six months ended June 30, 2009 and 2008 were as follows:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Net realized and unrealized gains (losses)*	$	62.42		$	1,188.68		$	772.28		$	1,432.81
Interest income		1.53			4.56			3.12			22.69
Expenses and allocation to Special Limited Partner**		(59.26	)		(272.82	)		(247.32	)		(352.58	)
Increase (decrease) for the period		4.69			920.42			528.08			1,102.92
Net Asset Value per Redeemable Unit, beginning of period		10,822.39			7,241.71			10,299.00			7,059.21
Net Asset Value per Redeemable Unit, end of period	$	10,827.08		$	8,162.13		$	10,827.08		$	8,162.13

*	Includes Partnership commissions and expenses allocated from the Master.
**	Excludes Partnership commissions, expenses allocated from the Master and includes allocation to Special Limited Partner in 2009 and 2008.

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Ratios to average net assets:***
Net investment income (loss) before allocation to Special Limited Partner****		(3.4	)%		(4.4	)%		(3.4	)%		(3.7	)%
Operating expenses		3.5	%		4.6	%		3.5	%		4.4	%
Allocation to Special Limited Partner		—	% *****		3.0	%		1.3	%		3.6	%
Total expenses and allocation to Special Limited Partner		3.5	%		7.6	%		4.8	%		8.0	%
Total return:
Total return before allocation to Special Limited Partner		0.1	%		15.9	%		6.5	%		19.5	%
Allocation to Special Limited Partner		(0.1	)%		(3.2	)%		(1.4	)%		(3.9	)%
Total return after allocation to Special Limited Partner		—	%		12.7	%		5.1	%		15.6	%

***	Annualized (except for allocation to Special Limited Partner, if applicable).
****	Interest income allocated from Master less total expenses (exclusive of allocation to Special Limited Partner, if applicable).
*****	Due to rounding.

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners’ share of income, expenses and average net assets.

10

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

Financial Highlights of the Master:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Net realized and unrealized gains (losses)*	$	79.46		$	952.19		$	713.16		$	1,161.58
Interest income		1.43			3.74			2.88			18.34
Expenses**		(1.29	)		(1.25	)		(2.54	)		(2.00	)
Increase (decrease) for the period		79.60			954.68			713.50			1,177.92
Distribution of interest income to feeder funds		(1.43	)		(3.69	)		(2.88	)		(18.23	)
Net Asset Value per Unit of Member Interest, beginning of period		9,508.97			5,620.84			8,876.52			5,412.14
Net Asset Value per Unit of Member Interest, end of period	$	9,587.14		$	6,571.83		$	9,587.14		$	6,571.83

*	Includes brokerage commissions
**	Excludes brokerage commissions

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2009			2008			2009			2008
Ratios to average net assets:***
Net investment income (losses)****		(0.2	)%		(0.1	)%		(0.2	)%		0.3	%
Operating expense		0.3	%		0.4	%		0.3	%		0.4	%
Total return		0.8	%		17.0	%		8.0	%		21.8	%

***	Annualized
****	Interest income less total expenses

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners’ share of income, expenses and average net assets.

11

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

3.   Trading Activities:

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

The customer agreement between the Partnership and CGM and the Master and CGM give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition as the criteria under Financial Accounting Standards Board (“FASB”) Interpretation No. 39, “Offsetting of Amounts Related to Certain Contracts” (“FIN No. 39”) have been met.

All of the commodity interests owned by the Master are held for trading purposes. The average fair values of these interests during the six and twelve months ended June 30, 2009 and December 31, 2008, based on a monthly calculation, were $423,903,425 and $599,179,234, respectively. The fair values of these commodity interests, including options and swaps thereon, if applicable, at June 30, 2009 and December 31, 2008 were $207,158,244 and $551,467,529, respectively. Fair values for exchange-traded commodity futures and options are based on quoted market prices for those futures and options. Fair values for all other financial instruments for which market quotations are not readily available are based on other measures of fair value deemed appropriate by the General Partner.

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

The Master adopted Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”) as of January 1, 2009 which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. FAS 161 only expands the disclosure requirements for derivative instruments and related hedging activities and has no impact on the Statements of Financial Condition or Statements of Income and Expenses and Members’ Capital. The contracts outstanding at the period ended June 30, 2009, are indicative of volume traded during the period. See the Schedule of Investments. The following table indicates the fair values of derivative instruments of futures and options contracts as separate assets and liabilities.

	June 30, 2009				June 30, 2009
Assets				Assets
Futures and Exchange Cleared Swap Contracts				Options Owned
Energy	$	467,077,035		Energy	$	727,859,274
Total unrealized appreciation on open futures and exchange cleared swap contracts	$	467,077,035		Options owned	$	727,859,274	**
Liabilities				Liabilities
Futures and Exchange Cleared Swap Contracts				Options Written
Energy	$	(623,339,912	)	Energy	$	(364,438,153	)
Total unrealized depreciation on open futures and exchange cleared swap contracts	$	(623,339,912	)	Options written	$	(364,438,153	)***
Net unrealized depreciation on open futures and exchange cleared swap contracts	$	(156,262,877	)*

*	This amount is included in “Net unrealized depreciation on open futures and exchange cleared swap contracts” on the Statements of Financial Condition.
**	This amount is included in “options owned, at fair value” on the Statements of Financial Condition.
***	This amount is included in “options written, at fair value” on the Statements of Financial Condition.

12

The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2009.

	Three Months Ended		Six Months Ended
	June 30, 2009		June 30, 2009
Sector	Gain (loss) from trading		Gain (loss) from trading
Energy	$	12,126,968	$	103,523,329
Total	$	12,126,968	$	103,523,329

Investments.  The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in note 2 of the Master’s notes to the annual financial statements as of December 31, 2008.

Fair Value Measurements.  The Partnership adopted Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS 157”) as of January 1, 2008 which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. SFAS 157 establishes a framework for measuring fair value and expands disclosures regarding fair value measurements in accordance with GAAP. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The Partnership did not apply the deferral allowed by FASB Staff Positions No. FAS 157-2, Effective Date of FASB Statement No. 157, for non financial assets and non financial liabilities measured at fair value on a nonrecurring basis.

The Partnership values investments in Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of June 30, 2009 and December 31, 2008, the Partnership did not directly hold any derivative instruments that are based on quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

			Quoted Prices in
			Active Markets for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	6/30/2009		(Level 1)		(Level 2)		(Level 3)
Assets
Investment in Master	$	295,585,986	$	—	$	295,585,986	$	—
Total fair value	$	295,585,986	$	—	$	295,585,986	$	—

			Quoted Prices in
			Active Markets for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	12/31/2008		(Level 1)		(Level 2)		(Level 3)
Assets
Investment in Master	$	310,396,043	$	—	$	310,396,043	$	—
Total fair value	$	310,396,043	$	—	$	310,396,043	$	—

13

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

Investments.  All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Members’ Capital.

Fair Value Measurements.  The Master adopted SFAS 157 as of January 1, 2008 which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. SFAS 157 establishes a framework for measuring fair value and expands disclosures regarding fair value measurements in accordance with GAAP. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. The Master did not apply the deferral allowed by FASB Staff Positions No. FAS 157-2, Effective Date of FASB Statement No. 157, for nonfinancial assets and liabilities measured at fair value on a nonrecurring basis.

The Master considers prices for exchange traded commodity futures, forwards and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of non exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available are, priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of June 30, 2009 and December 31, 2008, the Master did not hold any derivative instruments for which market quotations are not readily available are, priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

			Quoted Prices in
			Active Markets for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	6/30/2009		(Level 1)		(Level 2)		(Level 3)
Assets
Options owned	$	727,859,274	$	727,859,274	$	—	$	—
Total assets		727,859,274		727,859,274		—		—
Liabilities
Futures and Exchange Cleared Swaps	$	156,262,877	$	156,262,877	$	—	$	—
Options written		364,438,153		364,438,153		—		—
Total liabilites		520,701,030		520,701,030		—		—
Total fair value	$	207,158,244	$	207,158,244	$	—	$	—

			Quoted Prices in
			Active Markets for		Significant Other		Significant
			Identical Assets		Observable Inputs		Unobservable Inputs
	12/31/2008		(Level 1)		(Level 2)		(Level 3)
Assets
Futures	$	268,819,884	$	268,819,884	$	—	$	—
Options owned		906,666,577		906,666,577		—		—
Total assets		1,175,486,461		1,175,486,461		—		—
Liabilities
Options written	$	624,018,932	$	624,018,932	$	—	$	—
Total liabilites		624,018,932		624,018,932		—		—
Total fair value	$	551,467,529	$	551,467,529	$	—	$	—

14

Smith Barney AAA Energy Fund L.P.
Notes to Financial Statements
June 30, 2009
(Unaudited)

5.   Financial Instrument Risks:

     In the normal course of its business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, 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, 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 forwards and options contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. 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 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 by the Master. The Partnership/Master is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

      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. The Partnership’s/Master’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Partnership’s/Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit risk and concentration risk as the sole counterparty or broker with respect to the Partnership’s/Master’s assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s/Master
46;s counterparty is an exchange or clearing organization.

     The Advisor will concentrate the Partnership’s/Master’s trading in energy related markets. Concentration in a limited number of commodity interests may subject the Partnership’s/Master’s account to greater volatility than in if a more diversified portfolio of contracts were traded on behalf of the Partnership/ Master.

     As both a buyer and seller of options, the Partnership/Master pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Master to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Master does not consider these contracts to be guarantees as described in FASB Interpretation No. 45, “Guarantor’s Accounting and Disclosure Requirements for Guarantees” (“FIN 45”).

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

     The majority of these instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity.

15

Item 2.   Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Master and cash. The Master does not engage in the sale of goods or services. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such losses occurred during the second quarter of 2009.

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by its investment in the Master, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2009, Partnership capital decreased 2.8% from $301,800,681 to $293,389,980. This decrease was attributable to redemptions of 1,372.9167 Redeemable Units of Limited Partnership Interest resulting in an outflow of $14,678,770 and the redemption of 1,187.6159 Redeemable Units of Special Limited Partnership Interest totaling $12,999,014, which was partially offset by the net income from operations of $15,431,277, coupled with the addition of 354.4299 Redeemable Units of Special Limited Partnership Interest totaling $3,835,806. Future redemptions could impact the amount of funds available for investment in the Master in subsequent periods.

The Master’s capital consists of the capital contributions of the members as increased or decreased by realized and/or unrealized gains or losses on commodity futures trading, expenses, interest income, redemptions of Units and distributions of profits, if any.

For the six months ended June 30, 2009, the Master’s capital decreased 3.1% from $1,338,631,099 to $1,297,294,697. This decrease was attributable to the redemptions of 27,642.4322 Redeemable Units totaling $255,710,360 and distribution of interest income to feeder funds totaling $402,818 to the non-managing members of the Master, which was partially offset by net income from operations of $102,137,732, coupled with the addition of 12,152.6466 Redeemable Units totaling $112,639,044. Future redemptions can impact the amount of funds available for investments in commodity contract positions in subsequent periods.

Critical Accounting Policies

     Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

     Statement of Cash Flows. The Partnership has elected not to provide a Statement of Cash Flows as permitted by FAS 102.

     Investments. The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in note 2 of the Master’s notes to the annual financial statements as of December 31, 2008.

     Fair Value Measurements. The Partnership adopted SFAS 157 as of January 1, 2008 which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Partnership did not apply the deferral allowed by FASB Staff Positions No. FAS 157-2, Effective Date of FASB Statement No. 157, for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.

16

     The Partnership values investments in Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investments in the Master reflects its proportional interest in the Master. As of June 30, 2009, the Partnership did not hold any derivative instruments that are based on quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

     The Master considers prices for exchange traded commodity futures, forwards and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of non exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of June 30, 2009, the Master did not hold any derivative instruments for which market quotations are not readily available, are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).

     Futures Contracts. The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Members’ Capital.

     Options. The Master may purchase and write (sell), both exchange listed and over-the-counter, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Master writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Members’ Capital.

     Brokerage Commissions. Commission charges to open and close futures and exchange traded swap contracts are expensed at the time the positions are opened. Commission charges on option contracts are expensed at the time the position is established and when the option contract is closed.

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

     In 2007, the Partnership adopted FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has continued to evaluate the application of FIN 48 and has concluded that the adoption of FIN 48 had no impact on the operations of the Partnership for the six months ended June 30, 2009 and that no provision for income tax is required in the Partnership’s financial statements.

17

     The following are the major tax jurisdictions for the Partnership and the earliest tax year subject to examination: United States — 2005.

     Recent Accounting Pronouncements. In 2009, the Partnership adopted FSP FAS 157-4, “Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly” (“FSP”). The FSP reaffirms that fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The FSP also reaffirms the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The application of the FSP is required for interim and annual reporting periods ending after June 15, 2009. Management has concluded that based on available information in the marketplace, there has not been a decrease in the volume and level of activity in the Partnership’s Level 2 assets and liabilities. The adoption of the FSP had no effect on the Partnership’s Financial Statements.

      Subsequent Events. In 2009, the Partnership adopted FASB Statement of Accounting Standards No. 165, “Subsequent Events” (“SFAS 165”). The objective of SFAS 165 is to establish general standards of accounting for and disclosure of events that occur after the balance sheet date but before financial statements are issued or available to be issued.

Results of Operations

     During the Partnership’s second quarter of 2009, the Net Asset Value per Redeemable Unit increased 0.04% from $10,822.39 to $10,827.08 as compared to an increase of 12.7% in the same period of 2008. The Partnership, for its own account, through its investment in the Master experienced a net trading gain before brokerage commissions and related fees in the second quarter of 2009 of $2,889,707. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Energy Swaps, NYMEX Gasoline, NYMEX Heating Oil, Unleaded Gasoline and Brent Crude Oil and were partially offset by losses in NYMEX Crude Oil, NYMEX Natural Gas, IPE Gas Oil and RBOB Gasoline. The Partnership, for its own account through its investment in the Master experienced a net trading gain before brokerage commissions and related fees in the second quarter of 2008 of $39,329,786. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Energy Swaps, NYMEX Natural Gas, Unleaded Gasoline, IPE Gas Oil, Corn and OTC Energy Swaps, and were partially offset by losses in NYMEX Crude Oil, NYMEX Gasoline, NYMEX Heating Oil and Brent Crude Oil.

     The markets expressed a broad increase in risk tolerance during the second quarter as government programs encouraged the releveraging of the financial system. Equities and crude oil rose, while yield curves steepened and the U.S. dollar fell. The positive economic sentiment returned in April and spilled over into May as investors became increasingly convinced that the worst of the economic crisis was behind them. However, this optimism turned towards the end of the quarter due to some worse than expected economic data, fears about the lack of action by the European Central Bank and a lack of clarity in the economic environment.

     The Partnership recorded gains primarily in the refined products as prices rallied. In April, the Partnership realized modest gains evenly split between natural gas and petroleum. Performance in the natural gas book was mixed. April gains came from the Partnership’s long option/volatility positions and short winter/long summer spread positions along the forward gas curve. Profits were partially given back in May in both petroleum and natural gas. Losses in crude, distillate more than offset gains in the gasoline strategies. The Partnership achieved slight gains during June and finished the quarter with positive performance. In June, natural gas weighed down the overall portfolio. However, return in the petroleum book managed a slightly better than break even for the month. A closer look at petroleum trading reveals gains in the refined products, especially in distillate, driving the modest gains for the quarter.

     During the six months ended June 30, 2009, the Net Asset Value per Redeemable Unit increased 5.1% from $10,299.00 to $10,827.08 as compared to an increase of 15.6% in the same period of 2008. The Partnership, for its own account, through its investment in the Master experienced a net trading gain before brokerage commissions and related fees in the six months ended June 30, 2009 of $24,335,469. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Energy Swaps, NYMEX Gasoline, NYMEX Heating Oil, NYMEX Natural Gas, Unleaded Gasoline and Brent Crude Oil and were partially offset by losses in NYMEX Crude Oil, IPE Gas Oil and RBOB Gasoline. The Partnership, for its own account, through its investment in the Master experienced a net trading gain before brokerage commissions and related fees in the six months ended June 30, 2008 of $48,580,104. Gains were primarily attributable to the Master’s trading of commodity futures in NYMEX Energy Swaps, NYMEX Crude Oil, NYMEX Natural Gas, Unleaded Gasoline, IPE Gas Oil, Brent Crude Oil, Corn and OTC Energy Swaps, and were partially offset by losses in NYMEX Gasoline and NYMEX Heating Oil.

18

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

Brokerage commissions are based on the number of trades executed by the Advisor and the Partnership’s ownership percentage. Brokerage commissions and fees for the three and six months ended June 30, 2009 decreased by $451,025 and $655,771, respectively as compared to the corresponding periods in 2008. The decrease in commissions and fees is primarily due to a decrease in the number of trades during the three and six months ended June 30, 2009 as compared to the corresponding periods in 2008.

Interest income on 80% of the Partnership’s average daily equity allocated to it by the Master was earned at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days. CGM may continue to maintain the Master’s assets in cash and/or place all of the Master’s assets in 90-day Treasury bills and pay the Partnership its allocated shares of 80% of the interest earned on the Treasury bills purchased. CGM will retain 20% of any interest earned on Treasury bills purchased. Interest income allocated from the Master for the three and six months ended June 30, 2009 decreased by $103,811 and $667,910, respectively as compared to the corresponding periods in 2008. The decrease in interest income is primarily due to lower U.S. Treasury Bill rates for the Partnership during the three and six months ended June 30, 2009, as compared to the corresponding periods in 2008.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance and redemptions. Management fees for the three and six months ended June 30, 2009, increased by $225,165 and $578,996, respectively as compared to the corresponding periods in 2008. The increase in management fees is due to higher average net assets during the three and six months ended June 30, 2009, as compared to the corresponding periods in 2008.

Special Limited Partner profit share allocations (incentive fees) are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the advisory agreement between the Partnership, the General Partner and the Advisor. The profit share allocation accrued for the three and six months ended June 30, 2009 was $63,664 and $3,835,806, respectively. The profit share allocation accrued for the three and six months ended June 30, 2008 was $7,300,440 and $8,667,127, respectively.

19

Item 3.   Quantitative and Qualitative Disclosures about Market Risk

All of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. 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 capital is 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 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 value of financial instruments and contracts, the diversification results among the Master’s open positions and the liquidity of the markets in which the Master trades.

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

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

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 interval. 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.

The following table indicates the trading Value at Risk associated with the Master’s open positions by market category as of June 30, 2009 and the highest, lowest and average value during the three months ended June 30, 2009. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. As of June 30, 2009, the Master’s total capital was $1,297,294,697. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2008.

June 30, 2009
(Unaudited)

						Three Months Ended June 30, 2009
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Energy	$	147,468,039		11.37	%	$	207,597,990	$	4,405,231	$	133,166,548
Total	$	147,468,039		11.37	%

* Average monthly Values at Risk

20

Item 4T.   Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934 (the “Exchange Act”) is recorded, processed, summarized and reported within the time periods expected in the Commission’s rules and forms. Disclosed controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2009 and, based on that evaluation, the CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

•   pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

•   provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

•   provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended June 30, 2009 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

21

PART II. OTHER INFORMATION

Item 1.   Legal Proceedings

The following information supplements and amends our discussion set forth under Part I, Item 3 “Legal Proceedings” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2008, as updated by our Quarterly Report on Form 10-Q for the quarter ended March 31, 2009. There are no material legal proceedings pending against the Partnership or the General Partner.

Enron-Related Civil Actions

On May 14, 2009, a settlement agreement was executed among the parties in Acquisition Partners, L.P., et al. v. J.P. Morgan Chase & Co., et al., and Avenue Capital Management II, L.P., et al. v. J.P. Morgan Chase & Co., et al. On June 3, 2009, a settlement agreement was executed among the parties in UniCredito Italiano, SpA, et al. v. J.P. Morgan Chase Bank, et. al. The three actions, which were consolidated and pending trial in the United States District Court for the Southern District of New York, were brought against Citigroup and certain of its affiliates, including CGM) and JPMorgan Chase and certain of its affiliates, in their capacity as co-agents on certain Enron revolving credit facilities. Pursuant to the settlements, the cases were dismissed with prejudice.

Subprime Mortgage-Related Litigation

On May 7, 2009, Buckingham v. Citigroup Inc., et al. and Chen v. Citigroup Inc., et al. were consolidated with In re Citigroup Inc. Bond Litigation.

On May 11, 2009, a putative class action Asher, et al. v. Citigroup Inc., et al. was filed in the United States District Court for the Southern District of New York alleging violations of the Securities Act of 1933 in connection with plaintiffs’ investments in certain offerings of preferred stock issued by the Citigroup. On May 15, 2009, plaintiffs in In re Citigroup Inc. Bond Litigation requested that Asher, et al. v. Citigroup Inc., et al. and Pellegrini v. Citigroup Inc., et al. be consolidated with In re Citigroup Inc. Bond Litigation.

On May 20, 2009, Epirus Capital Management, LLC, et al. v. Citigroup Inc., et al. was designated as related to In re Citigroup Inc. Securities Litigation. On June 10 and June 24, 2009, defendants filed motions to dismiss the verified complaint.

Auction Rate Securities-Related Litigation

Securities Actions. On June 10, 2009, the Judicial Panel on Multidistrict Litigation granted CGM’s motion to transfer American Eagle Outfitters, Inc., et al. v. Citigroup Global Markets Inc. from the United States District Court for the Western District of Pennsylvania to the United States District Court for the Southern District of New York, where it will be coordinated with In re Citigroup Inc. Auction Rate Securities Litigation and Finn v. Smith Barney, et al. On June 17, 2009, the Judicial Panel on Multidistrict Litigation issued an order conditionally transferring three other individual auction rate securities actions pending against CGM in other federal courts to the United States District Court for the Southern District of New York. Plaintiffs in those actions have opposed their transfer.

On April 1, 2009, Texas Instruments Inc. v. Citigroup Global Markets Inc. et al. was filed in Texas state court asserting violations of state securities law by CGM, BNY Capital Markets, Inc. and Morgan Stanley & Co., Inc. Defendants removed the case to the United States District Court for the Northern District of Texas, and plaintiff has moved to have it remanded to state court. On May 8, 2009, CGM filed a motion to sever the claims against it from the claims against its co-defendants.

Governmental and Regulatory Actions. Citigroup and certain of its affiliates are subject to formal and informal investigations, as well as subpoenas and/or requests for information, from various governmental and self-regulatory agencies relating to auction rate securities. Citigroup and its affiliates are cooperating fully and are engaged in discussions on these matters.

Falcon and ASTA/MAT-Related Litigation

Marie Raymond Revocable Trust, et al. v. MAT Five LLC, et al. On June 19, 2009, the Delaware Supreme Court denied the appeal of the settlement objectors from the Delaware Chancery Court’s approval of the settlement of this matter and affirmed the order approving the settlement.

In re MAT Five Securities Litigation. On July 8, 2009, the United States District Court for the Southern District of New York approved the voluntary dismissal of this action.

ECA Acquisitions, Inc., et al. v. MAT Three LLC, et al. On May 1, 2009, the United States District Court for the Southern District of New York denied plaintiffs’ motion to remand this action to state court. On July 15, 2009, plaintiffs filed an amended complaint.

Zentner v. Citigroup, et al. (Putative class action concerning In re MAT Two Securities Litigation, In re MAT Three Securities Litigation and In re MAT Five Securities Litigation.) On July 8, 2009, the United States District Court for the Southern District of New York dismissed this action, without prejudice, in connection with the dismissal of In re MAT Five Securities Litigation.

Zentner v. Citigroup, et al. (Putative class action concerning Falcon Plus.) On May 19, 2009, the New York Supreme Court issued a letter order, stating that it would approve a settlement of plaintiff’s individual claims. Plaintiff filed a stipulation dismissing this action on July 6, 2009.

Other Matters

Underwriting Actions. In its capacity as a member of various underwriting syndicates, CGM has been named as a defendant in several subprime-related actions asserted against various issuers of debt and other securities. Most of these actions involve claims asserted on behalf of putative classes of purchasers of securities for alleged violations of Sections 11 and 12(a)(2) of the Securities Act of 1933.

American Home Mortgage. On July 7, 2009, lead plaintiffs filed a motion in In re American Home Mortgage Securities Litigation for preliminary approval of settlements reached with all defendants (including Citigroup and CGM).

American International Group. On March 20, 2009, four putative class actions were consolidated by the United States District Court for the Southern District of New York under the caption In re American International Group, Inc. 2008 Securities Litigation. Plaintiffs filed a consolidated amended complaint on May 19, 2009. These actions allege violations of Sections 11, 12, and 15 of the Securities Act of 1933 arising out of allegedly false and misleading statements contained in the registration statements and prospectuses issued in connection with offerings of American International Group debt securities and common stock, some of which were underwritten by CGM.

22

Item 1A.   Risk Factors

There are no material changes from the risk factors set forth under Part  I, Item 1A. “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2008 and under Part II, Item 1A. “Risk Factors” in our Quarterly Report on Form 10-Q for the quarter ended March 31, 2009.

Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds

The following chart sets forth the purchases of Redeemable Units by the Partnership.

These units were purchased by accredited investors as defined in Regulation D.

							(d) Maximum Number
							(or Approximate
					(c) Total Number		Dollar Value) of
					of Redeemable Units		Redeemable Units that
	(a) Total Number		(b) Average		Purchased as Part		May Yet Be
	of Redeemable Units		Price Paid per		of Publicly Announced		Purchased Under the
Period	Purchased*		Redeemable Unit**		Plans or Programs		Plans or Programs
April 1, 2009 – April 30, 2009		179.3501	$	10,945.47		N/A		N/A
May 1, 2009 – May 31, 2009		85.0000	$	10,835.58		N/A		N/A
June 1, 2009 – June 30, 2009		32.7982	$	10,827.08		N/A		N/A
		297.1483	$	10,900.97		N/A		N/A

23

* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of each month on 10 days’ notice to the General Partner. Under certain circumstances, the General Partner may compel redemption but to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for Limited Partners.

** Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per Redeemable Unit as of that day.

Item 3.   Defaults Upon Senior Securities – None

Item 4.   Submission of Matters to a Vote of Security Holders – None

Item 5.   Other Information

Morgan Stanley/Citigroup Joint Venture

On June 1, 2009, Morgan Stanley and Citigroup entered into a joint venture that combined Morgan Stanley’s Global Wealth Management Group and the Smith Barney division of CGM. The joint venture created Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings owns Morgan Stanley Smith Barney LLC (“MSSB”), a newly registered non-clearing futures commission merchant and a member of the National Futures Association. MSSB acts as an additional selling agent for the Partnership. As of July 31, 2009, Morgan Stanley, indirectly through various subsidiaries, owns 51% of MSSB Holdings, CGM directly owns 49% of MSSB Holdings, and Citigroup, indirectly through its intermediate subsidiaries, wholly owns CGM.

24

Item 6.   Exhibits

The exhibits required to be filed by Item 601 of Regulation S-K are incorporated herein by reference to the exhibit index of the Partnership’s Annual Report on Form 10-K for the period ended December 31, 2008 and quarterly report on Form 10-Q for the quarter ended March 31, 2009.

Exhibit – 10 – Joinder Agreement among the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC.

Exhibit – 31.1 - Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director).

Exhibit – 31.2 - Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director).

Exhibit – 32.1 - Section 1350 Certification (Certification of President and Director).

Exhibit – 32.2 - Section 1350 Certification (Certification of Chief Financial Officer and Director).

25

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

Smith Barney AAA Energy Fund L.P.

By:       Citigroup Managed Futures LLC

(General Partner)

By:       /s/  Jerry Pascucci

Jerry Pascucci

President and Director

Date:    August 14, 2009

By:       /s/  Jennifer Magro

Jennifer Magro

Chief Financial Officer and

Director

Date:    August 14, 2009

26

EX-10

Exhibit 10

JOINDER AGREEMENT

          This Joinder Agreement dated as of June 1, 2009 (this “Joinder Agreement”), by and among Citigroup Managed Futures LLC (“CMF”), as the general partner or trading manager of, and on behalf of, the investment funds identified on the schedule attached as Exhibit A to this agreement (each, a “Fund” and collectively, the “Funds”), Citigroup Global Markets Inc. (on behalf of itself and its Smith Barney division) (“CGMI”) and Morgan Stanley Smith Barney LLC (the “Joining Party”) amends the Agency and/or Selling Agreements, as applicable, listed on Exhibit A, including any annexes thereto to which CGMI is a party (each, an “Agency Agreement” and collectively, the “Agency Agreements”), by and among CMF, the Funds, CGMI and the other parties thereto.

          This Joinder Agreement shall be effective as of the date of the close of the transaction between Citigroup Inc. and Morgan Stanley resulting in the formation and commencement of operations of the Joining Party (the “Joint Venture Closing”). After the Joint Venture Closing, the Joining Party will be comprised of two channels, the Smith Barney channel and the Morgan Stanley channel. It is contemplated that the Funds will be offered by the Smith Barney channel and not the Morgan Stanley channel until the parties to the joint venture otherwise agree. The terms and conditions of the Agency Agreements not specifically modified or amended by this Joinder Agreement will continue in full force and effect.

          The Joining Party, CMF, the Funds, and CGMI acknowledge, agree and confirm that, by their execution of this Joinder Agreement, the Joining Party, on behalf of its Smith Barney channel, shall be deemed to be a party to the Agency Agreements as of the date of the Joint Venture Closing and shall have all of the rights, duties and obligations of an “agent” (as such rights, duties and obligations are described in each Agency Agreement) as if the Joining Party had been a party to and had executed the Agency Agreement. The Joining Party agrees, with respect to its Smith Barney channel, as of the date of the Joint Venture Closing and without retroactive effect, to be bound by all of the terms, provisions and conditions contained in each Agency Agreement. Each party hereto acknowledges that the Joining Party may serve as a non-exclusive selling agent for the purposes of privately offering to prospective limited partners Units (as defined in each Agency Agreement) of the Fund.

          Notwithstanding anything to the contrary in the Agency Agreement, so long as CGMI serves as a clearing broker for a Fund, CGMI shall continue to be compensated as set forth in the relevant Fund’s Agency Agreement and/or Customer Agreement which prescribes such compensation. The Fund and the general partner or trading manager acknowledge that CGMI may allocate and pay to the Joining Party all or a portion of any compensation paid to CGMI under the Agency Agreement, as may be agreed between CGMI and the Joining Party.

          This Joinder Agreement shall be governed by the laws of the State of New York (without regard to the conflicts of laws rules thereof) and may be executed in any number of counterparts, each of which shall be deemed an original, but all of which together shall constitute one and the same instrument. Transmission by telecopier or facsimile transmission of an executed counterpart of this Joinder Agreement shall constitute due and sufficient delivery of such counterpart.

          IN WITNESS WHEREOF, each of the parties hereto has caused this Joinder Agreement to be duly executed by the authorized person whose signature appears below.

MORGAN STANLEY SMITH BARNEY LLC
By:	/s/ Janice Fetsch Name: Janice Fetsch
	Title: Authorized Signatory
CITIGROUP GLOBAL MARKETS INC.
By:	/s/ Laurie A. Hesslein Name: Laurie A. Hesslein
	Title: Managing Director
CITIGROUP MANAGED FUTURES LLC
By:	/s/ Jerry Pascucci Name: Jerry Pascucci
	Title: President
EACH OF THE FUNDS LISTED ON EXHIBIT A HERETO
By:	Citigroup Managed Futures LLC, the general partner or trading manager of each Fund
By:	/s/ Jerry Pascucci Name: Jerry Pascucci
	Title: President

EX-31.1

Exhibit 31.1

CERTIFICATIONS

I, Jerry Pascucci, certify that:

1.	I have reviewed this quarterly report on Form 10-Q of Smith Barney AAA Energy Fund L.P. (the “registrant”);
2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition and results of operations of the registrant as of, and for, the periods presented in this report;
4.	The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a)	designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b)	designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c)	evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
d)	disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.   The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a)	all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
b)	any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 14, 2009

/s/  Jerry Pascucci

Jerry Pascucci

Citigroup Managed Futures LLC

President and Director

EX-31.2

Exhibit 31.2

CERTIFICATIONS

I, Jennifer Magro, certify that:

1.	I have reviewed this quarterly report on Form 10-Q of Smith Barney AAA Energy Fund L.P. (the “registrant”);
2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition and results of operations of the registrant as of, and for, the periods presented in this report;
4.	The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a)	designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries is made known to us by others within those entities, particularly during the period in which this report is being prepared;
b)	Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
c)	evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
d)	disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.   The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a)	all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
b)	any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 14, 2009

/s/  Jennifer Magro

Jennifer Magro

Citigroup Managed Futures LLC

Chief Financial Officer and Director

EX-32.1

Exhibit 32.1

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

In connection with the Quarterly Report of Smith Barney AAA Energy Fund L.P. (the “Partnership”) on Form 10-Q for the period ended June 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Jerry Pascucci, President and Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

(1) The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.

/s/ Jerry Pascucci

Jerry Pascucci

Citigroup Managed Futures LLC

President and Director

August 14, 2009

EX-32.2

Exhibit 32.2

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

In connection with the Quarterly Report of Smith Barney AAA Energy Fund L.P. (the “Partnership”) on Form 10-Q for the period ended June 30, 2009 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Jennifer Magro, Chief Financial Officer and Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

(1) The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operation of the Partnership.

/s/ Jennifer Magro

Jennifer Magro

Citigroup Managed Futures LLC

Chief Financial Officer and Director

August 14, 2009