10-Q 1 aaa.txt SMITH BARNEY AAA ENERGY FUTURES FUND L.P. FORM 10-Q SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 (X) QUARTERLY REPORT UNDER SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the Quarter ended March 31, 2002 -------------- Commission File Number 000-25921 --------- SMITH BARNEY AAA ENERGY FUND L.P. -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) New York 13-3986032 -------------------------------------------------------------------------------- (State or other jurisdiction of (I.R.S. Employer incorporation or organization) Identification No.) c/o Smith Barney Futures Management LLC 388 Greenwich St. - 7th Fl. New York, New York 10013 -------------------------------------------------------------------------------- (Address and Zip Code of principal executive offices) (212) 723-5424 -------------------------------------------------------------------------------- (Registrant's telephone number, including area code) 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 ----- ---- SMITH BARNEY AAA ENERGY FUND L.P. FORM 10-Q INDEX Page Number PART I - Financial Information: Item 1. Financial Statements: Statement of Financial Condition at March 31, 2002 and December 31, 2001 (unaudited). 3 Statement of Income and Expenses and Partners' Capital for the three months ended March 31, 2002 and 2001 (unaudited). 4 Notes to Financial Statements, including the Financial Statements of SB AAA Master Fund LLC (unaudited). 5 - 11 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations. 12 - 13 Item 3. Quantitative and Qualitative Disclosures of Market Risk 14 - 15 PART II - Other Information 16 2 PART I Item 1. Financial Statements Smith Barney AAA Energy Futures Fund L.P. Statement of Financial Condition (Unaudited)
March 31, ecember 31, 2002 2001 ----------- ------------ Assets: Investment in Master Fund $165,237,148 $143,835,729 Cash, in commodity futures trading account 56,428 11,680 ------------ ------------ 165,293,576 143,847,409 Interest receivable 184,902 164,303 ------------ ------------ $165,478,478 $144,011,712 ============ ============ Liabilities and Partners' Capital: Liabilities: Accrued expenses: Commissions $ 1,354,567 $ 519,842 Management fees 278,664 243,694 Other fees 71,841 27,093 Due to Special Limited Partner 4,585,682 - Redemptions payable 431,645 8,333,262 ------------ ------------ 6,722,399 9,123,891 ------------ ------------ Partners' Capital: General Partner, 913.9790 Unit equivalents outstanding in 2002 and 2001 1,967,248 1,734,028 Limited Partners, 72,843.7166 and 70,183.3406 Units of Limited Partnership Interest outstanding in 2002 and 2001, respectively 156,788,831 133,153,793 ------------ ------------ 158,756,079 134,887,821 ------------ ------------ $165,478,478 $144,011,712 ============ ============
See Notes to Financial Statements. 3 SMITH BARNEY AAA ENERGY FUND L.P. STATEMENT OF INCOME AND EXPENSES AND PARTNERS' CAPITAL (UNAUDITED)
Three Months Ended March 31, ------------------------------- 2002 2001 ------------------------------- Income: Realized gains on closed positions from Master $ 5,830,873 $ 53,312,275 Change in unrealized gains (losses) on open positions from Master 21,744,419 (39,388,969) Income allocated from Master 7,853 - Expenses allocated from Master (3,865,689) - ------------- ------------- 23,717,456 13,923,306 Interest income 492,278 560,370 ------------- ------------- 24,209,734 14,483,676 ------------- ------------- Expenses: Brokerage commissions including clearing fees of $0 and $178,842, respectively - 1,232,166* Management fees 736,444 420,166 Other expenses 44,749 11,187 ------------- ------------- 781,193 1,663,519 ------------- ------------- Net income 23,428,541 12,820,157 ------------- ------------- Allocation to the Special Limited Partner (4,585,682) (2,451,957) Additions - Limited Partner 5,862,000 - Redemptions - Limited Partner (836,601) (1,114,719) ------------- ------------- Net increase in Partners' capital 23,868,258 9,253,481 Partners' capital, beginning of period 134,887,821 74,326,664 ------------- ------------- Partners' capital, end of period $ 158,756,079 $ 83,580,145 ============= ============= Net asset value per Unit (73,757.6956 and 52,079.7917 Units outstanding at March 31, 2002 and 2001, respectively) $ 2,152.40 $ 1,604.85 ============= ============= Net income per Unit of Limited Partnership Interest and General Partner Unit equivalent $ 255.17 $ 196.63 ============= =============
* Amount reclassified for comparative purposes See notes to Financial Statements 4 SMITH BARNEY AAA ENERGY FUND L.P. NOTES TO FINANCIAL STATEMENTS March 31, 2002 (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 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 commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. 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. 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 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 accounts managed now or in the future by AAA Capital Management LLC (the "Advisor") using the Energy Program (Futures and Swaps), the Advisor's proprietary trading program, to invest together in one trading vehicle. Smith Barney Futures Management LLC (the "General Partner") is 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. As of March 31, 2002, the Partnership owns approximately 93.0% 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 financial statements of the Master are included in this report and should be read together with the Partnership's financial statements. Prior to September 1, 2001, the Partnership's commodity broker was Salomon Smith Barney Inc. ("SSB"). The Master's commodity broker is 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. 5 SMITH BARNEY AAA ENERGY FUND L.P. NOTES TO FINANCIAL STATEMENTS March 31, 2002 (Unaudited) (Continued) 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 presentation of the Partnership's financial condition at March 31, 2002 and December 31, 2001 and the results of its operations for the three months ended March 31, 2002 and 2001. 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 for the year ended December 31, 2001. 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. 6 SMITH BARNEY AAA ENERGY FUND L.P. NOTES TO FINANCIAL STATEMENTS March 31, 2002 (Unaudited) (Continued) The Master's Statement of Financial Condition as of March 31, 2002 and December 31, 2001 and its Statement of Income and Expenses and Members' Capital for the three months ended March 31, 2002 were: SB AAA Master Fund LLC Statement of Financial Condition (Unaudited)
March 31, 2002 December 31,2001 ------------- ---------------- Assets: Equity in commodity futures trading account: Cash $ 132,566,064 $ 156,846,978 Net unrealized appreciation on open positions 22,370,143 1,084,800 Net unrealized appreciation (depreciation) on open swaps positions 2,815,913 (606,310) Commodity options owned, at fair value (cost $23,150,434 and $3,003,750, respectively) 36,700,915 2,135,700 ------------- ------------- 194,453,035 159,461,168 Due from brokers 21,890,297 481,935 ------------- Interest Income 2,378 2,911 ------------- ------------- $ 216,345,710 $ 159,946,014 ============= ============= Liabilities and Members' Capital: Liabilities: Commodity options written, at fair value (premium received $24,242,836 and $8,994,064, respectively) $ 37,426,673 $ 6,501,746 Accrued Expenses: Commissions 1,151,021 261,717 Professional fees 44,333 38,000 Due to brokers - 906,850 Due to SSB 22,978 22,978 ------------- ------------- 38,645,005 7,731,291 ------------- ------------- Members' Capital 177,700,705 152,214,723 ------------- ------------- $ 216,345,710 $ 159,946,014 ============= =============
7 SB AAA Master Fund LLC Condensed Schedule of Investments March 31, 2002 (Unaudited)
Sector Number of Contracts Contract Fair Value ------------------------------------------------------------------------------------------------------------------- Energy Futures contracts purchased - 32.67% 9,667 NYMEX Natural Gas - 22.11%, May 2002 - Dec. 2003 $ 39,291,007 3,909 NYMEX Unleaded Gas - 6.52%, June 2002 11,591,914 Other - 4.04% 7,163,409 Futures contracts sold - (20.08)% 10,644 NYMEX Natural Gas - (13.90)%, June 2002 - Dec. 2004 (24,707,624) Other - (6.18)% (10,968,564) Options owned - 20.65% 4,456 NYMEX Natural Gas Call - 15.32%, July 2002 - Dec. 2002 27,220,440 Other - 5.33% 9,480,475 Options written - (21.06)% 6,763 NYMEX Light Sweet Crude Call - (11.12)%, June 2002 - July 2002 (19,758,190) 7,014 NYMEX Natural Gas Call - (8.33)%, June 2002 - Dec. 2002 (14,801,560) Other - (1.61)% (2,866,923) Swaps contracts purchased - 5.02% 8,918,504 Swaps contracts purchased - (3.43)% (6,102,591) ------------- Total Energy - 13.76% 24,460,298 ------------- Total Fair Value - 13.76% $ 24,460,298 ============= Country Composition Investments at Fair Value % of Investments at Fair Value --------------------------- ----------------------------------- --------------------- United States $ 24,460,298 100.00%
Percentages are based on Members' Capital unless otherwise indicated. See Notes to Financial Statements 8 SB AAA Master Fund LLC Condensed Schedule of Investments December 31, 2001 (Unaudited)
Sector Number of Contrac Contract Fair Value ---------------------------------------------------------------------------------------------------------------- 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 purchased - 1.11% 1,670,941 ------------ Total Energy - (2.55) % (3,887,556) ------------ Total Fair Value - (2.55)% $ (3,887,556) ============= Country Composition Investments at Fair Value % of Investments at Fair Value ---------------------- ------------------------------------- ------------------------------ United States $ (3,887,556) 100.00%
Percentages are based on Members' Capital unless otherwise indicated. See Notes to Financial Statements 9 SMITH BARNEY AAA ENERGY FUND L.P. NOTES TO FINANCIAL STATEMENTS March 31, 2002 (Unaudited) (Continued) SB AAA Master Fund LLC Statement of Income and Expenses and Members' Capital For the Three Months Ended March 31, 2002 -------------
Income: Net gains on trading of commodity interests: Realized gains on closed positions $ 6,181,862 Change in unrealized gains on open positions 23,449,942 ------------- 29,631,804 Interest income 8,422 ------------- 29,640,226 ------------- Expenses: Brokerage commissions including clearing fees of $492,208 3,244,216 Professional fees 9,194 ------------- Net Income 26,386,816 ------------- Additions 8,766,153 Redemptions (9,666,987) ------------- Net increase in Members' Capital 25,485,982 Members' capital, beginning of period 152,214,723 ------------- Members' capital, end of period $ 177,700,705 ============= Net asset value per Unit (136,361.3244 Units outstanding at March 31, 2002) $ 1,303.1606 ============= Net income per Unit of Member Interest $ 193.9200 =============
10 15 SMITH BARNEY AAA ENERGY FUND L.P. NOTES TO FINANCIAL STATEMENTS March 31, 2002 (Unaudited) (Continued) 2. Financial Highlights: Changes in net asset value per Unit for the three months ended March 31, 2002 and 2001 were as follows:
THREE-MONTHS ENDED MARCH 31, ------------------------------------ 2002 2001 ------------ ------------ Net realized and unrealized gains $ 321.21 $ 240.68 Interest income 6.80 10.64 Expenses (72.84) (54.69) ---------- ---------- Increase for Period 255.17 196.63 Net Asset Value per Unit, beginning of period 1,897.23 1,408.22 ---------- ---------- Net Asset Value per Unit, End of Period $2,152.40 $1,604.85 ========== ========== Ratio to average net assets: Net income before incentive fee 66.1% 64.6% Incentive fee (12.9)% (12.3)% ------- ------- Net income after incentive fee 53.2% 52.3% ======= ======== Operating expenses 13.1% 8.4% Incentive fee 12.9% 12.3% ------- -------- Total expenses and incentive fee 26.0% 20.7% ======= ======== Total return: Total return before incentive fee 17.0% 17.6% Incentive fee (3.6)% (3.6)% ------- ------- Total return after incentive fee 13.4% 14.0% ======= ======= -------------------------------------------------------------------------------- Financial Highlights of the Master: Total return 17.5% Ratio of expenses, including brokerage commissions, to average net assets 8.3% Ratio of net income to average net assets 67.4%
11 SMITH BARNEY AAA ENERGY FUND L.P. NOTES TO FINANCIAL STATEMENTS March 31, 2002 (Unaudited) (Continued) 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 the majority of its assets through a "master fund/feeder fund" structure. The results of the Partnership's investment in the Master are shown in the statement of income and expenses and members' capital and are discussed in Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations, herein The respective Customer Agreement between the Partnership and SSB and the Master and SSB give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses. All of the commodity interests owned by the Master are held for trading purposes. 4. Financial Instrument Risk: 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, 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, 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. 12 SMITH BARNEY AAA ENERGY FUND L.P. NOTES TO FINANCIAL STATEMENTS March 31, 2002 (Unaudited) (Continued) Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Master's risk of loss in the event of counterparty default is typically limited to the amounts recognized as unrealized appreciation (depreciation) 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. 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. 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 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 March 31, 2002. However, due to the nature of the Master's business, these instruments may not be held to maturity. 13 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations. Liquidity and Capital Resources The Partnership does not engage in the sale of goods or services. Its only assets are its investment in the Master 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 futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a decrease in liquidity, no such losses occurred in the third quarter of 2001. 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 Units and distributions of profits, if any. For the three months ended March 31, 2002, Partnership capital increased 17.7% from $134,887,821 to $158,756,079. This increase was attributable to net income from operations of $18,842,859 after the allocation to the special limited partner of $4,585,682, coupled with additional sales of 3,071.2548 Units totaling $5,862,000, which was partially offset by the redemption of 410.8788 Units resulting in an outflow of $836,601, for the three months ended March 31, 2002. Future redemptions can 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 gains or losses on commodity futures trading, expenses, interest income, redemptions of Units and distributions of profits, if any. For the three months ended March 31, 2002, the Master's capital increased 16.7% from $152,214,723 to $177,700,705. This increase was attributable to net income from operations of $26,386,816, coupled with additions of 7,833.7554 Units totaling $8,766,153, which was partially offset by the redemption of 8,696.7302 Units totaling $9,666,987, for the three months ended March 31, 2002. Future redemptions can impact the amount of funds available for investments in commodity contract positions in subsequent periods. Results of Operations During the Partnership's first quarter of 2002, the net asset value per unit increased 13.4% from $1,897.23 to $2,152.40 as compared to an increase of 14.0% in the first quarter of 2001. The Partnership experienced a net trading gain in the first quarter of 2001 of $23,717,456. Gains were primarily attributable to the Master's trading of commodity futures in NYMEX Natural Gas, 14 IPE Brent Crude, IPE Gas Oil and energy swaps and were partially offset by losses in NYMEX Crude Oil, NYMEX Unleaded Gas, and NYMEX Heating Oil. The Partnership experienced a net trading gain before commissions and related fees in the first quarter of 2001 of $13,923,306. Gains were primarily attributable to the trading of IPE Brent Crude, NYMEX Natural Gas, NYMEX Heating Oil and energy swaps and were partially offset by losses in IPE Gas Oil, NYMEX Crude Oil and NYMEX Unleaded Gas. Commodity futures 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 Partnership (and Master) depends on the existence of major price trends and the ability of the Advisor to identify correctly those price trends. 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 Partnership (and Master) expects to increase capital through operations. 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 SSB based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days. Interest income for the three months ended March 31, 2002 decreased by $68,092, as compared to the corresponding period in 2001. The decrease in interest income is primarily due to a decrease in interest rates during the period ended March 31, 2002. Brokerage commissions are allocated by the Master and are based on the number of trades executed by the Advisor. Commissions and fees for the three months ended March 31, 2002 increased by $2,624,951, as compared to the corresponding period in 2001. 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 months ended March 31, 2002 increased by $316,278, as compared to the corresponding period in 2001. Special limited partner allocations are based on the new trading profits generated by the Advisor at the end of the year, as defined in the advisory agreements between the Partnership, the General Partner and the Advisor. Trading performance for the three months ended March 31, 2002 and 2001 resulted in special limited partner allocations of $4,585,682 and $2,451,957, respectively. 15 17 Item 3. Quantitative and Qualitative Disclosures of 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 it are acquired for speculative trading purposes, and all or substantially all of the Master's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Master'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 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 effects of the Master's open positions and the liquidity of the markets in which it trades. The Master rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Master's past performance is not necessarily indicative of its future results. Value at Risk is a measure of the maximum amount which the Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Master's speculative trading and the recurrence in the markets traded by the Master of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Master's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section 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 intervals. 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. 16 The following table indicates the trading Value at Risk associated with the Master's open positions by market category as of March 31, 2002. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. As of March 31, 2002, the Master's total capitalization was $177,700,705. March 31, 2002 (Unaudited)
Year to Date % of Total High Low Market Sector Value at Risk Capitalization Value at Risk Value at Risk ----------------------------------------------------------------------------------- Energy $31,113,185 17.51% $39,090,185 $5,737,107 Energy Swaps 2,294,073 1.29% 2,392,574 1,991,009 ------------ ------ Total $33,407,258 18.80% ============ ======
17 19 PART II OTHER INFORMATION Item 1. Legal Proceedings - None Item 2. Changes in Securities and Use of Proceeds - The Partnership continues to offer units at the net asset value per Unit as of the end of each month. For the three months ended March 31, 2002 there were additional sales of 3,071.2548 Units totaling $5,862,000. There were no additional sales during the three months ended March 31, 2001. Proceeds from the sale of additional Units are used in the trading of commodity interests including futures contracts, options, forwards and swap contracts. Item 3. Defaults Upon Senior Securities - None Item 4. Submission of Matters to a Vote of Security Holders - None Item 5. Other Information - None Item 6. (a) Exhibits - None (b) Reports on Form 8-K - None 18 SIGNATURES Pursuant to the requirements of Section 13 or 15 (d) 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: Smith Barney Futures Management LLC (General Partner) By: /s/ David J. Vogel, President David J. Vogel, President Date: 5/13/02 ------------- Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: Smith Barney Futures Management LLC (General Partner) By: /s/ David J. Vogel, President David J. Vogel, President Date: 5/13/02 ------------ By: /s/ Daniel R. McAuliffe, Jr. ---------------------------------- Daniel R. McAuliffe, Jr. Chief Financial Officer and Director Date: 5/13/02 ----------- 19