UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

FORM 10-Q

(X) QUARTERLYREPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIESEXCHANGE ACT OF 1934

OR ( ) TRANSITION REPORT UNDERSECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF1934

For The Quarter Ended September 30,2006

Commission File Number 0-50272

SALOMON SMITH BARNEY AAA ENERGY FUND L.P.II

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(Exact nameof registrant as specified in its charter)

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| NewYork |  |  | 03-0407557 |
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| (Stateor other jurisdiction of incorporation or organization |  |  | (I.R.S. Employer Identification No.) |
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c/oCitigroup Managed Futures LLC 731 Lexington Avenue. – 25thFl. New York, New York 10022

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(Address and ZipCode of principal executive offices)

(212) 559-2011

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(Registrant'stelephone number, including area code)

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

YesX        No    

Indicate by checkmark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of‘‘accelerated filer and large acceleratedfiler’’ in Rule 12b-2 of the Exchange Act. (Checkone):

Large accelerated filer            Accelerated filer             Non-acceleratedfiler    X    

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

Yes             NoX

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SALOMONSMITH BARNEY AAA ENERGY FUND L.P. II

FORM10-Q

INDEX

|                                 |  |  |                                                                                                                                   |  |  |              |
|---------------------------------|--|--|-----------------------------------------------------------------------------------------------------------------------------------|--|--|--------------|
|                            |  |  |                                                                                                                              |  |  | PageNumber   |
| PART I - FinancialInformation:  |  |  |                                                                                                                              |
|                            |  |  |                                                                                                                              |  |  |         |
|     Item1.  |  |  | FinancialStatements:                                                                                                              |  |  |         |
|                            |  |  | Statements of FinancialCondition at September 30, 2006 and December 31, 2005(unaudited)                                           |  |  | 3            |
|                            |  |  | Statements of Income and Expenses and Partners'Capital for the three and nine months ended September 30, 2006 and 2005(unaudited) |  |  | 4            |
|                            |  |  | Statements of CashFlows for the three and nine months ended September 30, 2006 and 2005(unaudited)                                |  |  | 5            |
|                            |  |  | Notes to FinancialStatements, including the Financial Statements of SB AAA Master FundLLC (unaudited)                             |  |  | 6 – 15 |
|     Item2.  |  |  | Management's Discussion and Analysis of FinancialCondition and Results ofOperations                                               |  |  | 16 –18 |
|     Item 3. |  |  | Quantitativeand Qualitative Disclosures about Market Risk                                                                         |  |  | 19           |
|     Item 4. |  |  | Controls andProcedures                                                                                                            |  |  | 20           |
| PARTII - OtherInformation       |  |  | 21                                                                                                                                |
|                                 |

2

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Table of Contents

PARTI

Item 1. Financial Statements

Salomon Smith BarneyAAA Energy Fund L.P. II Statements of Financial Condition(Unaudited)

|                                                                                                                                          |  |  |                  |   |             |                  |  |  |  |   |             |  |
|------------------------------------------------------------------------------------------------------------------------------------------|--|--|------------------|---|-------------|------------------|--|--|--|---|-------------|--|
|                                                                                                                                     |  |  | September30,2006 |   |             | December 31,2005 |
| Assets:                                                                                                                                  |  |  |                  |   |        |                  |  |  |  |   |        |  |
| Investmentin the Master, at fairvalue                                                                                                    |  |  |                  | $ | 522,976,383 |                  |  |  |  | $ | 500,832,721 |  |
| Cash                                                                                                                                     |  |  |                  |   | 33,779      |                  |  |  |  |   | 26,541      |  |
|                                                                                                                                     |  |  |                  | $ | 523,010,162 |                  |  |  |  | $ | 500,859,262 |  |
| Liabilitiesand Partners'Capital:                                                                                                         |  |  |                  |   |        |                  |  |  |  |   |        |  |
| Liabilities:                                                                                                                             |  |  |                  |   |        |                  |  |  |  |   |        |  |
| Accruedexpenses:                                                                                                                         |  |  |                  |   |        |                  |  |  |  |   |        |  |
| Brokeragecommissions                                                                                                                     |  |  |                  | $ | 1,903,002   |                  |  |  |  | $ | —     |  |
| Managementfees                                                                                                                           |  |  |                  |   | 868,486     |                  |  |  |  |   | 850,749     |  |
| Administrativefees                                                                                                                       |  |  |                  |   | 217,121     |                  |  |  |  |   | 212,687     |  |
| Other                                                                                                                                    |  |  |                  |   | 15,603      |                  |  |  |  |   | 14,883      |  |
| Dueto Special LimitedPartner                                                                                                             |  |  |                  |   | 15,137,747  |                  |  |  |  |   | —     |  |
| Redemptionspayable                                                                                                                       |  |  |                  |   | 18,596,132  |                  |  |  |  |   | 32,907,562  |  |
|                                                                                                                                     |  |  |                  |   | 36,738,091  |                  |  |  |  |   | 33,985,881  |  |
| Partners'Capital:                                                                                                                        |  |  |                  |   |        |                  |  |  |  |   |        |  |
| General Partner,2,501.2826 Unit equivalents outstanding in 2006 and2005                                                                  |  |  |                  |   | 6,249,254   |                  |  |  |  |   | 5,433,711   |  |
| Special Limited Partner 4,111.1273 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005respectively              |  |  |                  |   | 10,271,323  |                  |  |  |  |   | 8,930,890   |  |
| LimitedPartners, 188,019.6113 and 208,301.6497 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005,respectively |  |  |                  |   | 469,751,494 |                  |  |  |  |   | 452,508,780 |  |
|                                                                                                                                     |  |  |                  |   | 486,272,071 |                  |  |  |  |   | 466,873,381 |  |
|                                                                                                                                     |  |  |                  | $ | 523,010,162 |                  |  |  |  | $ | 500,859,262 |  |
|                                                                                                                                          |

Seeaccompanying Notes to Financial Statements.

3

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Table of Contents

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

|                                                                                                                                             |  |  |                                |   |             |                              |  |  |      |   |             |      |  |  |  |   |              |   |  |  |  |   |             |   |
|---------------------------------------------------------------------------------------------------------------------------------------------|--|--|--------------------------------|---|-------------|------------------------------|--|--|------|---|-------------|------|--|--|--|---|--------------|---|--|--|--|---|-------------|---|
|                                                                                                                                        |  |  | ThreeMonths EndedSeptember 30, |   |             | Nine MonthsEndedSeptember30, |
|                                                                                                                                        |  |  | 2006                           |   |             | 2005                         |  |  | 2006 |   |             | 2005 |
| Income:                                                                                                                                     |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |        |   |
| Realizedgains (losses) on closed positions allocated from Master                                                                            |  |  |                                | $ | (26,326,547 | )                            |  |  |      | $ | (21,990,665 | )    |  |  |  | $ | 257,803,163  |   |  |  |  | $ | 16,331,089  |   |
| Change in unrealized gains(losses) on open positions allocated fromMaster                                                                   |  |  |                                |   | (26,445,445 | )                            |  |  |      |   | 91,486,117  |      |  |  |  |   | (163,056,912 | ) |  |  |  |   | 150,344,668 |   |
| Interest income allocated fromMaster                                                                                                        |  |  |                                |   | 4,595,755   |                              |  |  |      |   | 1,730,654   |      |  |  |  |   | 14,058,559   |   |  |  |  |   | 3,706,707   |   |
| Expenses allocated fromMaster                                                                                                               |  |  |                                |   | (463,171    | )                            |  |  |      |   | (1,850,096  | )    |  |  |  |   | (1,682,034   | ) |  |  |  |   | (4,508,431  | ) |
|                                                                                                                                        |  |  |                                |   | (48,639,408 | )                            |  |  |      |   | 69,376,010  |      |  |  |  |   | 107,122,776  |   |  |  |  |   | 165,874,033 |   |
| Expenses:                                                                                                                                   |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |        |   |
| Brokeragecommissions                                                                                                                        |  |  |                                |   | 1,553,464   |                              |  |  |      |   | —     |      |  |  |  |   | 6,494,255    |   |  |  |  |   | —     |   |
| Managementfees                                                                                                                              |  |  |                                |   | 2,680,564   |                              |  |  |      |   | 1,662,014   |      |  |  |  |   | 8,563,934    |   |  |  |  |   | 3,719,678   |   |
| Administrativefees                                                                                                                          |  |  |                                |   | 670,141     |                              |  |  |      |   | 415,503     |      |  |  |  |   | 2,140,982    |   |  |  |  |   | 929,918     |   |
| Other                                                                                                                                       |  |  |                                |   | 75,242      |                              |  |  |      |   | 112,145     |      |  |  |  |   | 176,310      |   |  |  |  |   | 186,566     |   |
|                                                                                                                                        |  |  |                                |   | 4,979,411   |                              |  |  |      |   | 2,189,662   |      |  |  |  |   | 17,375,481   |   |  |  |  |   | 4,836,162   |   |
| Net income (loss)before allocation to Special LimitedPartner                                                                                |  |  |                                |   | (53,618,819 | )                            |  |  |      |   | 67,186,348  |      |  |  |  |   | 89,747,295   |   |  |  |  |   | 161,037,871 |   |
| Allocation to Special LimitedPartner                                                                                                        |  |  |                                |   | 11,642,915  |                              |  |  |      |   | (13,091,139 | )    |  |  |  |   | (15,137,747  | ) |  |  |  |   | (31,466,233 | ) |
| Net income (loss) after allocation to Special LimitedPartner                                                                                |  |  |                                |   | (41,975,904 | )                            |  |  |      |   | 54,095,209  |      |  |  |  |   | 74,609,548   |   |  |  |  |   | 129,571,638 |   |
| Additions − LimitedPartners                                                                                                           |  |  |                                |   | 15,998,000  |                              |  |  |      |   | 57,671,547  |      |  |  |  |   | 36,568,000   |   |  |  |  |   | 121,398,547 |   |
| Redemptions − LimitedPartners                                                                                                         |  |  |                                |   | (33,101,110 | )                            |  |  |      |   | (4,545,387  | )    |  |  |  |   | (91,778,858  | ) |  |  |  |   | (15,601,126 | ) |
| Net increase (decrease) in Partners'Capital                                                                                                 |  |  |                                |   | (59,079,014 | )                            |  |  |      |   | 107,221,369 |      |  |  |  |   | 19,398,690   |   |  |  |  |   | 235,369,059 |   |
| Partners'Capital, beginning ofperiod                                                                                                        |  |  |                                |   | 545,351,085 |                              |  |  |      |   | 246,170,907 |      |  |  |  |   | 466,873,381  |   |  |  |  |   | 118,023,217 |   |
| Partners' Capital, end ofperiod                                                                                                             |  |  |                                | $ | 486,272,071 |                              |  |  |      | $ | 353,392,276 |      |  |  |  | $ | 486,272,071  |   |  |  |  | $ | 353,392,276 |   |
| Net Asset Value per Redeemable Unit (194,632.0212 and173,762.1093 Redeemable Units outstanding at September 30, 2006 and2005, respectively) |  |  |                                | $ | 2,498.42    |                              |  |  |      | $ | 2,033.77    |      |  |  |  | $ | 2,498.42     |   |  |  |  | $ | 2,033.77    |   |
| Net income (loss) per Redeemable Unit of Limited PartnershipInterest and General Partner Unitequivalent                                     |  |  |                                | $ | (203.66     | )                            |  |  |      | $ | 321.78      |      |  |  |  | $ | 326.05       |   |  |  |  | $ | 884.03      |   |
|                                                                                                                                             |

Seeaccompanying Notes to Financial Statements.

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Table of Contents

Salomon Smith Barney AAA Energy Fund L.P.II Statements of Cash Flows(Unaudited)

|                                                                                                 |  |  |                                |   |             |                              |  |  |      |   |             |      |  |  |  |   |              |   |  |  |  |   |              |   |
|-------------------------------------------------------------------------------------------------|--|--|--------------------------------|---|-------------|------------------------------|--|--|------|---|-------------|------|--|--|--|---|--------------|---|--|--|--|---|--------------|---|
|                                                                                            |  |  | ThreeMonths EndedSeptember 30, |   |             | NineMonths EndedSeptember30, |
|                                                                                            |  |  | 2006                           |   |             | 2005                         |  |  | 2006 |   |             | 2005 |
| Cashflows from operatingactivities:                                                             |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Netincome(loss)                                                                                 |  |  |                                | $ | (41,975,904 | )                            |  |  |      | $ | 54,095,209  |      |  |  |  | $ | 74,609,548   |   |  |  |  | $ | 129,571,638  |   |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Changesin operating assets andliabilities:                                                      |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Purchaseof investment inMaster                                                                  |  |  |                                |   | (15,998,000 | )                            |  |  |      |   | (57,671,547 | )    |  |  |  |   | (75,498,890  | ) |  |  |  |   | (123,107,454 | ) |
| Proceedsfrom sale of investment inMaster                                                        |  |  |                                |   | 32,997,975  |                              |  |  |      |   | 4,543,138   |      |  |  |  |   | 145,356,141  |   |  |  |  |   | 18,398,243   |   |
| Netunrealized (appreciation) depreciation on investmentinMaster                                 |  |  |                                |   | 53,200,288  |                              |  |  |      |   | (67,661,161 | )    |  |  |  |   | (92,000,913  | ) |  |  |  |   | (162,215,455 | ) |
| Accruedexpenses:                                                                                |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Increase(decrease) in brokerage commissionsfees                                                 |  |  |                                |   | (253,442    | )                            |  |  |      |   | —     |      |  |  |  |   | 1,903,002    |   |  |  |  |   | —      |   |
| Increase(decrease) in managementfees                                                            |  |  |                                |   | (116,594    | )                            |  |  |      |   | 198,555     |      |  |  |  |   | 17,737       |   |  |  |  |   | 432,768      |   |
| Increase(decrease) in administrativefees                                                        |  |  |                                |   | (29,149     | )                            |  |  |      |   | 49,638      |      |  |  |  |   | 4,434        |   |  |  |  |   | 108,192      |   |
| Increase(decrease) inother                                                                      |  |  |                                |   | 2,888       |                              |  |  |      |   | 4,567       |      |  |  |  |   | 720          |   |  |  |  |   | (23,442      | ) |
| Increase(decrease) in due to Special LimitedPartner                                             |  |  |                                |   | (11,642,915 | )                            |  |  |      |   | 13,091,139  |      |  |  |  |   | 15,137,747   |   |  |  |  |   | 31,466,233   |   |
| Netcash provided by (used in) operatingactivities                                               |  |  |                                |   | 16,185,147  |                              |  |  |      |   | (53,350,462 | )    |  |  |  |   | 69,529,526   |   |  |  |  |   | (105,369,277 | ) |
| Cashflows from financingactivities:                                                             |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Proceedsfrom additions – LimitedPartners                                                  |  |  |                                |   | 15,998,000  |                              |  |  |      |   | 57,671,547  |      |  |  |  |   | 36,568,000   |   |  |  |  |   | 121,398,547  |   |
| Paymentsfor redemptions – LimitedPartners                                                 |  |  |                                |   | (32,189,849 | )                            |  |  |      |   | (4,318,519  | )    |  |  |  |   | (106,090,288 | ) |  |  |  |   | (16,040,895  | ) |
| Netcash provided by (used in) financingactivities                                               |  |  |                                |   | (16,191,849 | )                            |  |  |      |   | 53,353,028  |      |  |  |  |   | (69,522,288  | ) |  |  |  |   | 105,357,652  |   |
| Netchange incash                                                                                |  |  |                                |   | (6,702      | )                            |  |  |      |   | 2,566       |      |  |  |  |   | 7,238        |   |  |  |  |   | (11,625      | ) |
| Cash,at beginning ofperiod                                                                      |  |  |                                |   | 40,481      |                              |  |  |      |   | 36,212      |      |  |  |  |   | 26,541       |   |  |  |  |   | 50,403       |   |
| Cash,at end ofperiod                                                                            |  |  |                                | $ | 33,779      |                              |  |  |      | $ | 38,778      |      |  |  |  | $ | 33,779       |   |  |  |  | $ | 38,778       |   |
|                                                                                                 |

Seeaccompanying Notes to FinancialStatements.

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Table of Contents

SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

1.    General:

Salomon Smith Barney AAA Energy Fund L.P. II (the‘‘Partnership’’) is a limited partnershiporganized on March 25, 2002 under the partnership laws of the State ofNew York to engage, directly or indirectly, in the speculative tradingof a diversified portfolio of commodity interests, including commodityoptions and commodity futures contracts on United States exchanges andcertain foreign exchanges. The Partnership may trade commodity futuresand options contracts. In addition, the Partnership may enter into swapcontracts on energy-related products. During the initial offeringperiod (May 31, 2002 through July 1, 2002), the Partnership sold 93,975redeemable units of Limited Partnership Interest(‘‘Redeemable Units’’). The Partnershipcommenced trading on July 1, 2002.

Effective July 1, 2002, thePartnership allocated all of its capital to SB AAA Master Fund LLC, aNew York limited liability company (the‘‘Master’’). With this cash, the Partnershippurchased 64,945.0387 Units of the Master with a fair value of$94,925,000. The Master was formed in order to permit commodity poolsmanaged by AAA Capital Management Advisors, Ltd. (successor to AAACapital Management, Inc.) (the ‘‘Advisor’’)using the Energy Program – Futures and Swaps, the Advisor'sproprietary trading program, to invest together in one trading vehicle.In addition, the Advisor is a special limited partner of thePartnership. Principals of the Advisor were formerly employees of SmithBarney and associated persons of CGM. Individual and pooled accountscurrently managed by the Advisor, including the Partnership(collectively, the ‘‘Feeder Funds’’), arepermitted to be non-managing members of the Master. The General Partnerand the Advisor believe that trading through this master/feederstructure should promote efficiency and economy in the trading process.Expenses to investors as a result of the investment in the Master areapproximately the same and redemption rights are not affected. TheMaster may trade commodity futures and options contracts of any kind,but trades solely energy and energy-related products. In addition, theMaster may enter into swap contracts or trade in energy-relatedproducts. The commodity interests that are traded by the Master arevolatile and involve a high degree of market risk.

As ofSeptember 30, 2006, the Partnership owned approximately 52.7% ofthe Master. It is the Partnership's intention to continue toinvest substantially all of its assets in the Master. The performanceof the Partnership is directly affected by the performance of theMaster. The Master's Statements of Financial Condition,Statements of Income and Expenses and Members' Capital, CondensedSchedules of Investments and Statements of Cash Flows are includedherein.

Citigroup Managed Futures LLC acts as the GeneralPartner (the ‘‘General Partner’’) of thePartnership and the managing member of the Master, as defined below.The Partnership's/Master's commodity broker is CitigroupGlobal Markets Inc. (‘‘CGM’’). CGM is anaffiliate of the General Partner. The General Partner is wholly ownedby Citigroup Global Markets Holdings Inc.(‘‘CGMHI’’), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.(‘‘Citigroup’’).

The accompanyingfinancial statements are unaudited but, in the opinion of management,include all adjustments, consisting only of normal recurringadjustments, necessary for a fair presentation of thePartnership's financial condition at September 30, 2006 andDecember 31, 2005 and the results of its operations and cash flows forthe three and nine months ended September 30, 2006 and 2005. Thesefinancial statements present the results of interim periods and do notinclude all disclosures normally provided in annual financialstatements. You should read these financial statements together withthe financial statements and notes included in the Partnership'sAnnual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2005.

Prior toJanuary 1, 2006, round-turn commissions were borne at the Master leveland allocated down to the feeder funds based on each fund'sownership. Effective January 1, 2006, round-turn commissions are borneby the Partnership consistent with contractual agreements.

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

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Table of Contents

SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

The Master's Statements of FinancialCondition and Condensed Schedules of Investments as ofSeptember  30, 2006 and December 31, 2005 and Statementsof Income and Expenses and Members' Capital and Statements ofCash Flows for the three and nine months ended September 30, 2006 and2005 are presented below:

SB AAA Master Fund LLCStatementsof FinancialCondition(Unaudited)

|                                                                                                                 |  |  |                  |   |               |                  |  |  |  |   |               |  |
|-----------------------------------------------------------------------------------------------------------------|--|--|------------------|---|---------------|------------------|--|--|--|---|---------------|--|
|                                                                                                            |  |  | September30,2006 |   |               | December 31,2005 |
| Assets:                                                                                                         |  |  |                  |   |          |                  |  |  |  |   |          |  |
| Equityin commodity futures tradingaccount:                                                                      |  |  |                  |   |          |                  |  |  |  |   |          |  |
| Cash (restricted$4,720,046 and $4,130,046 in 2006 and 2005, respectively)                                       |  |  |                  | $ | 793,721,613   |                  |  |  |  | $ | 557,878,760   |  |
| Netunrealized appreciation on open futurespositions                                                             |  |  |                  |   | —       |                  |  |  |  |   | 260,548,395   |  |
| Unrealized appreciation on open swapscontracts                                                                  |  |  |                  |   | 116,180,914   |                  |  |  |  |   | 193,692,178   |  |
| Commodity options owned, at fair value (cost$292,312,198 and $129,024,667 in 2006 and 2005,respectively)        |  |  |                  |   | 325,775,158   |                  |  |  |  |   | 225,052,075   |  |
|                                                                                                            |  |  |                  |   | 1,235,677,685 |                  |  |  |  |   | 1,237,171,408 |  |
| Due frombrokers                                                                                                 |  |  |                  |   | 12,086,805    |                  |  |  |  |   | 14,310,966    |  |
| Interestreceivable                                                                                              |  |  |                  |   | 2,615,388     |                  |  |  |  |   | 1,813,732     |  |
|                                                                                                            |  |  |                  |   |          |                  |  |  |  |   |          |  |
|                                                                                                            |  |  |                  | $ | 1,250,379,878 |                  |  |  |  | $ | 1,253,296,106 |  |
| Liabilities and Members'Capital:                                                                                |  |  |                  |   |          |                  |  |  |  |   |          |  |
| Liabilities:                                                                                                    |  |  |                  |   |          |                  |  |  |  |   |          |  |
| Netunrealized depreciation on open futures positions                                                            |  |  |                  | $ | 2,295,549     |                  |  |  |  | $ | —       |  |
| Unrealizeddepreciation on open swap contracts                                                                   |  |  |                  |   | 58,559,148    |                  |  |  |  |   | 165,265,325   |  |
| Commodity options written,at market value (premium $199,469,819 and $147,363,753 in 2006 and2005, respectively) |  |  |                  |   | 182,318,173   |                  |  |  |  |   | 114,859,048   |  |
| Accruedexpenses:                                                                                                |  |  |                  |   |          |                  |  |  |  |   |          |  |
| Brokeragecommissions                                                                                            |  |  |                  |   | —       |                  |  |  |  |   | 3,198,816     |  |
| Other                                                                                                           |  |  |                  |   | 147,324       |                  |  |  |  |   | 143,268       |  |
| Due to brokers                                                                                                  |  |  |                  |   | 15,038,110    |                  |  |  |  |   | 13,948,544    |  |
| Distributionpayable                                                                                             |  |  |                  |   | 2,595,766     |                  |  |  |  |   | 1,798,953     |  |
|                                                                                                            |  |  |                  |   | 260,954,070   |                  |  |  |  |   | 299,213,954   |  |
| Members'Capital:                                                                                                |  |  |                  |   |          |                  |  |  |  |   |          |  |
| Members'Capital, 215,521.4035 and 246,785.2714 Unitsoutstanding in 2006and 2005, respectively                   |  |  |                  |   | 989,425,808   |                  |  |  |  |   | 954,082,152   |  |
|                                                                                                            |  |  |                  | $ | 1,250,379,878 |                  |  |  |  | $ | 1,253,296,106 |  |
|                                                                                                                 |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

SB AAA Master Fund LLCCondensedSchedule of InvestmentsSeptember 30,2006(Unaudited)

|                                          |  |  |                   |  |        |            |  |  |                     |   |              |   |  |  |  |  |        |    |
|------------------------------------------|--|--|-------------------|--|--------|------------|--|--|---------------------|---|--------------|---|--|--|--|--|--------|----|
|                                     |  |  | NumberofContracts |  |        | Fair Value |  |  | % ofMembers'Capital |
| FuturesContractsPurchased                |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |    |
| Energy                                   |  |  |                   |  |   |            |  |  |                     | $ | (154,992,929 | ) |  |  |  |  | (15.66 | )% |
| FuturesContractsSold                     |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |    |
| Energy                                   |  |  |                   |  |   |            |  |  |                     |   | 152,697,380  |   |  |  |  |  | 15.43  |    |
| Totalfuturescontracts                    |  |  |                   |  |   |            |  |  |                     |   | (2,295,549   | ) |  |  |  |  | (0.23  | )  |
| OptionsOwned                             |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |    |
| Energy                                   |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |    |
| NYMEXNatural Gas Nov. 06 – April07 |  |  |                   |  | 7,250  |            |  |  |                     |   | 150,721,980  |   |  |  |  |  | 15.23  |    |
| Other                                    |  |  |                   |  |   |            |  |  |                     |   | 175,053,178  |   |  |  |  |  | 17.70  |    |
| Totaloptionsowned                        |  |  |                   |  |   |            |  |  |                     |   | 325,775,158  |   |  |  |  |  | 32.93  |    |
| OptionsWritten                           |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |    |
| Energy                                   |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |    |
| NYMEXNatural Gas Nov. 06 – March07 |  |  |                   |  | 5,200  |            |  |  |                     |   | (116,882,880 | ) |  |  |  |  | (11.82 | )  |
| Other                                    |  |  |                   |  |   |            |  |  |                     |   | (65,435,293  | ) |  |  |  |  | (6.61  | )  |
| Totaloptionswritten                      |  |  |                   |  |   |            |  |  |                     |   | (182,318,173 | ) |  |  |  |  | (18.43 | )  |
| UnrealizedAppreciation on SwapContracts  |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |    |
| Energy                                   |  |  |                   |  |   |            |  |  |                     |   | 116,180,914  |   |  |  |  |  | 11.74  |    |
| UnrealizedDepreciation on SwapContracts  |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |    |
| Energy                                   |  |  |                   |  |   |            |  |  |                     |   | (58,559,148  | ) |  |  |  |  | (5.92  | )  |
| TotalEnergy FairValue                    |  |  |                   |  |   |            |  |  |                     | $ | 198,783,202  |   |  |  |  |  | 20.09  | %  |
|                                          |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Members' Capital unless otherwiseindicated. |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2005(Unaudited)

|                                                                 |  |  |                   |  |        |            |  |  |                     |   |              |   |  |  |  |  |        |   |
|-----------------------------------------------------------------|--|--|-------------------|--|--------|------------|--|--|---------------------|---|--------------|---|--|--|--|--|--------|---|
|                                                            |  |  | NumberofContracts |  |        | Fair Value |  |  | % ofMembers'Capital |
| FuturesContractsPurchased                                       |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| Energy                                                          |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| NYMEXHenry Hub Natural Gas Swap – April 07 – Dec.09 |  |  |                   |  | 6,496  |            |  |  |                     | $ | 61,657,788   |   |  |  |  |  | 6.46   | % |
| NYMEXNatural Gas Aug. 06 – Dec.10                         |  |  |                   |  | 9,869  |            |  |  |                     |   | 107,175,497  |   |  |  |  |  | 11.23  |   |
| Other                                                           |  |  |                   |  |   |            |  |  |                     |   | 45,857,146   |   |  |  |  |  | 4.81   |   |
| Totalfutures contractspurchased                                 |  |  |                   |  |   |            |  |  |                     |   | 214,690,431  |   |  |  |  |  | 22.50  |   |
|                                                            |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| FuturesContractsSold                                            |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| Energy                                                          |  |  |                   |  |   |            |  |  |                     |   | 45,857,964   |   |  |  |  |  | 4.81   |   |
| Totalfuturescontracts                                           |  |  |                   |  |   |            |  |  |                     |   | 260,548,395  |   |  |  |  |  | 27.31  |   |
|                                                            |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| OptionsOwned                                                    |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| Energy                                                          |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| NYMEXNatural Gas Feb. 06 – July06                         |  |  |                   |  | 4,778  |            |  |  |                     |   | 78,598,570   |   |  |  |  |  | 8.24   |   |
| Other                                                           |  |  |                   |  |   |            |  |  |                     |   | 146,453,505  |   |  |  |  |  | 15.35  |   |
| Totaloptionsowned                                               |  |  |                   |  |   |            |  |  |                     |   | 225,052,075  |   |  |  |  |  | 23.59  |   |
|                                                            |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| OptionsWritten                                                  |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| Energy                                                          |  |  |                   |  |   |            |  |  |                     |   | (114,859,048 | ) |  |  |  |  | (12.04 | ) |
|                                                            |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| UnrealizedAppreciation on SwapContracts                         |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| Energy                                                          |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| GulfCoast Unleaded Gas Calendar2006                             |  |  |                   |  | 1,750  |            |  |  |                     |   | 67,563,451   |   |  |  |  |  | 7.08   |   |
| Other                                                           |  |  |                   |  |   |            |  |  |                     |   | 126,128,727  |   |  |  |  |  | 13.22  |   |
| Totalunrealized appreciation on swapcontracts                   |  |  |                   |  |   |            |  |  |                     |   | 193,692,178  |   |  |  |  |  | 20.30  |   |
|                                                            |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| UnrealizedDepreciation on SwapContracts                         |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| Energy                                                          |  |  |                   |  |   |            |  |  |                     |   |         |   |  |  |  |  |   |   |
| GulfCoast Unleaded Gas Calendar2006                             |  |  |                   |  | 1,750  |            |  |  |                     |   | (65,229,496  | ) |  |  |  |  | (6.84  | ) |
| Other                                                           |  |  |                   |  |   |            |  |  |                     |   | (100,035,829 | ) |  |  |  |  | (10.48 | ) |
| Totalunrealized depreciation on swapcontracts                   |  |  |                   |  |   |            |  |  |                     |   | (165,265,325 | ) |  |  |  |  | (17.32 | ) |
| TotalEnergy FairValue                                           |  |  |                   |  |   |            |  |  |                     | $ | 399,168,275  |   |  |  |  |  | 41.84  | % |
|                                                                 |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Members' Capital unless otherwiseindicated. |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

SB AAA Master Fund LLC Statements ofIncome and Expenses and Members' Capital (Unaudited)

|                                                                                                                       |  |  |                   |   |               |                  |  |  |      |   |             |      |  |  |  |   |              |   |  |  |  |   |             |   |
|-----------------------------------------------------------------------------------------------------------------------|--|--|-------------------|---|---------------|------------------|--|--|------|---|-------------|------|--|--|--|---|--------------|---|--|--|--|---|-------------|---|
|                                                                                                                  |  |  | ThreeMonths Ended |   |               | Nine MonthsEnded |
|                                                                                                                  |  |  | September30,      |   |               | September30,     |
|                                                                                                                  |  |  | 2006              |   |               | 2005             |  |  | 2006 |   |             | 2005 |
| Income:                                                                                                               |  |  |                   |   |          |                  |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |        |   |
| Netgains (losses) on trading of commodityinterests:                                                                   |  |  |                   |   |          |                  |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |        |   |
| Realizedgains (losses) on closed positions                                                                            |  |  |                   | $ | (49,732,912   | )                |  |  |      | $ | (45,388,615 | )    |  |  |  | $ | 492,683,728  |   |  |  |  | $ | 44,240,832  |   |
| Change in unrealized gains (losses) on openpositions                                                                  |  |  |                   |   | (49,663,311   | )                |  |  |      |   | 185,206,455 |      |  |  |  |   | (311,566,538 | ) |  |  |  |   | 320,759,915 |   |
|                                                                                                                  |  |  |                   |   | (99,396,223   | )                |  |  |      |   | 139,817,840 |      |  |  |  |   | 181,117,190  |   |  |  |  |   | 365,000,747 |   |
| Interestincome                                                                                                        |  |  |                   |   | 8,901,632     |                  |  |  |      |   | 3,626,585   |      |  |  |  |   | 27,222,402   |   |  |  |  |   | 8,290,863   |   |
|                                                                                                                  |  |  |                   |   | (90,494,591   | )                |  |  |      |   | 143,444,425 |      |  |  |  |   | 208,339,592  |   |  |  |  |   | 373,291,610 |   |
| Expenses:                                                                                                             |  |  |                   |   |          |                  |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |        |   |
| Brokeragecommissions including clearing fees of $446,843, $430,958, $1,671,617and $1,158,244, respectively            |  |  |                   |   | 767,905       |                  |  |  |      |   | 3,689,997   |      |  |  |  |   | 2,863,472    |   |  |  |  |   | 9,730,505   |   |
| Other                                                                                                                 |  |  |                   |   | 106,504       |                  |  |  |      |   | 104,356     |      |  |  |  |   | 319,504      |   |  |  |  |   | 226,742     |   |
|                                                                                                                  |  |  |                   |   | 874,409       |                  |  |  |      |   | 3,794,353   |      |  |  |  |   | 3,182,976    |   |  |  |  |   | 9,957,247   |   |
| Netincome (loss)                                                                                                      |  |  |                   |   | (91,369,000   | )                |  |  |      |   | 139,650,072 |      |  |  |  |   | 205,156,616  |   |  |  |  |   | 363,334,363 |   |
| Additions                                                                                                             |  |  |                   |   | 43,487,021    |                  |  |  |      |   | 68,978,312  |      |  |  |  |   | 204,588,058  |   |  |  |  |   | 144,268,308 |   |
| Redemptions                                                                                                           |  |  |                   |   | (68,710,096   | )                |  |  |      |   | (18,541,906 | )    |  |  |  |   | (347,330,100 | ) |  |  |  |   | (73,415,227 | ) |
| Distribution of interest to feederfunds                                                                               |  |  |                   |   | (8,845,092    | )                |  |  |      |   | (3,594,110  | )    |  |  |  |   | (27,070,918  | ) |  |  |  |   | (8,183,411  | ) |
| Net increase (decrease) in Members'Capital                                                                            |  |  |                   |   | (125,437,167  | )                |  |  |      |   | 186,492,368 |      |  |  |  |   | 35,343,656   |   |  |  |  |   | 426,004,033 |   |
| Members' Capital, beginning ofperiod                                                                                  |  |  |                   |   | 1,114,862,975 |                  |  |  |      |   | 576,007,200 |      |  |  |  |   | 954,082,152  |   |  |  |  |   | 336,495,535 |   |
| Members' Capital, end ofperiod                                                                                        |  |  |                   | $ | 989,425,808   |                  |  |  |      | $ | 762,499,568 |      |  |  |  | $ | 989,425,808  |   |  |  |  | $ | 762,499,568 |   |
| Net Asset Value per Unit (215,521.4035 and 212,830.6942Units outstanding in September 30, 2006 and 2005,respectively) |  |  |                   | $ | 4,590.85      |                  |  |  |      | $ | 3,582.66    |      |  |  |  | $ | 4,590.85     |   |  |  |  | $ | 3,582.66    |   |
| Net income (loss) per Unit of MemberInterest                                                                          |  |  |                   | $ | (418.63       | )                |  |  |      | $ | 666.56      |      |  |  |  | $ | 844.70       |   |  |  |  | $ | 1,808.12    |   |
|                                                                                                                       |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

SB AAA Master Fund LLC Statements ofCash Flows (Unaudited)

|                                                                                                 |  |  |                   |   |              |                  |  |  |      |   |              |      |  |  |  |   |              |   |  |  |  |   |              |   |
|-------------------------------------------------------------------------------------------------|--|--|-------------------|---|--------------|------------------|--|--|------|---|--------------|------|--|--|--|---|--------------|---|--|--|--|---|--------------|---|
|                                                                                            |  |  | ThreeMonths Ended |   |              | Nine MonthsEnded |
|                                                                                            |  |  | September30,      |   |              | September30,     |
|                                                                                            |  |  | 2006              |   |              | 2005             |  |  | 2006 |   |              | 2005 |
| Cashflows from operatingactivities:                                                             |  |  |                   |   |         |                  |  |  |      |   |         |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Net income (loss)                                                                               |  |  |                   | $ | (91,369,000  | )                |  |  |      | $ | 139,650,072  |      |  |  |  | $ | 205,156,616  |   |  |  |  | $ | 363,334,363  |   |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |  |                   |   |         |                  |  |  |      |   |         |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Changesin operating assets andliabilities:                                                      |  |  |                   |   |         |                  |  |  |      |   |         |      |  |  |  |   |         |   |  |  |  |   |         |   |
| (Increase)decrease in restrictedcash                                                            |  |  |                   |   | 13,776,190   |                  |  |  |      |   | 1,136,658    |      |  |  |  |   | (590,000     | ) |  |  |  |   | 25,617,229   |   |
| (Increase)decrease inunrealized                                                                 |  |  |                   |   |         |                  |  |  |      |   |         |      |  |  |  |   |         |   |  |  |  |   |         |   |
| appreciationon open futurespositions                                                            |  |  |                   |   | 60,252,028   |                  |  |  |      |   | (93,833,154  | )    |  |  |  |   | 260,548,395  |   |  |  |  |   | (177,595,208 | ) |
| (Increase)decrease in unrealized appreciation on open swapscontracts                            |  |  |                   |   | 82,599,653   |                  |  |  |      |   | (80,855,557  | )    |  |  |  |   | 77,511,264   |   |  |  |  |   | (190,727,792 | ) |
| (Increase)decrease in commodity options owned at fairvalue                                      |  |  |                   |   | (111,721,015 | )                |  |  |      |   | (228,252,081 | )    |  |  |  |   | (100,723,083 | ) |  |  |  |   | (293,138,332 | ) |
| (Increase)decrease in due frombrokers                                                           |  |  |                   |   | 8,081,180    |                  |  |  |      |   | (27,261,579  | )    |  |  |  |   | 2,224,161    |   |  |  |  |   | (34,890,709  | ) |
| (Increase)decrease in interestreceivable                                                        |  |  |                   |   | 490,922      |                  |  |  |      |   | (342,457     | )    |  |  |  |   | (801,656     | ) |  |  |  |   | (802,770     | ) |
| Increase(decrease) in unrealized depreciation on open futurespositions                          |  |  |                   |   | 2,295,549    |                  |  |  |      |   | —      |      |  |  |  |   | 2,295,549    |   |  |  |  |   | —      |   |
| Increase(decrease) in unrealized depreciation on open swapcontracts                             |  |  |                   |   | (78,025,246  | )                |  |  |      |   | 71,487,312   |      |  |  |  |   | (106,706,177 | ) |  |  |  |   | 165,786,368  |   |
| Increase(decrease) in commodity options written, at fairvalue                                   |  |  |                   |   | 25,302,902   |                  |  |  |      |   | 141,492,460  |      |  |  |  |   | 67,459,125   |   |  |  |  |   | 157,940,367  |   |
| Accruedexpenses:                                                                                |  |  |                   |   |         |                  |  |  |      |   |         |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Increase(decrease) in brokeragecommissions                                                      |  |  |                   |   | —      |                  |  |  |      |   | 709,836      |      |  |  |  |   | (3,198,816   | ) |  |  |  |   | 1,633,617    |   |
| Increase(decrease) inother                                                                      |  |  |                   |   | (9,957       | )                |  |  |      |   | (6,916       | )    |  |  |  |   | 4,056        |   |  |  |  |   | (662         | ) |
| Increase(decrease) in due tobrokers                                                             |  |  |                   |   | (3,891,920   | )                |  |  |      |   | 22,273,296   |      |  |  |  |   | 1,089,566    |   |  |  |  |   | 27,194,978   |   |
| Increase(decrease) in due to CGM                                                                |  |  |                   |   | —      |                  |  |  |      |   | —      |      |  |  |  |   | —      |   |  |  |  |   | (22,978      | ) |
| Net cash provided by (used in) operatingactivities                                              |  |  |                   |   | (92,218,714  | )                |  |  |      |   | (53,802,110  | )    |  |  |  |   | 404,269,000  |   |  |  |  |   | 44,328,471   |   |
|                                                                                            |  |  |                   |   |         |                  |  |  |      |   |         |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Cashflows from financingactivities:                                                             |  |  |                   |   |         |                  |  |  |      |   |         |      |  |  |  |   |         |   |  |  |  |   |         |   |
| Proceedsfrom additions                                                                          |  |  |                   |   | 43,487,021   |                  |  |  |      |   | 68,978,312   |      |  |  |  |   | 204,588,058  |   |  |  |  |   | 144,268,308  |   |
| Paymentsfor redemptions                                                                         |  |  |                   |   | (68,710,096  | )                |  |  |      |   | (18,541,906  | )    |  |  |  |   | (347,330,100 | ) |  |  |  |   | (73,415,227  | ) |
| Distributionof interest to feederfunds                                                          |  |  |                   |   | (9,340,131   | )                |  |  |      |   | (3,253,309   | )    |  |  |  |   | (26,274,105  | ) |  |  |  |   | (7,384,441   | ) |
| Netcash provided by (used in) financingactivities                                               |  |  |                   |   | (34,563,206  | )                |  |  |      |   | 47,183,097   |      |  |  |  |   | (169,016,147 | ) |  |  |  |   | 63,468,640   |   |
| Netchange in unrestrictedcash                                                                   |  |  |                   |   | (126,781,920 | )                |  |  |      |   | (6,619,013   | )    |  |  |  |   | 235,252,853  |   |  |  |  |   | 107,797,111  |   |
| Unrestrictedcash, at beginning ofperiod                                                         |  |  |                   |   | 915,783,487  |                  |  |  |      |   | 387,955,306  |      |  |  |  |   | 553,748,714  |   |  |  |  |   | 273,539,182  |   |
| Unrestrictedcash, at end ofperiod                                                               |  |  |                   | $ | 789,001,567  |                  |  |  |      | $ | 381,336,293  |      |  |  |  | $ | 789,001,567  |   |  |  |  | $ | 381,336,293  |   |
|                                                                                                 |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of LimitedPartnership Interest for the three and nine months endedSeptember  30, 2006 and 2005 were as follows:

|                                                        |  |  |                                |   |          |                              |  |  |      |   |          |      |  |  |  |   |          |   |  |  |  |   |          |   |
|--------------------------------------------------------|--|--|--------------------------------|---|----------|------------------------------|--|--|------|---|----------|------|--|--|--|---|----------|---|--|--|--|---|----------|---|
|                                                   |  |  | ThreeMonths EndedSeptember 30, |   |          | Nine MonthsEndedSeptember30, |
|                                                   |  |  | 2006                           |   |          | 2005                         |  |  | 2006 |   |          | 2005 |
| Netrealized and unrealized gains (losses)*             |  |  |                                | $ | (265.60  | )                            |  |  |      | $ | 402.70   |      |  |  |  | $ | 376.82   |   |  |  |  | $ | 1,107.30 |   |
| Interestincome                                         |  |  |                                |   | 22.43    |                              |  |  |      |   | 10.66    |      |  |  |  |   | 66.12    |   |  |  |  |   | 25.25    |   |
| Expensesand allocation to Special LimitedPartner**     |  |  |                                |   | 39.51    |                              |  |  |      |   | (91.58   | )    |  |  |  |   | (116.89  | ) |  |  |  |   | (248.52  | ) |
| Increase(decrease) for theperiod                       |  |  |                                |   | (203.66  | )                            |  |  |      |   | 321.78   |      |  |  |  |   | 326.05   |   |  |  |  |   | 884.03   |   |
| NetAsset Value per Redeemable Unit, beginning ofperiod |  |  |                                |   | 2,702.08 |                              |  |  |      |   | 1,711.99 |      |  |  |  |   | 2,172.37 |   |  |  |  |   | 1,149.74 |   |
| NetAsset Value per Redeemable Unit, end ofperiod       |  |  |                                | $ | 2,498.42 |                              |  |  |      | $ | 2,033.77 |      |  |  |  | $ | 2,498.42 |   |  |  |  | $ | 2,033.77 |   |
|                                                        |

|   |                                                                        |
|---|------------------------------------------------------------------------|
| * | IncludesPartnership commissions and Expenses allocated from theMaster. |

|    |                                                                        |
|----|------------------------------------------------------------------------|
| ** | Excludes Partnership commissions andExpenses allocated from theMaster. |

|                                                                    |  |  |  |  |        |    |  |  |  |  |        |    |  |  |  |  |        |    |  |  |  |  |        |    |
|--------------------------------------------------------------------|--|--|--|--|--------|----|--|--|--|--|--------|----|--|--|--|--|--------|----|--|--|--|--|--------|----|
| Ratiosto average netassets:***                                     |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |
| Netinvestment loss before allocation to Special LimitedPartner**** |  |  |  |  | (0.7   | )% |  |  |  |  | (3.2   | )% |  |  |  |  | (1.0   | )% |  |  |  |  | (3.4   | )% |
| Operatingexpenses                                                  |  |  |  |  | 4.2    | %  |  |  |  |  | 5.6    | %  |  |  |  |  | 4.5    | %  |  |  |  |  | 5.7    | %  |
| Allocationto Special LimitedPartner                                |  |  |  |  | (2.3   | )% |  |  |  |  | 4.5    | %  |  |  |  |  | 2.8    | %  |  |  |  |  | 14.4   | %  |
| Totalexpenses and allocation to Special LimitedPartner             |  |  |  |  | 1.9    | %  |  |  |  |  | 10.1   | %  |  |  |  |  | 7.3    | %  |  |  |  |  | 20.1   | %  |
| Totalreturn:                                                       |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |
| Totalreturn before allocation to Special LimitedPartner            |  |  |  |  | (9.8   | )% |  |  |  |  | 23.2   | %  |  |  |  |  | 18.6   | %  |  |  |  |  | 92.6   | %  |
| Allocationto Special Limited Partner                               |  |  |  |  | 2.3    | %  |  |  |  |  | (4.4   | )% |  |  |  |  | (3.6   | )% |  |  |  |  | (15.7  | )% |
| Total return after allocation toSpecial LimitedPartner             |  |  |  |  | (7.5   | )% |  |  |  |  | 18.8   | %  |  |  |  |  | 15.0   | %  |  |  |  |  | 76.9   | %  |
|                                                                    |

|     |                                                              |
|-----|--------------------------------------------------------------|
| *** | Annualized(except for allocation to Special Limited Partner) |

|      |                                                                                         |
|------|-----------------------------------------------------------------------------------------|
| **** | Interest income less total expenses(exclusive of allocation to Special Limited Partner) |

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

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

|  |  |
|--|--|
|  |  |

2.    Financial Highlights(continued)

Financial Highlights of theMaster:

|                                             |  |  |                                |   |          |                              |  |  |      |   |          |      |  |  |  |   |          |   |  |  |  |   |          |   |
|---------------------------------------------|--|--|--------------------------------|---|----------|------------------------------|--|--|------|---|----------|------|--|--|--|---|----------|---|--|--|--|---|----------|---|
|                                        |  |  | ThreeMonths EndedSeptember 30, |   |          | Nine MonthsEndedSeptember30, |
|                                        |  |  | 2006                           |   |          | 2005                         |  |  | 2006 |   |          | 2005 |
| Netrealized and unrealized gains(losses)*   |  |  |                                | $ | (459.10  | )                            |  |  |      | $ | 649.51   |      |  |  |  | $ | 725.55   |   |  |  |  | $ | 1,767.93 |   |
| Interestincome                              |  |  |                                |   | 40.96    |                              |  |  |      |   | 17.55    |      |  |  |  |   | 120.56   |   |  |  |  |   | 41.32    |   |
| Expenses**                                  |  |  |                                |   | (0.49    | )                            |  |  |      |   | (0.50    | )    |  |  |  |   | (1.41    | ) |  |  |  |   | (1.13    | ) |
| Increase(decrease) for theperiod            |  |  |                                |   | (418.63  | )                            |  |  |      |   | 666.56   |      |  |  |  |   | 844.70   |   |  |  |  |   | 1,808.12 |   |
| Distributions                               |  |  |                                |   | (40.70   | )                            |  |  |      |   | (17.39   | )    |  |  |  |   | (119.89  | ) |  |  |  |   | (40.78   | ) |
| NetAsset Value per Unit, beginning ofperiod |  |  |                                |   | 5,050.18 |                              |  |  |      |   | 2,933.49 |      |  |  |  |   | 3,866.04 |   |  |  |  |   | 1,815.32 |   |
| NetAsset Value per Unit, end ofperiod       |  |  |                                | $ | 4,590.85 |                              |  |  |      | $ | 3,582.66 |      |  |  |  | $ | 4,590.85 |   |  |  |  | $ | 3,582.66 |   |
|                                             |

|   |                               |
|---|-------------------------------|
| * | Includesbrokerage commissions |

|    |                               |
|----|-------------------------------|
| ** | Excludes brokeragecommissions |

|                                |  |  |  |  |        |    |  |  |  |  |        |    |  |  |  |  |        |   |  |  |  |  |        |    |
|--------------------------------|--|--|--|--|--------|----|--|--|--|--|--------|----|--|--|--|--|--------|---|--|--|--|--|--------|----|
| Ratiosto average netassets:*** |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |   |  |  |  |  |   |    |
| Netinvestment gain(loss)****   |  |  |  |  | 3.1    | %  |  |  |  |  | (0.1   | )% |  |  |  |  | 3.0    | % |  |  |  |  | (0.4   | )% |
| Operatingexpenses              |  |  |  |  | 0.3    | %  |  |  |  |  | 2.3    | %  |  |  |  |  | 0.4    | % |  |  |  |  | 2.5    | %  |
| Totalreturn                    |  |  |  |  | (8.3   | )% |  |  |  |  | 22.7   | %  |  |  |  |  | 21.8   | % |  |  |  |  | 99.6   | %  |
|                                |

|     |            |
|-----|------------|
| *** | Annualized |

|      |                                    |
|------|------------------------------------|
| **** | Interest income less totalexpenses |

|  |                                                                                                                 |
|--|-----------------------------------------------------------------------------------------------------------------|
|  | The above ratios may vary for individualinvestors based on the timing of capital transactions during theperiod. |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

3.    Trading Activities:

ThePartnership was formed for the purpose of trading contracts in avariety of commodity interests, including derivative financialinstruments and derivative commodity instruments. The Partnershipinvests the majority of its assets through a ‘‘masterfund/feeder fund’’ structure. The results of thePartnership's investment in the Master are shown in theStatements of Income and Expenses and Partners' Capital and arediscussed in Item 2, Management's Discussion and Analysis ofFinancial Condition and Results of Operations.

The respectiveCustomer Agreements between the Partnership and CGM and the Master andCGM give the Partnership and the Master, respectively, the legal rightto net unrealized gains and losses.

All of the commodityinterests owned by the Master are held for trading purposes. Theaverage fair values of these interests during the nine and twelvemonths ended September 30, 2006 and December 31, 2005, based on amonthly calculation, were $224,544,389 and $199,595,694, respectively.The fair values of these commodity interests, including options andswaps thereon, if applicable, at September 30, 2006 and December 31,2005 were $198,783,202 and $399,168,275, respectively. Fair values forexchange traded commodity futures and options are based on quotedmarket prices for those futures and options. Fair values for all otherfinancial instruments for which market quotations are not readilyavailable are based on calculations approved by the GeneralPartner.

4.    Financial Instrument Risks:

In thenormal course of its business, the Partnership, through its investmentin the Master, is party to financial instruments with off-balance sheetrisk, including derivative financial instruments and derivativecommodity instruments. These financial instruments may includeforwards, futures, options and swaps, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, to purchase orsell other financial instruments at specific terms at specified futuredates, or, in the case of derivative commodity instruments, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter (‘‘OTC’’).Exchange-traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange-traded instruments because of thegreater risk of default by the counterparty to an OTC contract. TheMaster's swaps contracts are OTC contracts.

Market risk isthe potential for changes in the value of the financial instrumentstraded by the Master due to market changes, including interest andforeign exchange rate movements and fluctuations in commodity orsecurity prices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange-traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. ThePartnership's/Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Partnership,through its investment in the Master, has concentration risk becausethe sole counterparty or broker with respect to the Master'sassets is CGM.

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements September 30, 2006(Unaudited)

The General Partner monitors and controlsthe Partnership's/Master's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which thePartnership/Master is subject. These monitoring systems allow theGeneral Partner to statistically analyze actual trading results withrisk adjusted performance indicators and correlation statistics. Inaddition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions.

Themajority of these instruments mature within one year of September 30,2006. However, due to the nature of thePartnership's/Master's business, these instruments may notbe held to maturity.

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Item2.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Liquidity andCapital Resources

The Partnership does not engage inthe sale of goods or services. Its only assets are its investment inthe Master and cash. The Master does not engage in the sale of goods orservices. Because of the low margin deposits normally required incommodity futures trading, relatively small price movements may resultin substantial losses to the Partnership. While substantial lossescould lead to a decrease in liquidity, no such losses occurred duringthe third quarter of 2006.

The Partnership's capitalconsists of the capital contributions of the partners as increased ordecreased by its investment in the Master, expenses, interest income,redemptions of Redeemable Units and distributions of profits, ifany.

For the nine months ended September 30, 2006, Partnershipcapital increased 4.2% from $466,873,381 to $486,272,071. Thisincrease was attributable to net income from operations of $74,609,548coupled with the addition of 14,992.5700 Redeemable Units totaling$36,568,000, which was partially offset by the redemption of35,274.6084 Redeemable Units totaling $91,778,858. Future redemptionscan impact the amount of funds available for investment in the Masterin subsequent periods.

The Master's capital consists ofthe capital contributions of the members as increased or decreased byrealized and/or unrealized gains or losses on commodity futurestrading, expenses, interest income, redemptions of Units anddistributions of profits, if any.

For the nine months endedSeptember 30, 2006, the Master's capital increased 3.7%from $954,082,152 to $989,425,808. This increase was attributable tonet income from operations of $205,156,616, coupled with the additionof 48,633.8390 Units totaling $204,588,058 which was partially offsetby the redemption of 79,897.7069. Units totaling $347,330,100 anddistributions of interest totaling $27,070,918 to the non-managingmembers of the Master. Future redemptions can impact the amount offunds available for investments in commodity contract positions insubsequent periods.

Critical AccountingPolicies

The preparation of financial statements inconformity with U.S. generally accepted accounting principles requiresmanagement to make estimates and assumptions that affect the reportedamounts of assets and liabilities, and disclosures of contingent assetsand liabilities at the date of the financial statements and thereported amounts of revenues and expenses during the reporting period.Actual results could differ from these estimates.

All commodityinterests of the Master (including derivative financial instruments andderivative commodity instruments) are used for trading purposes. Thecommodity interests are recorded on trade date and open contracts arerecorded in the statement of financial condition at fair value on thelast business day of the period, which represents market value forthose commodity interests for which market quotations are readilyavailable or other measures of fair value deemed appropriate bymanagement of the General Partner for those commodity interests andforeign currencies for which market quotations are not readilyavailable, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values on commodity interests andforeign currencies are recognized in the period in which the contractis closed or the changes occur and are included in net gains (losses)on trading of commodity interests.

The value of thePartnership's investment in the Master reflects thePartnership's proportional interest in the members' capitalof the Master. All of the income and expenses and unrealized andrealized gains and losses from the commodity transactions of the Masterare allocated pro rata among the investors at the time of suchdetermination.

Foreign currency contracts are those contractswhere the Partnership agrees to receive or deliver a fixed quantity offoreign currency for an agreed-upon price on an agreed future date.Foreign currency contracts are valued daily, and thePartnership's net equity therein, representing unrealized gain orloss 

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on the contracts as measured by thedifference between the forward foreign exchange rates at the dates ofentry into the contracts and the forward rates at the reporting dates,is included in the Statement of Financial Condition. Realized gains(losses) and changes in unrealized values on foreign currency contractsare recognized in the period in which the contract is closed or thechanges occur and are included in the Statements of Income and Expensesand Partners' Capital.

Results ofOperations

During the Partnership's thirdquarter of 2006, the Net Asset Value per Redeemable Unit decreased7.5% from $2,702.08 to $2,498.42 as compared to an increase of18.8% in the third quarter of 2005. The Partnership experienceda net trading loss before brokerage commissions and related fees in thethird quarter of 2006 of $52,771,992. Losses were primarilyattributable to the Master's trading of commodity futures inNYMEX Crude Oil, NYMEX Energy Swaps, NYMEX Gasoline, NYMEX Heating Oil,NYMEX Natural Gas, NYMEX Freight Futures, IPE Gas Oil and werepartially offset by gains in NYMEX Unleaded Gas and OTC Energy Swaps.The Partnership experienced a net trading gain before brokeragecommissions and related fees in the third quarter of 2005 of$69,495,452. Gains were primarily attributable to the Master'strading of commodity futures in IPE Gas Oil, NYMEX Natural Gas, OTCenergy swaps, and NYMEX Unleaded Gas and were partially offset bylosses in NYMEX Crude Oil and NYMEX energy swaps.

Trading in thepetroleum sector was adversely impacted by a larger than expecteddecline in oil and gasoline prices, sharp fluctuations in therelationship between prices of oil and refined products, and continuedcompression of price volatility in the sector. In natural gas trading,rising price volatility in nearby contract months coupled with priceweakness in longer dated contracts produced losses for theFund.

During the nine months ended September 30, 2006, the NetAsset Value per Redeemable Unit increased 15.0% from $2,172.37to $2,498.42 as compared to an increase of 76.9% in the sameperiod of 2005. The Partnership experienced a net trading gain beforebrokerage commissions and related fees in the nine months endedSeptember 30, 2006 of $94,746,251. Gains were primarily attributable tothe Master's trading of commodity futures in NYMEX Crude Oil,NYMEX Freight Futures, NYMEX Natural Gas, NYMEX Unleaded Gas and OTCEnergy Swaps and were partially offset by losses in NYMEX Energy Swaps,NYMEX Gasoline, NYMEX Heating Oil and IPE Gas Oil. The Partnershipexperienced a net trading gain before brokerage commissions and relatedfees in the nine months ended September 30, 2005 of $166,675,757. Gainswere primarily attributable to the Master's trading of commodityfutures in NYMEX Crude Oil, IPE Gas Oil, NYMEX Natural Gas, OTC EnergySwaps, and NYMEX Unleaded Gas and were partially offset by losses inNYMEX energy swaps, Gasoline and NYMEX Heating Oil.

Commodityfutures markets are highly volatile. The potential for broad and rapidprice fluctuations increases the risks involved in commodity trading,but also increases the possibility of profit. The profitability of thePartnership (and the Master) depends on the Advisor's ability toforecast price changes in energy and energy-related commodities. Suchprice changes are influenced by, among other things, changing supplyand demand relationships, weather, governmental, agricultural,commercial and trade programs and policies, national and internationalpolitical and economic events and changes in interest rates. To theextent that the Advisor correctly makes such forecasts, the Partnership(and the Master) expects to increase capital through operations.

Interest income on 80% of the Partnership'saverage daily equity allocated to it by the Master was earned at a30 -day U.S. Treasury bill rate determined weekly by CGM based onthe average non-competitive yield on 3- month U.S. Treasury billsmaturing in 30 days. CGM may continue to maintain the Master'sassets in cash and/or place all of the Master's assets in 90-dayTreasury bills and pay the Partnership its allocated share of80% of the interest earned on the Treasury bills purchased. CGMwill retain 20% of any interest earned on Treasury billspurchased. Interest income allocated from Master for the three and ninemonths ended September 30, 2006 increased by $2,865,101 and$10,351,852, as compared to the corresponding periods in 2005. Theincrease in interest income is primarily due to higher average netassets and an increase in interest rates during the three and ninemonths ended September 30, 2006 as compared to 2005.

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Management fees are calculated as apercentage of the Partnership's net asset value as of the end ofeach month and are affected by trading performance and redemptions.Management fees for the three and nine months ended September 30, 2006increased by $1,018,550 and $4,844,256, as compared to thecorresponding periods in 2005. The increase in management fees is dueto an increase in net assets during the three and nine months endedSeptember 30, 2006 as compared to 2005.

Administrative fees arecalculated as a percentage of the Partnership's net asset valueas of the end of each month and are affected by trading performance andredemptions. Administrative fees for the three and nine months endedSeptember 30, 2006 increased by $254,638 and $1,211,064, as compared tothe corresponding periods in 2005. The increase in administrative feesis due to an increase in net assets during the three and nine monthsended September 30, 2006 as compared to 2005.

Special LimitedPartner profit share allocations (incentive fees) are based on the newtrading profits generated by the Advisor at the end of the year, asdefined in the advisory agreements between the Partnership, the GeneralPartner and the Advisor. For the three months ended September 30, 2006there was a reversal of the accrued profit share allocation of11,642,915. The profit share allocation accrued for the nine monthsended September 30, 2006 was $15,137,747. The profit share allocationaccrued for the three and nine months ended September 30, 2005 was$13,091,139 and $31,466,233.

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

All of the Partnership'sassets are subject to the risk of trading loss through its investmentin the Master. The Master is a speculative commodity pool. The marketsensitive instruments held by it are acquired for speculative tradingpurposes, and all or substantially all of the Master's assets aresubject to the risk of trading loss. Unlike an operating company, therisk of market sensitive instruments is integral, not incidental, tothe Master's main line of business.

Market movementsresult in frequent changes in the fair value of the Master's openpositions and, consequently, in its earnings and cash flow. TheMaster'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 andthe liquidity of the markets in which it trades.

The Masterrapidly acquires and liquidates both long and short positions in arange of different markets. Consequently, it is not possible to predicthow a particular future market scenario will affect performance, andthe Master's past performance is not necessarily indicative ofits future results.

Value at Risk is a measure of the maximumamount which the Master could reasonably be expected to lose in a givenmarket sector. However, the inherent uncertainty of the Master'sspeculative trading and the recurrence in the markets traded by theMaster of market movements far exceeding expectations could result inactual trading or non-trading losses far beyond the indicated Value atRisk or the Master's experience to date (i.e., ‘‘riskof ruin’’). In light of the foregoing as well as the risksand uncertainties intrinsic to all future projections, the inclusion ofthe quantification in this section should not be considered toconstitute any assurance or representation that the Master'slosses in any market sector will be limited to Value at Risk or by theMaster's attempts to manage its market risk.

Exchangemaintenance margin requirements have been used by the Master as themeasure of its Value at Risk. Maintenance margin requirements are setby exchanges to equal or exceed the maximum losses reasonably expectedto be incurred in the fair value of any given contract in95%-99% of any one-day interval. Maintenance margin hasbeen used rather than the more generally available initial margin,because initial margin includes a credit risk component, which is notrelevant to Value at Risk.

The following table indicates thetrading Value at Risk associated with the Master's open positionsby market category as of September 30, 2006 and the highest, lowest andaverage value during the three months ended September 30, 2006. Allopen position trading risk exposures of the Master have been includedin calculating the figures set forth below. As of September 30, 2006,the Master's total capitalization was $989,425,808. There hasbeen no material change in the trading Value at Risk informationpreviously disclosed in the Partnership's Annual Report on Form10-K for the year ended December 31, 2005.

September 30,2006(Unaudited)

|              |  |  |               |   |            |                         |  |  |                                     |  |      |                  |  |  |                      |   |            |  |  |  |  |   |            |  |  |  |  |   |            |  |
|--------------|--|--|---------------|---|------------|-------------------------|--|--|-------------------------------------|--|------|------------------|--|--|----------------------|---|------------|--|--|--|--|---|------------|--|--|--|--|---|------------|--|
|         |  |  |          |   |            |                    |  |  | ThreeMonths Ended September 30,2006 |
| MarketSector |  |  | Value at Risk |   |            | % ofTotalCapitalization |  |  | HighValue atRisk                    |  |      | LowValue at Risk |  |  | AverageValue atRisk* |
| Energy       |  |  |               | $ | 80,290,980 |                         |  |  |                                     |  | 8.11 | %                |  |  |                      | $ | 85,359,642 |  |  |  |  | $ | 52,516,591 |  |  |  |  | $ | 67,201,456 |  |
| EnergySwaps  |  |  |               |   | 4,720,046  |                         |  |  |                                     |  | 0.48 | %                |  |  |                      |   | 4,720,046  |  |  |  |  |   | 4,130,046  |  |  |  |  |   | 4,326,713  |  |
| Total        |  |  |               | $ | 85,011,026 |                         |  |  |                                     |  | 8.59 | %                |  |  |                      |   |       |  |  |  |  |   |       |  |  |  |  |   |       |  |
|              |

|  |
|--|
|  |  |
|  |

|  |                                 |
|--|---------------------------------|
|  | *Average monthly Values at Risk |

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Item 4.    Controls and Procedures

The General Partner of the Partnership, with the participation ofthe General Partner's Chief Executive Officer and Chief FinancialOfficer, has evaluated the effectiveness of the design and operation ofits disclosure controls and procedures (as defined in Rules 13a-15(e)and 15d-15(e) of the Exchange Act) with respect to the Partnership asof the end of the period covered by the report, and, based on thisevaluation, has concluded that these disclosure controls and proceduresare effective. There was no change in the Partnership's internalcontrol over financial reporting during the period covered by thisreport that has materially affected, or is reasonably likely tomaterially affect, the Partnership's internal control overfinancial reporting.

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PART II.OTHER INFORMATION

Item 1.    Legal Proceedings

Thefollowing information supplements and amends our discussion set forthunder Part I, Item 3 ‘‘Legal Proceedings’’ inour Annual Report on Form 10-K for the fiscal year ended December 31,2005 and under Part II, Item 1, ‘‘LegalProceedings’’ in the Partnership's Quarterly Reporton Form 10-Q for the quarters ended March 31, 2006 and June 30,2006.

Enron Corp.

In light of the settlement of thesecurities class action (Newby, et al. v. Enron Corp., et al.),the plaintiffs have agreed to dismiss the following lawsuits againstCitigroup and its affiliates: California Public Employees'Retirement System v. Banc of America Securities LLC, et al., HeadwatersCapital LLC v. Lay et al., and Variable Annuity Life Ins. Co. v.Credit Suisse First Boston Corp., et al. Plaintiffs in two othercases, which are not part of the Newby class, have alsovoluntarily dismissed their claims against Citigroup and itsaffiliates: Steiner v. Enron Corp., et al. and Town of NewHartford v. Lay, et al.

Research

On August 17,2006, the United States District Court for the Southern District of NewYork approved the class action settlement of Citigroup and itsaffiliates in In Re Salomon Analyst AT&T Litigation, and onSeptember 29, 2006 that same court approved the class actionsettlements in In Re Salomon Analyst Level 3 Litigation, In ReSalomon Analyst XO Litigation and In Re Salomon Analyst WilliamsLitigation. 

On September 14, 2006, Citigroup and itsaffiliates settled all claims in Sturm, et al. v. Citigroup, etal. The settlement was covered by existing reserves.

OnOctober 6, 2006, the United States Court of Appeals granted a review ofthe district court's decision certifying a plaintiff class inIn Re Salomon Analyst Metromedia Litigation.

AdelphiaCommunications Corporation

Defendant banks in In Re AdelphiaCommunications Corporation Securities and Derivative Litigation,including the Citigroup Parties, have entered into settlementagreements with the Los Angeles County Employees Retirement Associationand with The Division of Investment of the New Jersey Department ofTreasury. The Citigroup Parties' share of the settlement wascovered by existing reserves. 

Item 1A.    Risk Factors

There are no material changes from the risk factors set forth underPart I, Item 1A. ‘‘Risk Factors’’ in our AnnualReport on Form 10-K for the fiscal year ended December 31,2005.

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Table of Contents

Item 2.    Unregistered Sales of EquitySecurities and Use of Proceeds

For the three monthsended September 30, 2006 there were additional sales of 5,920.6241Redeemable Units totaling $15,998,000. The Redeemable Units were issuedin reliance upon applicable exemptions from registration under Section4(2) of the Securities Act of 1933, as amended, and Section 506 ofRegulation D promulgated thereunder.

The followingchart sets forth the purchases of Redeemable Units by thePartnership.

|                                           |  |  |                                     |  |             |                                  |  |  |                                                                                    |  |  |                                                                                                              |  |     |  |  |  |  |  |     |  |
|-------------------------------------------|--|--|-------------------------------------|--|-------------|----------------------------------|--|--|------------------------------------------------------------------------------------|--|--|--------------------------------------------------------------------------------------------------------------|--|-----|--|--|--|--|--|-----|--|
| Period                                    |  |  | (a)Total Number of Units Purchased* |  |             | (b) Average Price Paidper Unit** |  |  | (c) Total Number of Units Purchased asPart of Publicly Announced Plans or Programs |  |  | (d)Maximum Number (or Approximate Dollar Value) of Units thatMay Yet Be Purchased Under the Plans orPrograms |
| July 1, 2006–July 31,2006           |  |  |                                     |  | 3,412.8033  |                                  |  |  | 2,606.74                                                                           |  |  |                                                                                                              |  | N/A |  |  |  |  |  | N/A |  |
| August1, 2006 –August 31,2006       |  |  |                                     |  | 2,258.9076  |                                  |  |  | 2,482.92                                                                           |  |  |                                                                                                              |  | N/A |  |  |  |  |  | N/A |  |
| September1, 2006 –September 30,2006 |  |  |                                     |  | 7,443.1567  |                                  |  |  | 2,498.42                                                                           |  |  |                                                                                                              |  | N/A |  |  |  |  |  | N/A |  |
|                                      |  |  |                                     |  | 13,114.8676 |                                  |  |  | 2,529.36                                                                           |  |  |                                                                                                              |  | N/A |  |  |  |  |  | N/A |  |
|                                           |

|  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | *Generally, Limited Partners are permitted to redeem their RedeemableUnits as of the end of each month on 10 days' notice to theGeneral Partner. Under certain circumstances, the General Partner cancompel redemption but to date, the General Partner has not exercisedthis right. Purchases of Redeemable Units by the Partnership reflectedin the chart above were made in the ordinary course of thePartnership's business in connection with effecting redemptionsfor Limited Partners. |

|  |                                                                                                                                           |
|--|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | ** Redemptions of RedeemableUnits are effected as of the last day of each month at the Net AssetValue per Redeemable Unit as of that day. |

Item3.    Defaults Upon Senior Securities – None

Item 4.    Submission of Matters to a Vote of SecurityHolders

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | On or about July 10, 2006,the General Partner mailed to all Limited Partners a Proxy Statementpursuant to Section 14(a) of the Securities Exchange Act of 1934, asamended, soliciting the approval by the Limited Partners of anamendment to the Limited Partnership Agreement of the Partnership,dated as of March 25, 2002, by and among the General Partner, theAdvisor, David J. Vogel and the other Limited Partners (the‘‘Limited Partnership Agreement’’) to theeffect that the profit share allocation due to the Advisor, as speciallimited partner of the Partnership, be made quarterly rather thanannually. As of September 30, 2006, 81,116.9330 units had been votedfor the amendment; 19,638.5636 units had been voted against theamendment; votes on 100,738.0029 units had been withheld and holders of331.7593 units had abstained. The Limited Partnership Agreementrequires that Limited Partners owning more than 50% of the unitsoutstanding approve the amendment. Voting remains open as of September30, 2006. |

Item 5.    Other Information –None

Item 6.    Exhibits

|        |                                                                                                                                                                                                                 |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The exhibits required to be filed by Item 601of Regulation S-K are incorporated herein by reference to the exhibitindex of the Partnership's Annual Report on Form 10-K for theperiod ended December  31, 2005. |

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

Exhibit – 31.2 – Rule13a-14(a)/15d-14(a) Certification (Certification of Chief FinancialOfficer and Director).

Exhibit – 32.1– Section 1350 Certification (Certification of President andDirector).

Exhibit – 32.2 –Section 1350 Certifications (Certification of Chief Financial Officerand Director).

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SIGNATURES

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

SALOMON SMITH BARNEY AAA ENERGY FUND L.P.II

|        |  |  |                                                    |
|--------|--|--|----------------------------------------------------|
| By:    |  |  | CitigroupManaged Futures LLC                       |
|   |  |  | (General Partner)                                  |
| By:    |  |  | /s/David J. Vogel                                  |
|   |  |  | David J. Vogel Presidentand Director               |
| Date:  |  |  | November14, 2006                                   |
| By:    |  |  | /s/Jennifer Magro                                  |
|   |  |  | Jennifer Magro ChiefFinancial Officer and Director |
| Date:  |  |  | November14, 2006                                   |
|        |

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