Table of Contents

FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

(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 March 31, 2006

Commission File Number 0-50272

SALOMON SMITHBARNEY 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.) |
|                                                              |

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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SALOMON SMITHBARNEY AAA ENERGY FUND L.P. II

FORM10-Q

INDEX

|                                |  |                                                                                                                      |        |                                      |        |        |  |  |  |  |
|--------------------------------|--|----------------------------------------------------------------------------------------------------------------------|--------|--------------------------------------|--------|--------|--|--|--|--|
|                           |  |                                                                                                                 |        | PageNumber                           |
| PART I - FinancialInformation: |  |                                                                                                                 |   |                                 |
|                           |  |                                                                                                                 |        |                                 |   |   |
|     Item1. |  | FinancialStatements:                                                                                                 |        |                                 |   |   |
|                           |  | Statements of FinancialCondition at March 31, 2006 and December 31, 2005(unaudited)                                  |        | 3                                    |
|                           |  | Statements of Income and Expenses and Partners'Capital for the three months ended March 31, 2006 and 2005(unaudited) |        | 4                                    |
|                           |  | Statements of CashFlows for the three months ended March 31, 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 of Operations                                 |        |     16– 18 |
|     Item3. |  | Quantitative and Qualitative Disclosures about MarketRisk                                                            |        | 19                                   |
|     Item4. |  | Controls and Procedures                                                                                              |        | 20                                   |
| PARTII - OtherInformation      |  | 21                                                                                                                   |
|                                |

2

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Table of Contents

PART I

Item 1.Financial Statements

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

|                                                                                                                                          |  |              |             |                 |  |        |             |        |  |  |
|------------------------------------------------------------------------------------------------------------------------------------------|--|--------------|-------------|-----------------|--|--------|-------------|--------|--|--|
|                                                                                                                                     |  | March31,2006 |             | December31,2005 |
| Assets:                                                                                                                                  |  |         |        |            |  |   |        |   |
| Investmentin the Master, at fairvalue                                                                                                    |  | $            | 596,618,663 |            |  | $      | 500,832,721 |   |
| Cash                                                                                                                                     |  |         | 93,183      |            |  |   | 26,541      |   |
|                                                                                                                                     |  | $            | 596,711,846 |            |  | $      | 500,859,262 |   |
| Liabilitiesand Partners'Capital:                                                                                                         |  |         |        |            |  |   |        |   |
| Liabilities:                                                                                                                             |  |         |        |            |  |   |        |   |
| Accruedexpenses:                                                                                                                         |  |         |        |            |  |   |        |   |
| Commissions                                                                                                                              |  | $            | 2,081,807   |            |  | $      | —     |   |
| Managementfees                                                                                                                           |  |         | 990,941     |            |  |   | 850,749     |   |
| Adminstrativefees                                                                                                                        |  |         | 247,735     |            |  |   | 212,687     |   |
| Other                                                                                                                                    |  |         | 65,417      |            |  |   | 14,883      |   |
| Due to Special LimitedPartner                                                                                                            |  |         | 22,248,055  |            |  |   | —     |   |
| Redemptionspayable                                                                                                                       |  |         | 6,742,061   |            |  |   | 32,907,562  |   |
|                                                                                                                                     |  |         | 32,376,016  |            |  |   | 33,985,881  |   |
| Partners'Capital:                                                                                                                        |  |         |        |            |  |   |        |   |
| General Partner,2,501.2826 Unit equivalents outstanding in 2006 and2005                                                                  |  |         | 6,491,604   |            |  |   | 5,433,711   |   |
| SpecialLimited Partner, 4,111.1273 Redeemable Units of Limited PartnershipInterest outstanding in 2006 and 2005                          |  |         | 10,669,650  |            |  |   | 8,930,890   |   |
| LimitedPartners, 210,832.2466 and 208,301.6497 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005,respectively |  |         | 547,174,576 |            |  |   | 452,508,780 |   |
|                                                                                                                                     |  |         | 564,335,830 |            |  |   | 466,873,381 |   |
|                                                                                                                                     |  | $            | 596,711,846 |            |  | $      | 500,859,262 |   |
|                                                                                                                                          |

SeeAccompanying Notes to Financial Statements.

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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 EndedMarch31, |             |    |
|                                                           |  | 2006                      |             | 2005    |  |   |
| Income:                                                        |  |                      |        |    |  |   |        |    |  |   |   |   |
| Realizedgains on closed positions fromMaster                   |  | $                         | 196,996,432 |    |  | $      | 11,856,999  |    |  |   |   |   |
| Changein unrealized gains (losses) on open positionsfromMaster |  |                      | (78,502,116 | )  |  |   | 37,234,390  |    |  |   |   |   |
| Interestincome allocated fromMaster                            |  |                      | 4,275,656   |    |  |   | 774,999     |    |  |   |   |   |
| Expensesallocated fromMaster                                   |  |                      | (540,351    | )  |  |   | (1,233,536  | )  |  |   |   |   |
|                                                           |  |                      | 122,229,621 |    |  |   | 48,632,852  |    |  |   |   |   |
| Expenses:                                                      |  |                      |        |    |  |   |        |    |  |   |   |   |
| Commissions                                                    |  |                      | 3,127,389   |    |  |   | —     |    |  |   |   |   |
| Managementfees                                                 |  |                      | 2,828,614   |    |  |   | 859,952     |    |  |   |   |   |
| Administrativefees                                             |  |                      | 707,153     |    |  |   | 214,987     |    |  |   |   |   |
| Otherexpenses                                                  |  |                      | 50,533      |    |  |   | 36,280      |    |  |   |   |   |
|                                                           |  |                      | 6,713,689   |    |  |   | 1,111,219   |    |  |   |   |   |
| Netincome before allocation to Special LimitedPartner          |  |                      | 115,515,932 |    |  |   | 47,521,633  |    |  |   |   |   |
| Allocationto Special LimitedPartner                            |  |                      | (22,248,055 | )  |  |   | (9,349,327  | )  |  |   |   |   |
| Netincome after allocation to Special LimitedPartner           |  |                      | 93,267,877  |    |  |   | 38,172,306  |    |  |   |   |   |
| Additions– LimitedPartners                               |  |                      | 19,697,000  |    |  |   | 36,875,000  |    |  |   |   |   |
| Redemptions– LimitedPartners                             |  |                      | (15,502,428 | )  |  |   | (3,941,428  | )  |  |   |   |   |
| Netincrease in Partners'capital                                |  |                      | 97,462,449  |    |  |   | 71,105,878  |    |  |   |   |   |
| Partners'capital, beginning ofperiod                           |  |                      | 466,873,381 |    |  |   | 118,023,217 |    |  |   |   |   |
| Partners'capital, end ofperiod                                 |  | $                         | 564,335,830 |    |  | $      | 189,129,095 |    |  |   |   |   |
| Netasset value per RedeemableUnit                              |  |                      |        |    |  |   |        |    |  |   |   |   |
| (217,444.6565 and130,421.5316 Unitsoutstanding                 |  |                      |        |    |  |   |        |    |  |   |   |   |
| at March 31,2006 and 2005,respectively)                        |  | $                         | 2,595.31    |    |  | $      | 1,450.14    |    |  |   |   |   |
|                                                           |  |                      |        |    |  |   |        |    |  |   |   |   |
| Netincome per Redeemable Unit of LimitedPartnership            |  |                      |        |    |  |   |        |    |  |   |   |   |
| Interest and General Partner Unitequivalent                    |  | $                         | 422.94      |    |  | $      | 300.40      |    |  |   |   |   |
|                                                           |  |                      |        |    |  |   |        |    |  |   |   |   |
|                                                           |  |                      |        |    |  |   |        |    |  |   |   |   |
|                                                                |

SeeAccompanying Notes to Financial Statements.

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

|                                                                                                  |  |                           |              |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|---------------------------|--------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | ThreeMonths EndedMarch31, |
|                                                                                             |  | 2006                      |              | 2005    |
| Cashflows from operating activities:                                                             |  |                      |         |    |  |   |        |    |
| Netincome                                                                                        |  | $                         | 93,267,877   |    |  | $      | 38,172,306  |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |                      |         |    |  |   |        |    |
| Changes inoperating assets and liabilities:                                                      |  |                      |         |    |  |   |        |    |
| Purchase ofinvestment inMaster                                                                   |  |                      | (58,627,890  | )  |  |   | (38,583,907 | )  |
| Proceedsfrom sale of investment inMaster                                                         |  |                      | 79,671,512   |    |  |   | 5,953,647   |    |
| Netunrealized appreciation (depreciation) on investmentinMaster                                  |  |                      | (116,829,564 | )  |  |   | (47,875,878 | )  |
| Accruedexpenses:                                                                                 |  |                      |         |    |  |   |        |    |
| Increase (decrease) in commissionsfees                                                           |  |                      | 2,081,807    |    |  |   | —     |    |
| Increase(decrease) in managementfees                                                             |  |                      | 140,192      |    |  |   | 137,335     |    |
| Increase(decrease) in administrativefees                                                         |  |                      | 35,048       |    |  |   | 34,334      |    |
| Increase(decrease) inother                                                                       |  |                      | 50,534       |    |  |   | 36,280      |    |
| Increase(decrease) in due to Special LimitedPartner                                              |  |                      | 22,248,055   |    |  |   | 9,349,327   |    |
| Netcash provided by (used in) operatingactivities                                                |  |                      | 22,037,571   |    |  |   | (32,776,556 | )  |
| Cashflows from financing activities:                                                             |  |                      |         |    |  |   |        |    |
| Proceedsfrom additions – LimitedPartners                                                   |  |                      | 19,697,000   |    |  |   | 36,875,000  |    |
| Paymentsfor redemptions – LimitedPartners                                                  |  |                      | (41,667,929  | )  |  |   | (4,046,487  | )  |
| Netcash provided by financingactivities                                                          |  |                      | (21,970,929  | )  |  |   | 32,828,513  |    |
| Netchange incash                                                                                 |  |                      | 66,642       |    |  |   | 51,957      |    |
| Cash, atbeginning ofperiod                                                                       |  |                      | 26,541       |    |  |   | 50,403      |    |
| Cash,at end ofperiod                                                                             |  | $                         | 93,183       |    |  | $      | 102,360     |    |
|                                                                                                  |

SeeAccompanying Notes to FinancialStatements.

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements March 31, 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 of any kind. In addition, the Partnership mayenter into swap contracts on energy-related products. During theinitial offering period (May 31, 2002 through July 1, 2002), thePartnership sold 93,975 redeemable units of Limited PartnershipInterest ("Redeemable Units"). ThePartnership commenced trading on July 1, 2002.

Citigroup ManagedFutures LLC acts as the General Partner (the "GeneralPartner") of the Partnership and the managing member ofthe Master, as defined below. The Partnership's/Master'scommodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

Effective July 1, 2002,the Partnership allocated all of its capital to SB AAA Master Fund LLC,a New 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, Inc. (the"Advisor") using the Energy Program –Futures and Swaps, the Advisor's proprietary trading program, toinvest together in one trading vehicle. In addition, the Advisor is aspecial limited partner of the Partnership. Principals of theMaster's Advisor used to be employees of Smith Barney andassociated persons of CGM. Individual and pooled accounts currentlymanaged by the Advisor, including the Partnership (collectively, the"Feeder Funds"), are permitted to benon-managing members of the Master. The General Partner and the Advisorbelieve that trading through this master/feeder structure shouldpromote efficiency and economy in the trading process. Expenses toinvestors as a result of the investment in the Master are approximatelythe same and redemption rights are not affected. The Master may tradecommodity futures and options contracts of any kind, but trades solelyenergy and energy-related products. In addition, the Master may enterinto swap contracts or trade in energy-related products. The commodityinterests that are traded by the Master are volatile and involve a highdegree of market risk.

As of March 31, 2006, the Partnershipowned approximately 53.2% of the Master. It is thePartnership's intention to continue to invest substantially allof its assets in the Master. The performance of the Partnership isdirectly affected by the performance of the Master. The Master'sStatements of Financial Condition, Statements of Income and Expensesand Members' Capital, Condensed Schedules of Investments andStatements of Cash Flows are included herein.

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 March 31, 2006 and December31, 2005 and the results of its operations and cash flows for the threemonths ended March 31, 2006 and 2005. These financial statementspresent the results of interim periods and do not include alldisclosures normally provided in annual financial statements. Youshould read these financial statements together with the financialstatements and notes included in the Partnership's Annual Reporton Form 10-K filed with the Securities and Exchange Commission for theyear ended December 31, 2005.

Prior to January 1, 2006,round-turn commissions were borne at the master level and allocateddown to the feeder funds based on each fund's ownership.Effective January 1, 2006, round-turn commissions are borne by thePartnership consistent with contractual agreements.

Due to thenature of commodity trading, the results of operations for the interimperiods presented should not be considered indicative of the resultsthat may be expected for the entire year.

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements March 31, 2006(Unaudited)

The Master's Statements of FinancialCondition and Condensed Schedules of Investments as of March 31, 2006and December 31, 2005 and Statements of Income and Expenses andMembers' Capital and Statements of Cash Flows for the threemonths ended March 31, 2006 and 2005 are presented below:

SBAAA Master Fund LLCStatements of FinancialCondition(Unaudited)

|                                                                                                |  |              |               |                  |  |        |               |        |  |  |
|------------------------------------------------------------------------------------------------|--|--------------|---------------|------------------|--|--------|---------------|--------|--|--|
|                                                                                           |  | March31,2006 |               | December 31,2005 |
| Assets:                                                                                        |  |         |          |             |  |   |          |   |
| Equityin commodity futures tradingaccount:                                                     |  |         |          |             |  |   |          |   |
| Cash (restricted$153,673,668 and $4,130,046, respectively)                                     |  | $            | 882,492,973   |             |  | $      | 557,878,760   |   |
| Net unrealizedappreciation on open futures positions                                           |  |         | 211,062,527   |             |  |   | 260,548,395   |   |
| Unrealized appreciation onopen swaps contracts                                                 |  |         | 232,602,604   |             |  |   | 193,692,178   |   |
| Commodity options owned, atfair value (cost $126,062,454 and $129,024,667,respectively)        |  |         | 116,240,841   |             |  |   | 225,052,075   |   |
|                                                                                           |  |         | 1,442,398,945 |             |  |   | 1,237,171,408 |   |
| Due frombrokers                                                                                |  |         | 13,340,550    |             |  |   | 14,310,966    |   |
| Interestreceivable                                                                             |  |         | 3,390,890     |             |  |   | 1,813,732     |   |
|                                                                                           |  |         |          |             |  |   |          |   |
|                                                                                           |  | $            | 1,459,130,385 |             |  | $      | 1,253,296,106 |   |
| Liabilities and Members'Capital:                                                               |  |         |          |             |  |   |          |   |
| Liabilities:                                                                                   |  |         |          |             |  |   |          |   |
| Unrealizeddepreciation on open swap contracts                                                  |  | $            | 179,361,136   |             |  | $      | 165,265,325   |   |
| Commodity options written, atmarket value (premium $150,210,437 and $147,363,753,respectively) |  |         | 139,367,599   |             |  |   | 114,859,048   |   |
| Accruedexpenses:                                                                               |  |         |          |             |  |   |          |   |
| Commissions                                                                                    |  |         | —       |             |  |   | 3,198,816     |   |
| Professionalfees                                                                               |  |         | 249,768       |             |  |   | 143,268       |   |
| Due tobrokers                                                                                  |  |         | 14,382,200    |             |  |   | 13,948,544    |   |
| DistributionPayable                                                                            |  |         | 3,374,747     |             |  |   | 1,798,953     |   |
|                                                                                           |  |         | 336,735,450   |             |  |   | 299,213,954   |   |
| Members'Capital:                                                                               |  |         |          |             |  |   |          |   |
| Members'Capital, 232,919.5565 and 246,785.2714 Unitsoutstanding in 2006and 2005, respectively  |  |         | 1,122,394,935 |             |  |   | 954,082,152   |   |
|                                                                                           |  | $            | 1,459,130,385 |             |  | $      | 1,253,296,106 |   |
|                                                                                                |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements March 31, 2006(Unaudited)

SB AAA Master Fund LLCCondensedSchedule of InvestmentsMarch 31,2006(Unaudited)

|                                         |  |                   |        |            |  |                     |              |         |  |        |        |         |  |  |
|-----------------------------------------|--|-------------------|--------|------------|--|---------------------|--------------|---------|--|--------|--------|---------|--|--|
|                                    |  | NumberofContracts |        | Fair Value |  | % ofMembers'Capital |
| FuturesContractsPurchased               |  |              |   |       |  |                |         |    |  |   |   |    |
| Energy                                  |  |              |   |       |  | $                   | 167,808,142  |    |  |   | 14.95  | %  |
|                                    |  |              |   |       |  |                |         |    |  |   |   |    |
| FuturesContractsSold                    |  |              |   |       |  |                |         |    |  |   |   |    |
| Energy                                  |  |              |   |       |  |                | 43,254,385   |    |  |   | 3.85   |    |
| Totalfuturescontracts                   |  |              |   |       |  |                | 211,062,527  |    |  |   | 18.80  |    |
| OptionsOwned                            |  |              |   |       |  |                |         |    |  |   |   |    |
| Energy                                  |  |              |   |       |  |                | 116,240,841  |    |  |   | 10.36  |    |
|                                    |  |              |   |       |  |                |         |    |  |   |   |    |
| OptionsWritten                          |  |              |   |       |  |                |         |    |  |   |   |    |
| Energy                                  |  |              |   |       |  |                |         |    |  |   |   |    |
| NYMEXNatural Gas May 06 – Jan.07  |  |              | 8,495  |       |  |                | (58,730,010  | )  |  |   | (5.23  | )  |
| Other                                   |  |              |   |       |  |                | (80,637,589  | )  |  |   | (7.18  | )  |
| Totaloptionswritten                     |  |              |   |       |  |                | (139,367,599 | )  |  |   | (12.41 | )  |
|                                    |  |              |   |       |  |                |         |    |  |   |   |    |
| UnrealizedAppreciation on SwapContracts |  |              |   |       |  |                |         |    |  |   |   |    |
| Energy                                  |  |              |   |       |  |                | 232,602,604  |    |  |   | 20.72  |    |
| UnrealizedDepreciation on SwapContracts |  |              |   |       |  |                |         |    |  |   |   |    |
| Energy                                  |  |              |   |       |  |                | (179,361,136 | )  |  |   | (15.98 | )  |
|                                    |  |              |   |       |  |                |         |    |  |   |   |    |
| TotalEnergy FairValue                   |  |              |   |       |  | $                   | 241,177,237  |    |  |   | 21.49  | %  |
|                                         |

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

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements March 31, 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 | )  |
| Totaldepreciation 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 March 31, 2006(Unaudited)

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

|                                                                                                                  |  |                           |               |         |  |        |             |         |  |  |
|------------------------------------------------------------------------------------------------------------------|--|---------------------------|---------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                             |  | Three MonthsEndedMarch31, |
|                                                                                                             |  | 2006                      |               | 2005    |
| Income:                                                                                                          |  |                      |          |    |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                                                              |  |                      |          |    |  |   |        |    |
| Realized gainson closed positions                                                                                |  | $                         | 378,831,347   |    |  | $      | 29,816,228  |    |
| Change in unrealized gains(losses) on openpositions                                                              |  |                      | (152,182,141  | )  |  |   | 89,695,707  |    |
|                                                                                                             |  |                      | 226,649,206   |    |  |   | 119,511,935 |    |
| Interest income                                                                                                  |  |                      | 8,340,139     |    |  |   | 1,940,110   |    |
|                                                                                                             |  |                      | 234,989,345   |    |  |   | 121,452,045 |    |
| Expenses:                                                                                                        |  |                      |          |    |  |   |        |    |
| Brokeragecommissions including clearing fees of $534,660 and $317,204,respectively                               |  |                      | 925,949       |    |  |   | 2,941,658   |    |
| ProfessionalFees                                                                                                 |  |                      | 106,500       |    |  |   | 54,524      |    |
|                                                                                                             |  |                      | 1,032,449     |    |  |   | 2,996,182   |    |
| Net income                                                                                                       |  |                      | 233,956,896   |    |  |   | 118,455,863 |    |
| Additions                                                                                                        |  |                      | 138,178,694   |    |  |   | 43,025,479  |    |
| Redemptions                                                                                                      |  |                      | (195,528,305  | )  |  |   | (18,223,345 | )  |
| Distribution of Interest to feederfunds                                                                          |  |                      | (8,294,502    | )  |  |   | (1,896,639  | )  |
| Net increase in MembersInterest                                                                                  |  |                      | 168,312,783   |    |  |   | 141,361,358 |    |
| Members' capital, beginning ofperiod                                                                             |  |                      | 954,082,152   |    |  |   | 336,495,535 |    |
| Members' capital, end ofperiod                                                                                   |  | $                         | 1,122,394,935 |    |  | $      | 477,856,893 |    |
| Net asset value perUnit(232,919.5565 and 198,146.0961 Units outstanding in March31, 2006 and 2005, respectively) |  | $                         | 4,818.81      |    |  | $      | 2,411.64    |    |
|                                                                                                             |  |                      |          |    |  |   |        |    |
| Net income per Unit ofMember Interest                                                                            |  | $                         | 987.86        |    |  | $      | 606.03      |    |
|                                                                                                             |  |                      |          |    |  |   |        |    |
|                                                                                                                  |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements March 31, 2006(Unaudited)

SB AAA Master Fund LLC Statements ofCash Flows (Unaudited)

|                                                                                           |  |                            |              |         |  |        |              |         |  |  |
|-------------------------------------------------------------------------------------------|--|----------------------------|--------------|---------|--|--------|--------------|---------|--|--|
|                                                                                      |  | Three Months EndedMarch31, |
|                                                                                      |  | 2006                       |              | 2005    |
| Cashflows from operating activities:                                                      |  |                       |         |    |  |   |         |    |
| NetIncome                                                                                 |  | $                          | 233,956,896  |    |  | $      | 118,455,863  |    |
| Adjustments to reconcile net income to netcash provided by (used in) operatingactivities: |  |                       |         |    |  |   |         |    |
| Changes in operatingassets and liabilities:                                               |  |                       |         |    |  |   |         |    |
| (Increase) decreasein restricted cash                                                     |  |                       | (149,543,622 | )  |  |   | 26,027,275   |    |
| (Increase) decrease in netunrealized                                                      |  |                       |         |    |  |   |         |    |
| appreciation on open futurespositions                                                     |  |                       | 49,485,868   |    |  |   | (44,623,397  | )  |
| (Increase) decrease in unrealized appreciation on openswaps contracts                     |  |                       | (38,910,426  | )  |  |   | (125,388,061 | )  |
| (Increase) decrease in commodity options owned at fairvalue                               |  |                       | 108,811,234  |    |  |   | (55,735,459  | )  |
| (Increase) decrease in due frombrokers                                                    |  |                       | 970,416      |    |  |   | (4,882,328   | )  |
| (Increase) decrease in interestreceivable                                                 |  |                       | (1,577,158   | )  |  |   | (375,901     | )  |
| Increase (decrease) in unrealized depreciation on openswap contracts                      |  |                       | 14,095,811   |    |  |   | 109,150,371  |    |
| Increase (decrease) in commodity options written, atfair value                            |  |                       | 24,508,551   |    |  |   | 7,299,284    |    |
| Accruedexpenses:                                                                          |  |                       |         |    |  |   |         |    |
| Increase (decrease) incommissions                                                         |  |                       | (3,198,816   | )  |  |   | 975,855      |    |
| Increase (decrease) in professionalfees                                                   |  |                       | 106,500      |    |  |   | 54,524       |    |
| Increase (dcrease) in due tobrokers                                                       |  |                       | 433,656      |    |  |   | 4,233,539    |    |
| Increase (decrese) in due toCGM                                                           |  |                       | —      |    |  |   | (22,978      | )  |
| Net cash provided by (used in) operatingactivities                                        |  |                       | 239,138,910  |    |  |   | 35,168,587   |    |
| Cash flows from financingactivities:                                                      |  |                       |         |    |  |   |         |    |
| Proceeds from additions                                                                   |  |                       | 138,178,694  |    |  |   | 43,025,479   |    |
| Paymentsfor redemptions                                                                   |  |                       | (195,528,305 | )  |  |   | (18,223,345  | )  |
| Distribution of interest to feederfunds                                                   |  |                       | (6,718,708   | )  |  |   | (1,521,988   | )  |
| Net cash provided by (used in) financingactivities                                        |  |                       | (64,068,319  | )  |  |   | 23,280,146   |    |
| Net change in cash                                                                        |  |                       | 175,070,591  |    |  |   | 58,448,733   |    |
| Unrestricted cash, atbeginning of period                                                  |  |                       | 553,748,714  |    |  |   | 273,539,182  |    |
| Unrestricted cash, at end ofperiod                                                        |  | $                          | 728,819,305  |    |  | $      | 331,987,915  |    |
|                                                                                           |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements March 31, 2006(Unaudited)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit for the three monthsended March  31, 2006 and 2005 were as follows:

|                                                                          |  |                           |          |         |  |        |          |         |  |  |
|--------------------------------------------------------------------------|--|---------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                                                     |  | ThreeMonths EndedMarch31, |
|                                                                     |  | 2006                      |          | 2005    |
| Netrealized and unrealized gains*                                        |  | $                         | 520.95   |    |  | $      | 376.84   |    |
| Interestincome                                                           |  |                      | 19.37    |    |  |   | 6.10     |    |
| Expenses andallocation to Special Limited Partner**                      |  |                      | (117.38  | )  |  |   | (82.54   | )  |
| Increasefor the period                                                   |  |                      | 422.94   |    |  |   | 300.40   |    |
| NetAsset Value per Redeemable Unit, beginning ofperiod                   |  |                      | 2,172.37 |    |  |   | 1,149.74 |    |
| NetAsset Value per Redeemable Unit, end ofperiod                         |  | $                         | 2,595.31 |    |  | $      | 1,450.14 |    |
| *IncludesPartnership commissions and expenses allocated from theMaster.  |
| **ExcludesPartnership commissions and expenses allocated from theMaster. |
|                                                                          |

|                                                                    |  |        |        |          |  |        |        |          |  |  |
|--------------------------------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--|
| Ratiosto average net assets:***                                    |  |   |   |     |  |   |   |     |
| Netinvestment loss before allocation to Special LimitedPartner**** |  |   | (1.4   | )%  |  |   | (4.1   | )%  |
| Operatingexpense                                                   |  |   | 4.7    | %   |  |   | 6.2    | %   |
| Allocation to Special LimitedPartner                               |  |   | 4.2    | %   |  |   | 6.1    | %   |
| Total expenses and allocation to Special LimitedPartner            |  |   | 8.9    | %   |  |   | 12.3   | %   |
| Totalreturn:                                                       |  |   |   |     |  |   |   |     |
| Total return beforeallocation to Special LimitedPartner            |  |   | 24.2   | %   |  |   | 32.4   | %   |
| Allocation to Special LimitedPartner                               |  |   | (4.7   | )%  |  |   | (6.3   | )%  |
| Total return after allocation to Special LimitedPartner            |  |   | 19.5   | %   |  |   | 26.1   | %   |
|                                                                    |

|     |                                                              |
|-----|--------------------------------------------------------------|
| *** | 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 year. Additionally, theseratios are calculated for the Limited Partner class using the LimitedPartners' share of income, expenses and average netassets.

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements March 31, 2006(Unaudited)

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

Financial Highlights oftheMaster:

|                                                                   |  |                           |          |         |  |        |          |         |  |  |
|-------------------------------------------------------------------|--|---------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                                              |  | ThreeMonths EndedMarch31, |
|                                                              |  | 2006                      |          | 2005    |
| Netrealized and unrealizedgains*                                  |  | $                         | 953.02   |    |  | $      | 596.38   |    |
| Interestincome                                                    |  |                      | 35.29    |    |  |   | 9.93     |    |
| Expenses**                                                        |  |                      | (0.45    | )  |  |   | (0.28    | )  |
| Increasefor theperiod                                             |  |                      | 987.86   |    |  |   | 606.03   |    |
| Distributions                                                     |  |                      | (35.09   | )  |  |   | (9.71    | )  |
| NetAsset Value per Unit, beginning ofperiod                       |  |                      | 3,866.04 |    |  |   | 1,815.32 |    |
| NetAsset Value per Unit, end ofperiod                             |  | $                         | 4,818.81 |    |  | $      | 2,411.64 |    |
| *      Includesbrokeragecommissions |
| **    Excludesbrokeragecommissions            |
|                                                                   |

|                                 |  |        |        |         |  |        |        |          |  |  |
|---------------------------------|--|--------|--------|---------|--|--------|--------|----------|--|--|
| Ratiosto average net assets:*** |  |   |   |    |  |   |   |     |
| Net investment gain(loss)****   |  |   | 2.8    | %  |  |   | (1.1   | )%  |
| Operatingexpense                |  |   | 0.4    | %  |  |   | 3.0    | %   |
| Totalreturn                     |  |   | 25.6   | %  |  |   | 33.4   | %   |
|                                 |

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

|      |                                    |
|------|------------------------------------|
| **** | Interestincome less total expenses |

|  |                                                                                                               |
|--|---------------------------------------------------------------------------------------------------------------|
|  | The above ratios may varyfor individual investors based on the timing of capital transactionsduring the year. |

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SalomonSmith Barney AAA Energy Fund L.P. II Notes to FinancialStatements March 31, 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 three and twelvemonths ended March 31, 2006 and December 31, 2005, based on a monthlycalculation, were $259,093,115 and $199,595,694, respectively. The fairvalues of these commodity interests, including options and swapsthereon, if applicable, at March 31, 2006 and December 31, 2005 were$241,177,237 and $399,168,275, respectively. Fair values for exchangetraded commodity futures and options are based on quoted market pricesfor those futures and options. Fair values for all other financialinstruments for which market quotations are not readily available arebased on calculations approved by the General Partner.

4.    Financial Instrument Risks:

In the normal course ofits business, the Partnership, through its investment in the Master, isparty to financial instruments with off-balance sheet risk, includingderivative financial instruments and derivative commodity instruments.These financial instruments may include forwards, futures, options andswaps, whose values are based upon an underlying asset, index, orreference rate, and generally represent future commitments to exchangecurrencies or cash flows, to purchase or sell other financialinstruments at specific terms at specified future dates, or, in thecase of derivative commodity instruments, to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange 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 March 31, 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 March 31, 2006.However, due to the nature of the Partnership's/Master'sbusiness, these instruments may not be held tomaturity.

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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 first 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 three months ended March 31, 2006, Partnershipcapital increased 20.9% from $466,873,381 to $564,335,830. Thisincrease was attributable to net income from operations of $93,267,877coupled with the addition of 8,737.4183 Redeemable Units totaling$19,697,000, partially offset by the redemption of 6,206.8214Redeemable Units totaling $15,502,428. Future redemptions can impactthe amount of funds available for investment in the Master insubsequent periods.

The Master's capital consists of thecapital 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 three months endedMarch 31, 2006, the Master's capital increased 17.6% from$954,082,152 to $1,122,394,935. This increase was attributable to netincome from operations of $233,956,896, coupled with the addition of35,163.7838 Units totaling $138,178,694 which was partially offset bythe redemption of 49,029.4987 Units totaling $195,528,305 anddistributions of interest totaling $8,294,502 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 accounting principles generally accepted in the UnitedStates of America requires management to make estimates and assumptionsthat affect the reported amounts of assets and liabilities, anddisclosures of contingent assets and liabilities at the date of thefinancial statements and the reported amounts of revenues and expensesduring the reporting period. Actual results could differ from theseestimates.

All commodity interests (including derivativefinancial instruments and derivative commodity instruments) are usedfor trading purposes. The commodity interests are recorded on tradedate and open contracts are recorded in the statement of financialcondition at fair value on the last business day of the period, whichrepresents market value for those commodity interests for which marketquotations are readily available or other measures of fair value deemedappropriate by management of the General Partner for those commodityinterests and foreign currencies for which market quotations are notreadily available, 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 firstquarter of 2006, the Net Asset Value per Redeemable Unit increased19.5% from $2,172.37 to $2,595.31 as compared to an increase of26.1% in the first quarter of 2005. The Partnership experienceda net trading gain before brokerage commissions and related fees in thefirst quarter of 2006 of $118,494,316. Gains were primarilyattributable to the Master's trading of commodity futures inNYMEX Crude Oil, NYMEX Natural Gas, NYMEX Unleaded Gas, IPE Gas Oil,NYMEX energy swaps, NYMEX Heating Oil and were partially offset bylosses in Gasoline. The Partnership experienced a net trading gainbefore brokerage commissions and related fees in the first quarter of2005 of $49,091,389. Gains were primarily attributable to theMaster's trading of commodity futures in NYMEX Crude Oil, NYMEXNatural Gas, NYMEX Heating Oil and energy swaps and were partiallyoffset by losses in NYMEX Unleaded gas and IPE Gas Oil.

The firstquarter continued the profitable trading results of 2005 for thePartnership's advisor. While public awareness was focused onNYMEX crude oil prices reaching all-time highs, the most significantprofits for the quarter were earned in natural gas and natural gasoptions trading. After peaking at $15.78/MM BTU on December13th on the short NYMEX contract, natural gas plummeted tobelow $7.30/MM BTU by late January. This was the most profitable monthof the quarter for the Partnership. For the remainder of the quarter,natural gas prices fluctuated and trading was profitable in options andcalendar spreads.

In crude oil markets, the rise in prices isless attributable to actual supply shortages than it is to politicaldisruptions occurring or threatening to occur in Latin America, Africa,and the Middle East. Refinery shut-downs in the U.S. Gulf has firmed upprices of gasoline and heating oil. The March rally in crude to nearly$70/barrel was profitable for the advisor's positions in thismarket as well as gasoline.

Commodity futures markets are highlyvolatile. The potential for broad and rapid price fluctuationsincreases the risks involved in commodity trading, but also increasesthe possibility of profit. The profitability of the Partnership (andthe Master) depends on the Advisor's ability to forecast pricechanges in energy and energy-related commodities. Such price changesare influenced by, among other things, changing supply and demandrelationships, weather, governmental, agricultural, commercial andtrade programs and policies, national and international political andeconomic events and changes in interest rates. To the extent that theAdvisor correctly makes such forecasts, the Partnership (and theMaster) 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 monthsended March 31, 2006 increased by $3,500,657, as compared to thecorresponding period in 2005. The increase in interest income isprimarily due to higher average net assets and an increase in interestrates during the three months ended March 31, 2006 as compared to2005.

Management fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance and redemptions. Management fees forthe three months ended March 31, 2006 increased by $1,968,662, ascompared to the corresponding periods in 2005. The increase inmanagement fees is due to an increase in average net assets during thethree months ended March 31, 2006 as compared to 2005.

Administrative fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance and redemptions. Administrative feesfor the 

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three months ended March 31, 2006 increasedby $492,166, as compared to the corresponding period in 2005. Theincrease in administrative fees is due to an increase in net assetsduring the three months ended March 31, 2006 as compared to 2005.

Special limited partner profit share allocations (incentive fees)are based on the new trading profits generated by the Advisor at theend of the year, as defined in the advisory agreements between thePartnership, the General Partner and the Advisor. The profit shareallocation accrued for the three months ended March 31, 2006 was$22,248,055. The profit share allocation accrued for the three monthsended March 31, 2005 was $9,349,327.

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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 March 31, 2006 and the highest, lowest andaverage value during the three months ended March 31, 2006. All openposition trading risk exposures of the Master have been included incalculating the figures set forth below. As of March 31, 2006, theMaster's total capitalization was $1,122,394,935. There has beenno material change in the trading Value at Risk information previouslydisclosed in the Partnership's Annual Report on Form 10-K for theyear ended December 31, 2005.

March 31,2006

|              |  |               |             |                         |  |                                 |      |                   |  |                      |             |        |  |        |            |        |  |        |             |        |  |  |
|--------------|--|---------------|-------------|-------------------------|--|---------------------------------|------|-------------------|--|----------------------|-------------|--------|--|--------|------------|--------|--|--------|-------------|--------|--|--|
|         |  |          |             |                    |  | ThreeMonths Ended March 31,2006 |
| MarketSector |  | Value at Risk |             | % ofTotalCapitalization |  | High Value atRisk               |      | Low Value at Risk |  | Average ValueatRisk* |
| Energy       |  | $             | 105,050,577 |                    |  |                            | 9.36 | %            |  | $                    | 167,028,944 |   |  | $      | 20,895,649 |   |  | $      | 110,517,564 |   |
| EnergySwaps  |  |          | 4,130,046   |                    |  |                            | 0.37 | %            |  | $                    | 4,130,046   |   |  | $      | 4,130,046  |   |  | $      | 4,130,046   |   |
| Total        |  | $             | 109,180,623 |                    |  |                            | 9.73 | %            |  |                 |        |   |  |   |       |   |  |   |        |   |
|              |

|  |                                 |
|--|---------------------------------|
|  | *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 the ChiefFinancial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures (as defined inRules 13a-15(e) and 15d-15(e) of the Exchange Act) with respect to thePartnership as of the end of the period covered by the report, and,based on this evaluation, has concluded that these disclosure controlsand procedures are effective. Additionally, there were no significantchanges in the Partnership's internal controls or in otherfactors that could significantly affect these controls during theregistrant's last fiscal quarter, including any correctiveactions with regard to significant deficiencies and materialweaknesses.

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PART II. OTHERINFORMATION

Item 1. Legal Proceedings

The followinginformation supplements and amends our discussion set forth under PartI, Item 3 "Legal Proceedings" in our AnnualReport on Form 10-K for the fiscal year ended December 31, 2005.

WorldCom, Inc.

In March 2006, the classaction settlement in IN RE WORLDCOM, INC. SECURITIES LITIGATION becamefinal, and the settlement amount was paid pursuant to the terms of thesettlement agreement.

Research

On March29, 2006, the court preliminarily approved Citigroup's settlementof IN RE SALOMON ANALYST AT&T LITIGATION. A final hearing on thesettlement is scheduled for August 11, 2006.

IPOAntitrust Litigation

The underwriter defendants'motion in the Second Circuit to stay the issuance of the mandateremanding the cases to the district court pending the filing of apetition for writ of certiorari to the United States Supreme Court wasgranted on March 9, 2006, after the writ of certiorari was filed onMarch 8, 2006.

Item 1A. Risk Factors

There are nomaterial changes from the risk factors set forth under Part I, Item 1A."Risk Factors" in our Annual Report on Form10-K for the fiscal year ended December 31, 2005.

Item2.    Unregistered Sales of Equity Securities and Use ofProceeds

For the three months ended March 31, 2006there were additional sales of 8,737.4183 Redeemable Units totaling$19,697,000. The Redeemable Units were issued in reliance uponapplicable exemptions from registration under Section 4(2) of theSecurities Act of 1933, as amended, and Section 506 of Regulation Dpromulgated thereunder.

Proceeds from the sale ofadditional Redeemable Units are used in the trading of commodityinterests including futures contracts, options, forwards and swapcontracts.

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

|                                         |  |                                     |            |                                  |  |                                                                                    |  |                                                                                                              |     |        |  |        |     |        |  |  |  |  |
|-----------------------------------------|--|-------------------------------------|------------|----------------------------------|--|------------------------------------------------------------------------------------|--|--------------------------------------------------------------------------------------------------------------|-----|--------|--|--------|-----|--------|--|--|--|--|
| 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 |
| January 1, 2006–January 31,2006   |  |                                | 1,739.7223 |                             |  | $2,395.66                                                                          |  |                                                                                                         | N/A |   |  |   | N/A |   |
| February1, 2006 –February 28,2006 |  |                                | 1,869.3129 |                             |  | $2,456.83                                                                          |  |                                                                                                         | N/A |   |  |   | N/A |   |
| March1, 2006 –March 31,2006       |  |                                | 2,597.7862 |                             |  | $2,595.31                                                                          |  |                                                                                                         | N/A |   |  |   | N/A |   |
| Total                                   |  |                                | 6,206.8214 |                             |  | $2,482.60                                                                          |  |                                                                                                         | 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. |

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|  |                                                                                                                                           |
|--|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | ** Redemptions of Redeemable Unitsare effected as of the last day of each month at the Net Asset Valueper Redeemable Unit as of that day. |

Item 3.    DefaultsUpon Senior Securities – None

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

Item5.    Other Information – None

Item6.    Exhibits

|        |                                                                                                                                                                                                                 |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The exhibits required tobe filed by Item 601 of Regulation S-K are incorporated herein byreference to the exhibit index of the Partnership's Annual Reporton Form 10-K for the period ended December  31, 2005. |

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

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

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

Exhibit – 32.2 – Section 1350 Certifications(Certification of Chief Financial Officer andDirector).

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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:  |  | May12, 2006                                                  |
| By:    |  | /s/Daniel R. McAuliffe, Jr.                                  |
|   |  | Daniel R. McAuliffe, Jr.Chief Financial Officer and Director |
| Date:  |  | May12, 2006                                                  |
|        |

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