UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C.20549

FORM 10-K

Annual Report Pursuant toSection 13 or 15(d) of the Securities Exchange Act of1934

For the fiscal year endedDecember 31, 2005

Commission File Number 000-25921

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|-------------------------------------------------------------|--|------------------------------------|--|--|--|--|
| SMITHBARNEY AAA ENERGY FUNDL.P.                             |
| (Exact name of registrantas specified in its charter)       |
| NewYork                                                     |  | 13-3986032                         |
| (Stateor other jurisdiction ofincorporation ororganization) |  | (I.R.S. EmployerIdentificationNo.) |
| c/oCitigroup Managed Futures LLC                            |
| 731 Lexington Avenue. –25th Fl.                       |
| NewYork, New York 10022                                     |
| (Address and ZipCode of principal executive offices)        |
| (212)559-2011                                               |
| (Registrant'stelephone number, including areacode)          |
|                                                             |

Securities registered pursuant toSection 12(b) of the Act: None

Securitiesregistered pursuant to Section 12(g) of the Act: Redeemable Unitsof Limited Partnership Interest

|  | (Titleof Class) |
|--|-----------------|

Indicate by check mark if the registrant is awell-known seasoned issuer, as defined in Rule 405 of the SecuritiesAct.

Yes     No

Indicate by check mark if the registrant is not requiredto file reports pursuant to Section 13 or Section 15(d) of theAct.

Yes     No

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or forsuch shorter period that the registrant was required to file suchreports), and (2) has been subject to such filing requirements for thepast 90 days.

Yes X        No    

Indicate by check mark if disclosure ofdelinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best ofregistrant's knowledge, in definitive proxy or informationstatements incorporated by reference in Part III of this Form 10-K orany amendment to this form 10-K [X]

Indicate by checkmark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer (as defined in Rule 12b-2of the Act).

Large acceleratedfiler           Acceleratedfiler           Non-acceleratedfiler   

Indicate by check mark whether the registrantis a shell company (as defined in Rule 12b-2 of theAct).

Yes           No   

LimitedPartnership Redeemable Units with an aggregate value of $224,342,879were outstanding and held by non-affiliates as of the last business dayof the registrant's most recently completed second fiscalquarter.

As of February 28, 2006, 49,256.9792 LimitedPartnership Redeemable Units were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

None

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PART I

Item1.    Business.

(a)    General development ofbusiness. Smith Barney AAA Energy Fund L.P. (the"Partnership") is a limited partnershiporganized on January 5, 1998 under the partnership laws of the State ofNew York. The objective of the Partnership is to achieve substantialappreciation of its assets through speculative trading, directly orindirectly, in commodity interests generally including commodityoptions and commodity futures contracts on United States exchanges andcertain foreign exchanges. The Partnership may trade commodity futuresand options contracts of any kind, but initially it traded solelyenergy and energy related products. In addition, the Partnership mayenter into swap contracts on energy related products (together withother traded futures and options contracts, the "CommodityInterests"). The Partnership invests all of its assets inSB AAA Master Fund LLC, a New York Limited Liability Company (the"Master"). The Commodity Interests that aretraded by the Master are volatile and involve a high degree of marketrisk. During the initial offering period (February 12, 1998 throughMarch 15, 1998) the Partnership sold 49,538 redeemable units of LimitedPartnership in the Partnership ("RedeemableUnits"). The Partnership commenced its Commodity Interesttrading activities on March 16, 1998. No securities which represent anequity interest or any other interest in the Partnership trade on anypublic market. Sales and redemptions of Redeemable Units and generalpartner contributions and redemptions for the years ended December 31,2005, 2004 and 2003 are reported in the Statements of Changes inPartners' Capital on page F-8 under "Item 8.Financial Statements and Supplementary Data."

The Partnership will be liquidated upon the first to occur of thefollowing: December 31, 2018; if the net asset value per RedeemableUnit falls below $400 as of the close of business on any business dayor upon the earlier occurrence of certain other circumstances set forthin the Limited Partnership Agreement of the Partnership (the"Limited Partnership Agreement").

Effective September 1, 2001, the Partnership allocated substantiallyall of its capital to the Master. With this cash, the Partnershippurchased 128,539.1485 Units of the Master with a fair value of$128,539,149 (including unrealized appreciation of $7,323,329). TheMaster was formed in order to permit commodity pools managed now or inthe future by AAA Capital Management, Inc.("AAA") (the"Advisor") using the Energy with SwapsProgram, the Advisor's proprietary trading program, to investtogether in one trading vehicle. Citigroup Managed Futures LLC acts asthe general partner (the "General Partner")of the Partnership and the managing member (the "ManagingMember") of the Master. The General Partner and theAdvisor believe that trading through the 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.

At December 31,2005 and 2004, the Partnership owns 32.3% and 46.6%,respectively of the Master. It is the Partnership's intention tocontinue to invest substantially all of its assets in the Master. Theperformance of the Partnership is directly affected by the performanceof the Master.

Citigroup Global Markets Inc.("CGM"), acts as the Partnership's andthe Master Fund's commodity broker. CGM is an affiliate of theGeneral Partner. The General Partner is wholly owned by CitigroupGlobal Markets Holdings Inc. ("CGMHI"), whichis the sole owner of CGM. CGMHI is a wholly owned subsidiary ofCitigroup Inc. ("Citigroup").

TheMaster's trading of futures, forwards and options contracts, ifapplicable, on commodities is done primarily on United States ofAmerica commodity exchanges and foreign commodity exchanges. It engagesin such trading through a commodity brokerage account maintained withCGM.

Under the Limited Partnership Agreement, the GeneralPartner has sole responsibility for the administration of the businessand affairs of the Partnership, but may delegate trading discretion toone or more trading advisors.

The General Partner has enteredinto a management agreement (the "ManagementAgreement") with the Advisor who will make all commoditytrading decisions for the Partnership. The Advisor is not responsiblefor the organization or operation of the Partnership.

ThePartnership is obligated to pay the Advisor a monthly management feeequal to 1/6 of 1% (2% per year) of month-end Net Assetsallocated by the Master. Month-end Net Assets, for the purpose of

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calculating management fees, are Net Assets,as defined in the Limited Partnership Agreement, prior to the reductionof redemptions and incentive fees. In addition, the Advisor is aSpecial Limited Partner of the Partnership and receives an annualprofit share allocation to its capital account in the Partnership equalto 20% of New Trading Profits (as defined in the ManagementAgreement) earned on behalf of the Partnership during each calendaryear in the form of Special Limited Partner Units.

All brokeragecommissions, exchange, clearing, user, give-up, and NFA fees will beborne by the Master and allocated to the Partnership through itsinvestment in the Master. CGM pays a portion of its brokerage fees toits financial consultants who have sold Redeemable Units in thisPartnership. Brokerage fees will be paid for the life of thePartnership, although the rate at which such fees are paid may bechanged. CGM will pay the Partnership interest on 80% of theaverage daily equity allocated to the Partnership by the Master duringeach month at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average non-competitive yield on 3-month U.S. Treasurybills maturing in 30 days from the date on which such weekly rate isdetermined. The Customer Agreement between CGM and the Master gives theMaster the legal right to net unrealized gains and losses. The CustomerAgreement may be terminated upon notice by either party.

(b)    Financial information about industry segments. ThePartnership's business consists of only one segment, speculativetrading of commodity interests. The Partnership does not engage insales of goods or services. The Partnership's net income fromoperations for the years ended December 31, 2005, 2004, 2003, 2002 and2001 are set forth under "Item 6. Selected FinancialData." The Partnership's capital as of December31, 2005, was $276,227,999.

(c)    Narrative descriptionof business.

See Paragraphs (a) and (b) above.

(i) through (xii) - Not applicable.

(xiii) -The Partnership has no employees.

(d)    FinancialInformation About Geographic Areas. The Partnership does notengage in sales of goods or services or own any long lived assets, andtherefore this item is not applicable.

Item 1A.    RiskFactors.

The trading of commodity interests isspeculative, volatile and involves a high degree of leverage. A smallchange in the market price of a commodity interest contract can producemajor losses for the Partnership.

Due to the speculative natureof trading commodity interests, an investor could lose all of itsinvestment in the Partnership.

Regardless of its tradingperformance, the Partnership will incur fees and expenses, includingbrokerage and management fees. Fees will be paid to the trading advisoreven if the Partnership experiences a net loss for the full year.

An investor's ability to redeem units is limited and no marketexists for the units.

The Partnership is subject to numerousconflicts of interest including those that arise from the factsthat:

|          |                                                         |
|----------|---------------------------------------------------------|
| 1.  | The General Partner and commoditybroker are affiliates; |

|          |                                                                                                                                         |
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| 2.  | The trading advisor,the commodity broker and their principals and affiliates may trade incommodity interests for their own accounts;and |

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| 3.  | Smith Barney financial advisors willreceive ongoing compensation for providing services to aninvestor's account. |

The Partnership will not provide anybenefit of diversification of an investor's overall portfoliounless it is profitable and produces returns that are independent fromstock and bond market returns.

The advisor's tradingstrategies may not perform as they have performed in the past. Theadvisor has from time to time incurred substantial losses in trading onbehalf of clients.

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Investors are taxed on their share of thePartnership's income, even though the Partnership does not intendto make any distributions.

Item2.    Properties.

The Partnership does not own orlease any properties. The General Partner operates out of facilitiesprovided by its affiliate, CGM.

Item 3.    LegalProceedings.

This section describes the major pendinglegal proceedings, other than ordinary routine litigation incidental tothe business, to which Citigroup Global Markets Holding Inc.("CGMHI") or its subsidiaries is a party orto which any of their property is subject. There are no material legalproceedings pending against the Partnership or the General Partner.

Citigroup Global Markets Inc. ("CGM") is aNew York corporation with its principal place of business at 388Greenwich Street, New York, New York 10013. CGM is registered as abroker-dealer and futures commission merchant("FCM"), and provides futures brokerage andclearing services for institutional and retail participants in thefutures markets. CGM and its affiliates also provide investment bankingand other financial services for clients worldwide.

There havebeen no material administrative, civil or criminal actions within thepast five years against Citigroup Global Markets or any of itsindividual principals and no such actions are currently pending, exceptas follows.

Regulatory Matters

Both the Department ofLabor and the Internal Revenue Service("IRS") have advised Citigroup Global Marketsthat they were or are reviewing transactions in which Ameritech PensionTrust purchased from Citigroup Global Markets and certain affiliatesapproximately $20.9 million in participations in a portfolio of motelsowned by Motels of America, Inc. and Best Inns, Inc. With respect tothe IRS review, Citigroup Global Markets and certain affiliatedentities have consented to extensions of time for the assessment ofexcise taxes that may be claimed to be due with respect to thetransactions for the years 1987, 1988 and 1989.

IPO RegulatoryInquiries

Since April 2002, Citigroup Global Markets andseveral other broker dealers have received subpoenas and/or requestsfor information from various governmental and self-regulatory agenciesand Congressional committees as part of their research on IPOallocation inquiries. With respect to issues raised by the NASD, theNYSE and the SEC about Citigroup Global Markets' and otherfirms' e-mail retention practices, Citigroup Global Markets andseveral other broker/dealers and the NASD, the NYSE and the SEC enteredinto a settlement agreement in December 2002. Citigroup Global Marketsagreed to pay a penalty in the amount of $1.65 million and did notadmit any wrongdoing. No individuals from Citigroup Global Markets havebeen charged in the IPO allocation proceedings.

IPO CivilLitigation

In April 2002, consolidated amended complaints werefiled against Citigroup Global Markets and other investment banks namedin numerous alleged class actions filed in the United States DistrictCourt for the Southern District of New York, alleging violations ofcertain federal securities laws (including Section 11 of the SecuritiesAct of 1933, as amended, and Section 10(b) of the Securities ExchangeAct of 1934, as amended) with respect to the allocation of shares forcertain initial public offerings and related aftermarket transactionsand damage to investors caused by allegedly biased research analystreports. On February 19, 2003, the Court issued an opinion denyingdefendants' motion to dismiss.

On October 13, 2004, thecourt granted in part the motion to certify class actions for six focuscases in the securities litigation. Citigroup Global Markets is not adefendant in any of the six focus cases. The underwriter defendants inthe focus cases have filed a petition to the United States Court ofAppeals for the Second Circuit seeking review of this decision.

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On June 30, 2005, the United States Courtof Appeals for the Second Circuit entered an order in In Re: InitialPublic Offering Securities Litigation agreeing to review thedistrict court's order granting plaintiffs' motion forclass certification.

Also filed in the Southern District of NewYork against Citigroup Global Markets and other investment banks wereseveral alleged class actions that were consolidated into a singleclass action alleging violations of certain federal and state antitrustlaws in connection with the allocation of shares in initial publicofferings when acting as underwriters. On November 3, 2003, the courtgranted Citigroup Global Markets' motion to dismiss theconsolidated amended complaint in the antitrust case. On September 28,2005, the United States Court of Appeals for the Second Circuit inIn Re: Initial Public Offering Antitrust Litigation vacated thedistrict court's order dismissing these actions and remanded forfurther proceedings.

Research Settlement

On April 28,2003, Citigroup Global Markets announced final agreements with the SEC,the NASD, the NYSE and the New York Attorney General (as lead stateamong the 50 states, the District of Columbia and Puerto Rico) toresolve on a civil basis all of their outstanding investigations intoits research and IPO allocation and distribution practices (the"Research Settlement"). As part of theResearch Settlement, Citigroup Global Markets has consented to theentry of (1) an injunction under the federal securities laws to beentered in the United States District Court for the Southern Districtof New York, barring Citigroup Global Markets from violating provisionsof the federal securities laws and related NASD and NYSE rules relatingto research, certain IPO allocation practices, the safeguarding ofmaterial nonpublic information, and the maintenance of required booksand records and requiring Citigroup Global Markets to adopt and enforcenew restrictions on the operation of research; (2) an NASD AcceptanceWaiver and Consent requiring Citigroup Global Markets to cease anddesist from violations of corresponding NASD rules and requiringCitigroup Global Markets to adopt and enforce the same newrestrictions; (3) an NYSE Stipulation and Consent requiring CitigroupGlobal Markets to cease and desist from violations of correspondingNYSE rules and requiring Citigroup Global Markets to adopt and enforcethe same new restrictions; and (4) an Assurance of Discontinuance withthe New York Attorney General containing substantially the same orsimilar restrictions. The Research Settlement requires Citigroup GlobalMarkets to pay $300 million for retrospective relief, plus $25 millionfor investor education, and commit to spend $75 million to provideindependent third-party research to its clients at no charge. CitigroupGlobal Markets reached these final settlement agreements withoutadmitting or denying any wrongdoing or liability. The ResearchSettlement does not establish wrongdoing or liability for purposes ofany other proceeding. The $300 million was accrued during the fourthquarter of 2002.

To effectuate the Research Settlement, the SECfiled a Complaint and Final Judgment in the United States DistrictCourt for the Southern District of New York. On October 31, 2003, finaljudgment was entered against Citigroup Global Markets and nine otherinvestment banks. The NASD has accepted the Letter of Acceptance,Waiver and Consent entered into with Citigroup Global Markets inconnection with the Research Settlement. In May 2003, the NYSE advisedCitigroup Global Markets that the Hearing Panel's Decision, inwhich it accepted the Research Settlement, had become final. Asrequired by the Research Settlement, Citigroup Global Markets also hasentered into separate settlement agreements with numerous states andcertain U.S. territories.

Several individual actions have beenfiled against Citigroup and Citigroup Global Markets relating to, amongother things, research on Qwest Communications International, Inc.alleging violations of state and federal securities laws.

EnronRegulatory Settlement

On July 28, 2003, Citigroup (CitigroupGlobal Markets' ultimate parent) entered into a final settlementagreement with the SEC to resolve the SEC's outstandinginvestigations into Citigroup transactions with Enron Corp. and DynegyInc. Pursuant to the settlement, Citigroup has, among other terms, (1)consented to the entry of an administrative cease and desist order,which bars Citigroup from 

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committing or causing violations of provisionsof the federal securities laws, and (2) agreed to pay $120 million($101.25 million allocable to Enron and $18.75 million allocable toDynegy). Citigroup entered into this settlement without admitting ordenying any wrongdoing or liability, and the settlement does notestablish wrongdoing or liability for purposes of any other proceeding.On July 28, 2003, Citibank, N.A. entered into an agreement with theOffice of the Comptroller of the Currency("OCC") and Citigroup entered into anagreement with the Federal Reserve Bank of New York("FED") to resolve their inquiries intocertain of Citigroup's transactions with Enron. Pursuant to theagreements, Citibank and Citigroup have agreed to submit plans to theOCC and FED, respectively, regarding the handling of complex structuredfinance transactions. Also on July 28, 2003, Citigroup entered into asettlement agreement with the Manhattan District Attorney'sOffice to resolve its investigation into certain of Citigroup'stransactions with Enron. Pursuant to that settlement, Citigroup hasagreed to pay $25.5 million and to abide by its agreements with theSEC, OCC and FED.

Enron-Related Civil Actions

CitigroupGlobal Markets, Citigroup and various other Citigroup-related entitieshave been named as defendants in over 20 civil lawsuits pending instate and federal courts throughout the United States, alleging claimsagainst Citigroup and Citigroup Global Markets based on their dealingswith Enron. The majority of these cases have been brought by purchasersand sellers of Enron equity and debt securities and Enron-linkedsecurities. Many of the plaintiffs in these actions are large,institutional investors that had substantial Enron and Enron-linkedholdings. The lawsuits collectively allege as against Citigroup and/orits affiliates and subsidiaries, among other things, federal securitiesfraud, state law claims of negligent misrepresentation, fraud, breachof fiduciary duty, aiding and abetting a breach of fiduciary duty andrelated claims. In most of these lawsuits, Citigroup is named as aco-defendant along with other investment banks alleged to have haddealings with Enron. The majority of cases pending in the federalcourts have been, or are in the process of being, consolidated before asingle judge in the United States District Court for the SouthernDistrict of Texas. In addition, in five adversary proceedings in theEnron Chapter 11 bankruptcy, Enron and, in one case, its co-debtoraffiliates and subsidiaries, and the Official Committee of UnsecuredCreditors of Enron Corp., et al., have named Citigroup and/or itsaffiliates or subsidiaries as defendants.

On June 13, 2005,Citigroup announced a settlement of the Enron class action litigation(Newby, et al v. Enron Corp., et al.) currently pending inthe United States District Court for the Southern District of Texas,Houston Division. This settlement resolves all claims against Citigroupbrought on behalf of the class of purchasers of publicly traded equityand debt securities issued by Enron and Enron-related entities betweenSeptember 9, 1997 and December 2, 2001. The settlement, which involvesa pre-tax payment of $2.0 billion to the settlement class, is fullycovered by Citigroup's existing litigation reserves. It issubject to approval by the Board of Regents of the University ofCalifornia (the lead plaintiff), the Citigroup Board and the DistrictCourt in Texas.

A Citigroup affiliate, along with otherdefendants, settled all claims against it in In Re: NewpowerHoldings Securities Litigation, a class action brought on behalf ofcertain investors in NewPower securities. Citigroup reached thissettlement agreement without admitting any wrongdoing. On September 13,2004, the United States District Court for the Southern District of NewYork preliminarily approved the settlement.

In April 2005,Citigroup, along with other financial institution defendants, reachedan agreement-in-principle to settle four state-court actions brought byvarious investment funds, which were not previously consolidated orcoordinated with other actions. The four cases are OCM OpportunitiesFund III, L.P., et al. v. Citigroup Inc., et al.; Pacific InvestmentManagement Co. LLC, et al. v. Citigroup Inc., et al.; AUSA LifeInsurance v. Citigroup Inc., et al. and Principal Global Investors v.Citigroup Inc., et al. The amounts to be paid in settlement ofthese actions are covered by existing litigation reserves.

OnAugust 26, 2005, a group of 15 plaintiffs filed an action in the UnitedStates District Court for the Southern District of Texas (AvenueCapital Management II, L.P., et al. v. J.P. Morgan-Chase & Co., etal.). The complaint names as defendants Citigroup Inc., Citibank,N.A., Citigroup Global Markets, and several J.P. Morgan entities andalleges fraud, breach of fiduciary duty and breach of contract arisingout of Enron bank debt incurred under two syndicated revolving creditfacilities and a syndicated letter of credit facility.

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Dynegy Inc.

On June  6,2003, the complaint in a pre-existing alleged class action pending inthe United States District Court for the Southern District of Texas(In Re: Dynegy  Inc. Securities Litigation) brought bypurchasers of publicly traded debt and equity securities ofDynegy  Inc. was amended to add Citigroup, Citibank and CitigroupGlobal Markets as defendants. The plaintiffs allege violations ofSections 10(b) and 20(a) of the Securities Exchange Act of 1934, asamended, against the Citigroup defendants. The Citigroup defendantsfiled a motion to dismiss in March  2004, which motion wasgranted by the District Court in October  2004. The court deniedlead plaintiff's request for leave to appeal.

The courthad also previously denied lead plaintiff's motion for leave toamend. No appeal was yet timely while the remainder of the caseremained pending. On April 15, 2005, as part of a global settlementinvolving all defendants, Citigroup entered into a memorandum ofunderstanding to settle this case. The amount to be paid in settlementis covered by existing litigation reserves.

WorldCom-RelatedLitigation

Citigroup, Citigroup Global Markets and certainexecutive officers and current and former employees have been named asdefendants -- along with twenty-two other investment banks, certaincurrent and former WorldCom officers and directors, andWorldCom's former auditors -- in a consolidated class actionbrought on behalf of individuals and entities who purchased or acquiredpublicly traded securities of WorldCom between April 29, 1999 and June25, 2002 in In Re: Worldcom, Inc. Securities Litigation. Theclass action complaint asserts claims against Citigroup Global Marketsunder (i) Sections 11 and 12(a)(2) of the Securities Act of 1933, asamended, in connection with certain bond offerings in which it servedas underwriter, and (ii) Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, as amended, and Rule 10b-5 promulgated underSection 10(b), alleging that it participated in the preparation and/orissuance of misleading WorldCom registration statements anddisseminated misleading research reports concerning WorldCom stock. In2003, the district court denied Citigroup Global Markets' motionto dismiss the consolidated class action complaint and granted theplaintiffs' motion for class certification.

Pursuant to anorder entered May 28, 2003, the District Court consolidatedapproximately seventy-eight individual actions with the class actionfor pretrial proceedings. The claims asserted in these individualactions are substantially similar to the claims alleged in the classaction and assert state and federal securities law claims based onCitigroup Global Markets' research reports concerning WorldComand/or Citigroup Global Markets' role as an underwriter inWorldCom offerings. Plaintiffs in certain of these actions filedmotions to remove their cases to state court. The District Court deniedthese motions and its rulings were upheld on appeal.

Numerousother actions asserting claims against Citigroup Global Markets inconnection with its research reports about WorldCom and/or its role asan investment banker for WorldCom are pending in other federal andstate courts around the country. These actions have been remanded tovarious state courts, are pending in other federal courts, or have beenconditionally transferred to the United States District Court for theSouthern District of New York to be consolidated with the class action.In addition to the court suits, actions asserting claims againstCitigroup and certain of its affiliates relating to its WorldComresearch reports are pending in numerous arbitrations around thecountry. These actions assert claims that are substantially similar tothe claims asserted in the class action.

On May 10, 2004,Citigroup announced that it had agreed to pay $2.58 billion to settlethe WorldCom class action suits. The United States District Court forthe Southern District of New York granted approval of the proposedsettlement on November 10, 2004.

On September 17, 2004,Weinstein, et al. v. Ebbers, et al., an alleged class actionagainst Citigroup Global Markets and others brought on behalf ofholders of WorldCom securities asserting claims based on, among otherthings, Citigroup Global Markets' research reports concerningWorldCom, was dismissed with prejudice in its entirety by the UnitedStates District Court for the Southern District of New York. Theplaintiffs noticed an appeal of the dismissal to the United StatesCourt of Appeals for the Second Circuit on October 15, 2004. Theparties have reached an agreement in principle on the terms of asettlement of this action.

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Citigroup and Citigroup Global Markets,along with a number of other defendants, have settled RetirementSystems of Alabama, et al. v. J.P. Morgan Chase & Co., et al.,a WorldCom individual action that had been remanded to the CircuitCourt of Montgomery County, Alabama. The settlement became final onSeptember 30, 2004.

On June 28, 2004, the United States DistrictCourt for the Southern District of New York dismissed all claims underthe Securities Act of 1933, as amended, and certain claims under theSecurities Exchange Act of 1934 in In Re: Targets SecuritiesLitigation, an alleged class action against Citigroup and CitigroupGlobal Markets and certain former employees, leaving only claims underthe 1934 Act for purchases of Targeted Growth Enhanced Terms SecuritiesWith Respect to the Common Stock of MCI WorldCom, Inc.("TARGETS") after July 30, 1999. On October20, 2004, the parties signed a Memorandum of Understanding settingforth the terms of a settlement of all remaining claims in this action.The settlement was preliminarily approved by the Court on January 11,2005.

A fairness hearing was held on November 5, 2004 inconnection with the proposed class settlement between plaintiffs andthe Citigroup-related defendants in In Re: Worldcom, Inc. SecuritiesLitigation.

Citigroup, along with other financialinstitutions and other defendants, entered into settlements resolvingcertain claims against Citigroup-related defendants in a number ofWorldCom-related actions. The settlement amounts are covered byexisting litigation reserves.

Global Crossing

On orabout January 28, 2003, the lead plaintiff in a consolidated allegedclass action in the United States District Court for the SouthernDistrict of New York (In Re: Global Crossing, Ltd. SecuritiesLitigation) filed a consolidated complaint on behalf of purchasersof the securities of Global Crossing and Asia Global Crossing, whichnames as defendants, among others, Citigroup, Citigroup Global Markets,Citigroup Global Markets Holdings Inc. and certain executive officersand current and former employees. The alleged class action complaintasserts claims under the federal securities laws alleging that thedefendants issued research reports without a reasonable basis in factand failed to disclose conflicts of interest with Global Crossing inconnection with published investment research. On March 22, 2004, thelead plaintiff amended its consolidated complaint to add claims onbehalf of purchasers of the securities of Asia Global Crossing. Theadded claims assert causes of action under the federal securities lawsand common law in connection with Citigroup Global Markets'research reports about Global Crossing and Asia Global Crossing and forCitigroup Global Markets' roles as an investment banker forGlobal Crossing and as an underwriter in the Global Crossing and AsiaGlobal Crossing offerings. The Citigroup-related defendants moved todismiss all of the claims against them on July 2, 2004. In March 2005,the plaintiffs and the Citigroup-related defendants reached asettlement of all claims against the Citigroup-related defendants,including both research and underwriting claims and claims concerninglosses in both Global Crossing and Asia Global Crossing, for a total of$75 million. The Court granted preliminary approval of the settlementon March 8, 2005.

In addition, on or about January 27, 2004, theGlobal Crossing Estate Representative filed in the United StatesBankruptcy Court for the Southern District of New York (i) an adversaryproceeding asserting claims against, among others, Citigroup, CitigroupGlobal Markets and certain executive officers and current and formeremployees, under federal bankruptcy law and common law in connectionwith Citigroup Global Markets' research reports about GlobalCrossing and for its role as an underwriter in Global Crossingofferings, and (ii) an adversary proceeding against Citigroup andseveral other financial institutions seeking to rescind the payment ofa $1 billion loan made to a subsidiary of Global Crossing. TheCitigroup-related defendants moved to dismiss the former action on June26, 2004, and the latter on May 28, 2004. The plaintiffs and theCitigroup-related defendants have since entered into a definitivesettlement agreement in the In Re: Global Crossing, Ltd. SecuritiesLitigation; the settlement was preliminarily approved by the Courton March 8, 2005. The amount to be paid in settlement is covered byexisting litigation reserves.

In addition, actions assertingclaims against Citigroup and certain of its affiliates relating to itsGlobal Crossing research reports are pending in numerous arbitrationsaround the country. These arbitration proceedings assert claims thatare substantially similar to the claims asserted in the alleged classaction.

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Adelphia Communications Corporation

On July 6, 2003, an adversary proceeding was filed by the OfficialCommittee of Unsecured Creditors on behalf of Adelphia CommunicationsCorporation against certain lenders and investment banks, includingCitigroup Global Markets, Citibank, N.A., Citicorp USA, Inc., andCitigroup Financial Products, Inc. (together, the"Citigroup Parties"). The complaint allegesthat the Citigroup Parties and numerous other defendants committed actsin violation of the Bank Holding Company Act and the common law. Thecomplaint seeks equitable relief and an unspecified amount ofcompensatory and punitive damages. In November 2003, a similaradversary proceeding was filed by the Equity Holders Committee ofAdelphia. In June 2004, motions to dismiss were filed with respect tothe complaints of the Official Committee of Unsecured Creditors and theEquity Holders Committee. The motions are currently pending.

Inaddition, Citigroup Global Markets is among the underwriters named innumerous civil actions brought to date by investors in Adelphia debtsecurities in connection with Adelphia securities offerings betweenSeptember 1997 and October 2001. Three of the complaints also assertedclaims against Citigroup and Citibank, N.A. All of the complaintsalleged violations of federal securities laws, and certain of thecomplaints also alleged violations of state securities laws and thecommon law. The complaints sought unspecified damages. In December2003, a second amended complaint was filed and consolidated before thesame judge of the United States District Court for the SouthernDistrict of New York.

In May and July of 2005, the United StatesDistrict Court for the Southern District of New York dismissed severalclaims on statute of limitations grounds in the class and individualactions being coordinated under In Re: Adelphia CommunicationsCorporation Securities and Derivatives Litigation. With theexception of one individual action that was dismissed with prejudice,the court granted the class and individual plaintiffs leave to re-pleadcertain of those claims the court found to be time-barred. Additionalmotions to dismiss the class complaint and the remaining individualcomplaints on other grounds remain pending.

Mutual Funds

Citigroup and certain of its affiliates have been named in severalclass action litigations pending in various federal district courtsarising out of alleged violations of the federal securities laws, theInvestment Company Act and the common law (including breach offiduciary duty and unjust enrichment). The claims concern practices inconnection with the sale of mutual funds, including allegationsinvolving market timing, revenue sharing, incentive payments for thesale of proprietary funds, undisclosed breakpoint discounts for thesale of certain classes of funds, inappropriate share classrecommendations and inappropriate fund investments. The litigationsinvolving market timing have been consolidated under the MDL rules inthe United States District Court for the District of Maryland, and thelitigations involving revenue sharing, incentive payment and otherissues have been consolidated in the United States District Court forthe Southern District of New York. The plaintiffs in these litigationsgenerally seek unspecified compensatory damages, rescissionary damages,injunctive relief, costs and fees. In the principal market timing casesthat name Citigroup, a lead plaintiff has been appointed but thatplaintiff has not yet filed an amended complaint. In the casesconcerning revenue sharing, incentive payment and other issues, thelead plaintiff filed a consolidated and amended complaint on December15, 2004.

Several issues in the mutual fund industry have comeunder the scrutiny of federal and state regulators. Citigroup hasreceived subpoenas and other requests for information from variousgovernment regulators regarding market timing, financing, fees, salespractices and other mutual fund issues in connection with variousinvestigations. Citigroup is cooperating with all such reviews.Additionally, Citigroup Global Markets has entered into a settlementagreement with the SEC with respect to revenue sharing and sales ofclasses of funds.

On May 31, 2005, Citigroup announced thatSmith Barney Fund Management LLC and Citigroup Global Markets completeda settlement with the SEC resolving an investigation by the SEC intomatters relating to arrangements between certain Smith Barney mutualfunds, an affiliated transfer agent and an unaffiliated sub-transferagent. Under the terms of the settlement, Citigroup agreed to pay finestotaling 

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$208.1 million. The settlement, in whichCitigroup neither admitted nor denied any wrongdoing or liability,includes allegations of willful misconduct by Smith Barney FundManagement LLC and Citigroup Global Markets in failing to discloseaspects of the transfer agent arrangements to certain mutual fundinvestors.

Research Analyst Litigation

Since May 2002,Citigroup Global Markets and certain executive officers and current andformer employees have been named as defendants in numerous allegedclass action complaints, individual actions, and arbitration demands bypurchasers of various securities alleging that they violated federalsecurities law, including Sections 10 and 20 of the Securities ExchangeAct of 1934, as amended, and certain state laws for allegedly issuingresearch reports without a reasonable basis in fact and for allegedlyfailing to disclose conflicts of interest with companies in connectionwith published investment research, including Global Crossing, Ltd.,AT&T Corp., Level 3 Communications, Inc., Metromedia Fiber Network,Inc., XO Communications, Inc., Williams Communications Group Inc., andFocal Communications, Inc. The alleged class actions relating toresearch of these companies are pending before a single judge in theUnited States District Court for the Southern District of New York forcoordinated proceedings. The Court has consolidated these actions intoseparate proceedings corresponding to the companies named above. OnDecember 2, 2004, the Court granted in part and denied in part theCitigroup-related defendants' motions to dismiss the claimsagainst it in the AT&T, Level 3, XO and Williams actions. OnJanuary 6, 2005, the Court granted in part and denied in partCitigroup's motion to dismiss the claims against it in theMetromedia action.

On September 27, 2005, Citigroup entered intoa memorandum of agreement settling all claims against theCitigroup-related defendants in In Re: Salomon Analyst AT&TLitigation, a class action alleging research analyst conflicts ofinterest. The settlement amount is covered by existing litigationreserves. The settlement is subject to judicial approval.

Inaddition to the alleged research class actions, several individualactions have been filed against Citigroup and Citigroup Global Marketsrelating to, among other things, research on Qwest CommunicationsInternational, Inc. These actions allege violations of state andfederal securities laws in connection with Citigroup GlobalMarkets' publication of research about Qwest and its underwritingof Qwest securities.

Two alleged class actions against CitigroupGlobal Markets asserting common law claims in connection with publishedinvestment research on behalf of Citigroup Global Markets customershave been dismissed by United States District Courts, one of which wasaffirmed by the United States Court of Appeals for the Ninth Circuit,and one of which is pending on appeal to the United States Courts ofAppeals for the Third Circuit. Plaintiffs in the Ninth Circuit casehave sought review by the United States Supreme Court; their requestfor an appeal to that Court is pending.

On September 22, 2005,Citigroup reached an agreement-in-principle to settle all claimsagainst the Citigroup-related defendants in Norman v. Salomon SmithBarney, et al., a class action asserting violations of theInvestment Advisers Act of 1940 and various common law claims inconnection with certain investors who maintained guided portfoliomanagement accounts at Smith Barney. The settlement amount is coveredby existing litigation reserves. The settlement is subject to judicialapproval.

On August 17, 2005, in Disher v. Citigroup GlobalMarkets Inc., the United States Court of Appeals for the SeventhCircuit reversed the district court's grant of plaintiffs'motion to remand the case to state court, and directed the districtcourt to dismiss the case as preempted under the Securities LitigationUniform Standards Act ("SLUSA"). The UnitedStates Supreme Court has granted review in another case involving SLUSAthat may affect the Seventh Circuit's dismissal of the Dishermatter.

In Sturm, et al. v. Citigroup, et al., an NASDarbitration seeking significant compensatory and punitive damages,claimants' asserted common law claims, including fraud, arisingout of alleged research analyst conflicts of interest related toCitigroup Global Markets research coverage of WorldCom.

Supervisory Investigation

In May 2003, the SEC, NYSE andNASD issued a subpoena and letters to Citigroup Global Marketsrequesting documents and information with respect to their continuinginvestigation of individuals in 

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connection with the supervision of theresearch and investment banking departments of Citigroup GlobalMarkets. Other parties to the Research Settlement have received similarsubpoenas and letters.

West Virginia Attorney General Suit

On June 23, 2003, the West Virginia Attorney General filed an actionagainst Citigroup Global Markets and nine other firms that were partiesto the Research Settlement. The West Virginia Attorney General allegesthat the firms violated the West Virginia Consumer Credit andProtection Act in connection with their research activities and seeksmonetary penalties.

Citigroup Shareholder Litigation

InJuly 2002, Citigroup, Citigroup Global Markets and certain officerswere named as defendants in an alleged class action filed in the UnitedStates District Court for the Southern District of New York, brought onbehalf of purchasers of Citigroup common stock between July 24, 1999and July 23, 2002. The complaint seeks unspecified compensatory andpunitive damages for alleged violations of Sections 10(b) and 20(a) ofthe Securities Exchange Act of 1934, and for common law fraud. Fourteenvirtually identical complaints have been filed and consolidated. Thecomplaints allege that Citigroup misstated the extent of itsEnron-related exposure, and that Citigroup's stock price fellonce the true extent of Citigroup's Enron involvements becameknown. Plaintiffs filed an amended complaint on March 10, 2003, whichincorporated the allegations in the 15 separate actions and added newmaterial as well. The amended complaint focuses on certain transactionsbetween Citigroup and Enron and alleged analyst conflicts of interest.The class period for the consolidated amended complaint is July 24,1999 to December 11, 2002. On June 2, 2003, Citigroup filed a motion todismiss the consolidated amended complaint. Plaintiffs' responsewas filed on July 30, and Citigroup's reply was filed on October3, 2003. On August 10, 2004, Judge Swain granted Citigroup'smotion to dismiss the consolidated amended complaint. The plaintiffsfiled a notice of appeal in October 2004.

NASD Settlement

In November 2004, Citigroup Global Markets entered into a finalagreement with the NASD to resolve the NASD's investigation intocertain of its selling practices. Without admitting or denying anyallegations or findings, Citigroup Global Markets accepted certainfactual findings by the NASD that it (i) sold units in two managedfutures funds to 45 customers for whom the investment was not suitable,(ii) failed to maintain records disclosing the basis upon which itsinvestor suitability determinations were made and (iii) failed toadequately disclose the risks of investing in managed futures productson its website. Citigroup Global Markets consented to a censure and afine of $275,000 and offered to redeem the investment of the customersfor whom investment in the two managed futures funds was found notsuitable.

In the course of its business, Citigroup GlobalMarkets, as a major futures commission merchant and broker-dealer, is aparty to various claims and routine regulatory investigations andproceedings that the General Partner believes do not have a materialeffect on the business of Citigroup Global Markets.

Item4.    Submission of Matters to a Vote of SecurityHolders.

There were no matters submitted to the securityholders for a vote during the last fiscal year covered by thisreport.

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PART II

Item5.    Market for Registrant's Common Equity and RelatedSecurity Holder Matters.

(a)    MarketInformation. The Partnership has issued no stock. There is nopublic market for the Redeemable Units of Limited PartnershipInterest.

(b)    Holders. The number of holders ofRedeemable Units of Partnership Interest as of December 31, 2005, was1,004.

(c)    Dividends. The Partnership did notdeclare a distribution in 2005 or 2004.

(d)    Use ofProceeds. The Partnership no longer offers Redeemable units at thenet asset value per Redeemable Unit as of the end of each month. Forthe years ended December 31, 2005, 2004 and 2003 there were noadditional sales.

(e)    CompensationPlans.    None.

Proceeds from the sale of additionalRedeemable Units are used in the trading of commodity interestsincluding futures contracts, options, swaps and forward contracts.

Item 6.    Selected Financial Data.

Net realizedand unrealized trading gains (losses), interest income, net income(loss) and increase (decrease) in Net Asset Value per Redeemable Unitfor the years ended December 31, 2005, 2004, 2003, 2002 and 2001 andtotal assets at December 31, 2005, 2004, 2003, 2002 and 2001 were asfollows:

|                                                                                                                                                                                                                       |  |        |             |        |  |        |             |        |  |        |             |         |  |        |             |        |  |        |             |        |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--------|-------------|---------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                                                                                                  |  | 2005   |             | 2004   |  | 2003   |             | 2002   |  | 2001   |
| Netrealized and unrealized trading gains (losses) net of expensesallocated from Master, brokerage commissions (including clearing fees)of $5,383,149, $4,721,137, $6,760,951, $15,155,860 and $6,777,879,respectively |  | $      | 170,933,637 |   |  | $      | 55,011,111  |   |  | $      | (45,814,699 | )  |  | $      | 63,651,739  |   |  | $      | 35,703,923  |   |
| Interestincome                                                                                                                                                                                                        |  |   | 5,081,028   |   |  |   | 1,393,628   |   |  |   | 1,151,191   |    |  |   | 2,266,446   |   |  |   | 2,765,985   |   |
|                                                                                                                                                                                                                  |  | $      | 176,014,665 |   |  | $      | 56,404,739  |   |  | $      | (44,663,508 | )  |  | $      | 65,918,185  |   |  | $      | 38,469,908  |   |
| Netincome (loss) before Allocation to the Special LimitedPartner                                                                                                                                                      |  | $      | 170,951,340 |   |  | $      | 53,540,506  |   |  | $      | (47,512,039 | )  |  | $      | 62,361,519  |   |  | $      | 36,115,307  |   |
| Allocationto the Special LimitedPartner                                                                                                                                                                               |  |   | 33,174,063  |   |  |   | 2,333,604   |   |  |   | —     |    |  |   | 12,019,017  |   |  |   | 6,669,865   |   |
| Netincome (loss) available for pro ratadistribution                                                                                                                                                                   |  | $      | 137,777,277 |   |  | $      | 51,206,902  |   |  | $      | (47,512,039 | )  |  | $      | 50,342,502  |   |  | $      | 29,445,442  |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                              |  | $      | 2,545.62    |   |  | $      | 885.09      |   |  | $      | (680.90     | )  |  | $      | 691.35      |   |  | $      | 489.01      |   |
| Totalassets                                                                                                                                                                                                           |  | $      | 309,054,933 |   |  | $      | 157,137,085 |   |  | $      | 121,366,913 |    |  | $      | 194,697,342 |   |  | $      | 144,011,712 |   |
|                                                                                                                                                                                                                       |

Item7.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Overview

The Partnership, through its investment in the Master, seeks toachieve capital appreciation through speculative trading, directly orindirectly, in commodity interests generally including, commodityfutures and commodity option contracts on United States exchanges andcertain foreign exchanges and swaps. 

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The Partnership, through its investment inthe Master, intends to trade only energy and energy related products,as well as the Goldman Sachs Commodity Index (an index future comprisedof energy and other products), traded on the Chicago MercantileExchange, but is authorized to trade commodity futures, swaps andoptions contracts of any kind. The Partnership has invested all of itsassets in the Master. The Advisor is authorized to trade forwardcontracts on behalf of the Partnership and the Master but does notcurrently intend to do so (certain swaps that the Advisor trades are,however, the substantial economic equivalent of forward contracts).

The General Partner/Managing Member manages all business of thePartnership/Master. The General Partner has delegated itsresponsibility for the investment of the Partnership's assets toAAA. The Partnership has invested these assets in the Master. TheGeneral Partner employs a team of approximately 20 professionals whoseprimary emphasis is on attempting to maintain quality control among theadvisors to the Partnerships operated or managed by the GeneralPartner. A full-time staff of due diligence professionals usesproprietary technology and on-site evaluations to monitor new andexisting futures money managers. The accounting and operations staffprovides processing of trading activity and reporting to limitedpartners and regulatory authorities. In selecting the Advisor for thePartnership/Master, the General Partner considered past performance,trading style, volatility of markets traded and fee requirements.

Responsibilities of the General Partner/Managing Memberinclude:

|              |                                           |
|--------------|-------------------------------------------|
| •  | due diligence examinations ofthe Advisor; |

|              |                                                       |
|--------------|-------------------------------------------------------|
| •  | selection, appointment andtermination of the Advisor; |

|              |                                            |
|--------------|--------------------------------------------|
| •  | negotiationof the management agreement;and |

|              |                                        |
|--------------|----------------------------------------|
| •  | monitoring the activity of theAdvisor. |

In addition, the General Partner/Managing Memberprepares the books and records and provides the administrative andcompliance services that are required by law or regulation from time totime in connection with operation of the Partnership/Master. Theseservices include the preparation of required books and records andreports to limited partners, government agencies and regulators;computation of net asset value; calculation of fees; effectingsubscriptions, redemptions and limited partner communications; andpreparation of offering documents and sales literature.

TheGeneral Partner/Managing Member shall seek the best prices and servicesavailable in its commodity futures brokerage transactions. The GeneralPartner/Managing Member reviews at least annually, the brokerage ratescharged to commodity pools similar to the Partnership/Master todetermine that the brokerage fee the Partnership/Master pays iscompetitive with other rates.

The Partnership's assetsallocated to AAA for trading are not invested in commodity interestsdirectly. AAA's allocation of the Partnership's assets iscurrently invested in the Master. AAA trades the Master's, andthereby the Partnership's, assets in accordance with its Energywith Swaps Program.

The Master currently trades energy futurescontracts and options on energy futures contracts on domestic andinternational exchanges, as well as the Goldman Sachs Commodity Index(an index future comprised of energy and other products) traded on theChicago Mercantile Exchange. The Master also currently engages in swaptransactions involving crude oil and other energy related products.References herein to energy and energy related products include all ofthe foregoing.

AAA generally bases its trading decisions on"fundamental" factors, namely supply anddemand for a particular group or type of commodity. AAA attempts to buyundervalued commodities and sell overvalued commodities, often but notalways simultaneously. AAA uses options to attempt either to reduce ordefine risks.

AAA is aware of price trends but does not tradeupon trends. AAA often takes profits in positions with specific trendseven though that trend may still be intact or perhaps even strong. AAAoccasionally establishes positions that are countertrend.

Effective risk management is a crucial aspect of AAA's tradingprogram. Account size, expectation, volatility of the market traded andthe nature of other positions taken are all factors in determining theamount of equity committed to each trade. The Master is AAA'slargest account.

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(a)    Liquidity.

ThePartnership does not engage in sales of goods or services. Its onlyassets are its investment in the Master and cash. The Master does notengage in the sale of goods or services. Because of the low margindeposits normally required in commodity trading, relatively small pricemovements may result in substantial losses to the Partnership, throughits investment in the Master. Such substantial losses could lead to amaterial decrease in liquidity.

In the first quarter of 2003,the Master, and, therefore, the Partnership, experienced a cumulativeloss of 25%. This loss was primarily attributable toextraordinary price activity during the first quarter of 2003 in U.S.natural gas and crude oil markets which led to losses in theMaster's energy market positions.

In February 2003, theMaster had a short position in the April natural gas futures contractas a partial offset to an overall long position in delivery monthslater in the year in the same contract. During the last week ofFebruary, natural gas prices rose sharply reflecting relatively highshort-term demand in the eastern and mid-continental United Statesalong with a reduced ability of natural gas suppliers to delivernatural gas from storage due to low storage inventories. Volatility inthe natural gas markets was exacerbated during that period as themarkets became relatively illiquid when many traders stayed out of themarket to wait for the volatility to pass. During this period, theApril natural gas futures contract experienced an upward increase inprice of over 50% in two days and related cash market pricesexperienced a 300% increase in price. Deferred delivery monthsin the natural gas futures contract did not experience comparable priceincreases. The spread between the price of the April contract and thoseof the deferred months changed suddenly and unexpectedly. Such extrememoves generally happen only in exceptionally rare circumstances and canlead to illiquid market conditions.

In March 2003, volatilitystruck the crude oil market, and the Master again experienced losses asprices for crude oil dropped over $8.00 per barrel, or 21%, inthe course of a week. The Master's and the Partnership'sliquidity was not hindered as a result of these market movements as theMaster and the Partnership each had adequate cash reserves to absorbmarket volatility and to meet redemption requests during thatperiod.

The performance for the years ended December 31, 2005 and2004 is discussed in (c) Results of Operations.

To minimize thisrisk relating to low margin deposits, the Master follows certaintrading policies, including:

|           |                                                                                                                                                                                                                                                                                                                                              |
|-----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | The Masterinvests its assets only in commodity interests that the Advisorbelieves are traded in sufficient volume to permit ease of taking andliquidating positions. Sufficient volume, in this context, refers to alevel of liquidity that the Advisor believes will permit it to enterand exit trades without noticeably moving themarket. |

|            |                                                                                                                                                                                                                     |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | The Advisor will not initiateadditional positions in any commodity if these positions would resultin aggregate positions requiring a margin of more than 662/3% of the Master's net assets allocated to theAdvisor. |

|             |                                                                                                                                                                                                                                                        |
|-------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | The Master may occasionallyaccept delivery of a commodity. Unless such delivery is disposed ofpromptly by retendering the warehouse receipt representing the deliveryto the appropriate clearinghouse, the physical commodity position isfully hedged. |

|            |                                                                                                                                                                                                                                                   |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | The Master does not employthe trading technique commonly known as"pyramiding", in which the speculator usesunrealized profits on existing positions as margin for the purchases orsale of additional positions in the same or relatedcommodities. |

|           |                                                                                                                         |
|-----------|-------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Master does not utilizeborrowings except short-term borrowings if the Master takes delivery ofany cash commodities. |

|            |                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vi)  | The Advisor may,from time to time, employ trading strategies such as spreads orstraddles on behalf of the Master. The term"spread" or"straddle" describes a commodity futurestrading strategy involving the simultaneous buying and selling offutures contracts on the same commodity but involving differentdelivery dates or markets and in which the trader expects to earn aprofit from a widening or narrowing of the difference between theprices of the two contracts. |

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|             |                                                                                                                                                                                                                                                                                  |
|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vii)  | The Master willnot permit the churning of its commodity trading account. The term"churning" refers to the practice of enteringand exiting trades with a frequency unwarranted by legitimate effortsto profit from the trades, driven by the desire to generate commissionincome. |

The Partnership, through its investment in the Master,is party to financial instruments with off-balance sheet risk,including derivative financial instruments and derivative commodityinstruments. 

The Master is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments in the normal course of its business.These financial instruments 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, or to purchase or sell other financialinstruments at specified terms at specified future dates, or, in thecase of derivative commodity interests, 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, swaps and certain options.Each of these instruments is subject to various risks similar to thoserelating to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

Market risk is the potential for changes in the valueof the financial instruments traded by the Master due to marketchanges, including interest and foreign exchange rate movements andfluctuations in commodity or security prices. Market risk is directlyimpacted by the volatility and liquidity in the markets in which therelated underlying assets are traded.

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange traded instruments is reduced to the extent that anexchange or clearing organization acts as counterparty to thetransactions. The Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statement of financial condition and not represented by thecontract or notional amounts of the instruments. The Master has creditrisk and concentration risk because the sole counterparty or brokerwith respect to the Master's assets is CGM.

The GeneralPartner/Managing Member monitors and controls the Master's riskexposure on a daily basis through financial, credit and risk managementmonitoring systems, and accordingly believes that it has effectiveprocedures for evaluating and limiting the credit and market risks towhich the Master is subject. These monitoring systems allow the GeneralPartner/Managing Member to statistically analyze actual trading resultswith risk adjusted performance indicators and correlation statistics.In addition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions. (See also"Item 8. Financial Statements and SupplementaryData" for further information on financial instrumentrisk included in the notes to financial statements.)

Other thanthe risks inherent in commodity futures and swaps trading, the Masterknows of no trends, demands, commitments, events or uncertainties whichwill result in or which are reasonably likely to result in theMaster's liquidity increasing or decreasing in any material way.The Limited Partnership Agreement provides that the General Partnermay, in its discretion, cause the Partnership to cease tradingoperations and liquidate all open positions under certain circumstancesincluding a decrease in Net Asset Value per Redeemable Unit to lessthan $400 as of the close of business on any businessday.

(b)    CapitalResources.

|           |                                                                           |
|-----------|---------------------------------------------------------------------------|
| (i)  | The Partnership has made nomaterial commitments for capital expenditures. |

(ii)    ThePartnership's capital consists of the capital contributions ofthe partners as increased or decreased by gains or losses on tradingand by expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any. Gains or losses on trading cannot bepredicted. Market moves in 

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commodities are dependent upon fundamentaland technical factors which the Advisor may or may not be able toidentify, such as changing supply and demand relationships, weather,government agricultural, commercial and trade programs and policies,national and international political and economic events and changes ininterest rates. Partnership expenses consist of, among other things,commissions, advisory fees and administrative fees. The level of theseexpenses is dependent upon the level of trading and the ability of theAdvisor to identify and take advantage of price movements in thecommodity markets, in addition to the level of Net Assets maintained.In addition, the amount of interest income payable by CGM is dependentupon interest rates over which the Partnership has no control.

The Partnership no longer offers units at the net asset value perRedeemable Unit as of the end of each month. For the years endedDecember 31, 2005, 2004 and 2003, there were no additional sales.

No forecast can be made as to the level of redemptions in any givenperiod. A limited partner may require the Partnership to redeem theirRedeemable Units at their Net Asset Value as of the last day of a monthon 10 business days notice to the General Partner. For the year endedDecember 31, 2005, 3,737.6251 Redeemable Units were redeemed totaling$16,379,959 and 6,455.2592 Units of Special Limited PartnershipInterest totaling $33,962,933 were redeemed. For the year endedDecember 31, 2004, 7,766.6819 Redeemable Units were redeemed totaling$17,443,417. For the year ended December 31, 2003, 7,598.1992Redeemable Units were redeemed totaling $14,817,157.

RedeemableUnits of Limited Partnership Interest were sold to persons and entitieswho are accredited investors as that term is defined in rule 501(a) ofRegulation D under the Securities Act of 1933, as well as to thosepersons who are not accredited investors but who have either a networth (exclusive of home, furnishings and automobile) eitherindividually or jointly with the investor's spouse of at leastthree times their investment in the Partnership (the minimum investmentfor which was $25,000) or gross income for the two previous years andprojected gross income for the current fiscal year of not less thanthree times their investment in the Partnership for each year.

(c)    Results of Operations.

For the year endedDecember 31, 2005 the Net Asset Value per Redeemable Unit increased91.2% from $2,792.77 to $5,338.39. For the year ended December31, 2004 the Net Asset Value per Redeemable Unit increased 46.4%from $1,907.68 to $2,792.77. For the year ended December 31, 2003 theNet Asset Value per Redeemable Unit decreased 26.3% from$2,588.58 to $1,907.68. For the three years ended December 31, 2005 theNet Asset Value per Redeemable Unit increased 106.2% from$2,588.58 to $5,338.39.

The Partnership, for its own account,through its investment in the Master, experienced a net trading gain of$176,316,786 before commissions and expenses for the year endedDecember 31, 2005. Gains were primarily attributable to the trading ofNYMEX Crude Oil, NYMEX energy swaps, NYMEX Heating Oil, NYMEX NaturalGas and OTC energy swaps and were partially offset by losses in IPE GasOil, Gasoline and NYMEX Unleaded Gas.

The Partnership'sextraordinary year was the result of adept and astute trading by thePartnership's advisor through challenging and fundamentallychanged markets. The most significant change has been the increasedflow of speculative money into the markets and the disequilibrium tohistorical fundamental relationships this money causes.

The newmoney has pushed prices to unprecedented differentials and destroyedmany of the reliable and traditional price relationships. The nebulousprice relationships fueled higher volatility and reduced liquidity.This increased break in traditional relationships between the long-termand short-term fundamentals provided treacherous short-term trading butat the same time provided an opportunity in all but the 10thmonth to generate above substantial returns.

The year startedwith continued pressure on crude oil prices with a carry-over tonatural gas as the price of a barrel rose over 30% to a high of$57 a barrel and natural gas rose 25%. The first quarter was thePartnership's most profitable quarter and the one driven byhistorical price relationships where the advisor's tradingstrategies were particularly effective.

The second quarter beganthe period where speculative money started to flow into the energymarkets and volatility increased. Crude oil rose to over $60 a barreland natural gas and gasoline started 

15

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showing seasonal price increases. Both thesemarkets began to show evidence of overbought conditions in thenear-term prices which led to wider price ranges and disequilibrium interms of location and calendar relationships.

While risingprices attracted new speculative funds to the energy markets, the twinhurricanes striking the Gulf Coast in early September exacerbated analready highly sensitive market. For a quick period of four to sixweeks, crude oil prices peaked and heating oil and gasoline set newhighs as well. Natural gas reached nearly $16 dollars per MBTU, morethan double earlier in the year. Again speculative flows chased ananticipated supply squeeze that never materialized. That led to manyprice corrections in October and the year's only losingmonth.

The whole year could be condensed into the last twomonths where market events resulted in losing periods at the beginningof each month and recovery late in the month. The advisor traded thesemarkets with a bias toward shorting the near term contracts and stayingeffectively long the long-dated contracts. 

The Partnership, forits own account, through its investment in the Master, experienced nettrading gains of $59,732,248 before commissions and expenses for theyear ended December 31, 2004. Gains were primarily attributable to thetrading of NYMEX Natural Gas, NYMEX Heating Oil, NYMEX Crude Oil andIPE Gas Oil and were partially offset by losses in NYMEX UnleadedGas.

Trading results for the year 2004 were positive as strongtrends and market volatility across the energy sector providedprofitable trading opportunities for the Advisor. The results for theyear were primarily influenced by one historic trend and one volatilebut adeptly traded market: the price of crude oil rose to over $50 abarrel while the price of natural gas experienced nearly 50%swings at least twice during the year.

The first quarter beganwith a fairly static January performance as crude oil oscillated in anarrow range. Natural gas prices dropped nearly $2.00/MM BTU in Januaryand continued a bearish trend through the quarter. A large portion ofthe profits for this period was the result of a bearish shortoption/volatility position on the front end of the market combined witha long futures positions in the summer months.

The secondquarter likewise started off mixed but quickly developed momentum ascrude oil moved past the psychological $40 barrier in May. The highprices did not persist and swung lower later in the quarter. Tradingwas mixed as prices moved rapidly in short timeframes. ThePartnership's only profitable month for the quarter was May asthe Partnership's natural gas trading profited from near-termprice stability but declining long-term prices.

The thirdquarter witnessed the first big move in crude oil to nearly $50 abarrel by late September. Prices were affected by the occurrence ofseveral simultaneous global events, specifically, the hurricane seasonin the Caribbean, turmoil in Russia, Iran and Iraq, and low inventoriesahead of the northern hemisphere winter. After grinding lower much ofthe summer, natural gas futures posted a low of $4.52/MM BTU in Augustonly to explode to over $7.00/MM BTU by late September. The Advisorbenefited from long futures positions and long volatility positions inthis market during this period.

These price rallies were shortlived, particularly in natural gas, as the supplies built up, winterweather was mild, and political tensions eased. While October wasprofitable for the Partnership, natural gas decreased from over$7.00/MM BTU to a low of $6.00/MM BTU by the end of December andresulted in losses for the Partnership's natural gas longpositions. Crude oil fluctuated nearly $10.00 a barrel in the last twomonths of the year, so the focus was on profit preservation andadjusting positions to a long term view. Overall, it was a successfultrading year for the Partnership illustrating the benefits of patience,agility and a market diversification.

The Partnership, for itsown account, through its investment in the Master, experienced nettrading losses of $39,053,748 before commissions and expenses for theyear ended December 31, 2003. Losses were primarily attributable to thetrading of NYMEX Natural Gas, NYMEX Heating Oil and NYMEX Unleaded Gasand were partially offset by gains in IPE Gas Oil and NYMEX CrudeOil.

Commodity markets are highly volatile. Broad pricefluctuations and rapid inflation increase the risks involved incommodity trading, but also increase the possibility of profit. Theprofitability of the Master 

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and the Partnership depends on theAdvisor's ability to forecast changes in energy and energyrelated commodities. Such price changes are influenced by, among otherthings, changing supply and demand relationships, weather,governmental, agricultural, commercial and trade programs and policies,national and international political and economic events and changes ininterest rates. To the extent that the Advisor correctly makes suchforecasts, the Master and the Partnership expect to increase capitalthrough operations.

(d)    Operational Risk.

The Partnership is directly exposed to market risk and credit risk,which arise in the normal course of its business activities. Slightlyless direct, but of critical importance, are risks pertaining tooperational and back office support. This is particularly the case in arapidly changing and increasingly global environment with increasingtransaction volumes and an expansion in the number and complexity ofproducts in the marketplace.

Such risks include:

Operational/Settlement Risk — the risk of financial andopportunity loss and legal liability attributable to operationalproblems, such as inaccurate pricing of transactions, untimely tradeexecution, clearance and/or settlement, or the inability to processlarge volumes of transactions. The Partnership/Master is subject toincreased risks with respect to its trading activities in emergingmarket securities, where clearance, settlement, and custodial risks areoften greater than in more established markets.

TechnologicalRisk — the risk of loss attributable to technologicallimitations or hardware failure that constrain the Partnership'sability to gather, process, and communicate information efficiently andsecurely, without interruption, to customers, among Redeemable Unitswithin the Partnership, and in the markets where the Partnership/Masterparticipates.

Legal/Documentation Risk — the riskof loss attributable to deficiencies in the documentation oftransactions (such as trade confirmations) and customer relationships(such as master netting agreements) or errors that result innoncompliance with applicable legal and regulatory requirements.

Financial Control Risk — the risk of loss attributableto limitations in financial systems and controls. Strong financialsystems and controls ensure that assets are safeguarded, thattransactions are executed in accordance with management'sauthorization, and that financial information utilized by managementand communicated to external parties, including the Partnership'sRedeemable Unit holders, creditors, and regulators, is free of materialerrors.

(e)    Critical Accounting Policies.

The preparation of financial statements in conformity withaccounting principles generally accepted in the United States ofAmerica requires estimates and assumptions that affect the reportedamounts of assets and liabilities, revenues and expenses, and relateddisclosures of contingent assets and liabilities in the financialstatements and accompanying notes.

All commodity interests(including derivative financial instruments and derivative commodityinstruments) are used for trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in the statementof financial condition at fair value on the last business day of theperiod, which represents market value for those commodity interests forwhich market quotations are readily available or other measures of fairvalue deemed appropriate by management of the General Partner for thosecommodity interests and foreign currencies for which market quotationsare not readily available, including dealer quotes for swaps andcertain option contracts. Investments in commodity interestsdenominated in foreign currencies are translated into U.S. dollars atthe exchange rates prevailing on the last business day of the period.Realized gains (losses) and changes in unrealized values on commodityinterests and foreign currencies are recognized in the period in whichthe contract is closed or the changes occur and are included in netgains (losses) on trading of commodity interests.

Foreigncurrency contracts are those contracts where the Partnership/Masteragrees to receive or deliver a fixed quantity of foreign currency foran agreed-upon price on an agreed future date. Foreign currencycontracts are valued daily, and the Partnership/Master's netequity therein, representing 

17

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unrealized gain or loss on the contracts asmeasured by the difference between the forward foreign exchange ratesat the dates of entry into the contracts and the forward rates at thereporting dates, is included in the statement of financial condition.Realized gains (losses) and changes in unrealized values on foreigncurrency contracts are recognized in the period in which the contractis closed or the changes occur and are included in the statement ofincome and expenses and partners' capital.

The GeneralPartner believes that the accounting policies that will be mostcritical to the Master's financial condition and results ofoperations relate to the valuation of the Partnership'spositions. The majority of the Partnership's positions will beexchange-traded futures contracts, which will be valued daily atsettlement prices published by the exchanges. Swap contracts generallywill be valued by reference to published settlement prices ordealers' quotes in related markets or other measures of fairvalue deemed appropriate by the General Partner. The General Partnerexpects that under normal circumstances substantially all of thePartnership's/Master's assets will be valued by objectivemeasures and without difficulty.

Item 7A.    Quantitativeand Qualitative Disclosures About Market Risk

The Masteris a speculative commodity pool. The market sensitive instruments heldby the Master are acquired for speculative trading purposes, and all orsubstantially all of the Partnership's assets are subject to therisk of trading loss through its investment in the Master. Unlike anoperating company, the risk of market sensitive instruments isintegral, not incidental, to the Master's and thePartnership's main line of business.

The risk to thelimited partners that have purchased interests in the Partnership islimited to the amount of their capital contributions to the Partnershipand their share of Partnership assets and undistributed profits. Thislimited liability is a consequence of the organization of thePartnership as a limited partnership under applicable law.

Market movements result in frequent changes in the fair market valueof the Master's open positions and, consequently, in its earningsand cash flow. The Master's and the Partnership's marketrisk is influenced by a wide variety of factors, including the leveland volatility of interest rates, exchange rates, equity price levels,the market value of financial instruments and contracts, thediversification results among the Master's open positions and theliquidity of the markets in which it trades.

The Master rapidlyacquires and liquidates both long and short positions in a wide rangeof different markets. Consequently, it is not possible to predict how aparticular future market scenario will affect performance, and theMaster's past performance is not necessarily indicative of itsfuture results.

Value at Risk is a measure of the maximum amountwhich the Master could reasonably be expected to lose in a given marketsector. 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 included 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.

Quantifyingthe Partnership's Trading Value at Risk

The followingquantitative disclosures regarding the Master's and thePartnership's market risk exposures contain"forward-looking statements" within themeaning of the safe harbor from civil liability provided for suchstatements by the Private Securities Litigation Reform Act of 1995 (setforth in Section 27A of the Securities Act of 1933 and Section 21E ofthe Securities Exchange Act of 1934). All quantitative disclosures inthis section are deemed to be forward-looking statements for purposesof the safe harbor except for statements of historical fact (such asthe terms of particular contracts and the number of market risksensitive instruments held during or at the end of the reportingperiod).

The Master's and the Partnership'srisk exposure in the various market sectors traded by the Advisor isquantified below in terms of Value at Risk. Due to the Master'smark-to-market accounting, any loss in the fair value of theMaster's open positions is directly reflected in theMaster's earnings (realized or unrealized) and cash flow.

18

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Exchange maintenance marginrequirements have been used by the Master as the measure of its Valueat Risk. Maintenance margin requirements are set by exchanges to equalor exceed the maximum losses reasonably expected to be incurred in thefair value of any given contract in 95%–99% of anyone-day intervals. The maintenance margin levels are established bydealers and exchanges using historical price studies as well as anassessment of current market volatility (including the impliedvolatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation. 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.

In the case of marketsensitive instruments which are not exchange traded (almost exclusivelycurrencies in the case of the Master), the margin requirements for theequivalent futures positions have been used as Value at Risk. In thoserare cases in which a futures-equivalent margin is not available,dealers' margins have been used.

The fair valueof the Master's futures and forward positions does not have anyoptionality component. However, the Advisor does trade commodityoptions. The Value at Risk associated with options is reflected in thefollowing table as the margin requirement attributable to theinstrument underlying each option. Where this instrument is a futurescontract, the futures margin, and where this instrument is a physicalcommodity, the futures-equivalent maintenance margin has been used.This calculation is conservative in that it assumes that the fair valueof an option will decline by the same amount as the fair value of theunderlying instrument, whereas, in fact, the fair values of the optionstraded by the Master in almost all cases fluctuate to a lesser extentthan those of the underlying instruments.

Inquantifying the Master's Value at Risk, 100% positivecorrelation in the different positions held in each market riskcategory has been assumed. Consequently, the margin requirementsapplicable to the open contracts have simply been added to determineeach trading category's aggregate Value at Risk. Thediversification effects resulting from the fact that the Master'spositions are rarely, if ever, 100% positively correlated havenot been reflected.

The Master's Trading Value at Risk inDifferent Market Sectors

The following table indicatesthe trading Value at Risk associated with the Master's openpositions by market category as of December 31, 2005, and the highest,lowest and average value at any point during the year. All openposition trading risk exposures of the Master have been included incalculating the figures set forth below. As of December 31, 2005, theMaster's total capitalization was $954,082,152.

December31,2005

|              |  |               |            |                          |  |                   |      |                   |  |                       |             |        |  |        |            |        |  |        |            |        |  |  |
|--------------|--|---------------|------------|--------------------------|--|-------------------|------|-------------------|--|-----------------------|-------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--|
| MarketSector |  | Value at Risk |            | % ofTotal Capitalization |  | High Value atRisk |      | Low Value at Risk |  | Average Value atRisk* |
| Energy       |  | $             | 72,448,403 |                     |  |              | 7.60 | %            |  | $                     | 112,520,135 |   |  | $      | 20,895,649 |   |  | $      | 54,201,104 |   |
| EnergySwaps  |  |          | 4,130,046  |                     |  |              | 0.43 | %            |  | $                     | 4,130,046   |   |  | $      | 3,300,000  |   |  | $      | 3,678,364  |   |
| Total        |  | $             | 76,578,449 |                     |  |              | 8.03 | %            |  |                  |        |   |  |   |       |   |  |   |       |   |
|              |

|  |
|--|
|  |  |
|  |

*   Averageof month-end Value at Risk

The following table indicates thetrading Value at Risk associated with the Master's open positionsby market category as of December 31, 2004. As of December 31, 2004,the Master's total capitalization was $336,495,535.

19

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December 31,2004

|              |  |               |            |                          |  |                   |      |                   |  |                       |            |        |  |        |            |        |  |        |            |        |  |  |
|--------------|--|---------------|------------|--------------------------|--|-------------------|------|-------------------|--|-----------------------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--|
| MarketSector |  | Value at Risk |            | % ofTotal Capitalization |  | High Value atRisk |      | Low Value at Risk |  | Average Value atRisk* |
| Energy       |  | $             | 20,193,006 |                     |  |              | 6.00 | %            |  | $                     | 40,780,129 |   |  | $      | 10,664,222 |   |  | $      | 20,757,158 |   |
| EnergySwaps  |  |          | 3,300,000  |                     |  |              | 0.98 | %            |  | $                     | 3,788,189  |   |  | $      | 1,698,904  |   |  | $      | 2,605,289  |   |
| Total        |  | $             | 23,493,006 |                     |  |              | 6.98 | %            |  |                  |       |   |  |   |       |   |  |   |       |   |
|              |

|  |
|--|
|  |  |
|  |

*   Averageof month-end Value at Risk

Material Limitations on Value atRisk as an Assessment of Market Risk

The face value of themarket sector instruments held by the Master is typically many timesthe applicable margin requirement (margin requirements generally rangebetween 2% and 15% of contract face value) as well asmany times the capitalization of the Master. The magnitude of theMaster's open positions creates a "risk ofruin" not typically found in most other investmentvehicles. Because of the size of its positions, certain marketconditions — unusual, but historically recurring from time totime — could cause the Master to incur severe losses over a shortperiod of time. The foregoing Value at Risk table — as well asthe past performance of the Partnership — give no indication ofthis "risk of ruin."

Materiality asused in this section, "Qualitative and QuantitativeDisclosures About Market Risk," is based on an assessmentof reasonably possible market movements and the potential losses causedby such movements, taking into account the leverage, optionality andmultiplier features of the Master's market sensitiveinstruments.

Qualitative Disclosures Regarding Primary TradingRisk Exposures

The following qualitative disclosures regardingthe Master's market risk exposures — except for (i) thosedisclosures that are statements of historical fact and (ii) thedescriptions of how the Master manages its primary market riskexposures — constitute forward-looking statements within themeaning of Section 27A of the Securities Act of 1933 and Section 21E ofthe Securities Exchange Act of 1934. The Master's primary marketrisk exposures as well as the strategies used and to be used by theGeneral Partner and the Advisor for managing such exposures are subjectto numerous uncertainties, contingencies and risks, any one of whichcould cause the actual results of the Master's risk control todiffer materially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, theemergence of dominant fundamental factors, political upheavals, changesin historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could resultin material losses as well as in material changes to the risk exposuresand the management strategies of the Master. There can be no assurancethat the Master's current market exposure and/or risk managementstrategies will not change materially or that any such strategies willbe effective in either the short or long term. Investors must beprepared to lose all or substantially all of their investment in thePartnership.

The following were the primary trading riskexposures of the Master as of December 31, 2005 by market sector.

Energy.    Energy related products, such as crude oil,heating oil, gasoline and natural gas, constitute the principal marketexposure of the Master. The Master has substantial market exposure togas and oil price movements, often resulting from politicaldevelopments in the Middle East. Political developments in othercountries or regions can also materially impact upon the prices ofenergy products, as could changing supply and demand relationships,weather, governmental, commercial and trade programs and policies, andother significant economic events. Energy prices can be volatile andsubstantial profits and losses have been and are expected to continueto be experienced in these markets.

The Master engages in swaptransactions in crude oil and other energy related products. In thisconnection, the Master contracts with its counterparty to exchange astream of payments computed by reference to a notional amount and theprice of the energy product that is the subject of the swap.

Swap contracts are not guaranteed by an exchange or clearinghouse.CGM does not engage in swap transactions as a principal.

20

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The Master usually enters into swaps on anet basis, i.e., the two payment streams are netted out in a cashsettlement on the payment date or dates specified in the agreement,with the Master receiving or paying, as the case may be, only the netamount of the two payments. Swaps do not involve the delivery ofunderlying assets or principal. Accordingly, the risk of loss withrespect to swaps is limited to the net amount of payments that theMaster is contractually obligated to make. If the counterparty to aswap defaults, the Master's risk of loss consists of the netamount of payments that the Master is contractually entitled toreceive.

The Master may also enter into spot transactions topurchase or sell commodities with CGM, or one of its affiliates, asprincipal. Such spot transactions provide for two-day settlement andare not margined. Such transactions may be entered into in connectionwith exchange for physical transactions. Like the swap contract market,the spot market is a principals' market so there is noclearinghouse guarantee of performance. Instead, the Master is subjectto the risk of inability of, or refusal by, a counterparty to performwith respect to the underlying contract.

Other CommodityInterests.    The Master primarily emphasizes the trading ofenergy products, but may also trade some portion of its assets in othercommodity interests, including, but not limited to, commodity interestcontracts on the Goldman Sachs Commodity Index (an index futurecomprised primarily of energy products). Commodity interest prices canbe affected by numerous factors, including political developments,weather conditions, seasonal effects and other factors which affectsupply and demand for the underlying commodity.

QualitativeDisclosures Regarding Means of Managing Risk Exposure

TheGeneral Partner monitors and controls the Partnership's, throughits investment in the Master, risk exposure on a daily basis throughfinancial, credit and risk management monitoring systems andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Master and thePartnership are subject.

The General Partner monitors theMaster's performance and the concentration of its open positions,and consults with the Advisor concerning the Master's overallrisk profile. If the General Partner felt it necessary to do so, theGeneral Partner could require the Advisor to close out individualpositions as well as enter programs traded on behalf of the Master.However, any such intervention would be a highly unusual event. TheGeneral Partner primarily relies on the Advisor's own riskcontrol policies while maintaining a general supervisory overview ofthe Master's market risk exposures.

The Advisor appliesits own risk management policies to its trading. The Advisor oftenfollows diversification guidelines, margin limits and stop loss pointsto exit a position. The Advisor's research of risk managementoften suggests ongoing modifications to its trading programs.

Aspart of the General Partner's risk management, the GeneralPartner periodically meets with the Advisor to discuss its riskmanagement and to look for any material changes to the Advisor'sportfolio balance and trading techniques. The Advisor is required tonotify the General Partner of any material changes to itsprograms.

21

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Item8.    Financial Statements and Supplementary Data.

SMITH BARNEY AAA ENERGY FUND L.P.

INDEX TO FINANCIALSTATEMENTS

|                                                                                               |  |                             |  |  |  |  |
|-----------------------------------------------------------------------------------------------|--|-----------------------------|--|--|--|--|
|                                                                                          |  | PageNumber                  |
| Oath orAffirmation                                                                            |  | F-2                         |
| Management's Report on Internal Control over FinancialReporting                               |  | F-3                         |
| Reports of IndependentRegistered Public Accounting Firm                                       |  | F-4 – F-5             |
| Financial Statements:                                                                         |  |                        |
| Statementsof Financial Condition at December 31, 2005 and2004                                 |  | F-6                         |
| Statements of Income andExpenses for the years ended December 31, 2005, 2004 and2003          |  | F-7                         |
| Statements of Changes inPartners' Capital for the years ended December 31, 2005, 2004 and2003 |  |     F-8 |
| Statements of Cash Flowsfor the years ended December 31, 2005, 2004 and 2003                  |  | F-9                         |
| Notes to Financial Statements                                                                 |  | F-10– F-14            |
| Selected Unaudited Quarterly FinancialData                                                    |  | F-15                        |
| Financial Statements ofthe SB AAA Master Fund LLC                                             |  |                        |
| Oath orAffirmation                                                                            |  | F-16                        |
| Independent Auditors'Report                                                                   |  | F-17                        |
| Statements of FinancialCondition at December 31, 2005 and2004.                                |  | F-18                        |
| Condensed Schedules ofInvestments at December 31, 2005 and 2004                               |  | F-19 –F-20            |
| Statements of Income and Expenses for the yearsended December 31, 2005, 2004 and2003          |  | F-21                        |
| Statementsof Changes in Members' Capital for the years ended December 31,2005, 2004 and2003   |  | F-22                        |
| Statementsof Cash Flows for the years ended December 31, 2005, 2004 and2003                   |  | F-23                        |
| Notes to FinancialStatements                                                                  |  | F-24 – F-27           |
| SelectedUnaudited Quarterly FinancialData                                                     |  | F-28                        |
|                                                                                               |

F-1

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To theLimited Partners ofSmith Barney AAA Energy Fund L.P.

To the best of the knowledge and belief of the undersigned,the information contained herein is accurate andcomplete.

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

|  | By:   DanielR. McAuliffe, Jr.           Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          General Partner, Smith Barney AAA          Energy Fund L.P. |
|--|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | Citigroup ManagedFutures LLC731 Lexington Avenue25th FloorNew York,N.Y. 10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-2

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Management's Report on InternalControl overFinancial Reporting

The management ofSmith Barney AAA Energy Fund L.P. (the"Partnership"), Citigroup Managed FuturesLLC, is responsible for establishing and maintaining adequate internalcontrol over financial reporting. The Partnership's internalcontrol system was designed to provide reasonable assurance to thePartnership's management and Board of Directors regarding thepreparation and fair presentation of published financial statements inaccordance with U.S. generally accepted accounting principles. Allinternal control systems, no matter how well designed, have inherentlimitations. Therefore, even those systems determined to be effectivecan provide only reasonable assurance with respect to financialstatement preparation and presentation.

 Managementmaintains a comprehensive system of controls intended to ensure thattransactions are executed in accordance with management'sauthorization, assets are safeguarded, and financial records arereliable. Management also takes steps to see that information andcommunication flows are effective and to monitor performance, includingperformance of internal control procedures.

 ThePartnership's management assessed the effectiveness of thePartnership's internal control over financial reporting as ofDecember  31, 2005 based on the criteria set forth by theCommittee of Sponsoring Organizations of the Treadway Commission (COSO)in Internal Control-Integrated Framework. Based on this assessment,management believes that, as of December  31, 2005, thePartnership's internal control over financial reporting iseffective.

 Management's assessment of theeffectiveness of the Company's internal control over financialreporting as of December  31, 2005 has been audited by KPMG LLP,the Partnership's independent registered public accounting firm,as stated in their reports appearing on the following pages, whichexpress unqualified opinions on management's assessment and onthe effectiveness of the Partnership's internal control overfinancial reporting as of December  31, 2005.

F-3

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Report of Independent Registered PublicAccounting Firm

To the Partners of Smith Barney AAAEnergy Fund L.P.:

We have audited management'sassessment, included in the accompanying Management's Reporton Internal Control Over Financial Reporting, that Smith Barney AAAEnergy Fund L.P. (the "Partnership")maintained effective internal control over financial reporting as ofDecember 31, 2005, based on criteria established in InternalControl—Integrated Framework issued by the Committee ofSponsoring Organizations of the Treadway Commission("COSO"). The Partnership's managementis responsible for maintaining effective internal control overfinancial reporting and for its assessment of the effectiveness ofinternal control over financial reporting. Our responsibility is toexpress an opinion on management's assessment and an opinion onthe effectiveness of the Partnership's internal control overfinancial reporting based on our audit.

We conducted ouraudit in accordance with the standards of the Public Company AccountingOversight Board (United States). Those standards require that we planand perform the audit to obtain reasonable assurance about whethereffective internal control over financial reporting was maintained inall material respects. Our audit included obtaining an understanding ofinternal control over financial reporting, evaluatingmanagement's assessment, testing and evaluating the design andoperating effectiveness of internal control, and performing such otherprocedures as we considered necessary in the circumstances. We believethat our audit provides a reasonable basis for our opinion.

A partnership's internal control over financialreporting is a process designed to provide reasonable assuranceregarding the reliability of financial reporting and the preparation offinancial statements for external purposes in accordance with generallyaccepted accounting principles. A partnership's internal controlover financial reporting includes those policies and procedures that(1) pertain to the maintenance of records that, in reasonable detail,accurately and fairly reflect the transactions and dispositions of theassets of the company; (2) provide reasonable assurance thattransactions are recorded as necessary to permit preparation offinancial statements in accordance with generally accepted accountingprinciples, and that receipts and expenditures of the partnership arebeing made only in accordance with authorizations of management anddirectors of the partnership; and (3) provide reasonable assuranceregarding prevention or timely detection of unauthorized acquisition,use, or disposition of the partnership's assets that could have amaterial effect on the financial statements.

Because ofits inherent limitations, internal control over financial reporting maynot prevent or detect misstatements. Also, projections of anyevaluation of effectiveness to future periods are subject to the riskthat controls may become inadequate because of changes in conditions,or that the degree of compliance with the policies or procedures maydeteriorate.

In our opinion, management'sassessment that Smith Barney AAA Energy Fund L.P. maintained effectiveinternal control over financial reporting as of December 31, 2005, isfairly stated, in all material respects, based on criteria establishedin Internal Control—Integrated Framework issued by COSO.Also, in our opinion, the Partnership maintained, in all materialrespects, effective internal control over financial reporting as ofDecember 31, 2005, based on criteria established in InternalControl—Integrated Framework issued by COSO.

Wealso have audited, in accordance with the standards of the PublicCompany Accounting Oversight Board (United States), the statements offinancial condition of the Partnership as of December 31, 2005 and2004, and the related statements of income and expenses, changes inpartners' capital, and cash flows for each of the years in thethree-year period ended December 31, 2005, and our report dated March13, 2006 expressed an unqualified opinion on those financialstatements.

|  |
|--|
|  |  |
|  |

NewYork, New York March 13, 2006

F-4

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Report of Independent Registered PublicAccounting Firm

To the Partners of Smith Barney AAAEnergy Fund L.P.:

We have audited the accompanyingstatements of financial condition of Smith Barney AAA Energy Fund L.P.(the "Partnership") as of December 31, 2005and 2004, and the related statements of income and expenses, changes inpartners' capital, and cash flows for each of the years in thethree-year period ended December 31, 2005. These financial statementsare the responsibility of the Partnership's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

We conducted our audits inaccordance with the standards of the Public Company AccountingOversight Board (United States). Those standards require that we planand perform the audit to obtain reasonable assurance about whether thefinancial statements are free of material misstatement. An auditincludes examining, on a test basis, evidence supporting the amountsand disclosures in the financial statements. An audit also includesassessing the accounting principles used and significant estimates madeby management, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis forour opinion.

In our opinion, the financial statementsreferred to above present fairly, in all material respects, thefinancial position of Smith Barney AAA Energy Fund L.P. as of December31, 2005 and 2004, and the results of its operations, changes in itspartners' capital, and its cash flows for each of the years inthe three-year period ended December 31, 2005, in conformity with U.S.generally accepted accounting principles.

We also haveaudited, in accordance with the standards of the Public CompanyAccounting Oversight Board (United States), the effectiveness of thePartnership's internal control over financial reporting as ofDecember 31, 2005, based on criteria established in InternalControl—Integrated Framework issued by the Committee ofSponsoring Organizations of the Treadway Commission("COSO"), and our report dated March 13, 2006expressed an unqualified opinion on management's assessment of,and the effective operation of, internal control over financialreporting.

|  |
|--|
|  |  |
|  |

NewYork, New York March 13, 2006

F-5

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Smith Barney AAAEnergy FundL.P.Statements of Financial ConditionDecember 31, 2005 and2004

|                                                                                                                                         |  |        |             |        |  |        |             |        |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                    |  | 2005   |             | 2004   |
| Assets:                                                                                                                                 |  |   |        |   |  |   |        |   |
| Investmentin Master, at fairvalue                                                                                                       |  | $      | 308,988,960 |   |  | $      | 157,088,428 |   |
| Cash                                                                                                                                    |  |   | 65,973      |   |  |   | 48,657      |   |
|                                                                                                                                    |  | $      | 309,054,933 |   |  | $      | 157,137,085 |   |
| Liabilitiesand Partners'Capital:                                                                                                        |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                                                            |  |   |        |   |  |   |        |   |
| Accruedexpenses:                                                                                                                        |  |   |        |   |  |   |        |   |
| Management fees(Note3b)                                                                                                                 |  | $      | 524,850     |   |  | $      | 266,056     |   |
| Professionalfees                                                                                                                        |  |   | 56,811      |   |  |   | 68,924      |   |
| Other                                                                                                                                   |  |   | 14,121      |   |  |   | 8,854       |   |
| Redemptionspayable (Note5)                                                                                                              |  |   | 32,231,152  |   |  |   | 1,173,700   |   |
|                                                                                                                                    |  |   | 32,826,934  |   |  |   | 1,517,534   |   |
| Partners'capital (Notes 1 and5):                                                                                                        |  |   |        |   |  |   |        |   |
| General Partner,913.9790 Unit equivalents outstanding in 2005 and2004                                                                   |  |   | 4,879,176   |   |  |   | 2,552,533   |   |
| SpecialLimited Partner, 594.5730 and 835.5874 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |   | 3,174,063   |   |  |   | 2,333,604   |   |
| LimitedPartners, 50,235.0968 and 53,972.7219 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively  |  |   | 268,174,760 |   |  |   | 150,733,414 |   |
|                                                                                                                                    |  |   | 276,227,999 |   |  |   | 155,619,551 |   |
|                                                                                                                                    |  | $      | 309,054,933 |   |  | $      | 157,137,085 |   |
|                                                                                                                                         |

Seeaccompanying notes to financial statements.

F-6

----

Smith Barney AAAEnergy FundL.P.Statements of Income and Expensesfor the years endedDecember 31, 2005, 2004 and2003

|                                                                                                                        |  |        |             |         |  |        |            |         |  |        |             |         |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                   |  | 2005   |             | 2004    |  | 2003   |
| Income:                                                                                                                |  |   |        |    |  |   |       |    |  |   |        |    |
| Realizedgains (losses) on closed positions fromMaster                                                                  |  | $      | 32,244,456  |    |  | $      | 46,255,956 |    |  | $      | (46,781,015 | )  |
| Changein unrealized gains on openpositions fromMaster                                                                  |  |   | 144,072,330 |    |  |   | 13,476,292 |    |  |   | 7,727,267   |    |
| Interestincome allocated fromMaster                                                                                    |  |   | 5,081,028   |    |  |   | 1,393,628  |    |  |   | 1,151,191   |    |
| Expensesallocated fromMaster                                                                                           |  |   | (5,383,149  | )  |  |   | (4,721,137 | )  |  |   | (6,760,951  | )  |
|                                                                                                                   |  |   | 176,014,665 |    |  |   | 56,404,739 |    |  |   | (44,663,508 | )  |
| Expenses:                                                                                                              |  |   |        |    |  |   |       |    |  |   |        |    |
| Managementfees (Note3b)                                                                                                |  |   | 4,877,188   |    |  |   | 2,759,441  |    |  |   | 2,702,332   |    |
| Professionalfees                                                                                                       |  |   | 155,166     |    |  |   | 96,146     |    |  |   | 112,966     |    |
| Otherexpenses                                                                                                          |  |   | 30,971      |    |  |   | 8,646      |    |  |   | 33,233      |    |
|                                                                                                                   |  |   | 5,063,325   |    |  |   | 2,864,233  |    |  |   | 2,848,531   |    |
| Netincome (loss) before allocation to the Special LimitedPartner                                                       |  |   | 170,951,340 |    |  |   | 53,540,506 |    |  |   | (47,512,039 | )  |
| Allocationto the Special Limited Partner (Note3b)                                                                      |  |   | 33,174,063  |    |  |   | 2,333,604  |    |  |   | —     |    |
| Netincome (loss) available for pro ratadistribution                                                                    |  | $      | 137,777,277 |    |  | $      | 51,206,902 |    |  | $      | (47,512,039 | )  |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and6) |  | $      | 2,545.62    |    |  | $      | 885.09     |    |  | $      | (680.90     | )  |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-7

----

Smith Barney AAA Energy FundL.P.Statements of Changes in Partners' Capitalfor theyears ended December 31, 2005, 2004 and2003

|                                                                                                                  |  |                 |                |                       |  |                |             |         |  |        |           |         |  |        |             |         |  |  |
|------------------------------------------------------------------------------------------------------------------|--|-----------------|----------------|-----------------------|--|----------------|-------------|---------|--|--------|-----------|---------|--|--------|-------------|---------|--|--|
|                                                                                                             |  | LimitedPartners |                | SpecialLimitedPartner |  | GeneralPartner |             | Total   |
| Partners'capital at December 31,2002                                                                             |  | $               | 179,485,750    |                  |  | $              | —     |    |  | $      | 2,365,908 |    |  | $      | 181,851,658 |    |
| Netloss available for pro ratadistribution                                                                       |  |            | (46,889,710    | )                |  |           | —     |    |  |   | (622,329  | )  |  |   | (47,512,039 | )  |
| Redemptionof 7,598.1992 Redeemable Units of Limited PartnershipInterest                                          |  |            | (14,817,157    | )                |  |           | —     |    |  |   | —   |    |  |   | (14,817,157 | )  |
| Partners'capital at December 31,2003                                                                             |  |            | 117,778,883    |                  |  |           | —     |    |  |   | 1,743,579 |    |  |   | 119,522,462 |    |
| Redemptionof 7,766.6819 Redeemable Units of Limited PartnershipInterest                                          |  |            | (17,443,417    | )                |  |           | —     |    |  |   | —   |    |  |   | (17,443,417 | )  |
| Allocation of net income for the year ended December31, 2004:                                                    |  |            |           |                  |  |           |        |    |  |   |      |    |  |   |        |    |
| Allocation of 835.5874 Redeemable Units ofLimited Partnership Interest to the Special Limited Partner (Note 3b)  |  |            | –– |                  |  |           | 2,333,604   |    |  |   | —   |    |  |   | 2,333,604   |    |
| Netincome available for pro ratadistribution                                                                     |  |            | 50,397,948     |                  |  |           | —     |    |  |   | 808,954   |    |  |   | 51,206,902  |    |
| Partners'capital at December 31, 2004                                                                            |  |            | 150,733,414    |                  |  |           | 2,333,604   |    |  |   | 2,552,533 |    |  |   | 155,619,551 |    |
| Redemption of 3,737.6251 Redeemable Units of LimitedPartnership Interest                                         |  |            | (16,379,959    | )                |  |           | —     |    |  |   | —   |    |  |   | (16,379,959 | )  |
| Redemption of6,455.2592 Redeemable Units of Special Limited PartnershipInterest                                  |  |            | —        |                  |  |           | (33,962,933 | )  |  |   | —   |    |  |   | (33,962,933 | )  |
| Allocation of net incomefor the year ended December 31,2005:                                                     |  |            |           |                  |  |           |        |    |  |   |      |    |  |   |        |    |
| Allocationof 6,214.2448 Redeemable Units of Limited Partnership Interest to theSpecial Limited Partner (Note 3b) |  |            | —        |                  |  |           | 33,174,063  |    |  |   | —   |    |  |   | 33,174,063  |    |
| Net income available for pro ratedistribution                                                                    |  |            | 133,821,305    |                  |  |           | 1,629,329   |    |  |   | 2,326,643 |    |  |   | 137,777,277 |    |
| Partners' capital at December 31,2005                                                                            |  | $               | 268,174,760    |                  |  | $              | 3,174,063   |    |  | $      | 4,879,176 |    |  | $      | 276,227,999 |    |
|                                                                                                                  |

Net Asset Value Per RedeemableUnit

|      |  |           |  |  |  |  |
|------|--|-----------|--|--|--|--|
| 2003 |  | $1,907.68 |
| 2004 |  | $2,792.77 |
| 2005 |  | $5,338.39 |
|      |

Seeaccompanying notes to financial statements.

F-8

----

Smith Barney AAA Energy Fund L.P.Statements of Cash Flowsfor the years ended December 31, 2005, 2004and2003

|                                                                                           |  |        |              |         |  |        |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|--------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                      |  | 2005   |              | 2004    |  | 2003   |
| Cashflows from operating activities:                                                      |  |   |         |    |  |   |        |    |  |   |        |    |
| Net income(loss)                                                                          |  | $      | 137,777,277  |    |  | $      | 51,206,902  |    |  | $      | (47,512,039 | )  |
| Adjustments toreconcile net income to net cash provided by (used in) operatingactivities: |  |   |         |    |  |   |        |    |  |   |        |    |
| Changes in operatingassets and liabilities:                                               |  |   |         |    |  |   |        |    |  |   |        |    |
| Purchase ofinvestment in Master                                                           |  |   | (2,333,604   | )  |  |   | —     |    |  |   | —     |    |
| Proceeds from sale of investmentinMaster                                                  |  |   | 21,426,255   |    |  |   | 19,290,474  |    |  |   | 27,669,078  |    |
| Net unrealized appreciation (depreciation) oninvestment inMaster                          |  |   | (170,993,183 | )  |  |   | (55,030,692 | )  |  |   | 45,674,873  |    |
| Accruedexpenses:                                                                          |  |   |         |    |  |   |        |    |  |   |        |    |
| Increase (decrease) in managementfees                                                     |  |   | 258,794      |    |  |   | 59,959      |    |  |   | (124,598    | )  |
| Increase (decrease) inprofessional fees                                                   |  |   | (12,113      | )  |  |   | 41,534      |    |  |   | 18,800      |    |
| Increase (decrease) inother                                                               |  |   | 5,267        |    |  |   | 563         |    |  |   | 3,068       |    |
|     Net cash provided by (usedin) operatingactivities                 |  |   | (13,871,307  | )  |  |   | 15,568,740  |    |  |   | 25,729,182  |    |
| Cashflows from financing activities:                                                      |  |   |         |    |  |   |        |    |  |   |        |    |
| Allocationof units – Special LimitedPartner                                         |  |   | 33,174,063   |    |  |   | 2,333,604   |    |  |   | —     |    |
| Paymentsfor redemptions – LimitedPartners                                           |  |   | (15,322,508  | )  |  |   | (17,872,390 | )  |  |   | (25,715,660 | )  |
| Paymentsfor redemptions – Special LimitedPartner                                    |  |   | (3,962,932   | )  |  |   | —     |    |  |   | —     |    |
|     Netcash provided by (used in) financingactivities                 |  |   | 13,888,623   |    |  |   | (15,538,786 | )  |  |   | (25,715,660 | )  |
|     Netchange in cash                                                 |  |   | 17,316       |    |  |   | 29,954      |    |  |   | 13,522      |    |
|     Cash, at beginning ofyear                                         |  |   | 48,657       |    |  |   | 18,703      |    |  |   | 5,181       |    |
|     Cash, at end ofyear                                               |  | $      | 65,973       |    |  | $      | 48,657      |    |  | $      | 18,703      |    |
|                                                                                           |

See accompanyingnotes to financial statements.

F-9

----

SmithBarney AAAEnergy Fund L.P.Notes to FinancialStatements

1.    PartnershipOrganization:

Smith Barney AAA Energy Fund L.P. (the"Partnership") is a limited partnership whichwas organized on January  5, 1998 under the partnership laws ofthe State of New York to engage, directly or indirectly, in thespeculative trading of a diversified portfolio of commodity interests,including commodity options and commodity futures contracts on UnitedStates exchanges and certain foreign exchanges. The Partnership maytrade commodity futures and options contracts of any kind but intendsinitially to trade solely energy and energy related products. Inaddition, the Partnership may enter into swap contracts on energyrelated products. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk.During the initial offering period (February 12, 1998 throughMarch  15, 1998), the Partnership sold 49,538 redeemable units("Redeemable Units"). The Partnershipcommenced trading on March 16, 1998. From March 16, 1998 to August 31,2001, the Partnership engaged directly in the speculative trading of adiversified portfolio of commodity interests.

Citigroup ManagedFutures LLC acts as the general partner (the "GeneralPartner") of the Partnership and the managing member ofthe Master. The Partnership's/Master's commodity broker isCitigroup Global Markets Inc. ("CGM"). CGM isan affiliate of the General Partner. The General Partner is whollyowned by Citigroup Global Markets Holdings Inc.("CGMHI"), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

Effective September 1,2001, the Partnership allocated substantially all of its capital to theSB AAA Master Fund LLC, a New York Limited Liability Company (the"Master"). With this cash, the Partnershippurchased 128,539.1485 Units of the Master with a fair value of$128,539,149 (including unrealized appreciation of $7,323,329). TheMaster was formed in order to permit commodity pools managed now or inthe future by AAA Capital Management, Inc. (the"Advisor") using the Energy with SwapsProgram, the Advisor's proprietary trading program, to investtogether in one trading vehicle. 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 financialstatements of the Master (attached), including the condensed schedulesof investments, should be read together with the Partnership'sfinancial statements.

At December 31, 2005 and 2004, thePartnership owns 32.3% and 46.6%, respectively, of theMaster. It is the Partnership's intention to continue to investsubstantially all of its assets in the Master. The performance of thePartnership is directly affected by the performance of the Master.

The General Partner and each limited partner share in the profitsand losses of the Partnership, after the allocation to the SpecialLimited Partner (as defined in Note 3b), in proportion to the amount ofpartnership interest owned by each except that no limited partner shallbe liable for obligations of the Partnership in excess of its initialcapital contribution and profits, if any, net of distributions.

The Partnership will be liquidated upon the first to occur of thefollowing: December 31, 2018; the net asset value of a Redeemable Unitdecreases to less than $400 per Redeemable Unit as of a close of anybusiness day; the aggregate net assets of the Partnership decline toless than $1,000,000; or under certain other circumstances as definedin the Limited Partnership Agreement.

2.    AccountingPolicies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | The value of thePartnership's investment in the Master reflects thePartnership's proportional interest in the members' capitalof the Master. All of the unrealized and realized gains and losses fromthe commodity transactions of the Master are allocated pro rata amongthe investors at the time of such determination. All commodityinterests (including derivative financial instruments and derivativecommodity instruments) held by the Master are used for |

F-10

----

SmithBarney AAAEnergy Fund L.P.Notes to FinancialStatements

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in thestatements of financial condition at fair value on the last businessday of the year, which represents market value for those commodityinterests for which market quotations are readily available or othermeasures of fair value deemed appropriate by management of the GeneralPartner for those commodity interests and foreign currencies for whichmarket quotations are not readily available, including dealer quotesfor swaps and certain option contracts. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe year. Realized gains (losses) and changes in unrealized values oncommodity interests are recognized in the period in which the contractis closed or the changes occur and are included in net realized andunrealized gains (losses). |

|          |                                                                                                                                                       |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | Income taxeshave not been provided as each partner is individually liable for thetaxes, if any, on its share of the Partnership's income andexpenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | The preparation of financialstatements in conformity with accounting principles generally acceptedin the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, disclosure of contingent assets and liabilities at thedate of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differfrom these estimates. |

|          |                                                                                            |
|----------|--------------------------------------------------------------------------------------------|
| d.  | Certain prior periodamounts have been reclassified to conform to current yearpresentation. |

3.    Agreements:

|                                  |                                |
|----------------------------------|--------------------------------|
| a.      | Limited Partnership Agreement: |

The General Partner administers the business and affairs ofthe Partnership including selecting one or more advisors to maketrading decisions for the Partnership.

|                                  |                       |
|----------------------------------|-----------------------|
| b.      | Management Agreement: |

TheGeneral Partner, on behalf of the Partnership, has entered into aManagement Agreement with the Advisor, a registered commodity tradingadvisor. Month-end Net Assets, for the purpose of calculatingmanagement fees are Net Assets, as defined in the Limited PartnershipAgreement, prior to the reduction of redemptions and incentive fees.The Partnership is obligated to pay the Advisor a monthly managementfee equal to 1/6 of 1% (2% per year) of month-end NetAssets allocated by the Master. The Advisor is a Special LimitedPartner of the Partnership and receives an annual profit shareallocation to its capital account in the Partnership equal to20% of New Trading Profits, as defined in the ManagementAgreement, earned on behalf of the Partnership during each calendaryear in the form of Special Limited Partner Units.

|                                  |                     |
|----------------------------------|---------------------|
| c.      | Customer Agreement: |

Allbrokerage commissions, exchange, clearing, user, give-up, and NationalFutures Association fees will be borne by the Master and allocated tothe Partnership through its investment in the Master. CGM will pay aportion of brokerage fees to its financial advisors who have sold Unitsin this Partnership. The Partnership's assets not held at theMaster are held in the Partnership's account at CGM. ThePartnership's assets are deposited by CGM in segregated bankaccounts to the extent required by Commodity Futures Trading Commissionregulations. Cash margin requirements are maintained by the Master. CGMwill pay the Partnership interest on 80% of the average dailyequity allocated to the Partnership by the Master during each month ata 30-day U.S. Treasury bill rate determined weekly by CGM based on theaverage 

F-11

----

SmithBarney AAAEnergy Fund L.P.Notes to FinancialStatements

non-competitive yield on 3-month U.S.Treasury bills maturing in 30 days from the date on which such weeklyrate is determined. The customer agreement (the "CustomerAgreement") between CGM and the Master gives the Masterthe legal right to net unrealized gains and losses. The CustomerAgreement may be terminated upon notice by either party.

4.    Trading Activities:

The results of theMaster's trading activities are shown in the statements of incomeand expenses.

5.    Distributions and Redemptions:

Distributions of profits, if any, will be made at the solediscretion of the General Partner and at such times as the GeneralPartner may decide. Beginning with the first full month ending at leastthree months after the commencement of trading, a limited partner mayrequire the Partnership to redeem its Redeemable Units at their NetAsset Value as of the last day of a month on 10 days notice to theGeneral Partner. There is no fee charged to limited partners inconnection with redemptions.

6.    Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Partnershipinterest for the years ended December  31, 2005, 2004 and 2003were asfollows:

|                                                       |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|-------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                  |  | 2005   |          | 2004    |  | 2003   |
| Netrealized and unrealized gains(losses)*             |  | $      | 3,161.00 |    |  | $      | 952.94   |    |  | $      | (652.70  | )  |
| Interestincome                                        |  |   | 94.07    |    |  |   | 24.27    |    |  |   | 17.19    |    |
| Expenses**                                            |  |   | (709.45  | )  |  |   | (92.12   | )  |  |   | (45.39   | )  |
| Increase(decrease) foryear                            |  |   | 2,545.62 |    |  |   | 885.09   |    |  |   | (680.90  | )  |
| Netasset value per Redeemable Unit, beginning of year |  |   | 2,792.77 |    |  |   | 1,907.68 |    |  |   | 2,588.58 |    |
| Netasset value per Redeemable Unit, end of year       |  | $      | 5,338.39 |    |  | $      | 2,792.77 |    |  | $      | 1,907.68 |    |
|                                                       |

|  |
|--|
|  |  |
|  |

|         |                                                  |
|---------|--------------------------------------------------|
| *  | Includescommissions expense allocated fromMaster |

|          |                                                                                                     |
|----------|-----------------------------------------------------------------------------------------------------|
| **  | Excludes commissions expenseallocated from Master and includes allocation to Special LimitedPartner |

F-12

----

SmithBarney AAAEnergy Fund L.P.Notes to FinancialStatements

|                                                                        |  |        |        |          |  |        |        |          |  |        |         |          |  |  |
|------------------------------------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--------|---------|----------|--|--|
|                                                                   |  | 2005   |        | 2004     |  | 2003   |
| Ratiosto average net assets:                                           |  |   |   |     |  |   |   |     |  |   |    |     |
| Net investment lossbefore fee allocation to Special Limited Partner*** |  |   | (2.5   | )%  |  |   | (4.6   | )%  |  |   | (6.2    | )%  |
| Operatingexpenses                                                      |  |   | 4.8    | %   |  |   | 5.6    | %   |  |   | 7.0     | %   |
| Allocationto Special LimitedPartner                                    |  |   | 15.2   | %   |  |   | 1.7    | %   |  |   | — | %   |
| Totalexpenses and allocation to Special LimitedPartner                 |  |   | 20.0   | %   |  |   | 7.3    | %   |  |   | 7.0     | %   |
| Totalreturn:                                                           |  |   |   |     |  |   |   |     |  |   |    |     |
| Total return beforeallocation to Special LimitedPartner                |  |   | 114.1  | %   |  |   | 48.6   | %   |  |   | (26.3   | )%  |
| Allocationto Special LimitedPartner                                    |  |   | (22.9  | )%  |  |   | (2.2   | )%  |  |   | — | %   |
| Totalreturn after allocation to Special LimitedPartner                 |  |   | 91.2   | %   |  |   | 46.4   | %   |  |   | (26.3   | )%  |
|                                                                        |

|  |
|--|
|  |  |
|  |

|           |                                                                                        |
|-----------|----------------------------------------------------------------------------------------|
| ***  | Interestincome less total expenses (exclusive of allocation to Special LimitedPartner) |

The above ratios may vary for individual investorsbased on the timing of capital transactions during the year.Additionally, these ratios are calculated for the limited partner classusing the limited partners' share of income, expenses and averagenet assets.

7.    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, or to purchaseor sell other financial instruments at specific terms at specifiedfuture dates, or, in the case of derivative commodity instruments, tohave a reasonable possibility to be settled in cash through physicaldelivery or with another financial instrument. These instruments may betraded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract. The Master's swap contractsare OTC contracts.

Market risk is the potential for changes inthe value of the financial instruments traded by the Master due tomarket changes, including interest and foreign exchange rate movementsand fluctuations in commodity or security prices. Market risk isdirectly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded.

Credit risk isthe possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Creditrisk with respect to exchange traded instruments is reduced to theextent that an exchange or clearing organization acts as a counterpartyto the transactions. The Partnership's/Master's risk ofloss in the event of counterparty default is typically limited to theamounts recognized in the statements of financial condition and notrepresented by the contract or notional amounts of the instruments. ThePartnership, through its investment in the Master, has concentrationrisk because a significant counterparty or broker with respect to theMaster's assets is CGM.

The General Partner monitors andcontrols the Partnership's/Master's risk exposure on adaily basis through financial, credit and risk management monitoringsystems, and accordingly believes that it has 

F-13

----

SmithBarney AAAEnergy Fund L.P.Notes to FinancialStatements

effective procedures for evaluating andlimiting the credit and market risks to which the Partnership/ Masteris subject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of December 31, 2005. However, dueto the nature of the Partnership's/Master's business, theseinstruments may not be held tomaturity.

F-14

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2005 and 2004 is summarized below:

|                                                                                                                  |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |   |            |        |  |   |            |        |  |  |
|------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|------------|--------|--|---|------------|--------|--|--|
|                                                                                                             |  | Forthe period from October 1, 2005 to December 31,2005 |            | For the period from July 1, 2005 to September 30,2005 |  | For the period from April 1, 2005 to June 30,2005 |            | For the period from January 1, 2005 to March 31,2005 |
| Net realized and unrealized trading gains netof brokerage fees commissions and clearing fees plus interestincome |  | $                                                      | 23,842,097 |                                                  |  | $                                                 | 55,320,843 |                                                 |  | $ | 45,225,133 |   |  | $ | 51,786,065 |   |
| NetIncome                                                                                                        |  | $                                                      | 18,187,406 |                                                  |  | $                                                 | 43,317,561 |                                                 |  | $ | 35,453,798 |   |  | $ | 40,818,512 |   |
| Increasein Net Asset Value per RedeemableUnit                                                                    |  | $                                                      | 361.22     |                                                  |  | $                                                 | 804.00     |                                                 |  | $ | 645.82     |   |  | $ | 734.58     |   |
|                                                                                                                  |

|                                                                                                             |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |   |           |        |  |   |            |        |  |  |
|-------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|-----------|--------|--|---|------------|--------|--|--|
|                                                                                                        |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 to September 30,2004 |  | For the period from April 1, 2004 to June 30,2004 |            | For the period from January 1, 2004 to March 31,2004 |
| Net realized and unrealized trading gains netof brokerage commissions and clearing fees plus interestincome |  | $                                                      | 11,052,024 |                                                  |  | $                                                 | 30,234,312 |                                                 |  | $ | 4,877,947 |   |  | $ | 10,354,084 |   |
| NetIncome                                                                                                   |  | $                                                      | 8,174,598  |                                                  |  | $                                                 | 29,067,831 |                                                 |  | $ | 4,232,220 |   |  | $ | 9,732,253  |   |
| Increasein Net Asset Value per RedeemableUnit                                                               |  | $                                                      | 142.37     |                                                  |  | $                                                 | 509.75     |                                                 |  | $ | 71.26     |   |  | $ | 161.71     |   |
|                                                                                                             |

F-15

----

To theMembers ofSB AAA Master Fund LLC

To the best of theknowledge and belief of the undersigned, the information containedherein is accurate and complete.

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

|  | By:   DanielR. McAuliffe, Jr.           Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          Managing Member, SB AAA Master Fund LLC |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | Citigroup Managed Futures LLC731Lexington Avenue25th FloorNew York, N.Y.10022212-559-2011 |
|--|-------------------------------------------------------------------------------------------|

F-16

----

Independent Auditors'Report

To the Members ofSB AAA Master Fund LLC:

We have audited the accompanying statements of financialcondition of SB AAA Master Fund LLC (the"Company"), including the condensed schedulesof investments, as of December  31, 2005 and 2004, and therelated statements of income and expenses, changes in members'capital, and cash flows for each of the years in the three-year periodended December 31, 2005. These financial statements are theresponsibility of the Company's management. Our responsibility isto express an opinion on these financial statements based on ouraudits.

We conducted our audits in accordance withgenerally accepted auditing standards as established by the AuditingStandards Board (United States) and in accordance with the auditingstandards of the Public Company Accounting Oversight Board (UnitedStates). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether the financial statements arefree of material misstatement. The Company is not required to have, norwere we engaged to perform, an audit of its internal control overfinancial reporting. Our audit included consideration of internalcontrol over financial reporting as a basis for designing auditprocedures that are appropriate in the circumstances, but not for thepurpose of expressing an opinion on the effectiveness of theCompany's internal control over financial reporting. Accordingly,we express no such opinion. An audit also includes examining, on a testbasis, evidence supporting the amounts and disclosures in the financialstatements, assessing the accounting principles used and significantestimates made by management, as well as evaluating the overallfinancial statement presentation. We believe that our audits provide areasonable basis for our opinion.

In our opinion, thefinancial statements referred to above present fairly, in all materialrespects, the financial position of SB AAA Master Fund LLC as ofDecember  31, 2005 and 2004, and the results of its operations,changes in its members' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2005, inconformity with U.S. generally accepted accountingprinciples.

                                        

New York, New York March 13,2006

F-17

----

SB AAAMaster Fund LLCStatements of Financial ConditionDecember 31,2005 and2004

|                                                                                                |  |        |               |        |  |        |             |        |  |  |
|------------------------------------------------------------------------------------------------|--|--------|---------------|--------|--|--------|-------------|--------|--|--|
|                                                                                           |  | 2005   |               | 2004   |
| Assets:                                                                                        |  |   |          |   |  |   |        |   |
| Equityin commodity futures tradingaccount:                                                     |  |   |          |   |  |   |        |   |
| Cash (restricted$4,130,046 and $29,327,275, respectively)                                      |  | $      | 557,878,760   |   |  | $      | 302,866,457 |   |
| Net unrealized appreciationon open futures positions                                           |  |   | 260,548,395   |   |  |   | 33,027,068  |   |
| Unrealized appreciation onopen swaps contracts                                                 |  |   | 193,692,178   |   |  |   | 93,606,729  |   |
| Commodity options owned, at fair value (cost$129,024,667 and $39,565,244,respectively)         |  |   | 225,052,075   |   |  |   | 51,017,766  |   |
|                                                                                           |  |   | 1,237,171,408 |   |  |   | 480,518,020 |   |
| Due frombrokers                                                                                |  |   | 14,310,966    |   |  |   | 2,425,135   |   |
| Interestreceivable                                                                             |  |   | 1,813,732     |   |  |   | 459,835     |   |
|                                                                                           |  | $      | 1,253,296,106 |   |  | $      | 483,402,990 |   |
|                                                                                           |  |   |          |   |  |   |        |   |
| Liabilities andMembers'Capital:                                                                |  |   |          |   |  |   |        |   |
| Liabilities:                                                                                   |  |   |          |   |  |   |        |   |
| Unrealizeddepreciation on open swap contracts                                                  |  | $      | 165,265,325   |   |  | $      | 89,659,294  |   |
| Commodity options written,at market value (premium $147,363,753 and $54,943,984,respectively)  |  |   | 114,859,048   |   |  |   | 52,353,395  |   |
| Accruedexpenses:                                                                               |  |   |          |   |  |   |        |   |
| Commissions                                                                                    |  |   | 3,198,816     |   |  |   | 1,662,591   |   |
| Professionalfees                                                                               |  |   | 143,268       |   |  |   | 2,000       |   |
| Due tobrokers                                                                                  |  |   | 13,948,544    |   |  |   | 2,753,610   |   |
| Due to CGM                                                                                     |  |   | —       |   |  |   | 22,978      |   |
| DistributionPayable                                                                            |  |   | 1,798,953     |   |  |   | 453,587     |   |
|                                                                                           |  |   | 299,213,954   |   |  |   | 146,907,455 |   |
| Members'Capital:                                                                               |  |   |          |   |  |   |        |   |
| Members'Capital, 246,785.2714 and 185,364.2361 Units outstanding in 2005 and2004, respectively |  |   | 954,082,152   |   |  |   | 336,495,535 |   |
|                                                                                           |  | $      | 1,253,296,106 |   |  | $      | 483,402,990 |   |
|                                                                                                |

See accompanyingnotes to financial statements.

F-18

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2005

|                                                    |  |                   |        |            |  |                      |              |         |  |        |        |         |  |  |
|----------------------------------------------------|--|-------------------|--------|------------|--|----------------------|--------------|---------|--|--------|--------|---------|--|--|
|                                               |  | NumberofContracts |        | Fair Value |  | % ofPartners'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. |

See accompanying notes tofinancial statements.

F-19

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2004

|                                               |  |                   |        |            |  |                      |             |         |  |        |        |         |  |  |
|-----------------------------------------------|--|-------------------|--------|------------|--|----------------------|-------------|---------|--|--------|--------|---------|--|--|
|                                          |  | NumberofContracts |        | Fair Value |  | % ofPartners'Capital |
| FuturesContractsPurchased                     |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  | $                    | 1,240,430   |    |  |   | 0.37   | %  |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| FuturesContractsSold                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 |        |    |  |   |   |    |
| NYMEXNatural Gas Feb. 05 - May09              |  |              | 2,626  |       |  |                 | 22,776,795  |    |  |   | 6.77   |    |
| Other                                         |  |              |   |       |  |                 | 9,009,843   |    |  |   | 2.68   |    |
| Totalfutures contractssold                    |  |              |   |       |  |                 | 31,786,638  |    |  |   | 9.45   |    |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| OptionsOwned                                  |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 | 51,017,766  |    |  |   | 15.16  |    |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| OptionsWritten                                |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 |        |    |  |   |   |    |
| NYMEXNatural Gas Feb. 05 - Jan06              |  |              | 6,992  |       |  |                 | (25,794,540 | )  |  |   | (7.67  | )  |
| Other                                         |  |              |   |       |  |                 | (26,558,855 | )  |  |   | (7.89  | )  |
| Totalfutures contractswritten                 |  |              |   |       |  |                 | (52,353,395 | )  |  |   | (15.56 | )  |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| UnrealizedAppreciation on SwapContracts       |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 |        |    |  |   |   |    |
| GulfCoast Unleaded Gas Calendar 2005          |  |              | 1,080  |       |  |                 | 23,491,972  |    |  |   | 6.98   |    |
| NYMEXHeating Oil Calendar2006                 |  |              | 1,450  |       |  |                 | 21,867,545  |    |  |   | 6.50   |    |
| Other                                         |  |              |   |       |  |                 | 48,247,212  |    |  |   | 14.34  |    |
| Totalunrealized appreciation on swapcontracts |  |              |   |       |  |                 | 93,606,729  |    |  |   | 27.82  |    |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| UnrealizedDepreciation on SwapContracts       |  |              |   |       |  |                 |        |    |  |   |   |    |
| Energy                                        |  |              |   |       |  |                 |        |    |  |   |   |    |
| GulfCoast Unleaded Gas Calendar2006           |  |              | 1,450  |       |  |                 | (18,846,201 | )  |  |   | (5.60  | )  |
| NYMEXUnleaded Gas Calendar2005                |  |              | 820    |       |  |                 | (21,159,503 | )  |  |   | (6.29  | )  |
| Other                                         |  |              |   |       |  |                 | (49,653,590 | )  |  |   | (14.76 | )  |
| Totaldepreciation on swapcontracts            |  |              |   |       |  |                 | (89,659,294 | )  |  |   | (26.65 | )  |
|                                          |  |              |   |       |  |                 |        |    |  |   |   |    |
| TotalEnergy FairValue                         |  |              |   |       |  | $                    | 35,638,874  |    |  |   | 10.59  | %  |
|                                               |

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

See accompanying notes tofinancial statements.

F-20

----

SB AAA Master Fund LLCStatements ofIncome and Expensesfor the years ended December 31, 2005, 2004 and2003

|                                                                                                   |  |        |             |        |  |        |             |        |  |        |             |         |  |  |
|---------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--------|-------------|---------|--|--|
|                                                                                              |  | 2005   |             | 2004   |  | 2003   |
| Income:                                                                                           |  |   |        |   |  |   |        |   |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                                               |  |   |        |   |  |   |        |   |  |   |        |    |
| Realized gains (losses) on closedpositions                                                        |  | $      | 75,334,314  |   |  | $      | 98,726,739  |   |  | $      | (89,228,388 | )  |
| Change in unrealized gainson open positions                                                       |  |   | 366,489,747 |   |  |   | 28,044,756  |   |  |   | 12,929,224  |    |
|                                                                                              |  |   | 441,824,061 |   |  |   | 126,771,495 |   |  |   | (76,299,164 | )  |
| Interestincome                                                                                    |  |   | 13,332,089  |   |  |   | 3,078,611   |   |  |   | 2,459,477   |    |
|                                                                                              |  |   | 455,156,150 |   |  |   | 129,850,106 |   |  |   | (73,839,687 | )  |
|                                                                                              |  |   |        |   |  |   |        |   |  |   |        |    |
| Expenses:                                                                                         |  |   |        |   |  |   |        |   |  |   |        |    |
| Brokeragecommissions including clearing fees of $1,569,668 $1,255,894 and$2,041,075, respectively |  |   | 13,333,992  |   |  |   | 9,941,386   |   |  |   | 14,015,096  |    |
| Professionalfees                                                                                  |  |   | 107,937     |   |  |   | 68,096      |   |  |   | 210,070     |    |
|                                                                                              |  |   | 13,441,929  |   |  |   | 10,009,482  |   |  |   | 14,225,166  |    |
| Net income(loss)                                                                                  |  | $      | 441,714,221 |   |  | $      | 119,840,624 |   |  | $      | (88,064,853 | )  |
| Net income(loss) per Unit of Member Interest (Notes 1 and6)                                       |  | $      | 2,112.50    |   |  | $      | 622.49      |   |  | $      | (400.99     | )  |
|                                                                                                   |

See accompanyingnotes to financial statements.

F-21

----

SB AAA Master Fund LLCStatements ofChanges in Members' Capitalfor the years ended December 31,2005, 2004 and2003

|                                                   |  |                 |             |         |  |  |
|---------------------------------------------------|--|-----------------|-------------|---------|--|--|
|                                              |  | Members'Capital |
| Members'Capital at December 31,2002               |  | $               | 350,283,453 |    |
| NetLoss                                           |  |            | (88,064,853 | )  |
| Sale of 39,745.9253 Unitsof Member Interest       |  |            | 54,393,460  |    |
| Redemptions of44,880.6036 Units of MemberInterest |  |            | (59,184,213 | )  |
| Distribution ofInterest to feederfunds            |  |            | (2,370,210  | )  |
| Members'Capital at December 31, 2003              |  |            | 255,057,637 |    |
| NetIncome                                         |  |            | 119,840,624 |    |
| Sale of 20,423.0579 Unitsof Member Interest       |  |            | 32,767,686  |    |
| Redemption of46,082.5538 Units of MemberInterest  |  |            | (68,133,449 | )  |
| Distribution ofInterest to feederfunds            |  |            | (3,036,963  | )  |
| Members'Capital at December 31, 2004              |  |            | 336,495,535 |    |
| NetIncome                                         |  |            | 441,714,221 |    |
| Sale of 99,379.4923 Unitsof Member Interest       |  |            | 288,276,627 |    |
| Redemption of37,958.4570 Units of MemberInterest  |  |            | (99,220,693 | )  |
| Distribution ofInterest to feederfunds            |  |            | (13,183,538 | )  |
| Members'Capital at December 31,2005               |  | $               | 954,082,152 |    |
|                                                   |

NetAsset Value PerUnit:

|       |
|-------|
|       |  |  |  |  |  |  |
| 2003: |  | $ | 1,208.66 |   |
| 2004: |  | $ | 1,815.32 |   |
| 2005: |  | $ | 3,866.04 |   |
|       |

Seeaccompanying notes to financialstatements.

F-22

----

SB AAA Master Fund LLCStatements ofCash Flowsfor the years ended December 31, 2005, 2004 and2003

|                                                                                                  |  |        |              |         |  |        |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|--------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                             |  | 2005   |              | 2004    |  | 2003   |
| Cashflows from operating activities:                                                             |  |   |         |    |  |   |        |    |  |   |        |    |
| Net Income(loss)                                                                                 |  | $      | 441,714,221  |    |  | $      | 119,840,624 |    |  | $      | (88,064,853 | )  |
| Adjustments toreconcile net income (loss) to net cash provided by (used in) operatingactivities: |  |   |         |    |  |   |        |    |  |   |        |    |
| Changesin operating assets andliabilities:                                                       |  |   |         |    |  |   |        |    |  |   |        |    |
| (Increase)decrease in restricted cash                                                            |  |   | 25,197,229   |    |  |   | 19,144,722  |    |  |   | 5,050,258   |    |
| (Increase) decrease in netunrealized appreciation/depreciation on open futurespositions          |  |   | (227,521,327 | )  |  |   | (24,181,529 | )  |  |   | 342,944     |    |
| (Increase) decrease in unrealized appreciation on openswapscontracts                             |  |   | (100,085,449 | )  |  |   | (43,512,817 | )  |  |   | (12,082,141 | )  |
| (Increase) decrease in commodity options owned at fairvalue                                      |  |   | (174,034,309 | )  |  |   | (8,387,536  | )  |  |   | 40,621,872  |    |
| (Increase) decrease in due frombrokers                                                           |  |   | (11,885,831  | )  |  |   | (276,445    | )  |  |   | 10,447,102  |    |
| (Increase) decrease in interestreceivable                                                        |  |   | (1,353,897   | )  |  |   | (300,785    | )  |  |   | 124,570     |    |
| Increase (decrease) inunrealized depreciation on open swap contracts                             |  |   | 75,606,031   |    |  |   | 71,004,728  |    |  |   | (29,815,656 | )  |
| Increase (decrease) in commodity options written, atfair value                                   |  |   | 62,505,653   |    |  |   | (5,451,202  | )  |  |   | (9,920,180  | )  |
| Accruedexpenses:                                                                                 |  |   |         |    |  |   |        |    |  |   |        |    |
| Increase(decrease) in commissions                                                                |  |   | 1,536,225    |    |  |   | (7,834      | )  |  |   | (3,539,742  | )  |
| Increase(decrease) in professional fees                                                          |  |   | 141,268      |    |  |   | (57,625     | )  |  |   | 39,508      |    |
| Increase(decrease) in due to brokers                                                             |  |   | 11,194,934   |    |  |   | 938,595     |    |  |   | 273,792     |    |
| Increase (decrease) in due toCGM                                                                 |  |   | (22,978      | )  |  |   | —     |    |  |   | —     |    |
| Net cash provided by (used in)operating activities                                               |  |   | 102,991,770  |    |  |   | 128,752,896 |    |  |   | (86,522,526 | )  |
| Cash flows from financingactivities:                                                             |  |   |         |    |  |   |        |    |  |   |        |    |
| Proceedsfrom additions                                                                           |  |   | 288,276,627  |    |  |   | 32,767,686  |    |  |   | 54,393,460  |    |
| Payments for redemptions                                                                         |  |   | (99,220,693  | )  |  |   | (68,133,449 | )  |  |   | (59,184,213 | )  |
| Distribution of interest to feederfunds                                                          |  |   | (11,838,172  | )  |  |   | (2,737,057  | )  |  |   | (2,493,437  | )  |
| Net cash provided by (used in)financing activities                                               |  |   | 177,217,762  |    |  |   | (38,102,820 | )  |  |   | (7,284,190  | )  |
| Net change incash                                                                                |  |   | 280,209,532  |    |  |   | 90,650,076  |    |  |   | (93,806,716 | )  |
| Unrestricted cash, atbeginning of year                                                           |  |   | 273,539,182  |    |  |   | 182,889,106 |    |  |   | 276,695,822 |    |
| Unrestricted cash, at end ofyear                                                                 |  | $      | 553,748,714  |    |  | $      | 273,539,182 |    |  | $      | 182,889,106 |    |
|                                                                                                  |

See accompanyingnotes to financialstatements.

F-23

----

SBAAA Master Fund LLCNotes to FinancialStatements

1.    General:

SB AAAMaster Fund LLC (the "Master") is a limitedliability company formed under the New York Limited Liability CompanyLaw. The Master's purpose is to engage in the speculative tradingof a diversified portfolio of commodity interests including commodityfutures contracts and commodity options contracts on United Statesexchanges and certain foreign exchanges. The Master may trade commodityfutures and option contracts of any kind but intends initially to tradesolely energy and energy related products. In addition, the Master mayenter into swap contracts. The Master is authorized to sell anunlimited number of units ("Units") of memberinterest.

On September 1, 2001 (date Master commenced trading),Smith Barney AAA Energy Fund  L.P.("AAA") allocated substantially all of itscapital and Salomon Smith Barney Orion Futures Fund L.P.("Orion") allocated a portion of its capitalto the Master. With this cash, the Partnerships purchased 133,712.5867Units of the Master with a fair value of $133,712,587 (includingunrealized appreciation of $7,755,035). On July 1, 2002, Salomon SmithBarney AAA Energy Fund L.P. II ("AAA II")allocated substantially all of its capital to the Master and purchased64,945.0387 Units with a fair value of $94,925,000. On November 1,2003, Pinnacle Natural Resources, L.P.("Pinnacle") allocated a portion of itscapital to the Master and purchased 1,104.9839 Units with a fair valueof $1,500,000. On October 1, 2005, Citigroup Diversified Futures FundL.P. ("CitiDiv") allocated a portion of itscapital to the Master and purchased 13,956.1190 Units with a fair valueof $50,000,000. On July 1, 2005, CMF Institutional Futures PortfolioL.P. ("CMF Institutional") allocated aportion of its capital to the Master and purchased 2,386.2338 Unitswith a fair value of $7,000,000. On November 1, 2005, a privateinvestor ("private investor") purchased1,196.6879 Units with a fair value of $4,000,000. The Master was formedto permit commodity pools managed now or in the future by AAA CapitalManagement, Inc. (the "Advisor") using theEnergy with Swaps Program, the Advisor's proprietary tradingprogram, to invest together in one vehicle.

The Master operatesunder a structure where its investors consist of AAA, AAA II, CitiDiv,CMF Institutional, private investor, Orion and Pinnacle NaturalResources, LP (each a "Member", collectivelythe "Funds") with 32.3%, 52.5%,5.6%, 0.6%, 1.0%, 6.9% and 1.1%investments in the Master at December 31, 2005, respectively.

Citigroup Managed Futures LLC acts as the managing member (the"Managing Member") of the Master. TheMaster's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the ManagingMember. The Managing Member is wholly-owned by Citigroup Global MarketsHoldings Inc. ("CGMHI"), which is the soleowner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. Alltrading decisions for the Master are made by the Advisor.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | Allcommodity interests (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 statements of financial condition at fair value on thelast business day of the year, which represents market value for thosecommodity interests for which market quotations are readily availableor other measures of fair value deemed appropriate by management of theManaging Member for those commodity interests and foreign currenciesfor which market quotations are not readily available, including dealerquotes for swaps and certain option contracts. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe year. Realized gains (losses) and changes in unrealized gains(losses) on open positions are recognized in the period in which thecontract is closed or the changes occur and are included in net gains(losses) on trading of commodity interests. |

F-24

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SBAAA Master Fund LLCNotes to FinancialStatements

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | The Master maypurchase and write (sell) options. An option is a contract allowing,but not requiring, its holder to buy (call) or sell (put) a specific orstandard commodity or financial instrument at a specified price duringa specified time period. The option premium is the total price paid orreceived for the option contract. When the Master writes an option, thepremium received is recorded as a liability in the statements offinancial condition and marked to market daily. When the Masterpurchases an option, the premium paid is recorded as an asset in thestatements of financial condition and marked to market daily. |

|          |                                                                                                                                                                                                                           |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | All of the income and expenses and realizedand unrealized gains and losses on trading of commodity interests aredetermined on each valuation day and allocated pro rata among the Fundsat the time of such determination. |

|          |                                                                                                                                                                                      |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| d.  | Incometaxes have not been provided as each partner of each of the members(the Funds) is individually liable for the taxes, if any, on theirshare of the Master's income andexpenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| e.  | The preparation of financialstatements in conformity with accounting principles generally acceptedin the United States of America requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, and disclosure of contingent assets and liabilities at thedate of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differfrom these estimates. |

|          |                                                                                            |
|----------|--------------------------------------------------------------------------------------------|
| f.  | Certain prior periodamounts have been reclassified to conform to current yearpresentation. |

|          |             |
|----------|-------------|
| 3.  | Agreements: |

|          |                           |
|----------|---------------------------|
| a.  | ManagingMember Agreement: |

The Managing Member administers thebusiness affairs of the Master.

|          |                      |
|----------|----------------------|
| b.  | ManagementAgreement: |

The Managing Member, on behalf of the Masterhas entered into a Management Agreement with the Advisor, a registeredcommodity trading advisor. The Advisor is affiliated with the ManagingMember and CGM but is not responsible for the organization or operationof the Master. The Management Agreement provides that the Advisor hassole discretion in determining the investment of the assets of theMaster. All management fees in connection with the Management Agreementshall be borne by the Funds.

|          |                    |
|----------|--------------------|
| c.  | CustomerAgreement: |

The Master has entered into a CustomerAgreement with CGM whereby CGM provides services which include, amongother things, the execution of transactions for the Master'saccount in accordance with orders placed by the Advisor. The Masterwill pay CGM brokerage commissions at $18 per round turn for futures,options and swap transactions. The brokerage fee is inclusive ofapplicable floor brokerage. All exchange, clearing, user, give-up andNational Futures Association fees are borne by the Master. All otherfees (management fees, administrative fees, incentive fees and offeringcosts) shall be borne by the Funds. All of the Master's cash isdeposited by CGM in segregated bank accounts, to the extent required byCommodity Futures Trading Commission regulations. At December 31, 2005and 2004, the amount of cash held by the Master for margin requirementswas $4,130,046 and $29,327,275, respectively. The Customer Agreementbetween the Master and CGM gives the Master the legal right to netunrealized gains and losses. The Customer Agreement may be terminatedby either party. All commissions in connection with the CustomerAgreement shall be borne by the Funds.

F-25

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SBAAA Master Fund LLCNotes to FinancialStatements

4.    Trading Activities:

TheMaster was formed for the purpose of trading contracts in a variety ofcommodity interests, including derivative financial instruments andderivative commodity instruments. The results of the Master'strading activities are shown in the statements of income andexpenses.

All of the commodity interests owned by the Master areheld for trading purposes. The average fair values for the years endedDecember 31, 2005 and 2004 based on a monthly calculation, were$199,595,694 and $37,750,006, respectively. The fair values of thesecommodity interests, including options thereon, if applicable, atDecember 31, 2005 and 2004 were $399,168,275 and $35,638,874,respectively.

5.    Distributions and Redemptions:

Distributions of profits, if any, will be made at the solediscretion of the Managing Member and at such time as the ManagingMember may decide. A member may require the Master to redeem theirUnits at their Net Asset Value as of the last day of the month. TheManaging Member, at its sole discretion, may permit redemptions morefrequently than monthly. There is no fee charged to members inconnection with redemptions.

6.    Financial Highlights:

Changes in the Net Asset Value per Unit of Member interest for theyears ended December 31, 2005, 2004 and 2003 were asfollows:

|                                             |  |        |          |             |  |        |          |          |  |        |          |          |  |  |
|---------------------------------------------|--|--------|----------|-------------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                        |  | 2005   |          | 2004        |  | 2003   |
| Netrealized and unrealized gains(losses)*   |  | $      | 2,051.93 |        |  | $      | 607.73   |     |  | $      | (410.62  | )   |
| Interestincome                              |  |   | 62.49    |        |  |   | 16.06    |     |  |   | 11.23    |     |
| Expenses**                                  |  |   | (1.92    | )      |  |   | (1.30    | )   |  |   | (1.60    | )   |
| Increase(decrease) foryear                  |  |   | 2,112.50 |        |  |   | 622.49   |     |  |   | (400.99  | )   |
| Distributions                               |  |   | (61.78   | )      |  |   | (15.83   | )   |  |   | (10.84   | )   |
| Netasset value per Unit, beginning ofyear   |  |   | 1,815.32 |        |  |   | 1,208.66 |     |  |   | 1,620.49 |     |
| Netasset value per Unit, end ofyear         |  | $      | 3,866.04 |        |  | $      | 1,815.32 |     |  | $      | 1,208.66 |     |
| *  Includes brokerage commissions |  |   |     |        |  |   |     |     |  |   |     |     |
| ** Excludesbrokeragecommissions             |  |   |     |        |  |   |     |     |  |   |     |     |
| Ratioto average net assets:                 |  |   |     |        |  |   |     |     |  |   |     |     |
| Netinvestmentloss***                        |  |   | (0.0)    | %****  |  |   | (2.4     | )%  |  |   | (4.1     | )%  |
| Operatingexpenses                           |  |   | 2.3      | %      |  |   | 3.5      | %   |  |   | 5.0      | %   |
| Totalreturn                                 |  |   | 116.4    | %      |  |   | 51.5     | %   |  |   | (24.7    | )%  |
|                                             |

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

|      |                |
|------|----------------|
| **** | Due torounding |

The above ratios may vary forindividual investors based on the timing of capital transactions duringthe year.

7.    Financial Instrument Risks:

In thenormal course of its business, the Master is party to financialinstruments with off-balance sheet risk, including derivative financialinstruments and derivative commodity instruments. These financialinstruments may include forwards, futures and options, whose values arebased upon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange 

F-26

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SBAAA Master Fund LLCNotes to FinancialStatements

currencies or cash flows, to purchase or sellother 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.

Market risk is the potential for changes in the value of thefinancial instruments traded by the Master due to market changes,including interest and foreign exchange rate movements and fluctuationsin commodity or security prices. Market risk is directly impacted bythe volatility and liquidity in the markets in which the relatedunderlying assets are traded.

Credit risk is the possibilitythat a loss may occur due to the failure of a counterparty to performaccording to the terms of a contract. Credit risk with respect toexchange traded instruments is reduced to the extent that an exchangeor clearing organization acts as a counterparty to the transactions.The Master's risk of loss in the event of counterparty default istypically limited to the amounts recognized in the statements offinancial condition and not represented by the contract or notionalamounts of the instruments. The Master has concentration risk because asignificant counterparty or broker with respect to the Master'sassets is CGM. As of December 31, 2005, the counterparties to theMaster's swap contracts were Citibank, N.A., which is affiliatedwith the Master, Morgan Stanley Capital Group Inc., J.  Aron& Company, Hess Trading Company, LLC and BP Corporation NorthAmerica, Inc.

The Managing Member monitors and controls theMaster's risk exposure on a daily basis through financial, creditand risk management monitoring systems and, accordingly believes thatit has effective procedures for evaluating and limiting the credit andmarket risks to which the Master is subject. These monitoring systemsallow the Managing Member to statistically analyze actual tradingresults with risk adjusted performance indicators and correlationstatistics. In addition, on-line monitoring systems provide accountanalysis of futures, forwards and options positions by sector, marginrequirements, gain and loss transactions and collateral positions.

The majority of these instruments mature within one year of December31, 2005. However, due to the nature of the Master's business,these instruments may not be held tomaturity.

F-27

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Selectedunaudited quarterly financial data for the Master for the years endedDecember 31, 2005 and December 31, 2004 is summarized below:

|                                                                                                                  |  |                                                        |            |                                                       |  |                                                   |             |                                                      |  |   |             |        |  |   |             |        |  |  |
|------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|-------------|------------------------------------------------------|--|---|-------------|--------|--|---|-------------|--------|--|--|
|                                                                                                             |  | Forthe period from October 1, 2005 to December 31,2005 |            | For the period from July 1, 2005 to September 30,2005 |  | For the period from April 1, 2005 to June 30,2005 |             | For the period from January 1, 2005 to March 31,2005 |
| Net realized and unrealized trading gains netof brokerage fees commissions and clearing fees plus interestincome |  | $                                                      | 78,571,053 |                                                  |  | $                                                 | 139,754,428 |                                                 |  | $ | 105,296,290 |   |  | $ | 118,510,387 |   |
| NetIncome                                                                                                        |  | $                                                      | 78,379,858 |                                                  |  | $                                                 | 139,650,072 |                                                 |  | $ | 105,228,428 |   |  | $ | 118,455,863 |   |
| Increasein Net Asset Value per RedeemableUnit                                                                    |  | $                                                      | 304.38     |                                                  |  | $                                                 | 666.56      |                                                 |  | $ | 535.54      |   |  | $ | 606.02      |   |
|                                                                                                                  |

|                                                                                                             |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |   |            |        |  |   |            |        |  |  |
|-------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|------------|--------|--|---|------------|--------|--|--|
|                                                                                                        |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 to September 30,2004 |  | For the period from April 1, 2004 to June 30,2004 |            | For the period from January 1, 2004 to March 31,2004 |
| Net realized and unrealized trading gains netof brokerage commissions and clearing fees plus interestincome |  | $                                                      | 23,925,828 |                                                  |  | $                                                 | 64,277,686 |                                                 |  | $ | 10,197,155 |   |  | $ | 21,684,305 |   |
| NetIncome                                                                                                   |  | $                                                      | 23,724,769 |                                                  |  | $                                                 | 64,261,824 |                                                 |  | $ | 10,181,466 |   |  | $ | 21,672,565 |   |
| Increasein Net Asset Value per RedeemableUnit                                                               |  | $                                                      | 122.43     |                                                  |  | $                                                 | 338.61     |                                                 |  | $ | 52.27      |   |  | $ | 109.18     |   |
|                                                                                                             |

F-28

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Item 9.    Changesin and Disagreements with Accountants on Accounting and FinancialDisclosure.

None.

Item 9A.    Controls andProcedures.

Based on their evaluation of thePartnership's disclosure controls and procedures as of year end,the Chief Executive Officer and Chief Financial Officer have concludedthat such controls and procedures are effective.

There were nosignificant changes in the Partnership's internal controls overfinancial reporting or in other factors that could significantly affectsuch controls subsequent to the date of theirevaluation.

Management's report on internal control overfinancial reporting and KPMG LLP's related opinion are includedin the Partnership's annual financial statements under"Item 8. Financial Statements and SupplementaryData."

Item 9B.    OtherInformation.

The Partnership previously filed report(s) asan "accelerated filer" (as defined in Rule12b-2 of the Exchange Act). The Partnership has been advised by SECStaff that it is not an accelerated filer and that it is not,therefore, required to file as such.

PART III

Item10.    Directors and Executive Officers of theRegistrant.

The Partnership has no officers or directorsand its affairs are managed by its General Partner, Citigroup ManagedFutures LLC. Investment decisions are made by the Advisor, AAA CapitalManagement, Inc.

Item 11.    ExecutiveCompensation.

The Partnership has no directors orofficers. Its affairs are managed by Citigroup Managed Futures LLC, itsGeneral Partner, which receives compensation for its services, as setforth under "Item 1. Business." CGM,an affiliate of the General Partner, is the commodity broker for thePartnership and receives brokerage commissions for such services, asdescribed under "Item 1. Business."During the year ended December 31, 2005, CGM earned $5,223,676 inbrokerage commissions and clearing fees from the Partnership andthrough the Partnership's investment in the Master. The Advisorearned $4,877,188 in management fees during 2005.

Item12.    Security Ownership of Certain Beneficial Owners andManagement.

(a)    Security ownership of certainbeneficial owners. The Partnership knows of no person whobeneficially owns more than 5% of the Redeemable Unitsoutstanding.

(b)    Security ownership of management.Under the terms of the Limited Partnership Agreement, thePartnership's affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 913.9790 (1.8%) Units of Limited Partnership Interest as ofDecember 31, 2005.

Principals who own Redeemable Units of thePartnership:

* David J. Vogel                     101.0801 Redeemable Units* Daniel R. McAuliffe, Jr.        10.3165 RedeemableUnits

(c)    Changes in control. None.

Item13.    Certain Relationships and Related Transactions.

Citigroup Global Markets and Citigroup Managed Futures LLC would beconsidered promoters for purposes of item 404(d) of Regulation S-K. Thenature and the amounts of compensation each promoter 

22

----

will receive from the Partnership are setforth under "Item 1. Business.","Item 8. Financial Statements and SupplementaryData." and "Item 11. ExecutiveCompensation."

Item 14.    PrincipalAccountant Fees and Services.

(1)    AuditFees. The aggregate fees billed for each of the last two fiscalyears for professional services rendered by KPMG LLP for the audit ofthe Partnership's annual financial statements, review offinancial statements included in the Partnership's Forms 10-Q and10-K and other services normally provided in connection with regulatoryfilings or engagements are as follows:

2005            $77,515

2004            $53,950

(2)    Audit-Related Fees. None

(3)    Tax Fees. The aggregate fees billed for each ofthe last two fiscal years for professional services rendered by KPMGLLP for tax compliance and tax advice given in the preparation of thePartnership's Schedule K1s, the preparation of thePartnership's Form 1065 and preparation of all State Tax Returnsare as follows:

2005            $7,606

2004            $5,136

(4)    AllOther Fees. None.

(5)    Not Applicable.

(6)    Not Applicable.

There were no significant changes inthe Partnership's internal controls or in other factors thatcould significantly affect such controls subsequent to the date oftheir evaluation.

PART IV

Item 15.    Exhibitsand Financial Statement Schedules.

|           |     |                      |
|-----------|-----|----------------------|
| (a)  | (1) | FinancialStatements: |

Statements of Financial Condition at December31, 2005 and 2004.

Statements of Income and Expenses forthe years ended December 31, 2005, 2004 and 2003.

Statements of Changes in Partners' Capital for theyears ended December 31, 2005, 2004 and 2003.

Statementsof Cash Flows for the years ended December 31, 2005, 2004 and 2003.

|        |     |           |
|--------|-----|-----------|
|   | (2) | Exhibits: |

3.1 – Certificate of Limited Partnership (previouslyfiled).

3.2 – Limited Partnership Agreement(previously filed).

10.1 – ManagementAgreement among the Partnership, the General Partner and AAA CapitalManagement, Inc. (previously filed).

10.2 –Customer Agreement between Registrant and Smith Barney Inc. (thepredecessor to Salomon Smith Barney Inc.) (previously filed).

10.3 – Form of Subscription Agreement (previouslyfiled).

23

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10.4 – Letter from GeneralPartner to AAA Capital Management, Inc. extending the ManagementAgreement for 1999 (previously filed).

10.5 –Letter from the General Partner to AAA Capital Management, Inc.extending the Management Agreement for 2000 (previously filed).

10.6 – Letter from the General Partner to AAA CapitalManagement, Inc. extending the Management Agreement for 2001(previously filed).

10.7 – Letter from the GeneralPartner to AAA Capital Management, Inc. extending the ManagementAgreement for 2002 (previously filed).

10.8 –Letter from the General Partner to AAA Capital Management, Inc.extending the Management Agreement for 2003 (previously filed).

10.9 – Letter from the General Partner to AAA CapitalManagement, Inc. extending the Management Agreement for 2004(previously filed).

10.10 – Letter from theGeneral Partner to AAA Capital Management, Inc. extending theManagement Agreement through September 30, 2005 (filed herein).

10.11 – Amended and Restated Advisory Agreement amongthe Partnership, the General Partner and AAA Capital Management, Inc.(filed herein).

16.1 – Letter fromPricewaterhouseCoopers LLP (previously filed).

Theexhibits required to be filed by Item 601 of Regulation S-K areincorporated herein by reference.

|  |           |                                                                                                             |
|--|-----------|-------------------------------------------------------------------------------------------------------------|
|  | (a)  | Exhibit – 31.1 – Rule13a-14(a)/15d-14(a) Certification (Certification of President andDirector) |

|  |        |                                                                                                                           |
|--|--------|---------------------------------------------------------------------------------------------------------------------------|
|  |   | Exhibit –31.2 – Rule 13a-14(a)/15d-14(a) Certification (Certification ofChief Financial Officer and Director) |

|  |        |                                                                                                  |
|--|--------|--------------------------------------------------------------------------------------------------|
|  |   | Exhibit – 32.1 – Section1350 Certification (Certification of President and Director) |

|  |        |                                                                                                               |
|--|--------|---------------------------------------------------------------------------------------------------------------|
|  |   | Exhibit – 32.2 – Section1350 Certification (Certification of Chief Financial Officer andDirector) |

Supplemental Information To Be Furnished With ReportsFiled Pursuant To Section 15(d) Of The Act by Registrants Which HaveNot Registered Securities Pursuant To Section 12 Of the Act.

Annual Report to Limited Partners

No proxy materialhas been sent to Limited Partners.

24

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of theSecurities Exchange Act of 1934, the Registrant has duly caused thisannual report on Form 10-K to be signed on its behalf by theundersigned, thereunto duly authorized on the 28th day of March2006.

Smith Barney AAA Energy Fund L.P.

|           |                                                    |
|-----------|----------------------------------------------------|
| By:  | /s/ Citigroup Managed Futures LLC(General Partner) |

|           |                                                            |
|-----------|------------------------------------------------------------|
| By:  | /s/ David J.Vogel David J. Vogel, President & Director |

Pursuant to the requirements of the Securities Exchange Act of 1934,this annual report on Form 10-K has been signed below by the followingpersons on behalf of the Registrant and in the capacities and on thedate indicated.

|                             |  |                       |  |  |  |  |
|-----------------------------|--|-----------------------|--|--|--|--|
| /s/David J. Vogel           |  | /s/ Shelley Ullman    |
| David J. Vogel              |  | Shelley Ullman        |
| President and Director      |  | ExecutiveDirector     |
|                        |  |                  |
|                        |  |                  |
| /s/ MaureenO'Toole          |  | /s/ JenniferMagro     |
| Maureen O'Toole             |  | JenniferMagro         |
| Director                    |  | Director              |
|                        |  |                  |
|                        |  |                  |
| /s/Daniel R. McAuliffe, Jr. |  | /s/ JerryPascucci     |
| Daniel R. McAuliffe,Jr.     |  | Jerry Pascucci        |
| Chief Financial Officerand  |  | Director              |
| Director                    |  |                  |
|                        |  |                  |
|                        |  |                  |
|                        |  | /s/Ihor Rakowsky      |
|                        |  | IhorRakowsky          |
|                        |  | Secretary andDirector |
|                             |

25

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