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

FORM 10-K

Annual Report Pursuant to Section 13or 15(d) of the Securities Exchange Act of 1934

For theFiscal Year Ended December 31, 2004

CommissionFile Number 0-50272

SALOMON SMITH BARNEY AAA ENERGYFUND L.P. II

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(Exact name ofregistrant as specified in its charter)

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| NewYork                                                      |  | 03-0407557                         |
| (State or otherjurisdiction of incorporation ororganization) |  | (I.R.S. EmployerIdentificationNo.) |
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c/o Citigroup Managed Futures LLC399Park Avenue. – 7th Fl. New York, New York10022

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(Addressand Zip Code of principal executive offices)

(212)559-2011

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(Registrant'stelephone number, including area code)

Securitiesregistered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act:Redeemable Units of Limited PartnershipInterest

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Indicate by check mark whether the registrant (1) has filedall 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.

YesX        No     

Indicateby check mark if disclosure of delinquent filers pursuant to Item 405of Regulation S-K is not contained herein, and will not be contained,to the best of registrant's knowledge, in definitive proxy orinformation statements incorporated by reference in Part III of thisForm 10-K or any amendment to this form 10-K [X]

Indicate by check mark whether the registrant is anaccelerated filer (as defined in Rule 12b-2 of the Act).

YesX        No     

LimitedPartnership Redeemable Units with an aggregate value of $91,640,148were outstanding and held by non-affiliates as of the last business dayof the registrant's most recently completed second fiscalquarter.

As of February 28, 2005, 122,946.8238 LimitedPartnership Redeemable Units were outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

None

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PART I

Item1.    Business.

(a)    General development ofbusiness. Salomon Smith Barney AAA Energy Fund L.P. II (the"Partnership") is a limited partnershiporganized on March 2, 2002 under the partnership laws of the State ofNew York to engage directly or indirectly in the speculative trading ofa diversified portfolio of commodity interests, including commodityoptions and commodity futures contracts on United States exchanges andcertain foreign exchanges. The Partnership may trade commodity futuresand options contracts of any kind, but currently trades solely energyand energy related products. In addition, the Partnership may enterinto swap contracts on energy related products. The Partnership hasinvested all of its assets in SB AAA Master Fund LLC, a New YorkLimited Liability Company (the "Master"). Thecommodity interests that are traded by the Master are volatile andinvolve a high degree of market risk. A total of 150,000 redeemableunits of Limited Partnership Interest in the Partnership("Redeemable Units") have been offered to thepublic. During the initial offering period (May 31, 2002 through July1, 2002) the Partnership sold 93,975 Redeemable Units. The Partnershipcommenced trading on July 1, 2002. 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 31,2004 and 2003 are reported in the Statements of Changes inPartners' Capital on page F-9 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 per Redeemable Unit as of the close of businesson any business day or upon the earlier occurrence of certain othercircumstances set forth in the Limited Partnership Agreement of thePartnership (the "Limited PartnershipAgreement").

Effective July 1, 2002, thePartnership allocated all of its capital to the Master. With this cash,the Partnership purchased 64,945.0387 Units of the Master with a fairvalue of $94,925,000. The Master was formed in order to permitcommodity pools managed now or in the 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,formerly Smith Barney Futures Management LLC, acts as the generalpartner (the "General Partner") of thePartnership and the managing member (the "ManagingMember") of the Master. In addition, the Advisor is aSpecial Limited Partner of the Partnership, an employee of CGM and arelated party. Individual and pooled accounts currently managed by theAdvisor, including the Partnership (collectively, the"Feeder Funds"), are permitted to benon-managing members of the Master. The General Partner and the Advisorbelieve that trading through this master/feeder structure shouldpromote efficiency and economy in the trading process. Expenses toinvestors as a result of the investment in the Master are approximatelythe same and redemption rights are not affected.

At December 31,2004 and 2003, the Partnership owns 35.7% and 38.8%,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"), formerly known as Salomon SmithBarney Inc., acts as the Partnership's and the MasterFund's commodity broker. CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc., formerly Salomon Smith Barney Holdings Inc.,("CGMH"), which is the sole owner of CGM.CGMH is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

The Master'strading of futures, forwards and options contracts, if applicable, oncommodities is done primarily on United States of America commodityexchanges and foreign commodity exchanges. It engages in such tradingthrough a commodity brokerage account maintained with CGM.

Underthe Limited Partnership Agreement, the General Partner has soleresponsibility for the administration of the business and affairs ofthe Partnership, but may delegate trading discretion to one or moretrading advisors. The Partnership will pay the General Partner amonthly administrative fee in return for its services equal to 1/12 of0.50% (0.50% per year) of month-end Net Assets of thePartnership. 

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Month-end Net Assets, for the purpose ofcalculating administrative fees, are Net Assets, as defined in theLimited Partnership Agreement, prior to the reduction of redemptionsand incentive fees.

The General Partner has entered into amanagement agreement (the "ManagementAgreement") with the Advisor who will make all commoditytrading decisions for the Partnership. Mr. A. Anthony Annunziato is thepresident of the Advisor. He and the Advisor's other four tradingprincipals are also employees of CGM. The Advisor is not responsiblefor the organization or operation of the Partnership.

ThePartnership will pay the Advisor a monthly management fee equal to 1/6of 1% (2% per year) of the adjusted month-end Net Assetsallocated by the Master. Month-end Net Assets, for the purpose ofcalculating management fees, are Net Assets, as defined in the LimitedPartnership Agreement, prior to the reduction of redemptions andincentive fees. In addition, the Advisor is a Special Limited Partnerof the Partnership and receives an annual profit share allocation toits capital account in the Partnership equal to 20% of NewTrading Profits (as defined in the Management Agreement) earned onbehalf of the Partnership during each calendar year in the form ofSpecial Limited Partner Units.

All brokerage commissions,exchange, clearing, user, give-up, and NFA fees will be borne by theMaster and allocated to the Partnership through its investment in theMaster. The Customer Agreement between CGM and the Master gives theMaster the legal right to net unrealized gains and losses. Brokeragefees will be paid for the life of the Partnership, although the rate atwhich such fees are paid may be changed. CGM will pay the Partnershipinterest on 80% of the average daily equity allocated to thePartnership by the Master during each month at a 30-day U.S. Treasurybill rate determined weekly by CGM based on the average non-competitiveyield on 3-month U.S. Treasury bills maturing in 30 days from the dateon which such weekly rate is determined. The Customer Agreement may beterminated upon notice by either party.

(b)    Financialinformation about industry segments. The Partnership'sbusiness consists of only one segment, speculative trading of commodityinterests. The Partnership does not engage in sales of goods orservices. The Partnership's net income from operations for theyears ended December 31, 2004 and 2003 and for the period July 1, 2002(commencement of trading operations) to December 31, 2002 are set forthunder "Item 6. Selected FinancialData." The Partnership's capital as of December31, 2004, was $118,023,217.

(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.

(e)    AvailableInformation. The Partnership does not have an Internet address.The Partnership will provide paper copies of its annual report on Form10-K, quarterly reports on Form 10-Q, current reports on Form 8-K andany amendments to these reports free of charge upon request.

Item 2.    Properties.

The Partnership does notown or lease any properties. The General Partner operates out offacilities provided by its affiliate, CGM.

Item3.    Legal Proceedings

This section describes themajor pending legal proceedings, other than ordinary routine litigationincidental to the business, to which Citigroup Global Markets HoldingInc. ("CGMHI") or its subsidiaries is a partyor to which any of their property is subject. There are no materiallegal proceedings pending against the Partnership or the GeneralPartner.

Citigroup Global Markets Inc.("CGM") is a New York corporation with itsprincipal place of business at 388 Greenwich Street, New York, New York10013. CGM is registered as a broker-dealer and 

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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 (formerly known asSalomon Smith Barney) or any of its individual principals and no suchactions are currently pending, except as follows.

RegulatoryMatters

Both the Department of Labor and the Internal RevenueService ("IRS") have advised CGM that theywere or are reviewing transactions in which Ameritech Pension Trustpurchased from CGM and certain affiliates approximately $20.9 millionin participations in a portfolio of motels owned by Motels of America,Inc. and Best Inns, Inc. With respect to the IRS review, CGM andcertain affiliated entities have consented to extensions of time forthe assessment of excise taxes that may be claimed to be due withrespect to the transactions for the years 1987, 1988 and1989.

In April 2000, CGM and several other broker-dealersentered into a settlement with the IRS and the SEC, concluding anindustry-wide investigation into the pricing of Treasury securities inadvanced refunding transactions.

IPO Regulatory Inquiries

Since April 2002, CGM and several other broker dealers have receivedsubpoenas and/or requests for information from various governmental andself-regulatory agencies and Congressional committees as part of theirresearch on IPO allocation inquiries. With respect to issues raised bythe NASD, the NYSE and the SEC about CGM's and other firms'e-mail retention practices, CGM and several other broker/dealers andthe NASD, the NYSE and the SEC entered into a settlement agreement inDecember 2002. CGM agreed to pay a penalty in the amount of $1.65million and did not admit any wrongdoing.

IPO CivilLitigation

In April 2002, consolidated amended complaints werefiled against CGM and other investment banks named in numerous allegedclass actions filed in the United States District Court for theSouthern District of New York, alleging violations of certain federalsecurities laws (including Section 11 of the Securities Act of 1933, asamended, and Section 10(b) of the Securities Exchange Act of 1934, asamended) with respect to the allocation of shares for certain initialpublic offerings and related aftermarket transactions and damage toinvestors caused by allegedly biased research analyst reports. OnFebruary 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. CGM is not a defendant in any ofthe six focus cases. The underwriter defendants in the focus cases havefiled a petition to the United States Court of Appeals for the SecondCircuit seeking review of this decision.

Also filed in theSouthern District of New York against CGM and other investment bankswere several 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 CGM's motion to dismiss the consolidated amendedcomplaint in the antitrust case. An appeal to the Second Circuit of thedismissal granted to CGM in November 2003 with respect to the antitrustcase relating to the allocation of shares for certain initial publicofferings is pending.

Research Settlement

On April 28,2003, CGM announced final agreements with the SEC, the NASD, the NYSEand the New York Attorney General (as lead state among the 50 states,the District Columbia and Puerto Rico) to resolve on a civil basis allof their outstanding investigations into its research and IPOallocation and 

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distribution practices (the"Research Settlement"). As part of theResearch Settlement, CGM has consented to the entry of (1) aninjunction under the federal securities laws to be entered in theUnited States District Court for the Southern District of New York,barring CGM from violating provisions of the federal securities lawsand related NASD and NYSE rules relating to research, certain IPOallocation practices, the safeguarding of material nonpublicinformation, and the maintenance of required books and records andrequiring CGM to adopt and enforce new restrictions on the operation ofresearch; (2) an NASD Acceptance Waiver and Consent requiring CGM tocease and desist from violations of corresponding NASD rules andrequiring CGM to adopt and enforce the same new restrictions; (3) anNYSE Stipulation and Consent requiring CGM to cease and desist fromviolations of corresponding NYSE rules and requiring CGM to adopt andenforce the same new restrictions; and (4) an Assurance ofDiscontinuance with the New York Attorney General containingsubstantially the same or similar restrictions. The Research Settlementrequires CGM to pay $300 million for retrospective relief, plus $25million for investor education, and commit to spend $75 million toprovide independent third-party research to its clients at no charge.CGM reached these final settlement agreements without admitting ordenying any wrongdoing or liability. The Research Settlement does notestablish wrongdoing or liability for purposes of any other proceeding.The $300 million was accrued during the 2002 fourth quarter.

Toeffectuate the Research Settlement, the SEC filed a Complaint and FinalJudgment in the United States District Court for the Southern Districtof New York. On October 31, 2003, final judgment was entered againstCGM and nine other investment banks. The NASD has accepted the Letterof Acceptance, Waiver and Consent entered into with CGM in connectionwith the Research Settlement. In May 2003, the NYSE advised CGM thatthe Hearing Panel's Decision, in which it accepted the ResearchSettlement, had become final. As required by the Research Settlement,CGM also has entered into separate settlement agreements with numerousstates and certain U.S. territories.

Several individual actionshave been filed against Citigroup and CGM relating to, among otherthings, research on Qwest Communications International, Inc. allegingviolations of state and federal securities laws.

EnronRegulatory Settlement

On July 28, 2003, Citigroup(CGM's ultimate parent) entered into a final settlement agreementwith the SEC to resolve the SEC's outstanding investigations intoCitigroup transactions with Enron Corp. and Dynegy Inc. Pursuant to thesettlement, Citigroup has, among other terms, (1) consented to theentry of an administrative cease and desist order, which bars Citigroupfrom committing or causing violations of provisions of the federalsecurities laws, and (2) agreed to pay $120 million ($101.25 millionallocable to Enron and $18.75 million allocable to Dynegy). Citigroupentered into this settlement without admitting or denying anywrongdoing or liability, and the settlement does not establishwrongdoing or liability for purposes of any other proceeding. On July28, 2003, Citibank, N.A. entered into an agreement with the Office ofthe Comptroller of the Currency ("OCC") andCitigroup entered into an agreement with the Federal Reserve Bank ofNew York ("FED") to resolve their inquiriesinto certain of Citigroup's transactions with Enron. Pursuant tothe agreements, Citibank and Citigroup have agreed to submit plans tothe OCC and FED, respectively, regarding the handling of complexstructured finance transactions. Also on July 28, 2003, Citigroupentered into a settlement agreement with the Manhattan DistrictAttorney's Office to resolve its investigation into certain ofCitigroup's transactions with Enron. Pursuant to that settlement,Citigroup has agreed to pay $25.5 million and to abide by itsagreements with the SEC, OCC and FED.

Enron-Related CivilActions

CGM, Citigroup and various other Citigroup-relatedentities have been named as defendants in over 20 civil lawsuitspending in state and federal courts throughout the United States,alleging claims against Citigroup and CGM based on their dealings withEnron. The majority of these cases have been brought by purchasers andsellers 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 

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other things, federal securities fraud, statelaw claims of negligent misrepresentation, fraud, breach of fiduciaryduty, aiding and abetting a breach of fiduciary duty and relatedclaims. In most of these lawsuits, Citigroup is named as a co-defendantalong with other investment banks alleged to have had dealings withEnron. The majority of cases pending in the federal courts have been,or are in the process of being, consolidated before a single judge inthe United States District Court for the Southern District of Texas. Inaddition, in five adversary proceedings in the Enron Chapter 11bankruptcy, Enron and, in one case, its co-debtor affiliates andsubsidiaries, and the Official Committee of Unsecured Creditors ofEnron Corp., et al., have named Citigroup and/or its affiliates orsubsidiaries as defendants.

A Citigroup affiliate, along withother defendants, 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.

WorldCom-RelatedLitigation

Citigroup, CGM and certain executive officers andcurrent and former employees have been named as defendants —along with twenty-two other investment banks, certain current andformer WorldCom officers and directors, and WorldCom's formerauditors — in a consolidated class action brought on behalf ofindividuals and entities who purchased or acquired publicly tradedsecurities of WorldCom between April 29, 1999 and June 25, 2002 InRe: Worldcom, Inc. Securities Litigation. The class actioncomplaint asserts claims against CGM under (i) Sections 11 and 12(a)(2)of the Securities Act of 1933, as amended, in connection with certainbond offerings in which it served as underwriter, and (ii) Sections10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, andRule 10b-5 promulgated under Section 10(b), alleging that itparticipated in the preparation and/or issuance of misleading WorldComregistration statements and disseminated misleading research reportsconcerning WorldCom stock. In 2003, the district court deniedCGM's motion to dismiss the consolidated class action complaintand granted the plaintiffs' motion for class certification.

Pursuant to an order entered May 28, 2003, the District Courtconsolidated approximately seventy-eight individual actions with theclass action for pretrial proceedings. The claims asserted in theseindividual actions are substantially similar to the claims alleged inthe class action and assert state and federal securities law claimsbased on CGM's research reports concerning WorldCom and/orCGM's role as an underwriter in WorldCom offerings. Plaintiffs incertain of these actions filed motions to remand their cases to statecourt. The District Court denied these motions and its rulings wereupheld on appeal.

Numerous other actions asserting claimsagainst CGM in connection with its research reports about WorldComand/or its role as an investment banker for WorldCom are pending inother federal and state courts around the country. These actions havebeen remanded to various state courts, are pending in other federalcourts, or have been conditionally transferred to the United StatesDistrict Court for the Southern District of New York to be consolidatedwith the class action. In addition to the court suits, actionsasserting claims against Citigroup and certain of its affiliatesrelating to its WorldCom research reports are pending in numerousarbitrations around the country. These actions assert claims that aresubstantially similar to the claims asserted in the classaction.

On May 10, 2004, Citigroup announced that it had agreedto pay $2.58 billion to settle the WorldCom class action suits. TheUnited States District Court for the Southern District of New Yorkgranted approval to the proposed settlement on November 10,2004.

On September 17, 2004, Weinstein, et al. v. Ebbers, etal., an alleged class action against CGM and others brought onbehalf of holders of WorldCom securities asserting claims based on,among other things, CGM's research reports concerning WorldCom,was dismissed with prejudice in its entirety by the United StatesDistrict Court for the Southern District of New York. The plaintiffsnoticed an appeal of the dismissal to the United States Court ofAppeals for the Second Circuit on October 15, 2004. The parties havereached an agreement in principle on the terms of a settlement of thisaction.

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Citigroup and CGM, along with a number ofother defendants, have settled Retirement Systems of Alabama, et al.v. J.P. Morgan Chase & Co., et al., a WorldCom individualaction that had been remanded to the Circuit Court of MontgomeryCounty, Alabama. The settlement became final on September 30,2004.

On June 28, 2004, the United States District Court for theSouthern District of New York dismissed all claims under the SecuritiesAct of 1933, as amended, and certain claims under the SecuritiesExchange Act of 1934 in In Re: Targets Securities Litigation, analleged class action against Citigroup and CGM and certain formeremployees, leaving only claims under the 1934 Act for purchases ofTargeted Growth Enhanced Terms Securities With Respect to the CommonStock of MCI WorldCom, Inc. ("TARGETS") afterJuly 30, 1999. On October 20, 2004, the parties signed a Memorandum ofUnderstanding setting forth the terms of a settlement of all remainingclaims in this action. The settlement was preliminarily approved by theCourt on January 11, 2005.

A fairness hearing was held onNovember 5, 2004 in connection with the proposed class settlementbetween plaintiffs and the Citigroup-related defendants in In Re:Worldcom, Inc. Securities Litigation.

Global Crossing

On or about January 28, 2003, lead plaintiff in a consolidatedalleged class action in the United States District Court for theSouthern District of New York (In Re: Global Crossing, Ltd.Securities Litigation) filed a consolidated complaint on behalf ofpurchasers of the securities of Global Crossing and Asia GlobalCrossing, which names as defendants, among others, Citigroup, CGM, CGMHand certain executive officers and current and former employees. Thepurported class action complaint asserts claims under the federalsecurities laws alleging that the defendants issued research reportswithout a reasonable basis in fact and failed to disclose conflicts ofinterest with Global Crossing in connection with published investmentresearch. On March 22, 2004, the lead plaintiff amended itsconsolidated complaint to add claims on behalf of purchasers of thesecurities of Asia Global Crossing. The added claims assert causes ofaction under the federal securities laws and common law in connectionwith CGM's research reports about Global Crossing and Asia GlobalCrossing and for CGM's roles as an investment banker for GlobalCrossing and as an underwriter in the Global Crossing and Asia GlobalCrossing offerings. The Citigroup related defendants moved to dismissall of the claims against them on July 2, 2004. The plaintiffs and theCitigroup related defendants have reached an agreement in principle onthe terms of a settlement of this action.

In addition, on orabout January 27, 2004, the Global Crossing Estate Representative filedin the United States Bankruptcy Court for the Southern District of NewYork (i) an adversary proceeding asserting claims against, amongothers, Citigroup, CGM and certain executive officers and current andformer employees, asserting claims under federal bankruptcy law andcommon law in connection with CGM's 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.

In addition, actionsasserting claims against Citigroup and certain of its affiliatesrelating to its Global Crossing research reports are pending innumerous arbitrations around the country. These arbitration proceedingsassert claims that are substantially similar to the claims asserted inthe alleged class action.

Adelphia CommunicationsCorporation

On July 6, 2003, an adversary proceeding was filedby the Official Committee of Unsecured Creditors on behalf of AdelphiaCommunications Corporation against certain lenders and investmentbanks, including CGM, Citibank, N.A., Citicorp USA, Inc., and CitigroupFinancial Products, Inc. (together, the Citigroup Parties). Thecomplaint alleges that the Citigroup Parties and numerous otherdefendants committed acts in violation of the Bank Holding Company Actand the common law. The complaint seeks equitable relief and anunspecified amount of compensatory and punitive damages. In November2003, a similar adversary proceeding was filed by the Equity HoldersCommittee of Adelphia. In June 2004, motions to dismiss were filed withrespect to the complaints of the Official Committee of UnsecuredCreditors and the Equity Holders Committee. The motions are currentlypending.

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In addition, CGM is among the underwritersnamed in numerous civil actions brought to date by investors inAdelphia debt securities in connection with Adelphia securitiesofferings between September 1997 and October 2001. Three of thecomplaints also assert claims against Citigroup Inc. and Citibank, N.A.All of the complaints allege violations of federal securities laws, andcertain of the complaints also allege violations of state securitieslaws and the common law. The complaint seeks unspecified damages. InDecember 2003, a second amended complaint was filed and consolidatedbefore the same judge of the United States District Court for theSouthern District of New York. In February 2004, motions to dismiss theclass and individual actions pending in the United States DistrictCourt for the Southern District were filed. The motions are currentlypending.

Mutual Funds

Citigroup and certain of itsaffiliates have been named in several class action litigations pendingin various federal district courts arising out of alleged violations ofthe federal securities laws, the Investment Company Act and common law(including breach of fiduciary duty and unjust enrichment). The claimsconcern practices in connection with the sale of mutual funds,including allegations involving market timing, revenue sharing,incentive payments for the sale of proprietary funds, undisclosedbreakpoint discounts for the sale of certain classes of funds,inappropriate share class recommendations and inappropriate fundinvestments. The litigations involving market timing have beenconsolidated under the MDL rules in the United States District Courtfor the District of Maryland, and the litigations involving revenuesharing, incentive payment and other issues have been consolidated inthe United States District Court for the Southern District of New York.The plaintiffs in these litigations generally seek unspecifiedcompensatory damages, rescissionary damages, injunctive relief, costsand fees. In the principal market timing cases that name Citigroup, alead plaintiff has been appointed but that plaintiff has not yet filedan amended complaint. In the cases concerning revenue sharing,incentive payment and other issues, the lead plaintiff filed aconsolidated and amended complaint on December 15, 2004.

Severalissues in the mutual fund industry have come under scrutiny of federaland state regulators. Citigroup has received subpoenas and otherrequests for information from various government regulators regardingmarket timing, financing, fees, sales practices and other mutual fundissues in connection with various investigations. Citigroup iscooperating with all such reviews.

Research AnalystLitigation

Since May 2002, CGM and certain executive officersand current and former employees have been named as defendants innumerous alleged class action complaints, individual actions, andarbitration demands by purchasers of various securities alleging thatthey violated federal securities law, including Sections 10 and 20 ofthe Securities Exchange Act of 1934, as amended, and certain state lawsfor allegedly issuing research reports without a reasonable basis infact and for allegedly failing to disclose conflicts of interest withcompanies in connection with published investment research, includingGlobal Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc.,Metromedia Fiber Network, Inc., XO Communications, Inc., WilliamsCommunications Group Inc., and Focal Communications, Inc. The allegedclass actions relating to research of these companies are pendingbefore a single judge in the United States District Court for theSouthern District of New York for coordinated proceedings. The Courthas consolidated these actions into separate proceedings correspondingto the companies named above. On December 2, 2004, the Court granted inpart and denied in part the Citigroup related defendants' motionsto dismiss the claims against it in the AT&T, Level 3, XO andWilliams actions. On January 6, 2005, the Court granted in part anddenied in part Citigroup's motion to dismiss the claims againstit in the Metromedia action.

In addition to the alleged researchclass actions, several individual actions have been filed againstCitigroup and CGM relating to, among other things, research on QwestCommunications International, Inc. These actions allege violations ofstate and federal securities laws in connection with CGM'spublication of research about Qwest and its underwriting of Qwestsecurities.

Two alleged class actions against CGMasserting common law claims in connection with published investmentresearch on behalf of CGM customers have been dismissed by UnitedStates District Courts, 

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one of which was affirmed by the United StatesCourt of Appeals for the Ninth Circuit, and one of which is pending onappeal to the United States Courts of Appeals for the Third Circuit.Two more putative class actions raising similar claims are pendingagainst CGM, one in the United States District Court for the SouthernDistrict of New York (Norman v. Salomon Smith Barney, et al.)and the other in Illinois state court (Disher v. CGM Inc.). OnJune 9, 2004, the District Court denied CGMI's motion to dismissNorman v. Salomon Smith Barney, et al., a case which assertsviolations of the Investment Advisers Act of 1940 and various commonlaw claims in connection with certain investors who maintained guidedportfolio management accounts at Smith Barney.

SupervisoryInvestigation

In May 2003, the SEC, NYSE and NASDissued a subpoena and letters to CGM requesting documents andinformation with respect to their continuing investigation ofindividuals in connection with the supervision of the research andinvestment banking departments of CGM. Other parties to the ResearchSettlement have received similar subpoenas and letters.

WestVirginia Attorney General Suit

On June 23, 2003, theWest Virginia Attorney General filed an action against CGM and nineother firms that were parties to the Research Settlement. The WestVirginia Attorney General alleges that the firms violated the WestVirginia Consumer Credit and Protection Act in connection with theirresearch activities and seeks monetary penalties.

CitigroupShareholder Litigation

In July 2002, Citigroup, CGMand certain officers were named as defendants in an alleged classaction filed in the United States District Court for the SouthernDistrict of New York, brought on behalf of purchasers of Citigroupcommon stock between July 24, 1999 and July 23, 2002. The complaintseeks unspecified compensatory and punitive damages for allegedviolations of Sections 10(b) and 20(a) of the Securities Exchange Actof 1934, and for common law fraud. Fourteen virtually identicalcomplaints have been filed and consolidated. The complaints allege thatCitigroup misstated the extent of its Enron-related exposure, and thatCitigroup's stock price fell once the true extent ofCitigroup's Enron involvements became known. Plaintiffs filed anamended complaint on March 10, 2003, which incorporated the allegationsin the 15 separate actions and added new material as well. The amendedcomplaint focuses on certain transactions between Citigroup and Enronand alleged analyst conflicts of interest. The class period for theconsolidated amended complaint is July 24, 1999 to December 11, 2002.On June 2, 2003, Citigroup filed a motion to dismiss the consolidatedamended complaint. Plaintiffs' response was filed on July 30, andCitigroup's reply was filed on October 3, 2003. On August 10,2004, Judge Swain granted Citigroup's motion to dismiss theconsolidated amended complaint. The plaintiffs filed a notice of appealin October 2004.

NASD Settlement

In November2004, CGM entered into a final agreement with the NASD to resolve theNASD's investigation into certain of its selling practices.Without admitting or denying any allegations or findings, CGM acceptedcertain factual findings by the NASD that it (i) sold units in twomanaged futures funds to 45 customers for whom the investment was notsuitable, (ii) failed to maintain records disclosing the basis uponwhich its investor suitability determinations were made and (iii)failed to adequately disclose the risks of investing in managed futuresproducts on its website. CGM consented to a censure and a fine of$275,000 and offered to redeem the investment of the customers for whominvestment in the two managed futures funds was found not suitable.

In the course of its business, CGM, as a major futurescommission merchant and broker-dealer is a party to various claims androutine regulatory investigations and proceedings that the generalpartner believes do not have a material adverse effect on the businessof CGM.

Item 4.    Submission of Matters to a Vote ofSecurity Holders.

There were no matters submittedto the security holders for a vote during the last fiscal year coveredby this report.

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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, 2004, was1,551.

(c)    Distribution. The Partnership did notdeclare a distribution in 2004 or 2003.

(d)    Use ofProceeds. For the twelve months ended December 31, 2004, therewere additional sales of 10,998.9458 Redeemable Units totaling$11,781,000 and contributions by the General Partner representing 25Unit equivalents totaling $19,735. For the twelve months ended December31, 2003, there were additional sales of 21,674.2111 Redeemable Unitstotaling $22,541,000. For the period from July 1, 2002 (commencement ofoperations) to December 31, 2002, there were additional sales of28,827.4310 Redeemable Units totaling $28,797,000 and contributions bythe General Partner representing 1,526.2826 Unit equivalents totaling$1,500,000. During the initial offering period there were sales of93,974 Redeemable Units totaling $93,974,000 and contributions by theGeneral Partner representing 950 Unit equivalents totaling$950,000.

Proceeds from the sale of additional Redeemable Unitsare used in the trading of commodity interests including futurescontracts, options, swaps and forward contracts.

Item6.    Selected Financial Data.

The Partnershipcommenced trading operations on July 1, 2002. Net realized andunrealized trading gains (losses) from Master, interest incomeallocated from Master, net income (loss) and increase (decrease) in NetAsset Value per Redeemable Unit for the year ended December 31, 2004,2003 and the period from July 1, 2002 (commencement of tradingoperations) to December 31, 2002 and total assets at December 31, 2004,2003 and 2002 were asfollows:

|                                                                                                                                                                                              |  |        |             |        |  |        |             |         |  |        |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|---------|--|--------|
|                                                                                                                                                                                         |  | 2004   |             | 2003   |  | 2002   |
| Netrealized and unrealized trading gains (losses) net of expensesallocated from Master, brokerage commissions (including clearing fees)of $3,692,595, $5,822,971 and $5,422,049,respectively |  | $      | 42,925,509  |   |  | $      | (36,992,242 | )  |  | $      | 12,739,048 |   |
| Interestincome allocated fromMaster                                                                                                                                                          |  |   | 1,088,006   |   |  |   | 977,786     |    |  |   | 731,136 |   |
|                                                                                                                                                                                         |  | $      | 44,013,515  |   |  | $      | (36,014,456 | )  |  | $      | 13,470,184 |   |
| Netincome (loss) before Allocation to Special LimitedPartner                                                                                                                                 |  | $      | 41,115,934  |   |  | $      | (38,965,212 | )  |  | $      | 11,945,991 |   |
| Allocationto Special LimitedPartner                                                                                                                                                          |  |   | 1,708,907   |   |  |   | —     |    |  |   | 2,240,668 |   |
| Netincome (loss) available for pro rata distribution toPartners                                                                                                                              |  | $      | 39,407,027  |   |  | $      | (38,965,212 | )  |  | $      | 9,705,323 |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                     |  | $      | 360.35      |   |  | $      | (289.27     | )  |  | $      | 80.92 |   |
| Totalassets                                                                                                                                                                                  |  | $      | 120,302,312 |   |  | $      | 99,038,186  |    |  | $      | 130,433,981 |   |
|                                                                                                                                                                                              |

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

Overview

ThePartnership, through its investment in the Master, seeks to achievecapital appreciation through speculative trading, directly orindirectly, in commodity interests generally including, commodityfutures 

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and commodity option contracts on UnitedStates exchanges and certain foreign exchanges and swaps. ThePartnership, through its investment in the Master, intends to tradeonly energy and energy related products, as well as the Goldman SachsCommodity Index (an index future comprised of energy and otherproducts), traded on the Chicago Mercantile Exchange, but is authorizedto trade commodity futures, swaps and options contracts of any kind.The Partnerhsip has invested all of its assets in the Master. TheAdvisor is authorized to trade forward contracts on behalf of thePartnership and the Master but does not currently intend to do so(certain swaps that the Advisor trades are, however, the substantialeconomic equivalent of forward contracts).

The GeneralPartner/Managing Member manages all business of the Partnership/Master.The General Partner has delegated its responsibility for the investmentof the Partnership's assets to AAA. The Partnership has investedthese assets in the Master. The General Partner employs a team ofapproximately 20 professionals whose primary emphasis is on attemptingto maintain quality control among the advisors to the Partnershipsoperated or managed by the General Partner. A full-time staff of duediligence professionals use state-of-the-art technology and on-siteevaluations to monitor new and existing futures money managers. Theaccounting and operations staff provide processing of trading activityand reporting to limited partners and regulatory authorities. Inselecting the advisor for the Partnership, the General Partnerconsidered past performance, trading style, volatility of marketstraded and fee requirements.

Responsibilities of the GeneralPartner/Managing Member include:

|              |                                          |
|--------------|------------------------------------------|
| •  | duediligence examinations of theAdvisor; |

|              |                                                      |
|--------------|------------------------------------------------------|
| •  | selection, appointment andtermination of theAdvisor; |

|              |                                             |
|--------------|---------------------------------------------|
| •  | negotiation of the managementagreement; and |

|              |                                       |
|--------------|---------------------------------------|
| •  | monitoring the activityof the Advisor |

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 cumulative lossof 25%. This loss was primarily attributable to extraordinaryprice activity during the first quarter of 2003 in U.S. natural gas andcrude oil markets which led to losses in the Master's energymarket positions.

In February 2003, the Master had a shortposition in the April natural gas futures contract as a partial offsetto an overall long position in delivery months later in the year in thesame contract. During the last week of February, natural gas pricesrose sharply reflecting relatively high short-term demand in theeastern and mid-continental United States along with a reduced abilityof natural gas suppliers to deliver natural gas from storage due to lowstorage inventories. Volatility in the natural gas markets wasexacerbated during that period as the markets became relativelyilliquid when many traders stayed out of the market to wait for thevolatility to pass. During this period, the April natural gas futurescontract experienced an upward increase in price of over 50% intwo days and related cash market prices experienced a 300%increase in price. Deferred delivery months in the natural gas futurescontract did not experience comparable price increases. The spreadbetween the price of the April contract and those of the deferredmonths changed suddenly and unexpectedly. Such extreme moves generallyhappen only in exceptionally rare circumstances and can lead toilliquid market conditions.

In March 2003, volatility struck thecrude oil market, and the Master again experienced losses as prices forcrude oil dropped over $8.00 per barrel, or 21%, in the courseof a week. The Master's and the Partnership's liquidity wasnot hindered as a result of these market movements as the Master andthe Partnership each had adequate cash reserves to absorb marketvolatility and to meet redemption requests during that period.

The performance for the year ended December 31, 2004 is discussed in(c) Results of Operations.

To minimize this risk relating to lowmargin deposits, the Master follows certain trading policies,including:

|           |                                                                                                                                                                                                                                                                                                                                               |
|-----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (i)  | The Master invests its assetsonly in commodity interests that the Advisor believes are traded insufficient volume to permit ease of taking and liquidating positions.Sufficient volume, in this context, refers to a level of liquidity thatthe Advisor believes will permit it to enter and exit trades withoutnoticeably moving the market. |

|            |                                                                                                                                                                                                                      |
|------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (ii)  | The Advisorwill not initiate additional positions in any commodity if thesepositions would result in aggregate positions requiring a margin ofmore than 66  2/3% of the Master's net assetsallocated to the Advisor. |

|             |                                                                                                                                                                                                                                                        |
|-------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iii)  | The Master mayoccasionally accept delivery of a commodity. Unless such delivery isdisposed of promptly by retendering the warehouse receipt representingthe delivery to the appropriate clearinghouse, the physical commodityposition is fully hedged. |

|            |                                                                                                                                                                                                                                                   |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | The Master doesnot employ the 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 business day.

(b)    Capital Resources.

(i)    The Partnershiphas made no material commitments for capital expenditures.

(ii)    The Partnership's capital consists of thecapital contributions of the partners as increased or decreased bygains or losses on trading and by expenses, interest income,redemptions of Redeemable Units and distributions of profits, if any.Gains or losses on trading cannot be predicted. 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 theAdvisors 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.

For the year ended December 31, 2004, there were additional sales of10,998.9458 Redeemable Units totaling $11,781,000 and contributions bythe General Partner representing 25 Unit equivalents totaling $19,735.For the year ended December 31, 2003, there were additional sales of21,674.2111 Redeemable Units totaling $22,541,000. For the period fromJuly 1, 2002 (commencement of operations) to December 31,2002, there were additional sales of 28,827.4310 Redeemable Unitstotaling $28,797,000 and contributions by the General Partnerrepresenting 1,526.2826 Unit equivalents totaling $1,500,000.

Noforecast 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, 2004, 32,234.8932 Redeemable Units were redeemed totaling$31,496,364. For the year ended December 31, 2003, 16,891.2743Redeemable Units were redeemed totaling $13,818,158. For the periodfrom July 1, 2002 (commencement of operations) to December 31, 2002,7,684.5966 Redeemable Units were redeemed totaling $8,032,041 and2,076.6158 Units of Special Limited Partnership Interest totaling$2,240,668 were redeemed.

Redeemable Units of LimitedPartnership Interest were sold to persons and entities who areaccredited 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, 2004, the Net Asset Value per Redeemable Unit increased45.6% from $789.39 to $1,149.74. For the year ended December 31,2003 the Net Asset Value per Redeemable Unit decreased 26.8%from $1,078.66 to $789.39. For the period from July 1, 2002(commencement of operations) to December 31, 2002 the Net Asset Valueper Redeemable Unit increased 7.9% from $1,000.00 to$1,078.66.

The Partnership, through its investment in theMaster, experienced a net trading gain of $46,618,104 beforecommissions and expenses for the year ended December 31, 2004. Gainswere primarily attributable to the trading of NYMEX Natural Gas, NYMEXHeating Oil, NYMEX Crude Oil and IPE Gas Oil and were partially offsetby losses in NYMEX Unleaded Gas.

Trading results for the year2004 were positive as strong trends and market volatility across theenergy sector provided profitable trading opportunities for theAdvisor. The results for the year were primarily influenced by onehistoric trend and one volatile but adeptly traded market: the price ofcrude oil rose to over $50 a barrel while the price of natural gasexperienced nearly 50% swings at least twice during theyear.

The first quarter began with a fairly static Januaryperformance as crude oil oscillated in a narrow range. Natural gasprices dropped nearly $2.00/MM BTU in January and continued a bearishtrend through the quarter. A large portion of the profits for thisperiod was the result of a bearish short option/volatility position onthe front end of the market combined with a long futures positions inthe summer months.

The second quarter likewise started off mixedbut quickly developed momentum as crude oil moved past thepsychological $40 barrier in May. The high prices did not persist andswung lower later in the 

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quarter. Trading was mixed as prices movedrapidly in short timeframes. The Partnership's only profitablemonth for the quarter was May as the Partnership's natural gastrading profited from near-term price stability but declining long-termprices.

The third quarter witnessed the first big move in crudeoil to nearly $50 a barrel by late September. Prices were effected bythe occurrence of several simultaneous global events, specifically, thehurricane season in the Caribbean, turmoil in Russia, Iran and Iraq,and low inventories ahead of the northern hemisphere winter. Aftergrinding lower much of the summer, natural gas futures posted a low of$4.52/MM BTU in August only to explode to over $7.00/MM BTU by lateSeptember. The Advisor benefited from long futures positions and longvolatility positions in this market during this period.

Theseprice rallies were short lived, particularly in natural gas, as thesupplies built up, winter weather was mild, and political tensionseased. While October was profitable for the Partnership, natural gasdecreased from over $7.00/MM BTU to a low of $6.00/MM BTU by the end ofDecember and resulted in losses for the Partnership's natural gaslong positions. Crude oil fluctuated nearly $10.00 a barrel in the lasttwo months 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, throughits investment in the Master, experienced a net trading loss of$31,169,271 before commissions and expenses for the year ended December31, 2003. Losses were primarily attributable to the trading of NYMEXNatural Gas, NYMEX Heating Oil, NYMEX Unleaded Gas, IPE and energyswaps and were partially offset by gains in, IPE Gas Oil and NYMEXCrude Oil.

The year 2003 presented numerous challenges for thePartnership/Master and AAA.

In a broad sense, the year can beviewed in three parts: (1) the first quarter saw the emergence ofhyper-volatility in US natural gas markets and a steep drawdown in netasset value of the Partnership; (2) in the second and third quartersthe Advisor's focus was on recovery and solid gains wereachieved; and (3) the fourth quarter was progressing well until earlyDecember when sizable losses were incurred in a rapidly climbing USnatural gas market.

In the first quarter, February and March sawextraordinary volatility strike the natural gas and crude oil marketsas explained under Liquidity. As a discretionary advisor relyingupon its principals' assessment of fundamental supply and demandrelationships, this volatility was both unexpected and greatlydisruptive. Once this unusual price disequilibrium was shaken out ofthe markets, more normal conditions resurfaced and trading resultsresumed a course more typical of AAA's performance.

Overthe course of the next seven months, Partnership had two negativemonths of performance (-1.6% in July and -.30% inSeptember) with the other five months ranging in returns from+0.70% to +6.80%. By the end of November, the Partnershiphad recovered 24%.

In early December, a sharp drop in NAVoccurred as the result of sizable losses in a rapidly climbing USnatural gas market. The price of a natural gas rose over 50% ina few weeks despite weak/discounted cash markets for heating fuels andsurprisingly small draw in high underground storage levels during anextremely cold weather period. Petroleum also rallied to new post warhighs near $35.00 on growing signs that the persistent weakness in theUS dollar versus the Euro and expectations of a widespread commodityboom/inflationary period has brought new money to the buy side of thesemarkets. Long positions in forward petroleum helped mitigate losses inNAV during December.

So while progress was thwarted for themonth, the Advisor modified its views and approach to trading to adjustto a new emerging market dynamic. For much of this year that hasentailed smaller positions and reduced exposure to natural gas markets.Going forward the changes are also likely to include a furtherreduction in the types of trades the Advisor expects to make in naturalgas and a greater focus on limited risk/long option positions.

To put the Advisor in perspective, during the past five years, AAAhas built a team of energy trading professionals to help broadenAAA's research and trading capabilities as well as to tap intonew market opportunities. AAA now comprises over a dozen people andfour trading principals who are responsible for specific market sectorsand a well-defined portion of AAA's assets under management.

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The Partnership, through its investment inthe Master, experienced net trading gains of $18,161,097 beforecommissions and expenses for the period from July 1, 2002 (commencementof operations) to December 31, 2002. Gains were primarily attributableto the Master's trading of NYMEX Natural Gas, IPE Gas Oil andNYMEX Heating Oil and energy swaps were partially offset by losses inNYMEX Crude Oil, NYMEX Unleaded Gas and IPE Brent Crude.

Commodity markets are highly volatile. Broad price fluctuations andrapid inflation increase the risks involved in commodity trading, butalso increase the possibility of profit. The profitability of theMaster and the Partnership depends on the Advisor's ability toforecast changes in energy and energy related commodities. Such pricechanges are influenced by, among other things, changing supply anddemand relationships, weather, governmental, agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. To the extent thatthe Advisor correctly makes such forecasts, the Master and thePartnership expect to increase capital through operations.

(d)    Operational Risk.

The Partnership isdirectly exposed to market risk and credit risk, which arise in thenormal course of its business activities. Slightly less direct, but ofcritical importance, are risks pertaining to operational and backoffice support. This is particularly the case in a rapidly changing andincreasingly global environment with increasing transaction volumes andan expansion in the number and complexity of products in themarketplace.

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 thePartnership/Master's ability to gather, process, and communicateinformation efficiently and securely, without interruption, tocustomers, among Redeemable Units within the Partnership/Master, and inthe markets where the Partnership/Master participates.

Legal/Documentation Risk — the risk of lossattributable to deficiencies in the documentation of transactions (suchas trade confirmations) and customer relationships (such as masternetting agreements) or errors that result in noncompliance withapplicable legal and regulatory requirements.

FinancialControl Risk — the risk of loss attributable to limitationsin financial systems and controls. Strong financial systems andcontrols ensure that assets are safeguarded, that transactions areexecuted in accordance with management's authorization, and thatfinancial information utilized by management and communicated toexternal parties, including the Partnership's unit holders,creditors, and regulators, is free of material errors.

(e)    Critical Accounting Policies.

Thepreparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America requiresestimates and assumptions that affect the reported amounts of assetsand liabilities, revenues and expenses, and related disclosures ofcontingent assets and liabilities in the financial statements andaccompanying notes.

All commodity interests (includingderivative financial instruments and derivative commodity instruments)are used for trading purposes. The commodity interests are recorded ontrade date and open contracts are recorded in the statement offinancial 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 

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interests denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing onthe last business day of the period. Realized gains (losses) andchanges in unrealized values on commodity interests and foreigncurrencies are recognized in the period in which the contract is closedor the changes occur and are included in net gains (losses) on tradingof commodity interests.

Foreign currency contracts are thosecontracts where the Partnership/Master agrees to receive or deliver afixed quantity of foreign currency for an agreed-upon price on anagreed future date. Foreign currency contracts are valued daily, andthe Partnership/Master's net equity therein, representingunrealized gain or loss on the contracts as measured by the differencebetween the forward foreign exchange rates at the dates of entry intothe contracts and the forward rates at the reporting dates, is includedin the statement of financial condition. Realized gains (losses) andchanges in unrealized values on foreign currency contracts arerecognized in the period in which the contract is closed or the changesoccur and are included in the statement of income and expenses andpartners' capital.

The General Partner believes that theaccounting policies that will be most critical to thePartnership's financial condition and results of operationsrelate to the valuation of the Master's positions. The majorityof the Master's positions will be exchange-traded futurescontracts, which will be valued daily at settlement prices published bythe exchanges. Swap contracts generally will be valued by reference topublished settlement prices or dealers' quotes in related marketsor other measures of fair value deemed appropriate by the GeneralPartner. The General Partner expects that under normal circumstancessubstantially all of the Partnership/Master's assets will bevalued by objective measures and without difficulty.

Item7A.    Quantitative and Qualitative Disclosures About MarketRisk

The Master is a speculative commodity pool. Themarket sensitive instruments held by the Master are acquired forspeculative trading purposes, and all or substantially all of thePartnership's assets are subject to the risk of trading lossthrough its investment in the Master. Unlike an operating company, therisk of market sensitive instruments is integral, not incidental, tothe Master's and the Partnership's main line ofbusiness.

The risk to the limited partners that have purchasedinterests in the Partnership is limited to the amount of their capitalcontributions to the Partnership and their share of Partnership assetsand undistributed profits. This limited liability is a consequence ofthe organization of the Partnership as a limited partnership underapplicable law.

Market movements result in frequent changes inthe fair market value of the Master's open positions and,consequently, in its earnings and cash flow. The Master's and thePartnership's market risk is influenced by a wide variety offactors. These primarily include factors which affect energy pricelevels, including supply factors and weather conditions, thediversification effects 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 

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provided for such statements by the PrivateSecurities Litigation Reform Act of 1995 (set forth in Section 27A ofthe Securities Act of 1933 and Section 21E of the Securities ExchangeAct of 1934). All quantitative disclosures in this section are deemedto be forward-looking statements for purposes of the safe harbor exceptfor statements of historical fact (such as the terms of particularcontracts and the number of market risk sensitive instruments heldduring or at the end of the reporting period).

TheMaster's and the Partnership's risk exposure in the variousmarket sectors traded by the Advisor is quantified below in terms ofValue at Risk. Due to the Master's mark-to-market accounting, anyloss in the fair value of the Master's open positions is directlyreflected in the Master's earnings (realized or unrealized) andcash flow.

Exchange maintenance margin requirements have beenused by the Master as the measure of its Value at Risk. Maintenancemargin requirements are set by exchanges to equal or exceed the maximumlosses reasonably expected to be incurred in the fair value of anygiven contract in 95%–99% of any one-day intervals.The maintenance margin levels are established by dealers and exchangesusing historical price studies as well as an assessment of currentmarket volatility (including the implied volatility of the options on agiven futures contract) and economic Fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation. Maintenance margin has been used rather than the moregenerally available initial margin, because initial margin includes acredit risk component which is not relevant to Value at Risk.

Inthe case of market sensitive instruments which are not exchange traded(almost exclusively currencies in the case of the Master), the marginrequirements for the equivalent futures positions have been used asValue at Risk. In those rare cases in which a futures-equivalent marginis not available, dealers' margins have been used.

Thefair value of the Master's futures and forward positions does nothave any optionality component. However, the Advisor does tradecommodity options. The Value at Risk associated with options isreflected in the following table as the margin requirement attributableto the instrument underlying each option. Where this instrument is afutures contract, the futures margin, and where this instrument is aphysical commodity, the futures-equivalent maintenance margin has beenused. This calculation is conservative in that it assumes that the fairvalue of an option will decline by the same amount as the fair value ofthe underlying instrument, whereas, in fact, the fair values of theoptions traded by the Master in almost all cases fluctuate to a lesserextent than those of the underlying instruments.

In quantifyingthe Master's Value at Risk, 100% positive correlation inthe different positions held in each market risk category has beenassumed. Consequently, the margin requirements applicable to the opencontracts have simply been added to determine each tradingcategory's aggregate Value at Risk. The diversification effectsresulting from the fact that the Master's positions are rarely,if ever, 100% positively correlated have not been reflected.

The Master's Trading Value at Risk in Different MarketSectors

The following table indicates the trading Value at Riskassociated with the Master's open positions by market category asof December 31, 2004, and the highest, lowest and average value at anypoint during the year. All open position trading risk exposures of theMaster have been included in calculating the figures set forth below.As of December 31, 2004, the Master's total capitalization was$336,495,535.

December 31,2004

|              |  |               |            |                         |  |                   |      |                   |  |                      |            |        |  |        |            |        |  |        |            |        |  |  |
|--------------|--|---------------|------------|-------------------------|--|-------------------|------|-------------------|--|----------------------|------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|         |  |          |            |                    |  | Yearto Date       |
| MarketSector |  | Value at Risk |            | % ofTotalCapitalization |  | High Value atRisk |      | Low Value at Risk |  | Average ValueatRisk* |
| 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 | %            |  |                 |       |   |  |   |       |   |  |   |       |   |
|              |

|  |
|--|
|  |  |
|  |

|  |                                     |
|--|-------------------------------------|
|  | *Average of month-end Value at Risk |

17

----

The Master's Trading Value at Riskin Different Market Sectors

The following table indicates thetrading Value at Risk associated with the Master's open positionsby market category as of December 31, 2003. As of December 31, 2003 theMaster's total capitalization was $255,057,637.

December31,2003

|              |  |               |            |                         |  |                   |       |                   |  |                      |             |        |  |        |            |        |  |        |            |        |  |  |
|--------------|--|---------------|------------|-------------------------|--|-------------------|-------|-------------------|--|----------------------|-------------|--------|--|--------|------------|--------|--|--------|------------|--------|--|--|
|         |  |          |            |                    |  | Yearto Date       |
| MarketSector |  | Value at Risk |            | % ofTotalCapitalization |  | High Value atRisk |       | Low Value at Risk |  | Average ValueatRisk* |
| Energy       |  | $             | 25,111,381 |                    |  |              | 9.85  | %            |  | $                    | 131,820,411 |   |  | $      | 12,880,254 |   |  | $      | 36,036,714 |   |
| EnergySwaps  |  |          | 6,027,189  |                    |  |              | 2.36  | %            |  | $                    | 33,232,031  |   |  | $      | 900,000    |   |  | $      | 7,862,309  |   |
| **Total**    |  | $             | 31,138,570 |                    |  |              | 12.21 | %            |  |                 |        |   |  |   |       |   |  |   |       |   |
|              |

|  |
|--|
|  |  |
|  |

|  |                                     |
|--|-------------------------------------|
|  | *Average of month-end Value at Risk |

Material Limitations onValue at Risk as an Assessment of Market Risk

The face value ofthe market sector instruments held by the Master is typically manytimes the applicable margin requirement (margin requirements generallyrange between 2% and 15% of contract face value) as wellas many 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, 2004, 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 

18

----

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. Swapcontracts are not guaranteed by an exchange or clearinghouse. CGM doesnot engage in swap transactions as a principal.

The Masterusually enters into swaps on a net basis, i.e., the two payment streamsare netted out in a cash settlement on the payment date or datesspecified in the agreement, with the Master receiving or paying, as thecase may be, only the net amount of the two payments. Swaps do notinvolve the delivery of underlying assets or principal. Accordingly,the risk of loss with respect to swaps is limited to the net amount ofpayments that the Master is contractually obligated to make. If thecounterparty to a swap defaults, the Master's risk of lossconsists of the net amount of payments that the Master is contractuallyentitled to receive.

The Master may also enter into spottransactions to purchase or sell commodities with CGM, or one of itsaffiliates, as principal. Such spot transactions provide for two-daysettlement and are not margined. Such transactions may be entered intoin connection with exchange for physical transactions. Like the swapcontract market, the spot market is a principals' market so thereis no clearinghouse guarantee of performance. Instead, the Master issubject to the risk of inability of, or refusal by, a counterparty toperform with respect to the underlying contract.

OtherCommodity Interests. The Master primarily emphasizes the tradingof energy products, but may also trade some portion of its assets inother commodity interests, including, but not limited to, commodityinterest contracts on the Goldman Sachs Commodity Index (an indexfuture comprised primarily of energy products). Commodity interestprices can be affected by numerous factors, including politicaldevelopments, weather conditions, seasonal effects and other factorswhich affect supply and demand for the underlying commodity.

Qualitative Disclosures Regarding Means of Managing RiskExposure

The General Partner monitors and controls thePartnership's, through its investment in the Master, 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 and the Partnership are subject.

The GeneralPartner monitors the Master's performance and the concentrationof its open positions, and consults with the Advisor concerning theMaster's overall risk profile. If the General Partner felt itnecessary to do so, the General Partner could require the Advisor toclose out individual positions as well as enter programs traded onbehalf of the Master. However, any such intervention would be a highlyunusual event. The General Partner primarily relies on theAdvisor's own risk control policies while maintaining a generalsupervisory overview of the Master's market risk exposures.

The Advisor applies its own risk management policies to its trading.The Advisor often follows diversification guidelines, margin limits andstop loss points to exit a position. The Advisor's research ofrisk management often suggests ongoing modifications to its tradingprograms.

As part of the General Partner's riskmanagement, the General Partner periodically meets with the Advisor todiscuss its risk management and to look for any material changes to theAdvisor's portfolio balance and trading techniques. The Advisoris required to notify the General Partner of any material changes toits programs.

19

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Item8.    Financial Statements and Supplementary Data.

SALOMON SMITH BARNEY AAA ENERGY FUND L.P. II

INDEX TOFINANCIAL STATEMENTS

|                                                                                                                                                                                    |  |                   |  |  |  |  |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|-------------------|--|--|--|--|
|                                                                                                                                                                               |  | PageNumber        |
| Oath orAffirmation                                                                                                                                                                 |  | F-2               |
| Management's Report on Internal Control over FinancialReporting                                                                                                                    |  | F-3               |
| Report of IndependentRegistered Public Accounting Firm                                                                                                                             |  | F-4 – F-6   |
| Financial Statements:                                                                                                                                                              |  |
| Statementsof Financial Condition at December 31, 2004 and2003                                                                                                                      |  | F-7               |
| Statements of Income and Expensesfor the years ended December 31, 2004 and 2003 and for the period fromJuly 1, 2002 (commencement of operations) to December 31,2002               |  | F-8               |
| Statements of Changes inPartners' Capital for the year ended December 31, 2004 and 2003and for the period from March 25, 2002 (date Partnership was organized)to December 31, 2002 |  | F-9               |
| Statements of CashFlows for the years ended December 31, 2004 and 2003 and for the periodfrom March 25, 2002 (date Partnership was organized) to December 31,2002                  |  | F-10              |
| Notes to FinancialStatements                                                                                                                                                       |  | F-11 – F-15 |
| SelectedUnaudited Quarterly FinancialData                                                                                                                                          |  | F-16              |
| Financial Statements ofSB AAA Master Fund LLC                                                                                                                                      |  |
| Oath orAffirmation                                                                                                                                                                 |  | F-17              |
| Independent Auditors'Report                                                                                                                                                        |  | F-18              |
| Statements of FinancialCondition at December 31, 2004 and2003                                                                                                                      |  | F-19              |
| Condensed Schedules of Investmentsat December 31, 2004 and 2003                                                                                                                    |  | F-20 –F-21  |
| Statements of Income and Expenses for the yearsended December 31, 2004, 2003 and  2002                                                                                             |  | F-22              |
| Statements of Changes inMembers' Capital for the years ended December 31, 2004, 2003 and2002                                                                                       |  | F-23              |
| Statements of Cash Flows for theyears ended December 31, 2004, 2003 and2002                                                                                                        |  | F-24              |
| Notes to FinancialStatements                                                                                                                                                       |  | F-25 – F-28 |
| SelectedUnaudited Quarterly FinancialData                                                                                                                                          |  | F-29              |
|                                                                                                                                                                                    |

F-1

----

Tothe Limited Partners ofSalomon Smith Barney AAA Energy Fund L.P.II

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

|  | /s/ D.R. McAuliffe,Jr. |
|--|------------------------|

|  | By:   Daniel R. McAuliffe, Jr.          Chief Financial Officer andDirector          Citigroup Managed FuturesLLC          General Partner, Salomon Smith BarneyAAA           Energy Fund L.P. II |
|--|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|  | **Citigroup Managed Futures LLC**399 ParkAvenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|-----------------------------------------------------------------------------------------|

F-2

----

Management's Report on InternalControl overFinancial Reporting

The management of SalomonSmith Barney AAA Energy Fund L.P. II (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, 2004 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, 2004, 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, 2004 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, 2004.

F-3

----

Report of Independent Registered PublicAccounting Firm

The Partners of Salomon Smith Barney AAAEnergy Fund L.P. II:

We have audited management'sassessment, included in the accompanying Management's Reporton Internal Control Over Financial Reporting, that Salomon SmithBarney AAA Energy Fund L.P. II (the"Partnership") maintained effective internalcontrol over financial reporting as of December 31, 2004, based oncriteria established in Internal Control—IntegratedFramework issued by the Committee of Sponsoring Organizations ofthe Treadway Commission ("COSO"). ThePartnership's management is responsible for maintaining effectiveinternal control over financial reporting and for its assessment of theeffectiveness of internal control over financial reporting. Ourresponsibility is to express an opinion on management'sassessment and an opinion on the effectiveness of thePartnership's internal control over financial reporting based onour audit.

We conducted our audit in accordance with thestandards of the Public Company Accounting Oversight Board (UnitedStates). Those standards require that we plan and perform the audit toobtain reasonable assurance about whether effective internal controlover financial reporting was maintained in all material respects. Ouraudit included obtaining an understanding of internal control overfinancial reporting, evaluating management's assessment, testingand evaluating the design and operating effectiveness of internalcontrol, and performing such other procedures as we considerednecessary in the circumstances. We believe that our audit provides areasonable basis for our opinion.

A partnership's internalcontrol over financial reporting is a process designed to providereasonable assurance regarding the reliability of financial reportingand the preparation of financial statements for external purposes inaccordance with generally accepted accounting principles. Apartnership's internal control over financial reporting includesthose policies and procedures that (1) pertain to the maintenance ofrecords that, in reasonable detail, accurately and fairly reflect thetransactions and dispositions of the assets of the partnership; (2)provide reasonable assurance that transactions are recorded asnecessary to permit preparation of financial statements in accordancewith generally accepted accounting principles, and that receipts andexpenditures of the partnership are being made only in accordance withauthorizations of management of the partnership; and (3) providereasonable assurance regarding prevention or timely detection ofunauthorized acquisition, use, or disposition of thepartnership's assets that could have a material effect on thefinancial statements.

Because of its inherent limitations,internal control over financial reporting may not prevent or detectmisstatements. Also, projections of any evaluation of effectiveness tofuture periods are subject to the risk that controls may becomeinadequate because of changes in conditions, or that the degree ofcompliance with the policies or procedures may deteriorate.

Inour opinion, management's assessment that Salomon Smith BarneyAAA Energy Fund L.P. II maintained effective internal control overfinancial reporting as of December 31, 2004, is fairly stated, in allmaterial respects, based on criteria established in InternalControl—Integrated Framework issued by COSO. Also, inour opinion, the Partnership maintained, in all material respects,effective internal control over financial reporting as of December 31,2004, based on criteria established in InternalControl—Integrated Framework issued by COSO.

F-4

----

We also have audited, in accordance withthe standards of the Public Company Accounting Oversight Board (UnitedStates), the statements of financial condition of the Partnership, asof December 31, 2004 and 2003, and the related statements of income andexpenses, changes in partners' capital, and cash flows for eachof the years in the two-year period ended December 31, 2004 and theperiod from July 1, 2002(commencement of operations) through December31, 2002, and our report dated March 14, 2005 expressed an unqualifiedopinion on those financial statements.

/s/ KPMGLLPNew York, New York March 14, 2005

F-5

----

Report of Independent Registered PublicAccounting Firm

To the Partners ofSalomon SmithBarney AAA Energy Fund L.P. II:

We have audited the accompanyingstatements of financial condition of Salomon Smith Barney AAA EnergyFund L.P. II (the Partnership), as of December 31, 2004 and 2003, andthe related statements of income and expenses for each of the years inthe two-year period ended December 31, 2004 and the period from July 1,2002 (commencement of operations) through December 31, 2002 and changesin partners' capital and cash flows for each of the years in thetwo-year period ended December 31, 2004 and the period from March 25,2002 (date the Partnership was organized) through December 31, 2002.These financial statements are the responsibility of thePartnership's management. Our responsibility is to express anopinion on these financial statements based on our audits.

Weconducted our audits in accordance with the standards of the PublicCompany Accounting Oversight Board (United States). Those standardsrequire that we plan and perform the audit to obtain reasonableassurance about whether the financial statements are free of materialmisstatement. An audit includes examining, on a test basis, evidencesupporting the amounts and disclosures in the financial statements. Anaudit also includes assessing the accounting principles used andsignificant estimates made by management, as well as evaluating theoverall financial statement presentation. We believe that our auditsprovide a reasonable basis for our opinion.

In our opinion, thefinancial statements referred to above present fairly, in all materialrespects, the financial position of Salomon Smith Barney AAA EnergyFund L.P. II as of December 31, 2004 and 2003, and the results of itsoperations, changes in its partners' capital, and its cash flowsfor each of the periods referred to above in conformity with U. S.generally accepted accounting principles.

We have also audited,in accordance with standards of the Public Company Accounting OversightBoard (United States), the effectiveness of the Partnership'sinternal control over financial reporting as of December 31, 2004,based on criteria established in Internal Control—IntegratedFramework issued by the Committee of Sponsoring Organizations ofthe Treadway Commission ("COSO"), and ourreport dated March 14, 2005 expressed an unqualified opinion onmanagement's assessment of, and the effective operation of,internalcontrol over financial reporting.

/s/KPMG LLPNew York, New YorkMarch 14, 2005

F-6

----

Salomon Smith Barney AAAEnergy FundL.P. IIStatements of Financial ConditionDecember 31, 2004 and2003

|                                                                                                                                         |  |        |             |        |  |        |            |        |  |  |
|-----------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|------------|--------|--|--|
|                                                                                                                                    |  | 2004   |             | 2003   |
| **Assets:**                                                                                                                             |  |   |        |   |  |   |       |   |
| Investmentin Master, at fairvalue                                                                                                       |  | $      | 120,251,909 |   |  | $      | 98,995,554 |   |
| Cash                                                                                                                                    |  |   | 50,403      |   |  |   | 42,632     |   |
|                                                                                                                                    |  | $      | 120,302,312 |   |  | $      | 99,038,186 |   |
| **Liabilitiesand Partners'Capital:**                                                                                                    |  |   |        |   |  |   |       |   |
| Liabilities:                                                                                                                            |  |   |        |   |  |   |       |   |
| Accruedexpenses:                                                                                                                        |  |   |        |   |  |   |       |   |
| Management fees(Note3b)                                                                                                                 |  | $      | 203,734     |   |  | $      | 168,162    |   |
| Administrativefees (Note3a)                                                                                                             |  |   | 50,933      |   |  |   | 42,041     |   |
| Professionalfees                                                                                                                        |  |   | 31,706      |   |  |   | 36,275     |   |
| Other                                                                                                                                   |  |   | 1,856       |   |  |   | 3,314      |   |
| Redemptionspayable (Note5)                                                                                                              |  |   | 1,990,866   |   |  |   | 2,185,482  |   |
|                                                                                                                                    |  |   | 2,279,095   |   |  |   | 2,435,274  |   |
| Partners'capital (Notes 1 and5):                                                                                                        |  |   |        |   |  |   |       |   |
| General Partner,2,501.2826 and 2,476.2826 Unit equivalents outstanding in 2004 and2003,respectively                                     |  |   | 2,875,825   |   |  |   | 1,954,753  |   |
| SpecialLimited Partner, 1,486.3421 and 0 Redeemable Units of LimitedPartnership Interest outstanding in 2004 and 2003,respectively      |  |   | 1,708,907   |   |  |   | —    |   |
| LimitedPartners, 98,664.8238 and 119,900.7712 Redeemable Units of LimitedPartnership Interest outstanding in 2004 and 2003,respectively |  |   | 113,438,485 |   |  |   | 94,648,159 |   |
|                                                                                                                                    |  |   | 118,023,217 |   |  |   | 96,602,912 |   |
|                                                                                                                                    |  | $      | 120,302,312 |   |  | $      | 99,038,186 |   |
|                                                                                                                                         |

Seeaccompanying notes to financial statements.

F-7

----

Salomon Smith Barney AAAEnergy FundL.P. IIStatements of Income and Expensesfor the years endedDecember 31, 2004 and 2003 andfor the period from July 1,2002(commencement of trading operations)to December 31,2002

|                                                                                                                        |  |        |            |         |  |        |             |         |  |        |            |         |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|------------|---------|--|--------|-------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                   |  | 2004   |            | 2003    |  | 2002   |
| Income:                                                                                                                |  |   |       |    |  |   |        |    |  |
| Realizedgains (losses) on closed positions fromMaster                                                                  |  | $      | 36,038,622 |    |  | $      | (37,025,140 | )  |  | $      | 19,284,905 |    |
| Changein unrealized gains (losses) on open positions fromMaster                                                        |  |   | 10,579,482 |    |  |   | 5,855,869   |    |  |   | (1,123,808 | )  |
| Interestincome allocated fromMaster                                                                                    |  |   | 1,088,006  |    |  |   | 977,786     |    |  |   | 731,136    |    |
| Expensesallocated fromMaster                                                                                           |  |   | (3,692,595 | )  |  |   | (5,822,971  | )  |  |   | (5,422,049 | )  |
|                                                                                                                   |  |   | 44,013,515 |    |  |   | (36,014,456 | )  |  |   | 13,470,184 |    |
| Expenses:                                                                                                              |  |   |       |    |  |   |        |    |  |
| Managementfees (Note3b)                                                                                                |  |   | 2,154,945  |    |  |   | 2,233,848   |    |  |   | 1,181,093  |    |
| Administrativefees (Note3a)                                                                                            |  |   | 538,736    |    |  |   | 558,459     |    |  |   | 295,274    |    |
| Professionalfees                                                                                                       |  |   | 192,562    |    |  |   | 142,414     |    |  |   | 38,750     |    |
| Otherexpenses                                                                                                          |  |   | 11,338     |    |  |   | 16,035      |    |  |   | 9,076      |    |
|                                                                                                                   |  |   | 2,897,581  |    |  |   | 2,950,756   |    |  |   | 1,524,193  |    |
| Netincome (loss) before allocation to the Special LimitedPartner                                                       |  |   | 41,115,934 |    |  |   | (38,965,212 | )  |  |   | 11,945,991 |    |
| Allocationto the Special Limited Partner (Note3b)                                                                      |  |   | 1,708,907  |    |  |   | —     |    |  |   | 2,240,668  |    |
| Netincome (loss) available for pro ratadistribution                                                                    |  | $      | 39,407,027 |    |  | $      | (38,965,212 | )  |  | $      | 9,705,323  |    |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and7) |  | $      | 360.35     |    |  | $      | (289.27     | )  |  | $      | 80.92      |    |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-8

----

Salomon Smith Barney AAA Energy FundL.P. II

Statements of Changes in Partners'Capital for the years ended December 31, 2004 and 2003,andfor the period from March 25, 2002(date Partnership wasorganized)to December 31,2002

|                                                                                                                                                             |  |                 |             |                       |  |                |            |         |  |        |           |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------------------------------------------------------------------------|--|-----------------|-------------|-----------------------|--|----------------|------------|---------|--|--------|-----------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                                                        |  | LimitedPartners |             | SpecialLimitedPartner |  | GeneralPartner |            | Total   |
| Initialcapital contributions, 1 Unit of Limited Partnership Interest andGeneral Partner's contribution representing 1 Unitequivalent                        |  | $               | 1,000       |                  |  | $              | —    |    |  | $      | 1,000     |    |  | $      | 2,000       |    |
| Proceedsfrom offering of 93,974 Redeemable Units of Limited PartnershipInterest and General Partner's contribution representing 949 Unitequivalents (Note1) |  |            | 93,974,000  |                  |  |           | —    |    |  |   | 949,000   |    |  |   | 94,923,000  |    |
| Offeringcosts (Note6)                                                                                                                                       |  |            | (49,500     | )                |  |           | —    |    |  |   | (500      | )  |  |   | (50,000     | )  |
| OpeningPartnership capital foroperations                                                                                                                    |  |            | 93,925,500  |                  |  |           | —    |    |  |   | 949,500   |    |  |   | 94,875,000  |    |
| Saleof 28,827.4310 Redeemable Units of Limited Partnership Interest andGeneral Partner's contribution representing 1,526.2826 Unitequivalents               |  |            | 28,797,000  |                  |  |           | —    |    |  |   | 1,500,000 |    |  |   | 30,297,000  |    |
| Redemptionof 7,684.5966 Redeemable Units of Limited PartnershipInterest                                                                                     |  |            | (8,032,041  | )                |  |           | —    |    |  |   | —   |    |  |   | (8,032,041  | )  |
| Redemptionof 2,076.6158 Redeemable Units of Special Limited PartnershipInterest                                                                             |  |            | —     |                  |  |           | (2,240,668 | )  |  |   | —   |    |  |   | (2,240,668  | )  |
| Allocationof net income for the year ended December 31,2002:                                                                                                |  |            |        |                  |  |           |       |    |  |   |      |    |  |   |        |    |
| Allocationof 2,076.6158 Redeemable Units of Limited Partnership Interest to theSpecial Limited Partner (Note3b)                                             |  |            | —     |                  |  |           | 2,240,668  |    |  |   | —   |    |  |   | 2,240,668   |    |
| Netincome available for pro ratadistribution                                                                                                                |  |            | 9,483,756   |                  |  |           | —    |    |  |   | 221,567   |    |  |   | 9,705,323   |    |
| Partners'capital at December 31,2002                                                                                                                        |  |            | 124,174,215 |                  |  |           | —    |    |  |   | 2,671,067 |    |  |   | 126,845,282 |    |
| Netloss available for pro ratadistribution                                                                                                                  |  |            | (38,248,898 | )                |  |           | —    |    |  |   | (716,314  | )  |  |   | (38,965,212 | )  |
| Saleof 21,674.2111 Redeemable Units of Limited PartnershipInterest                                                                                          |  |            | 22,541,000  |                  |  |           | —    |    |  |   | —   |    |  |   | 22,541,000  |    |
| Redemptionof 16,891.2743 Redeemable Units of Limited PartnershipInterest                                                                                    |  |            | (13,818,158 | )                |  |           | —    |    |  |   | —   |    |  |   | (13,818,158 | )  |
| Partners'capital at December 31,2003                                                                                                                        |  |            | 94,648,159  |                  |  |           | —    |    |  |   | 1,954,753 |    |  |   | 96,602,912  |    |
| Sale of 10,998.9458 Redeemable Units of Limited PartnershipInterest and General Partner's contribution representing 25 Unitequivalents                      |  |            | 11,781,000  |                  |  |           | —    |    |  |   | 19,735    |    |  |   | 11,800,735  |    |
| Redemption of 32,234.8932 Redeemable Units of LimitedPartnershipInterest                                                                                    |  |            | (31,496,364 | )                |  |           | —    |    |  |   | —   |    |  |   | (31,496,364 | )  |
| Allocation of net income for the year ended December31,2004:                                                                                                |  |            |        |                  |  |           |       |    |  |   |      |    |  |   |        |    |
| Allocationof 1,486.3421 Redeemable Units of Limited Partnership Interest to theSpecial Limited Partner (Note3b)                                             |  |            | —     |                  |  |           | 1,708,907  |    |  |   | —   |    |  |   | 1,708,907   |    |
| Net income availablefor prorata distribution                                                                                                                |  |            | 38,505,690  |                  |  |           | —    |    |  |   | 901,337   |    |  |   | 39,407,027  |    |
| Partners' capital at December 31,2004                                                                                                                       |  | $               | 113,438,485 |                  |  | $              | 1,708,907  |    |  | $      | 2,875,825 |    |  | $      | 118,023,217 |    |
|                                                                                                                                                             |

|                                     |  |      |          |        |  |      |        |        |  |   |          |        |  |  |
|-------------------------------------|--|------|----------|--------|--|------|--------|--------|--|---|----------|--------|--|--|
|                                |  | 2004 |          | 2003   |  | 2002 |
| Net Asset Value Per RedeemableUnit: |  | $    | 1,149.74 |   |  | $    | 789.39 |   |  | $ | 1,078.66 |   |
|                                     |

Seeaccompanying notes to financial statements.

F-9

----

Salomon Smith Barney AAA Energy FundL.P. II Statements of Cash Flows for the years ended December31, 2004 and 2003and for the period from March 25, 2002 (datePartnership was organized) to December 31, 2002

|                                                                                                  |  |        |             |         |  |        |             |         |  |        |              |         |  |  |
|--------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|--------------|---------|--|--|
|                                                                                             |  | 2004   |             | 2003    |  | 2002   |
| Cash flows from operatingactivities:                                                             |  |
| Net income (loss)                                                                                |  | $      | 39,407,027  |    |  | $      | (38,965,212 | )  |  | $      | 9,705,323    |    |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |
| Changes in operatingassets and liabilities:                                                      |  |
| (Increase) decreasein investment in Master, at fairvalue                                         |  |   | (21,256,355 | )  |  |   | 31,406,470  |    |  |   | (130,402,024 | )  |
| Accruedexpenses:                                                                                 |  |
| Increase (decrease) in managementfees                                                            |  |   | 35,572      |    |  |   | (53,321     | )  |  |   | 221,483      |    |
| Increase(decrease) in administrative fees                                                        |  |   | 8,892       |    |  |   | (13,330     | )  |  |   | 55,371       |    |
| Increase(decrease) in professionalfees                                                           |  |   | (4,569      | )  |  |   | (2,475      | )  |  |   | 38,750       |    |
| Increase (decrease) in other                                                                     |  |   | (1,458      | )  |  |   | (929        | )  |  |   | 4,243        |    |
| Increase (decrease)in due to CGM                                                                 |  |   | —     |    |  |   | (40,426     | )  |  |   | (9,574       | )  |
| Increase(decrease) in redemptionspayable                                                         |  |   | (194,616    | )  |  |   | (1,042,944  | )  |  |   | 3,228,426    |    |
| Net cashprovided by (used in) operatingactivities                                                |  |   | 17,994,493  |    |  |   | (8,712,167  | )  |  |   | (117,158,002 | )  |
| Cash flows from financingactivities:                                                             |  |
| Proceeds from additions —GeneralPartner                                                    |  |   | 19,735      |    |  |   | —     |    |  |   | 1,500,000    |    |
| Proceedsfrom additions — Limited Partners                                                  |  |   | 11,781,000  |    |  |   | 22,541,000  |    |  |   | 28,797,000   |    |
| Allocationof units — Special LimitedPartner                                                |  |   | 1,708,907   |    |  |   | —     |    |  |   | —      |    |
| Paymentsfor redemptions — LimitedPartners                                                  |  |   | (31,496,364 | )  |  |   | (13,818,158 | )  |  |   | (8,032,041   | )  |
| Net cash provided by (used in) financingactivities                                               |  |   | (17,986,722 | )  |  |   | 8,722,842   |    |  |   | 22,264,959   |    |
| Net change in cash                                                                               |  |   | 7,771       |    |  |   | 10,675      |    |  |   | (94,893,043  | )  |
| Cash, atbeginning of period                                                                      |  |   | 42,632      |    |  |   | 31,957      |    |  |   | 94,925,000   |    |
| Cash, at endof period                                                                            |  | $      | 50,403      |    |  | $      | 42,632      |    |  | $      | 31,957       |    |
|                                                                                                  |

Seeaccompanying notes to financialstatements.

F-10

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SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

|          |                           |
|----------|---------------------------|
| 1.  | Partnership Organization: |

SalomonSmith Barney AAA Energy Fund L.P. II (the"Partnership") is a limited partnership whichwas organized on March 25, 2002 under the partnership laws of the Stateof New York to engage, directly or indirectly, in the speculativetrading of a diversified portfolio of commodity interests, includingcommodity options and commodity futures contracts on United Statesexchanges and certain foreign exchanges. The Partnership may tradecommodity 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. Atotal of 150,000 redeemable units of Limited Partnership Interest inthe Partnership ("Redeemable Units") havebeen offered to the public. During the initial offering period (May 31,2002 through July 1, 2002), the Partnership sold 93,975 RedeemableUnits of Limited Partnership Interest. The Partnership commencedtrading on July 1, 2002. The Partnership continues to offer RedeemableUnits.

Effective July 1, 2002, the Partnership allocated all ofits capital to the SB AAA Master Fund LLC, a New York Limited LiabilityCompany (the "Master"). With this cash, thePartnership purchased 64,945.0387 Units of the Master with a fair valueof $94,925,000. The Master was formed in order to permit commoditypools managed now or in the 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. In addition, the Advisor is a SpecialLimited Partner of the Partnership, an employee of CGM and a relatedparty. Individual and pooled accounts currently managed by the Advisor,including the Partnership (collectively, the "FeederFunds"), are permitted to be non-managing members of theMaster. The General Partner and the Advisor believe that tradingthrough this master/feeder structure should promote efficiency andeconomy in the trading process. Expenses to investors as a result ofthe investment in the Master are approximately the same and redemptionrights are not affected.

The financial statements of the Master(attached), including the condensed schedules of investments, should beread together with the Partnership's financial statements.

At December 31, 2004 and 2003, the Partnership owns 35.7% and38.8% 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 Managed Futures LLC, formerly SmithBarney Futures Management LLC, acts as the general partner (the"General Partner") of the Partnership and amanaging member of the Master. The Partnership's/Master'scommodity broker is Citigroup Global Markets Inc.("CGM"), formerly Salomon Smith Barney Inc.CGM is an affiliate of the General Partner. The General Partner iswholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly ownedsubsidiary of Citigroup Inc.("Citigroup").

The General Partner andeach limited partner share in the profits and losses of thePartnership, after the allocation to the Special Limited Partner (asdefined in Note 3b), in proportion to the amount of partnershipinterest owned by each except that no limited partner shall be liablefor obligations of the Partnership in excess of their initial capitalcontribution and profits, if any, net of distributions.

ThePartnership 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.  | Accounting Policies: |

|          |                                                                                                                                                                                                  |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | The value of the Partnership'sinvestment in the Master reflects the Partnership's proportionalinterest in the members' capital of the Master. All of theunrealized and realized gains and losses |

F-11

----

SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | from the commodity transactions of the Masterare allocated pro rata among the investors at the time of suchdetermination. All commodity interests (including derivative financialinstruments and derivative commodity instruments) held by the Masterare used for trading purposes. The commodity interests are recorded ontrade date and open contracts are recorded in the statements offinancial condition at fair value on the last business day of the year,which represents market value for those commodity interests for whichmarket quotations are readily available or other measures of fair valuedeemed 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 year.Realized gains (losses) and changes in unrealized gains (losses) onopen positions are recognized in the period in which the contract isclosed or the changes occur and are included in net gains (losses). |

|          |                                                                                                                                                         |
|----------|---------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | Income taxes have not been provided as eachpartner is individually liable for the taxes, if any, on their share ofthe 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, 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. |

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

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

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

The General Partner administers the business andaffairs of the Partnership including selecting one or more advisors tomake trading decisions for the Partnership. The Partnership will paythe General Partner a monthly administrative fee in return for itsservices equal to 1/12 of 0.50% (0.50% per year) ofmonth-end Net Assets of the Partnership. Month-end Net Assets, for thepurpose of calculating administrative fees are Net Assets, as definedin the Limited Partnership Agreement, prior to the reduction ofredemptions and incentive fees.

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

The General Partner, on behalf of thePartnership, has entered into a Management Agreement with the Advisor,a registered commodity trading advisor. Mr. A. Anthony Annunziato isthe president of the Advisor. He and the Advisor's other fourprincipals are also employees of CGM. The Partnership is obligated topay the Advisor a monthly management fee equal to 1/6 of 1%(2% per year) of month-end Net Assets allocated by the Master.Month-end Net Assets, for the purpose of calculating management feesare Net Assets, as defined in the Limited Partnership Agreement, priorto the reduction of redemptions and incentive fees.

Inaddition, the Advisor is a Special Limited Partner of the Partnershipand receives an annual profit share allocation to its capital accountin the Partnership equal to 20% of New Trading Profits, asdefined in the Management Agreement, earned on behalf of thePartnership during each calendar year in the form of Special LimitedPartner Units.

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

All brokerage commissions, exchange, clearing, user,give-up, and National Futures Association fees will be borne by theMaster and allocated to the Partnership through its investment in the

F-12

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SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

Master. CGM will pay a portion of brokeragefees to its financial consultants who have sold Redeemable Units inthis Partnership. The Partnership's assets not held at the Masterare held in the Partnership's account at CGM. ThePartnership's cash is deposited by CGM in segregated bankaccounts to the extent required by Commodity Futures Trading Commissionregulations. 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.

|          |                     |
|----------|---------------------|
| 4.  | Trading Activities: |

The results ofthe Master's trading activities are shown in the statements ofincome and expenses.

|          |                               |
|----------|-------------------------------|
| 5.  | Distributions andRedemptions: |

Distributions of profits, if any, will be made atthe sole discretion of the General Partner and at such times as theGeneral Partner may decide. Beginning with the first full month endingat least three months after the commencement of trading, a limitedpartner may require the Partnership to redeem their Redeemable Units atthe Net Asset Value as of the last day of a month on 10 days notice tothe General Partner. There is no fee charged to limited partners inconnection with redemptions.

|          |                |
|----------|----------------|
| 6.  | OfferingCosts: |

Offering costs of approximately $50,000 relating to theissuance of the Partnership's Redeemable Units offered wereinitially paid by CGM. These costs were reimbursed to CGM by thePartnership over the first 12 months (together with interest at theprime rate quoted by JPMorgan Chase & Co.).

For the yearsended December  31, 2004 and 2003, $0 and $40,426 of these costshave been reimbursed to CGM, by the Partnership. In addition, thePartnership has recorded interest expense of $0 and $669 for the yearsended December  31, 2004 and 2003, which is included in otherexpenses.

F-13

----

SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

|          |                      |
|----------|----------------------|
| 7.  | FinancialHighlights: |

Changes in the Net Asset Value per Redeemable Unitof Partnership interest for the years ended December  31, 2004and 2003 and the period from July  1, 2002 (commencement ofoperations) to December  31, 2002 were asfollows:

|                                                                                 |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|---------------------------------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                                            |  | 2004   |          | 2003    |  | 2002   |
| Netrealized and unrealized gains(losses)*                                       |  | $      | 392.92   |    |  | $      | (273.05  | )  |  | $      | 107.47   |    |
| Interestincome                                                                  |  |   | 10.02    |    |  |   | 7.42     |    |  |   | 6.55     |    |
| Expenses**                                                                      |  |   | (42.59   | )  |  |   | (23.64   | )  |  |   | (33.10   | )  |
| Increase(decrease) for theperiod                                                |  |   | 360.35   |    |  |   | (289.27  | )  |  |   | 80.92    |    |
| Netasset value per Redeemable Unit, beginning ofperiod                          |  |   | 789.39   |    |  |   | 1,078.66 |    |  |   | 1,000.00 |    |
| Offeringcostadjustment                                                          |  |   | —  |    |  |   | —  |    |  |   | (2.26    | )  |
| Netasset value per Redeemable Unit, end ofperiod                                |  |   | 1,149.74 |    |  |   | 789.39   |    |  |   | 1,078.66 |    |
| Redemption/subscriptionvalue per Unit versus net asset value per RedeemableUnit |  |   | —  |    |  |   | —  |    |  |   | 0.34     |    |
| Redemption/subscriptionvalue per Redeemable Unit, end ofperiod***               |  | $      | 1,149.74 |    |  | $      | 789.39   |    |  | $      | 1,079.00 |    |
|                                                                                 |

|  |
|--|
|  |  |
|  |

|         |                                                   |
|---------|---------------------------------------------------|
| *  | Includescommissions expense allocated from Master |

|          |                                                                                                                    |
|----------|--------------------------------------------------------------------------------------------------------------------|
| **  | Excludes commissions expenseallocated from Master and includes incentive fee allocation to speciallimited partner. |

|           |                                                                                                                                                                                            |
|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ***  | For thepurpose of a redemption/subscription, any remaining accrued liabilityfor reimbursement of offering costs will not reduceredemption/subscription net asset value per RedeemableUnit. |

|                                                       |  |        |        |          |  |        |         |          |  |        |      |          |  |  |
|-------------------------------------------------------|--|--------|--------|----------|--|--------|---------|----------|--|--------|------|----------|--|--|
|                                                  |  | 2004   |        | 2003     |  | 2002   |
| Ratiosto average net assets:                          |  |   |   |     |  |
| Netinvestment loss before incentive feeallocation**** |  |   | (5.3   | )%  |  |   | (7.0    | )%  |  |   | (5.4 | )%  |
| Operatingexpenses                                     |  |   | 6.3    | %   |  |   | 7.8     | %   |  |   | 6.0  | %   |
| Incentivefeeallocation                                |  |   | 1.7    | %   |  |   | — | %   |  |   | 2.0  | %   |
| Totalexpenses and incentive feeallocation             |  |   | 8.0    | %   |  |   | 7.8     | %   |  |   | 8.0  | %   |
|                                                  |  |   |   |     |  |
| Totalreturn:                                          |  |   |   |     |  |
| Total return beforeincentive feeallocation            |  |   | 47.8   | %   |  |   | (26.8   | )%  |  |   | 10.0 | %   |
| Incentivefeeallocation                                |  |   | (2.1   | )%  |  |   | — | %   |  |   | (1.9 | )%  |
| Totalreturn after incentive feeallocation             |  |   | 45.7   | %   |  |   | (26.8   | )%  |  |   | 8.1  | %   |
|                                                       |

|  |
|--|
|  |  |
|  |

|            |                                                                            |
|------------|----------------------------------------------------------------------------|
| ****  | Interestincome less total expenses (exclusive of incentive fee allocation) |

The above ratios may vary for individual investors based on thetiming of capital transactions during the year. Additionally, theseratios are calculated for the limited partner class using the limitedpartners' share of income, expenses and average net assets.

|          |                             |
|----------|-----------------------------|
| 8.  | Financial Instrument Risks: |

In thenormal course of business, the Partnership, through thePartnership's investment in the Master, is party to financialinstruments with off-balance sheet risk, including derivative financialinstruments and derivative commodity instruments. These financialinstruments may include forwards, futures, options 

F-14

----

SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

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 or with anotherfinancial instrument. These instruments may be traded on an exchange orover-the-counter ("OTC"). Exchange tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards and certain options. Each of these instruments issubject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract. The Master's swapcontracts are OTC contracts.

Market risk is the potential forchanges in the value of the financial instruments traded by the Masterdue to market changes, including interest and foreign exchange ratemovements and fluctuations in commodity or security prices. Market riskis directly 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 concentration riskbecause 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 effective procedures forevaluating and limiting the credit and market risks to which thePartnership/ Master is subject. These monitoring systems allow theGeneral Partner to statistically analyze actual trading results withrisk adjusted performance indicators and correlation statistics. Inaddition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions.

Themajority of these instruments mature within one year of December 31,2004. However, due to the nature of thePartnership's/Master's business, these instruments may notbe held to maturity.

F-15

----

Selectedunaudited quarterly financial data for the Partnership for the yearsended December 31, 2004 and December 31, 2003 is summarizedbelow:

|                                                                                                                     |  |                                                        |           |                                                       |  |                                                   |            |                                                      |  |        |           |        |  |   |           |        |  |        |
|---------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-----------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|--------|-----------|--------|--|---|-----------|--------|--|--------|
|                                                                                                                |  | Forthe period from October 1, 2004 to December 31,2004 |           | For the period from July 1, 2004 to September30, 2004 |  | For the period from April 1, 2004 to June30, 2004 |            | For the period from January 1, 2004 to March31, 2004 |  |   |
| Net realized and unrealizedtrading gains (losses) net of brokerage commissions and clearing feesplus interestincome |  | $                                                      | 8,838,422 |                                                  |  | $                                                 | 23,335,080 |                                                 |  | $      | 3,730,544 |   |  | $ | 8,197,683 |   |  |   |   |   |
| NetIncome(loss)                                                                                                     |  | $                                                      | 6,397,247 |                                                  |  | $                                                 | 22,351,623 |                                                 |  | $      | 3,092,705 |   |  | $ | 7,565,452 |   |  |   |   |   |
| Increase(decrease) in Net Asset Value perUnit                                                                       |  | $                                                      | 57.21     |                                                  |  | $                                                 | 209.37     |                                                 |  | $      | 27.97     |   |  | $ | 65.80     |   |  |   |   |   |
|                                                                                                                     |

|                                                                                                                     |  |                                                        |            |                                                       |  |                                                   |           |                                                      |  |        |            |        |  |   |             |         |  |        |
|---------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|-----------|------------------------------------------------------|--|--------|------------|--------|--|---|-------------|---------|--|--------|
|                                                                                                                |  | Forthe period from October 1, 2003 to December 31,2003 |            | For the period from July 1, 2003 to September30, 2003 |  | For the period from April 1, 2003 to June30, 2003 |           | For the period from January 1, 2003 to March31, 2003 |  |   |
| Net realized and unrealizedtrading gains (losses) net of brokerage commissions and clearing feesplus interestincome |  | $                                                      | (7,385,256 | )                                                |  | $                                                 | 2,099,664 |                                                 |  | $      | 17,563,353 |   |  | $ | (48,292,217 | )  |  |   |   |   |
| NetIncome(loss)                                                                                                     |  | $                                                      | (8,153,908 | )                                                |  | $                                                 | 1,342,880 |                                                 |  | $      | 16,871,566 |   |  | $ | (49,025,750 | )  |  |   |   |   |
| Increase(decrease) in Net Asset Value perUnit                                                                       |  | $                                                      | (65.83     | )                                                |  | $                                                 | 10.23     |                                                 |  | $      | 127.27     |   |  | $ | (360.94     | )  |  |   |   |   |
|                                                                                                                     |

F-16

----

To the Members ofSB AAA Master FundLLC

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

|  | /s/ D.R. McAuliffe,Jr. |
|--|------------------------|

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

|  | **Citigroup Managed Futures LLC**399Park Avenue7th FloorNew York, N.Y.10022212-559-2011 |
|--|-----------------------------------------------------------------------------------------|

F-17

----

Independent Auditors' Report

To the Members of    SB AAA Master Fund LLC:

We have audited the accompanying statements of financialcondition of SB AAA Master Fund LLC (the Company), including thecondensed schedules of investments, as of December  31, 2004 and2003, and the related statements of income and expenses, changes inmembers' capital, and cash flows for each of the years in thethree-year period ended December 31, 2004. These financial statementsare the responsibility of the Company's management. Ourresponsibility is to express an opinion on these financial statementsbased on our audits.

We conducted our audits inaccordance with generally accepted auditing standards as established bythe Auditing Standards Board (United States) and in accordance with theauditing standards of the Public Company Accounting Oversight Board(United States). Those standards require that we plan and perform theaudit to obtain reasonable assurance about whether the financialstatements are free of material misstatement. The Company is notrequired to have, nor were we engaged to perform, an audit of itsinternal control over financial reporting. Our audit includedconsideration of internal control over financial reporting as a basisfor designing audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on theeffectiveness of the Company's internal control over financialreporting. Accordingly, we express no such opinion. An audit includesexamining, on a test basis, evidence supporting the amounts anddisclosures 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 SB AAA Master Fund LLC as of December  31,2004 and 2003, and the results of its operations, changes in itsmembers' capital, and its cash flows for each of the years in thethree-year period ended December 31, 2004, in conformity withaccounting principles generally accepted in the United States ofAmerica.

/s/ KPMG LLPNew York, NewYorkMarch 14, 2005

F-18

----

SB AAAMaster Fund LLCStatements of Financial ConditionDecember 31,2004 and2003

|                                                                                                    |  |        |             |        |  |        |             |        |  |  |
|----------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                               |  | 2004   |             | 2003   |
| **Assets:**                                                                                        |  |
| Equityin commodity futures trading account:                                                        |  |
| Cash(restricted $29,327,275 and $48,471,997,respectively)                                          |  | $      | 302,866,457 |   |  | $      | 231,361,103 |   |
| Netunrealized appreciation on open futurespositions                                                |  |   | 33,027,068  |   |  |   | 8,845,539   |   |
| Unrealizedappreciation on open swapspositions                                                      |  |   | 93,606,729  |   |  |   | 50,093,912  |   |
| Commodityoptions owned, at fair value (cost $39,565,244 and $49,687,512,respectively)              |  |   | 51,017,766  |   |  |   | 42,630,230  |   |
|                                                                                               |  |   | 480,518,020 |   |  |   | 332,930,784 |   |
| Duefrombrokers                                                                                     |  |   | 2,425,135   |   |  |   | 2,148,690   |   |
| Interestreceivable                                                                                 |  |   | 459,835     |   |  |   | 159,050     |   |
|                                                                                               |  | $      | 483,402,990 |   |  | $      | 335,238,524 |   |
|                                                                                               |  |
| **Liabilitiesand Members'Capital:**                                                                |  |
| Liabilities:                                                                                       |  |
| Unrealizeddepreciation on open swappositions                                                       |  | $      | 89,659,294  |   |  | $      | 18,654,566  |   |
| Commodityoptions written, at fair value (premium received $54,943,984 and$47,549,852,respectively) |  |   | 52,353,395  |   |  |   | 57,804,597  |   |
| Accruedexpenses:                                                                                   |  |
| Commissions                                                                                        |  |   | 1,662,591   |   |  |   | 1,670,425   |   |
| Professionalfees                                                                                   |  |   | 2,000       |   |  |   | 59,625      |   |
| Due tobrokers                                                                                      |  |   | 2,753,610   |   |  |   | 1,815,015   |   |
| DuetoCGM                                                                                           |  |   | 22,978      |   |  |   | 22,978      |   |
| Distributionpayable                                                                                |  |   | 453,587     |   |  |   | 153,681     |   |
|                                                                                               |  |   | 146,907,455 |   |  |   | 80,180,887  |   |
| Members'Capital:                                                                                   |  |
| Members' Capital, 185,364.2361and 211,023.7320 Units outstanding in 2004 and 2003,respectively     |  |   | 336,495,535 |   |  |   | 255,057,637 |   |
|                                                                                               |  | $      | 483,402,990 |   |  | $      | 335,238,524 |   |
|                                                                                                    |

Seeaccompanying notes to financial statements.

F-19

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2004

|                              |  |                   |            |          |  |                                                    |  |        |             |         |  |  |  |  |
|------------------------------|--|-------------------|------------|----------|--|----------------------------------------------------|--|--------|-------------|---------|--|--|--|--|
| Sector                       |  | NumberofContracts |            | Contract |  | FairValue                                          |
| Energy                       |  |              |       |     |  |                                               |  |
|                         |  |              |       |     |  | Futurescontracts purchased0.37%                    |  | $      | 1,240,430   |    |
|                         |  |              |       |     |  | Futurescontracts sold9.45%                         |  |   |        |    |
|                         |  |              | 2,626      |     |  | NYMEXNatural Gas Feb. 05 – May 096.77%       |  |   | 22,776,795  |    |
|                         |  |              |       |     |  | Other2.68%                                         |  |   | 9,009,843   |    |
|                         |  |              |       |     |  |                                               |  |   | 31,786,638  |    |
|                         |  |              |       |     |  | Totalfutures contracts9.82%                        |  |   | 33,027,068  |    |
|                         |  |              |       |     |  |                                               |  |
|                         |  |              |       |     |  | Optionsowned15.16%                                 |  |   | 51,017,766  |    |
|                         |  |
|                         |  |              |       |     |  | Optionswritten (15.56)%                            |  |
|                         |  |              | 6,992      |     |  | NYMEXNatural Gas Feb. 05 – Jan 06(7.67)%     |  |   | (25,794,540 | )  |
|                         |  |              |       |     |  | Other(7.89)%                                       |  |   | (26,558,855 | )  |
|                         |  |              |       |     |  |                                               |  |   | (52,353,395 | )  |
|                         |  |
|                         |  |              |       |     |  | Unrealizedappreciation on Swaps contracts27.82%    |  |   |        |    |
|                         |  |              | 1,450      |     |  | GulfCoast Unleaded Gas Calendar 20066.50%          |  |   | 21,867,545  |    |
|                         |  |              | 1,080      |     |  | NYMEXUnleaded Gas Calendar 2005 6.98%              |  |   | 23,491,972  |    |
|                         |  |              |       |     |  | Other14.34%                                        |  |   | 48,247,212  |    |
|                         |  |              |       |     |  |                                               |  |   | 93,606,729  |    |
|                         |  |              |       |     |  | Unrealized depreciation on Swaps contracts(26.65)% |  |   |        |    |
|                         |  |              | 1,450      |     |  | GulfCoast Unleaded Gas Calendar 2006(5.60)%        |  |   | (18,846,201 | )  |
|                         |  |              | 820        |     |  | NYMEXUnleaded Gas Calendar 2005(6.29)%             |  |   | (21,159,503 | )  |
|                         |  |              |       |     |  | Other(14.76)%                                      |  |   | (49,653,590 | )  |
|                         |  |              |       |     |  |                                               |  |   | (89,659,294 | )  |
| TotalEnergy Fair Value10.59% |  | $                 | 35,638,874 |     |
|                              |

|                    |  |                          |            |                              |  |        |        |         |  |  |
|--------------------|--|--------------------------|------------|------------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investments atFair Value |            | % ofInvestments atFair Value |
| UnitedKingdom      |  | $                        | 1,752,837  |                         |  |   | 4.92   | %  |
| UnitedStates       |  |                     | 33,886,037 |                         |  |   | 95.08  |    |
|               |  | $                        | 35,638,874 |                         |  |   | 100.00 | %  |
|                    |

Percentagesare based on Members' Capital unless otherwise indicated.

See accompanying notes to financialstatements.

F-20

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2003

|                             |  |                   |        |          |            |                                                      |  |        |             |         |  |  |  |  |
|-----------------------------|--|-------------------|--------|----------|------------|------------------------------------------------------|--|--------|-------------|---------|--|--|--|--|
| Sector                      |  | NumberofContracts |        | Contract |            | FairValue                                            |
| Energy                      |  |              |   |     |            | Futurescontracts purchased5.35%                      |  | $      | 13,637,465  |    |
|                        |  |              |   |     |            | Futurescontracts sold(1.88)%                         |  |   | (4,791,926  | )  |
|                        |  |              |   |     |            | Totalfutures contracts3.47%                          |  |   | 8,845,539   |    |
|                        |  |              |   |     |            |                                                 |  |
|                        |  |              |   |     |            | Optionsowned 16.71%                                  |  |
|                        |  |              | 6,488  |     |            | NYMEXNatural Gas Put Feb. 04 – Oct 048.98%     |  |   | 22,900,060  |    |
|                        |  |              |   |     |            | Other7.73%                                           |  |   | 19,730,170  |    |
|                        |  |              |   |     |            |                                                 |  |   | 42,630,230  |    |
|                        |  |              |   |     |            | Optionswritten (22.66)%                              |  |
|                        |  |              | 7,335  |     |            | NYMEXNatural Gas Call Feb. 04 – Dec 04(16.04)% |  |   | (40,916,710 | )  |
|                        |  |              |   |     |            | Other(6.62)%                                         |  |   | (16,887,887 | )  |
|                        |  |              |   |     |            |                                                 |  |   | (57,804,597 | )  |
|                        |  |              |   |     |            | Unrealizedappreciation on Swaps contracts19.64%      |  |
|                        |  |              | 1,000  |     |            | HH Natural GasFeb 048.22%                            |  |   | 20,967,521  |    |
|                        |  |              |   |     |            | Other11.42%                                          |  |   | 29,126,391  |    |
|                        |  |              |   |     |            |                                                 |  |   | 50,093,912  |    |
|                        |  |              |   |     |            |                                                 |  |
|                        |  |              |   |     |            | Unrealizeddepreciation on Swaps contracts(7.31)%     |  |   | (18,654,566 | )  |
| TotalEnergy Fair Value9.85% |  |              |        | $        | 25,110,518 |                                                 |
|                             |

|                    |  |                          |            |                              |  |        |        |          |  |  |
|--------------------|--|--------------------------|------------|------------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investments atFair Value |            | % ofInvestments atFair Value |
| UnitedKingdom      |  | $                        | (113,943   | )                       |  |   | (0.45  | )%  |
| UnitedStates       |  |                     | 25,224,461 |                         |  |   | 100.45 |     |
|               |  | $                        | 25,110,518 |                         |  |   | 100.00 | %   |
|                    |

Percentagesare based on Members' Capital unless otherwise indicated.

See accompanying notes to financialstatements.

F-21

----

SB AAA Master Fund LLCStatements ofIncome and Expensesfor the years ended December 31, 2004, 2003 and2002

|                                                                                                   |  |        |             |        |  |        |             |         |  |        |             |        |  |  |
|---------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|---------|--|--------|-------------|--------|--|--|
|                                                                                              |  | 2004   |             | 2003   |  | 2002   |
| Income:                                                                                           |  |
| Netgains (losses) on trading of commodityinterests:                                               |  |
| Realized gains (losses) on closedpositions                                                        |  | $      | 98,726,739  |   |  | $      | (89,228,388 | )  |  | $      | 96,247,547  |   |
| Changein unrealized gains on openpositions                                                        |  |   | 28,044,756  |   |  |   | 12,929,224  |    |  |   | 7,940,877   |   |
|                                                                                              |  |   | 126,771,495 |   |  |   | (76,299,164 | )  |  |   | 104,188,424 |   |
| Interestincome                                                                                    |  |   | 3,078,611   |   |  |   | 2,459,477   |    |  |   | 3,255,591   |   |
|                                                                                              |  |   | 129,850,106 |   |  |   | (73,839,687 | )  |  |   | 107,444,015 |   |
|                                                                                              |  |
| Expenses:                                                                                         |  |
| Brokeragecommissions including clearing fees of $1,255,894, $2,041,075 and$2,515,609,respectively |  |   | 9,765,132   |   |  |   | 13,877,538  |    |  |   | 21,769,166  |   |
| Otherexpenses                                                                                     |  |   | 244,350     |   |  |   | 347,628     |    |  |   | 37,083      |   |
|                                                                                              |  |   | 10,009,482  |   |  |   | 14,225,166  |    |  |   | 21,806,249  |   |
| Netincome(loss)                                                                                   |  | $      | 119,840,624 |   |  | $      | (88,064,853 | )  |  | $      | 85,637,766  |   |
|                                                                                              |  |
| Netincome (loss) per Unit of Member Interest (Notes 1 and6)                                       |  | $      | 622.49      |   |  | $      | (400.99     | )  |  | $      | 525.84      |   |
|                                                                                                   |

Seeaccompanying notes to financial statements.

F-22

----

SB AAA Master Fund LLCStatements ofChanges in Members' Capitalfor the years ended December 31,2004, 2003 and2002

|                                                   |  |                 |             |         |  |  |
|---------------------------------------------------|--|-----------------|-------------|---------|--|--|
|                                              |  | Members'Capital |
| Members'Capital at December 31,2001               |  | $               | 152,214,723 |    |
| NetIncome                                         |  |            | 85,637,766  |    |
| Sale of 103,668.6762 Unitsof Member Interest      |  |            | 149,182,059 |    |
| Redemptionsof 24,734.5653 Units of MemberInterest |  |            | (33,598,368 | )  |
| Distribution ofInterest to feederfunds            |  |            | (3,152,727  | )  |
| 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  |    |
| Redemptions 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 |    |
|                                                   |

NetAsset Value PerUnit:

|        |  |                               |  |           |  |  |  |  |  |  |
|--------|--|-------------------------------|--|-----------|--|--|--|--|--|--|
|   |  | 2002:     |  | $1,620.49 |
|   |  | 2003:     |  | $1,208.66 |
|   |  | 2004:     |  | $1,815.32 |
|        |

Seeaccompanying notes to financialstatements.

F-23

----

SB AAA Master Fund LLCStatements ofCash Flowsfor the years ended December 31, 2004, 2003 and2002

|                                                                                                 |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                            |  | 2004   |             | 2003    |  | 2002   |
| Cashflows from operatingactivities:                                                             |  |   |        |    |  |   |        |    |  |
| Net income(loss)                                                                                |  | $      | 119,840,624 |    |  | $      | (88,064,853 | )  |  | $      | 85,637,766  |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |   |        |    |  |   |        |    |  |
| Changesin operating assets andliabilities:                                                      |  |   |        |    |  |   |        |    |  |
| (Increase)decrease in restrictedcash                                                            |  |   | 19,144,722  |    |  |   | 5,050,258   |    |  |   | (31,730,018 | )  |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions         |  |   | (24,181,529 | )  |  |   | 342,944     |    |  |   | (8,103,683  | )  |
| (Increase) decrease in net unrealized appreciation onopen swapscontracts                        |  |   | (43,512,817 | )  |  |   | (12,082,141 | )  |  |   | (35,645,646 | )  |
| (Increase)decrease in commodity options owned, at fairvalue                                     |  |   | (8,387,536  | )  |  |   | 40,621,872  |    |  |   | (81,116,402 | )  |
| (Increase) decrease in due frombrokers                                                          |  |   | (276,445    | )  |  |   | 10,447,102  |    |  |   | (12,113,857 | )  |
| (Increase) decrease in interestreceivable                                                       |  |   | (300,785    | )  |  |   | 124,570     |    |  |   | (280,709    | )  |
|                                                                                            |  |   |        |    |  |
| Increase (decrease) inunrealized depreciation on open swap contracts                            |  |   | 71,004,728  |    |  |   | (29,815,656 | )  |  |   | 45,497,787  |    |
| Increase(decrease) in commodity options written, at fairvalue                                   |  |   | (5,451,202  | )  |  |   | (9,920,180  | )  |  |   | 61,223,031  |    |
| Accruedexpenses:                                                                                |  |
| Increase (decrease) incommissions                                                               |  |   | (7,834      | )  |  |   | (3,539,742  | )  |  |   | 4,948,450   |    |
| Increase(decrease) in professionalfees                                                          |  |   | (57,625     | )  |  |   | 39,508      |    |  |   | (17,883     | )  |
| Increase (decrease) in due tobrokers                                                            |  |   | 938,595     |    |  |   | 273,792     |    |  |   | 634,373     |    |
| Increase (decrease) in distributionpayable                                                      |  |   | 299,906     |    |  |   | (123,227    | )  |  |   | 276,908     |    |
| Net cashprovided by (used in) operatingactivities                                               |  |   | 129,052,802 |    |  |   | (86,645,753 | )  |  |   | 29,210,117  |    |
|                                                                                            |  |   |        |    |  |
| Cashflows from financingactivities:                                                             |  |   |        |    |  |   |        |    |  |
| Proceeds fromadditions                                                                          |  |   | 32,767,686  |    |  |   | 54,393,460  |    |  |   | 149,182,059 |    |
| Paymentsfor redemptions                                                                         |  |   | (68,133,449 | )  |  |   | (59,184,213 | )  |  |   | (33,598,368 | )  |
| Distributionof interest to feederfunds                                                          |  |   | (3,036,963  | )  |  |   | (2,370,210  | )  |  |   | (3,152,727  | )  |
|                                                                                            |  |   |        |    |  |
| Netcash provided by (used in) financingactivities                                               |  |   | (38,402,726 | )  |  |   | (7,160,963  | )  |  |   | 112,430,964 |    |
|                                                                                            |  |   |        |    |  |
| Netchange in cash                                                                               |  |   | 90,650,076  |    |  |   | (93,806,716 | )  |  |   | 141,641,081 |    |
| Unrestrictedcash, at beginning ofyear                                                           |  |   | 182,889,106 |    |  |   | 276,695,822 |    |  |   | 135,054,741 |    |
| Unrestricted cash, at end ofyear                                                                |  | $      | 273,539,182 |    |  | $      | 182,889,106 |    |  | $      | 276,695,822 |    |
|                                                                                                 |

F-24

----

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 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. The Master wasformed to permit commodity pools managed now or in the future by AAACapital Management, Inc. (the "Advisor")using the Energy with Swaps Program, the Advisor's proprietarytrading program, to invest together in one vehicle.

The Masteroperates under a "master/feeder fund"structure where its investors consist of AAA, AAA II, Orion andPinnacle Natural Resources, LP (each a"Member", collectively the"Feeder Funds") with 46.6%,35.7%, 13.7% and 4.0% investments in the Master atDecember 31, 2004, respectively.

Citigroup Managed Futures LLC,formerly Smith Barney Futures Management LLC, acts as the managingmember (the "Managing Member") of the Master.The Master's commodity broker is Citigroup Global Markets Inc.("CGM"), formerly Salomon Smith Barney Inc.CGM is an affiliate of the Managing Member. The Managing Member iswholly-owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly-ownedsubsidiary of Citigroup Inc. All trading decisions for the Master aremade by the Advisor.

2.    Accounting Policies:

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|----------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | All commodity interests (including derivativefinancial instruments and derivative commodity instruments) are usedfor trading purposes. The commodity interests are recorded on tradedate and open contracts are recorded in the statements of financialcondition at fair value on the last business day of the year, whichrepresents market value for those commodity interests for which marketquotations are readily available or other measures of fair value deemedappropriate by management of the Managing Member for those commodityinterests and foreign currencies for which market quotations are notreadily available, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the year. Realized gains(losses) and changes in unrealized gains (losses) on open positions arerecognized in the period in which the contract is closed or the changesoccur and are included in net gains (losses) on trading of commodityinterests. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | The Master may purchase andwrite (sell) options. An option is a contract allowing, but notrequiring, 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. |

F-25

----

SBAAA Master Fund LLCNotes to FinancialStatements

|          |                                                                                                                                                                                                                                  |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| c.  | All of the incomeand expenses and realized and unrealized gains and losses on trading ofcommodity interests are determined on each valuation day and allocatedpro rata among the Feeder Funds at the time of such determination. |

|          |                                                                                                                                                                                              |
|----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| d.  | Income taxes have not been provided as eachpartner of each of the members (the Feeder Funds) is individuallyliable for the taxes, if any, on their share of the Master'sincome and expenses. |

|          |                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| e.  | The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America requires management to makeestimates and assumptions that affect the reported amounts of assetsand liabilities, and disclosure of contingent assets and liabilities atthe date of the financial statements and the reported amounts ofrevenues and expenses during the reporting period. Actual results coulddiffer from these estimates. |

|          |                                                                                            |
|----------|--------------------------------------------------------------------------------------------|
| f.  | Certain priorperiod amounts 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 Feeder 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 Feeder Funds. All of the Master'scash is deposited by CGM in segregated bank accounts, to the extentrequired by Commodity Futures Trading Commission regulations. AtDecember 31, 2004 and 2003, the amount of cash held by the Master formargin requirements was $29,327,275 and $48,471,997, respectively. TheCustomer Agreement between the Master and CGM gives the Master thelegal right to net unrealized gains and losses. The Customer Agreementmay be terminated by either party. All commissions in connection withthe Customer Agreement shall be borne by the Feeder Funds.

4.    Trading Activities:

The Master was formed for thepurpose of trading contracts in a variety of commodity interests,including derivative financial instruments and derivative commodityinstruments. The results of the Master's trading activities areshown in the statements of income and expenses.

All of thecommodity interests owned by the Master are held for trading purposes.The average fair values for the years ended December 31, 2004 and 2003based on a monthly calculation, were $37,750,006 

F-26

----

SBAAA Master Fund LLCNotes to FinancialStatements

and $39,703,607, respectively. The fairvalues of these commodity interests, including options thereon, ifapplicable, at December 31, 2004 and 2003 were $35,638,874 and$25,110,518, respectively.

5.    Distributions andRedemptions:

Distributions of profits, if any, will be made atthe sole discretion of the Managing Member and at such time as theManaging Member may decide. A member may require the Master to redeemtheir Units at their Net Asset Value as of the last day of the month.The Managing Member, at its sole discretion, may permit redemptionsmore frequently 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, 2004, 2003 and 2002 were asfollows:

|                                                               |  |        |          |          |  |        |          |          |  |        |          |          |  |  |
|---------------------------------------------------------------|--|--------|----------|----------|--|--------|----------|----------|--|--------|----------|----------|--|--|
|                                                          |  | 2004   |          | 2003     |  | 2002   |
| Netrealized and unrealized gains(losses)*                     |  | $      | 607.73   |     |  | $      | (410.62  | )   |  | $      | 510.93   |     |
| Interestincome                                                |  |   | 16.06    |     |  |   | 11.23    |     |  |   | 15.13    |     |
| Expenses**                                                    |  |   | (1.30    | )   |  |   | (1.60    | )   |  |   | (0.22    | )   |
| Increase(decrease) foryear                                    |  |   | 622.49   |     |  |   | (400.99  | )   |  |   | 525.84   |     |
| Distributions                                                 |  |   | (15.83   | )   |  |   | (10.84   | )   |  |   | (14.59   | )   |
| Netasset value per Unit, beginning ofyear                     |  |   | 1,208.66 |     |  |   | 1,620.49 |     |  |   | 1,109.24 |     |
| Netasset value per Unit, end ofyear                           |  | $      | 1,815.32 |     |  | $      | 1,208.66 |     |  | $      | 1,620.49 |     |
| *  Includes brokerage commissions                   |  |
| ** Excludesbrokeragecommissions                               |  |   |     |     |  |   |     |     |  |
| Ratioto average net assets:                                   |  |   |     |     |  |   |     |     |  |
| Netinvestmentloss***                                          |  |   | (2.4     | )%  |  |   | (4.1     | )%  |  |   | (8.9     | )%  |
| Operatingexpenses                                             |  |   | 3.5      | %   |  |   | 5.0      | %   |  |   | 9.0      | %   |
| Totalreturn                                                   |  |   | 51.5     | %   |  |   | (24.7    | )%  |  |   | 47.4     | %   |
| ***    Interestincome less total expenses |  |
|                                                               |

The aboveratios may vary for individual investors based on the timing of capitaltransactions during the year.

7.    Financial InstrumentRisks:

In the normal course of its business, the Master isparty to financial instruments with off-balance sheet risk, includingderivative financial instruments and derivative commodity instruments.These financial instruments may include forwards, futures and options,whose values are based upon an underlying asset, index, or referencerate, and generally represent future commitments to exchange currenciesor cash flows, to purchase or sell other financial instruments atspecific terms at specified future dates, or, in the case of derivativecommodity instruments, to have a reasonable possibility to be settledin cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter ("OTC"). Exchange tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards and certain options. Each of these instruments issubject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

F-27

----

SBAAA Master Fund LLCNotes to FinancialStatements

Market risk is the potential for changesin the 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 Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized inthe statements of financial condition and not represented by thecontract or notional amounts of the instruments. The Master hasconcentration risk because a significant counterparty or broker withrespect to the Master's assets is CGM. As of December 31, 2004,the counterparties to the Master's swap contracts were Citibank,N.A., which is affiliated with the Master, Morgan Stanley Capital GroupInc., J.  Aron & Company, Hess Trading Company, LLC and BPCorporation North America, Inc.

The Managing Member monitors andcontrols the Master's risk exposure on a daily basis throughfinancial, credit and risk management monitoring systems and,accordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Master issubject. These monitoring systems allow the Managing Member 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, 2004. However, dueto the nature of the Master's business, these instruments may notbe held to maturity.

F-28

----

Selectedunaudited quarterly financial data for the Master for the years endedDecember 31, 2004 and December 31, 2003 is summarizedbelow:

|                                                                                                                      |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |   |            |        |  |   |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|------------|--------|--|---|------------|--------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2004 to December 31,2004 |            | For the period from July 1, 2004 to September30, 2004 |  | For the period from April 1, 2004 to June30, 2004 |            | For the period from January 1, 2004 to March31, 2004 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 23,925,828 |                                                  |  | $                                                 | 64,277,686 |                                                 |  | $ | 10,197,155 |   |  | $ | 21,684,305 |   |
| NetIncome(loss)                                                                                                      |  | $                                                      | 23,724,769 |                                                  |  | $                                                 | 64,261,824 |                                                 |  | $ | 10,181,466 |   |  | $ | 21,672,565 |   |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | 122.43     |                                                  |  | $                                                 | 338.61     |                                                 |  | $ | 52.27      |   |  | $ | 109.18     |   |
|                                                                                                                      |

|                                                                                                                      |  |                                                        |             |                                                       |  |                                                   |           |                                                      |  |   |            |        |  |   |              |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-------------|-------------------------------------------------------|--|---------------------------------------------------|-----------|------------------------------------------------------|--|---|------------|--------|--|---|--------------|---------|--|--|
|                                                                                                                 |  | Forthe period from October 1, 2003 to December 31,2003 |             | For the period from July 1, 2003 to September30, 2003 |  | For the period from April 1, 2003 to June30, 2003 |           | For the period from January 1, 2003 to March31, 2003 |
| Net realized and unrealized trading gains(losses) net of brokerage commissions and clearing fees plus interestincome |  | $                                                      | (19,076,349 | )                                                |  | $                                                 | 5,417,949 |                                                 |  | $ | 43,551,945 |   |  | $ | (117,610,770 | )  |
| NetIncome(loss)                                                                                                      |  | $                                                      | (19,209,758 | )                                                |  | $                                                 | 5,222,221 |                                                 |  | $ | 43,542,648 |   |  | $ | (117,619,964 | )  |
| Increase(decrease) in Net Asset Value perUnit                                                                        |  | $                                                      | (91.62      | )                                                |  | $                                                 | 24.17     |                                                 |  | $ | 196.92     |   |  | $ | (530.46      | )  |
|                                                                                                                      |

F-29

----

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 or inother factors that could significantly affect such controls subsequentto the date of their evaluation.

Management's report oninternal control over financial reporting and KPMG LLP's relatedopinion are included in the Partnership's annual financialstatements under "Item 8. Financial Statements andSupplementary Data."

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.

The Partnership has not adopted a code ofethics that applies to officers because it has no officers.

Item 11.    Executive Compensation.

ThePartnership has no directors or officers. Its affairs are managed byCitigroup Managed Futures LLC, its General Partner, which receivescompensation for its services, as set forth under "Item 1.Business." CGM, an affiliate of the GeneralPartner, is the commodity broker for the Partnership and receivesbrokerage commissions for such services, as described under"Item 1. Business." During the yearended December 31, 2004, CGM earned $3,604,382 in brokerage commissionsand clearing fees from the Partnership and through thePartnership's investment in the Master. The Advisor earned$2,154,945 in management fees during 2004. The General Partner earned$538,736 in administrative fees during 2004.

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.

20

----

(b)    Security ownership ofmanagement. Under the terms of the Limited Partnership Agreement,the Partnership's affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 2,501.2826 (2.5%) Units of Limited Partnership Interest as ofDecember 31, 2004.

|                                                         |  |                          |  |  |  |  |
|---------------------------------------------------------|--|--------------------------|--|--|--|--|
| Principalswho own Redeemable Units of the Partnership:* |
| David J. Vogel                                          |  | 20.0000Redeemable Units  |
| MaureenO'Toole                                          |  | 23.4030 Redeemable Units |
| Steve Keltz                                             |  | 24.1187 RedeemableUnits  |
|                                                         |

|  |
|--|
|  |  |
|  |

|   |                                                                                       |
|---|---------------------------------------------------------------------------------------|
| * | No one principal ownsmore than 1% of Redeemable Units of Limited PartnershipInterest. |

(c)    Changes in control. None.

Item 13.    Certain Relationships and RelatedTransactions.

Citigroup Global Markets and CitigroupManaged Futures LLC would be considered promoters for purposes of item404(d) of Regulation S-K. The nature and the amounts of compensationeach promoter will receive from the Partnership are set forth under"Item 1. Business.","Item 8. Financial Statements and SupplementaryData." and "Item 11. ExecutiveCompensation."

Item 14.    PrincipalAccountant Fees and Services

(1)    Audit Fees.The aggregate fees billed for each of the last two fiscal years forprofessional services rendered by KPMG LLP for the audit of thePartnership's annual financial statements, review of financialstatements included in the Partnership's Forms 10-Q and 10-K andother services normally provided in connection with regulatory filingsor engagements are as follows:

2004            $44,560

2003            $29,494

(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:

2004            $5,136

2003            $4,809

(4)    AllOther Fees. None.

(5)    Not Applicable.

(6)    Not Applicable.

21

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PART IV

Item15.    Exhibits, Financial Statement Schedules, and Reports onForm 8-K.

|               |                                                                                      |
|---------------|--------------------------------------------------------------------------------------|
| (a) (1)  | FinancialStatements: Statements of Financial Condition at December 31, 2004 and2003. |

|        |                                                                                                                                                                       |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | Statements of Income and Expenses forthe years ended December 31, 2004 and 2003 and the period July 1, 2002(commencement of trading operations) to December 31, 2002. |

|        |                                                                                                                                                                              |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | Statements of Changes in Partners' Capitalfor the years ended December 31, 2004 and 2003 and the period March 25,2002 (date Partnership was organized) to December 31, 2002. |

|        |                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | Statements of Cash Flows for the years endedDecember 31, 2004 and 2003 and for the period March 25, 2002 (datePartnership was organized) to December 31, 2002. |

|        |                               |
|--------|-------------------------------|
|   | Notes to Financial Statements |

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

|        |                                                           |
|--------|-----------------------------------------------------------|
|   | 3.1 Certificate of Limited Partnership(previously filed). |

|        |                                                      |
|--------|------------------------------------------------------|
|   | 3.2 Limited PartnershipAgreement (previously filed). |

|        |                                                                                                                               |
|--------|-------------------------------------------------------------------------------------------------------------------------------|
|   | 10.1 –Advisory Agreement among the Partnership, the General Partner and AAACapital Management, Inc. (previously filed). |

|        |                                                                                                                                                          |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.2 – Customer Agreement between thePartnership, Salomon Smith Barney Inc. (the predecessor to CGM) and theMaster Partnership (previously filed). |

|        |                                                                                                                                         |
|--------|-----------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.3– Customer Agreement between the Master Partnership and SalomonSmith Barney Inc. (the predecessor to CGM) (previously filed). |

|        |                                                                                                                                                               |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.4 – Agency Agreement between thePartnership, Citigroup Managed Futures LLC and Salomon Smith BarneyInc. (the predecessor to CGM) (previously filed). |

|        |                                                                |
|--------|----------------------------------------------------------------|
|   | 10.5 – Form of Subscription Agreement(previously filed). |

|        |                                                                                                                                      |
|--------|--------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.6 – Letter fromGeneral Partner to AAA Capital Management, Inc. extending the AdvisoryAgreement for 2003 (previously filed). |

|        |                                                                                                                                  |
|--------|----------------------------------------------------------------------------------------------------------------------------------|
|   | 10.7– Letter from General Partner to AAA Capital Management, Inc.extending the Advisory Agreement for 2004 (filed herein). |

|        |                                                                        |
|--------|------------------------------------------------------------------------|
|   | 16.1 – Letter from PricewaterhouseCoopersLLP (previously filed). |

|        |                                                                                                      |
|--------|------------------------------------------------------------------------------------------------------|
|   | The exhibitsrequired to be filed by Item 601 of Regulations S-K are incorporatedherein by reference. |

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

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

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

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

|           |                                |
|-----------|--------------------------------|
| (b)  | Report on Form 8-K: NoneFiled. |

22

----

Supplemental Information To Be FurnishedWith Reports Filed Pursuant To Section 15(d) Of The Act by RegistrantsWhich Have Not Registered Securities Pursuant To Section 12 Of theAct.

Annual Report to Limited Partners

No proxymaterial has been sent to LimitedPartners.

23

----

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 15th day of March2005.

Salomon Smith Barney AAA Energy FuturesPartnership L.P. II

By:    /s/ CitigroupManaged 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 thedateindicated.

|                              |  |                       |  |  |  |  |
|------------------------------|--|-----------------------|--|--|--|--|
| /s/ David J. Vogel           |  | /s/ ShelleyUllman     |
| David J. Vogel               |  | ShelleyUllman         |
| Director, PrincipalExecutive |  | Director              |
| Officer andPresident         |  |                  |
| /s/Maureen O'Toole           |  | /s/ Steve J.Keltz     |
| Maureen O'Toole              |  | Steve J.Keltz         |
| Director                     |  | Secretary andDirector |
| /s/ Daniel R.McAuliffe, Jr.  |  |                  |
| Daniel R. McAuliffe,Jr.      |  |                  |
| Chief Financial Officerand   |  |                  |
| Director                     |  |                  |
|                              |

24

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