UNITED STATES

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                                    FORM 10-K

                  Annual Report Pursuant to Section 13 or 15(d)

                     of the Securities Exchange Act of 1934

                   For the fiscal year ended December 31, 2003

Commission File Number 0-50272

                  SALOMON SMITH BARNEY AAA ENERGY FUND L.P. II
             (Exact name of registrant as specified in its charter)

            New York                                   03-0407557
   (State or other jurisdiction of                   (I.R.S. Employer
    incorporation or organization)                   Identification No.)

                        c/o Citigroup Managed Futures LLC
                           399 Park Avenue. - 7th Fl.
                            New York, New York 10022
              (Address and Zip Code of principal executive offices)

                                 (212) 559-2011
              (Registrant's telephone number, including area code)

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

Securities registered pursuant to Section 12(g) of the Act: Redeemable Units of
                                                            Limited Partnership
                                                            Interest
                                                            (Title of Class)

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

                                                     Yes X    No
                                                        ---
Indicate by check mark if disclosure of delinquent  filers  pursuant to Item 405
of Regulation  S-K is not contained  herein,  and will not be contained,  to the
best of registrant's  knowledge,  in definitive proxy or information  statements
incorporated by reference in Part III of this Form 10-K or any amendment to this
form 10-K [X]

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

                                                     Yes X    No
                                                        ---
Limited  Partnership  Redeemable  Units with an aggregate  value of $110,761,964
were outstanding and held by  non-affiliates  as of the last business day of the
registrant's most recently completed second fiscal quarter.



As of February 29, 2004,  112,077.0085 Limited Partnership Redeemable Units were
outstanding.

                       DOCUMENTS INCORPORATED BY REFERENCE



                                      None
<PAGE>




                                     PART I

Item 1.  Business.

     (a) General  development of business.  Salomon Smith Barney AAA Energy Fund
L.P. II (the "Partnership") is a limited partnership  organized on March 2, 2002
under  the  partnership  laws of the  State of New York to  engage  directly  or
indirectly  in the  speculative  trading of  diversified  portfolio of commodity
interests, including commodity options and commodity futures contracts on United
States  exchanges  and certain  foreign  exchanges.  The  Partnership  may trade
commodity futures and options contracts of any kind, but currently trades solely
energy and energy related products. In addition,  the Partnership may enter into
swap contracts on energy related  products.  The Partnership has invested all of
its assets in SB AAA Master Fund LLC, a New York Limited  Liability Company (the
"Master").  The commodity  interests  that are traded by the Master are volatile
and involve a high degree of market risk. A total of 150,000 redeemable units of
Limited Partnership  Interest in the Partnership  ("Redeemable Units") have been
offered to the public.  During the initial offering period (May 31, 2002 through
July 1, 2002) the  Partnership  sold 93,975  Redeemable  Units.  The Partnership
commenced  trading on July 1, 2002.  No  securities  which  represent  an equity
interest or any other  interest in the  Partnership  trade on any public market.
Sales and redemptions of Redeemable Units and general partner  contributions and
redemptions  for the years ended  December 31, 2003 and 2002 are reported in the
Statement of Partners'  Capital on page F-7 under "Item 8. Financial  Statements
and Supplementary Data."

     The  Partnership  will  be  liquidated  upon  the  first  to  occur  of the
following:  December 31, 2018; if the net asset value per Redeemable  Unit falls
below $400 per  Redeemable  Unit as of the close of business on any business day
or upon the earlier  occurrence of certain other  circumstances set forth in the
Limited  Partnership  Agreement of the  Partnership  (the  "Limited  Partnership
Agreement").

     Effective July 1, 2002, the Partnership allocated all of its capital to the
Master.  With this cash,  the  Partnership  purchased  64,945.0387  Units of the
Master  with a fair  value of  $94,925,000.  The  Master  was formed in order to
permit  commodity pools managed now or in the future by AAA Capital  Management,
Inc. ("AAA") (the "Advisor") using the Energy with Swaps Program,  the Advisor's
proprietary  trading  program,  to  invest  together  in  one  trading  vehicle.
Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management LLC,
acts as the general  partner (the "General  Partner") of the Partnership and the
managing member (the "Managing Member") of the Master. In addition,  the Advisor
is a Special  Limited  Partner  of the  Partnership,  an  employee  of CGM and a
related party.  Individual and pooled accounts currently managed by the Advisor,
including the Partnership  (collectively,  the "Feeder Funds"), are permitted to
be  non-managing  members of the  Master.  The  General  Partner and the Advisor
believe  that  trading  through  this  master/feeder  structure  should  promote
efficiency and economy in the trading process. Expenses to investors as a result
of the investment in the Master are approximately the same and redemption rights
are not affected.

     At  December  31,  2003 and 2002,  the  Partnership  owns  38.8% and 37.2%,
respectively,  of the Master. It is the  Partnership's  intention to continue to
invest  substantially  all of its assets in the Master.  The  performance of the
Partnership is directly affected by the performance of the Master.

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<PAGE>

     Citigroup  Global  Markets Inc.  ("CGM"),  formerly  known as Salomon Smith
Barney Inc., acts as the  Partnership's  and the Master Fund's commodity broker.
CGM is an affiliate of the General Partner.  The General Partner is wholly owned
by  Citigroup  Global  Markets  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's  trading of  futures,  forwards  and  options  contracts,  if
applicable,  on  commodities  is done  primarily  on United  States  of  America
commodity exchanges and foreign commodity exchanges.  It engages in such trading
through a commodity brokerage account maintained with CGM.

     Under the  Limited  Partnership  Agreement,  the  General  Partner has sole
responsibility  for  the  administration  of the  business  and  affairs  of the
Partnership,  but  may  delegate  trading  discretion  to  one or  more  trading
advisors.  The Partnership will pay the General Partner a monthly administrative
fee in  return  for its  services  equal to 1/12 of 0.50%  (0.50%  per  year) of
month-end Net Assets of the Partnership.  Month-end Net Assets,  for the purpose
of calculating  administrative  fees, are Net Assets,  as defined in the Limited
Partnership Agreement, prior to the reduction of redemptions and incentive fees.

     The  General   Partner  has  entered  into  a  management   agreement  (the
"Management  Agreement")  with the Advisor who will make all  commodity  trading
decisions for the Partnership.  Mr. A. Anthony Annunziato is an employee of CGM.
The  Advisor  is not  responsible  for  the  organization  or  operation  of the
Partnership.

     The Partnership will pay the Advisor a monthly  management fee equal to 1/6
of 1% (2% per  year) of the  adjusted  month-end  Net  Assets  allocated  by the
Master.  Month-end Net Assets,  for the purpose of calculating  management fees,
are Net Assets, as defined in the Limited  Partnership  Agreement,  prior to the
reduction of  redemptions  and  incentive  fees.  In addition,  the Advisor is a
Special  Limited  Partner of the Partnership and receives an annual profit share
allocation to its capital account in the Partnership equal to 20% of New Trading
Profits  (as  defined  in the  Management  Agreement)  earned  on  behalf of the
Partnership  during each  calendar year in the form of Special  Limited  Partner
Units.

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

     (b)  Financial  information  about  industry  segments.  The  Partnership's
business  consists  of  only  one  segment,  speculative  trading  of  commodity
interests. The  Partnership does not engage in  sales of goods or services. The

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<PAGE>


Partnership's  net income from  operations  for the year ended December 31, 2003
and the  period  from July 1,  2002  (commencement  of  trading  operations)  to
December  31, 2002 are set forth under "Item 6.  Selected  Financial  Data." The
Partnership's capital as of December 31, 2003, was $96,602,912.

     (c) Narrative description of business.

         See Paragraphs (a) and (b) above.

         (i) through (xii) - Not applicable.

         (xiii) - The Partnership has no employees.

     (d) Financial  Information About Geographic Areas. The Partnership does not
engage in sales of goods or services or own any long lived assets, and therefore
this item is not applicable.

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

Item 2.  Properties.

     The Partnership  does not own or lease any properties.  The General Partner
operates out of facilities provided by its affiliate, CGM.

Item 3.  Legal Proceedings

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

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

     There  have been no  material  administrative,  civil or  criminal  actions
within the past five years against  Citigroup Global Markets  (formerly known as
Salomon Smith Barney) or any of its  individual  principals  and no such actions
are currently pending, except as follows.

     In December  1996, a complaint  seeking  unspecified  monetary  damages was
filed by Orange County,  California against numerous brokerage firms,  including
Salomon Smith Barney,  in the U.S.  Bankruptcy Court for the Central District of
California.  (County  of Orange et al. v. Bear  Stearns & Co.  Inc.  et al.) The
complaint alleged,  among other things, that the brokerage firms recommended and
sold  unsuitable  securities  to Orange  County.  Salomon  Smith  Barney and the
remaining  brokerage firms settled with Orange County in mid 1999. Salomon Smith
Barney paid $1,333,333 to settle this matter.

                                       4
<PAGE>

     In June  1998,  complaints  were filed in the U.S.  District  Court for the
Eastern District of Louisiana in two actions (Board of  Liquidations,  City Debt
of the City of New  Orleans v. Smith  Barney  Inc.  et ano.  and The City of New
Orleans v. Smith Barney Inc. et ano.), in which the City of New Orleans sought a
determination   that  Smith  Barney  Inc.  and  another   underwriter  would  be
responsible  for any damages  that the City may incur in the event the  Internal
Revenue  Service  ("IRS")  denies  tax  exempt  status  to  the  City's  General
Obligation  Refunding  Bonds  Series  1991.  The  complaints  were  subsequently
amended.  Salomon  Smith  Barney  has  asked the court to  dismiss  the  amended
complaints.  The court denied the motion but stayed the case. Subsequently,  the
City withdrew its lawsuit.

     In November 1998, a class action  complaint was filed in the U.S.  District
Court for the Middle  District  of Florida  (Dwight  Brock as Clerk for  Collier
County v. Merrill  Lynch,  et al.).  The complaint  alleged that,  pursuant to a
nationwide  conspiracy,  17 broker-dealer  defendants,  including  Salomon Smith
Barney,  charged  excessive  mark-ups  in  connection  with  advanced  refunding
transactions.  Among other relief,  plaintiffs sought  compensatory and punitive
damages,  restitution  and/or rescission of the transactions and disgorgement of
alleged  excessive  profits.  In October  1999,  the  plaintiffs  filed a second
amended  complaint.  In November 1999, Salomon Smith Barney moved to dismiss the
amended complaint.  In May 2001, the parties reached and the court preliminarily
approved a tentative settlement.  Salomon Smith Barney paid $1,063,457 to settle
this matter and in September 2001, the court approved the settlement.

     In connection with the Louisiana and Florida  matters,  the IRS and the SEC
conducted an industry-wide investigation into the pricing of Treasury securities
in advanced  refunding  transactions.  In April 2000,  Salomon  Smith Barney and
several other broker-dealers entered into a settlement with the IRS and the SEC.
Thereafter, the plaintiffs filed voluntary discontinuances.

     In December  1998,  Salomon  Smith Barney was one of 28 market making firms
that  reached a  settlement  with the SEC in the matter  titled In the Matter of
Certain  Market Making  Activities on NASDAQ.  As part of the settlement of that
matter,   Salomon  Smith  Barney,  without  admitting  or  denying  the  factual
allegations, agreed to an order that required that it: (i) cease and desist from
committing  or  causing  any  violations  of  Sections  15(c)(1)  and (2) of the
Securities  Exchange  Act of  1934  and  SEC  Rules  15c1-2,  15c2-7  and  17a-3
thereunder,  (ii) pay penalties totaling approximately $760,000 and (iii) submit
certain policies and procedures to an independent consultant for review.


     In April 2002,  numerous class action complaints were filed against Salomon
Smith  Barney  and other  investment  banks in the U.S.  District  Court for the
Southern District of New York alleging  violations of certain federal securities
laws  (including  Section 11 of the  Securities Act of 1933 and Section 10(b) of
the  Securities  Exchange Act of 1934) with respect to the  allocation of shares
for certain initial public  offerings and related  aftermarket  transactions and
damage to investors  caused by allegedly  biased research  analyst  reports.  On
February 19, 2003, the court issued an opinion denying the defendants' motion to
dismiss the complaints.

     In April 2002,  Citigroup and, in one case, Salomon Smith Barney were named
as defendants  along with, among others,  commercial  and/or  investment  banks,
certain current and former Enron officers and directors, lawyers and accountants
in two alleged  consolidated class action complaints that were filed in the U.S.
District Court for the Southern District of Texas seeking  unspecified  damages.

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<PAGE>

One action,  brought on behalf of  individuals  who purchased  Enron  securities
(Newby, et al. v. Enron Corp., et al.), alleges violations of Sections 11 and 15
of the  Securities  Act of 1933 and Sections  10(b) and 20(a) of the  Securities
Exchange  Act of 1934 and the other  action,  brought on behalf of  current  and
former  Enron  employees  (Tittle,  et al.  v.  Enron  Corp.,  et al.),  alleges
violations of ERISA and the Racketeer Influenced and Corrupt  Organizations Act,
as well as  negligence  and civil  conspiracy.  On May 8,  2002,  Citigroup  and
Salomon  Smith Barney filed motions to dismiss the  complaints.  On December 19,
2002, the motions to dismiss the Newby  complaint were denied.  On September 30,
2003,  all  of the  claims  against  Citigroup  in the  Tittle  litigation  were
dismissed.

     Several additional actions,  previously identified,  have been consolidated
with the Newby action and are stayed,  except with respect to certain discovery,
until after the Court's decision on class certification.  In addition,  on April
17,  2003,  an action was brought by two  investment  firms in  connection  with
purchases  of Osprey  Trust  certificates  for  alleged  violations  of  federal
securities  laws and state  securities  and other laws.  Also,  in July 2003, an
action was  brought by  purchasers  in the  secondary  market of Enron bank debt
against  Citigroup,  Citibank,  Citigroup Global Markets,  and others,  alleging
claims for common law fraud, conspiracy, gross negligence, negligence and breach
of fiduciary duty.

     Since April 2002,  Salomon  Smith Barney and several  other broker  dealers
have  received   subpoenas   and/or  requests  for   information   from  various
governmental  and   self-regulatory   agencies  and  Congressional   committees,
including the NASD Inc.  which has raised  issues about  Salomon Smith  Barney's
internal e-mail retention practices and research on Winstar Communications, Inc.
With  respect to Winstar,  Salomon  Smith  Barney has entered  into a settlement
agreement.  Salomon  Smith  Barney  agreed to pay a penalty  in the amount of $5
million and did not admit to any wrongdoing. With respect to other such matters,
on December 20, 2002, Salomon Smith Barney and a number of other  broker/dealers
reached a  settlement-in-principle  with the SEC,  the NASD,  the New York Stock
Exchange (the "NYSE") and the Attorney  General of New York of all issues raised
in their  research,  initial public  offerings  allocation and  spinning-related
inquiries.  In addition, with respect to issues raised by the NASD, the NYSE and
the  SEC  about  Salomon  Smith  Barney's  and  other  firms'  e-mail  retention
practices,  Salomon Smith Barney and several other  broker/dealers and the NASD,
the NYSE and the SEC entered  into a  settlement  agreement  in  December  2002.
Salomon  Smith Barney agreed to pay a penalty in the amount of $1.65 million and
did not admit any wrongdoing.

     Since May 2002, Citigroup,  Salomon Smith Barney and certain principals and
current  and  former  employees  have been  named as  defendants  in a number of
alleged  class  action  complaints  filed by  purchasers  of various  securities
alleging they violated federal  securities law,  including Sections 10 and 20 of
the  Securities  Exchange  Act of  1934  by  issuing  research  reports  without
reasonable  basis and failing to disclose  conflicts  of interest in  connection
with published investment research,  including Global Crossing,  WorldCom, Inc.,
AT&T, Winstar, Rhythm Net Connections, Level 3 Communications,  MetroMedia Fiber
Network, XO Communications and Williams  Communications Group Inc. Nearly all of
these actions are pending  before a single judge in the U.S.  District Court for
the Southern  District of New York for  coordinated  proceedings.  The court has
consolidated  these actions into nine separate  categories  corresponding to the
companies named above.

     Additional  actions have been filed  against  Citigroup  and certain of its
affiliates,  including  Salomon Smith  Barney,  and certain of their current and
former directors,  officers and employees, along with other parties,  including:


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(1) three  alleged  class  actions  filed in state courts and federal  courts on
behalf of persons who maintained  accounts with Salomon Smith Barney  asserting,
among other things, common law claims,  claims under state statutes,  and claims
under the  Investment  Advisers Act of 1940,  for  allegedly  failing to provide
objective and unbiased investment research and investment  management,  seeking,
among other things,  return of fees and commissions;  (2) approximately  fifteen
actions filed in different  state courts by individuals  asserting,  among other
claims,  common law claims and claims under state securities laws, for allegedly
issuing  research  reports without a reasonable  basis in fact and for allegedly
failing to disclose  conflicts of interest  with  companies in  connection  with
published investment research, including Global Crossing and WorldCom, Inc.; (3)
approximately  five actions filed in different state courts by pension and other
funds  asserting  common law claims and  statutory  claims  under,  among  other
things,  state and federal  securities  laws,  for  allegedly  issuing  research
reports without a reasonable basis in fact and for allegedly failing to disclose
conflicts of interest with  companies in connection  with  published  investment
research,  including WorldCom, Inc. and Qwest Communications International Inc.;
and (4) more than two  hundred  arbitrations  asserting  common  law  claims and
statutory claims under,  among other things,  state and federal securities laws,
for allegedly  issuing  research  reports without a reasonable basis in fact and
for  allegedly  failing to disclose  conflicts  of interest  with  companies  in
connection with published investment research.

     In July 2002, Citigroup, Salomon Smith Barney and various of its affiliates
and certain of their  officers  and other  employees  were named as  defendants,
along with, among others,  commercial and/or  investment banks,  certain current
and former Enron officers and directors,  lawyers and  accountants in an alleged
class action filed in the U.S.  District Court for the Southern  District of New
York on behalf  of  purchasers  of the  Yosemite  Notes and Enron  Credit-Linked
Notes,  among other  securities  (Hudson  Soft Co.,  Ltd v. Credit  Suisse First
Boston  Corporation,  et al.). The complaint  alleges  violations of RICO and of
Sections  10(b)  and  20(a) of the  Securities  Exchange  Act of 1934 and  seeks
unspecified damages.

     Additional  actions have been filed  against  Citigroup  and certain of its
affiliates,  along with other  parties,  including (i) three actions  brought in
state courts by state pension plans for alleged  violations of state  securities
law and  common law fraud and  unjust  enrichment;  (ii) an action by banks that
participated in two Enron revolving  credit  facilities,  alleging fraud,  gross
negligence  and  breach of implied  duties in  connection  with the  defendants'
administration  of a credit  facility  with  Enron;  (iii) an action  brought by
several funds in connection with secondary  market purchases of Enron Corp. debt
securities  alleging  violations of federal securities law, including Section 11
of the Securities Act of 1933, and claims for fraud and misrepresentation;  (iv)
a series of alleged class actions by  purchasers  of New Power  Holdings  common
stock alleging violations of federal securities law, including Section 11 of the
Securities Act of 1933 and Section 10(b) of the Securities Exchange Act of 1934;
(v) an action  brought by two investment  funds in connection  with purchases of
Enron-related  securities for alleged  violations of state securities and unfair
competition  statutes;  (vi) an action brought by several  investment  funds and
fund owners in connection  with purchases of notes of the Osprey I and Osprey II
Trusts for alleged violation of state and federal securities laws and claims for
common law fraud,  misrepresentation and conspiracy;  (vii) an action brought by
several  investment  funds and fund owners in connection with purchases of notes
of the Osprey I and Osprey II Trusts for alleged  violation of state and federal
securities  laws and state  unfair  competition  laws and  claims for common law
fraud and misrepresentation; (viii) an action brought by the Attorney General of
Connecticut  in  connection  with  various  commercial  and  investment  banking

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services  provided to Enron;  (ix) an alleged class action brought by clients of
Salomon  Smith Barney in  connection  with research  reports  concerning  Enron,
alleging breach of contract;  (x) actions brought by several investment funds in
connection with the purchase of notes and/or  certificates of the Osprey Trusts,
the Marlin Trust,  and the Marlin Water trust,  as well as the purchase of other
Enron or  Enron-related  securities,  alleging  violation  of state and  federal
securities  laws,  and common  law civil  conspiracy  and fraud;  (xi) an action
brought by a retirement and health benefits plan in connection with the purchase
of certain Enron notes,  alleging violation of federal securities law, including
Section 11 of the  Securities  Act of 1933,  violations of state  securities and
unfair  competition  law, and common law fraud and breach of fiduciary duty; and
(xii) an action brought by two broker/dealers in connection with the purchase of
certain notes,  alleging violation of federal and state securities laws. Several
of these cases have been  consolidated  with the Newby action and stayed pending
the Court's  decision on the pending  motions of certain  defendants  to dismiss
Newby.  On April 17, 2003,  the motion to dismiss the complaints in the putative
class actions relating to the New Power Holdings common stock was denied.

     Additionally,  Citigroup and certain of its affiliates,  including  Salomon
Smith Barney,  have provided  substantial  information to, and have entered into
substantive  discussions with, the SEC regarding  certain of their  transactions
with Enron and a  transaction  with  Dynegy  Inc.  Citigroup  and certain of its
affiliates,  including  Salomon Smith Barney,  also have received  subpoenas and
requests for information from various other regulatory and governmental agencies
and Congressional  committees, as well as from the Special Examiner in the Enron
bankruptcy, regarding certain transactions and business relationships with Enron
and its  affiliates.  Citigroup  and its  affiliates,  including  Salomon  Smith
Barney, are cooperating fully with all such requests.

     On July 28, 2003,  Citigroup entered into a final settlement agreement with
the  SEC  to  resolve  the  SEC's  outstanding   investigations  into  Citigroup
transactions with Enron and Dynegy.  Pursuant to the settlement,  Citigroup has,
among other terms,  (1)  consented to the entry of an  administrative  cease and
desist order,  which bars  Citigroup  from  committing or causing  violations of
provisions of the federal  securities  laws,  and (2) agreed to pay $120 million
($101.25  million  allocable to Enron and $18.75  million  allocable to Dynegy).
Citigroup  entered  into  this  settlement  without  admitting  or  denying  any
wrongdoing or liability,  and the  settlement  does not establish  wrongdoing or
liability for purposes of any other proceeding. On July 28, 2003, Citibank, N.A.
entered into an  agreement  with the Office of the  Comptroller  of the Currency
("OCC") and Citigroup entered into an agreement with the Federal Reserve Bank of
New York  ("FED")  to  resolve  their  inquiries  into  certain  of  Citigroup's
transactions with Enron. Pursuant to the agreements, Citibank and Citigroup have
agreed to submit plans to the OCC and FED, respectively,  regarding the handling
of complex structured  finance  transactions.  Also on July 28, 2003,  Citigroup
entered into a  settlement  agreement  with the  Manhattan  District  Attorney's
Office to resolve its  investigation  into certain of  Citigroup's  transactions
with  Enron;  pursuant  to the  settlement,  Citigroup  has  agreed to pay $25.5
million and to abide by its agreements with the SEC, OCC and FED.

     Citigroup  and Salomon  Smith  Barney are  involved in a number of lawsuits
arising out of the  underwriting  of debt  securities  of WorldCom,  Inc.  These
lawsuits include alleged class actions filed in July 2002 by alleged  purchasers
of WorldCom debt securities in the United States District Court for the Southern
District of New York (Above Paradise Investments Ltd. V. Worldcom, Inc., et al.;
Municipal Police Employees Retirement System Of Louisiana V. Worldcom,  Inc., et
al.),  and in the United  States  District  Court for the  Southern  District of
Mississippi  (Longacre  Master Fund V.  Worldcom,  Inc., et al.).  These alleged

                                       8
<PAGE>

class action complaints assert violations of federal  securities law,  including
Sections 11 and 12 of the Securities Act of 1933, and seek  unspecified  damages
from the underwriters.

     On October 11, 2002,  the Above  Paradise and  Municipal  Police  Employees
lawsuits filed in the United States District Court for the Southern  District of
New York were  superseded by the filing of a  consolidated  alleged class action
complaint in the United States  District Court for the Southern  District of New
York  (In  Re  Worldcom,  Inc.  Securities  Litigation).   In  the  consolidated
complaint,  in addition to the claims of violations by the  underwriters  of the
federal  securities law,  including  Sections 11 and 12 of the Securities Act of
1933,  the  plaintiffs  allege  violations  of Section  10(b) of the  Securities
Exchange Act of 1934, and Rule 10b-5  promulgated  thereunder,  by Salomon Smith
Barney arising out of alleged  conflicts of interest of Salomon Smith Barney and
certain  of  its  principals.   The  plaintiffs  continue  to  seek  unspecified
compensatory  damages.  In addition to the consolidated  class action complaint,
the Southern  District of Mississippi  class action has been  transferred by the
Judicial Panel on MultiDistrict  Litigation to the Southern District of New York
for centralized  pre-trial proceedings with other  WorldCom-related  actions. On
May 19, 2003, the motion to dismiss the amended complaint in the WorldCom,  Inc.
Securities Litigation was denied.

     In addition to the several  alleged class actions that have been commenced,
certain  individual  actions have been filed in various federal and state courts
against Citigroup and Salomon Smith Barney, along with other parties, concerning
WorldCom debt  securities  including  individual  state court actions brought by
approximately 18 pension funds and other  institutional  investors in connection
with the  underwriting  of debt  securities of WorldCom  alleging  violations of
Section 11 of the Securities Act of 1933 and, in one case, violations of various
state  securities  laws and common law fraud.  Citigroup  and/or  Salomon  Smith
Barney  are now  named in  approximately  35 of  these  individual  state  court
actions.  Most of these actions have been removed to federal court and have been
transferred  to the  Southern  District  of New York for  centralized  pre-trial
proceedings with other WorldCom-related  actions. On October 24, 2003, the court
granted plaintiffs' motion to have this matter certified as a class action.

     An alleged  class action on behalf of  participants  in  WorldCom's  401(k)
salary savings plan and those  WorldCom  benefit plans covered by ERISA alleging
violations  of ERISA and  common law fraud,  which was  commenced  in the United
States District Court for the District of Columbia, also has been transferred by
the Judicial Panel on MultiDistrict  Litigation to the Southern  District of New
York for centralized pre-trial proceedings with other WorldCom-related  actions.
In  December  2002,  the  claims  against  Salomon  Smith  Barney  and the other
underwriters were dismissed without prejudice.

     On or about January 27, 2003, the lead plaintiff in a consolidated  alleged
class action in the United States  District Court for the District of New Jersey
(In Re AT&T Corporation  Securities  Litigation)  sought permission to amend its
complaint on behalf of purchasers of AT&T common stock asserting claims against,
among others, AT&T Corporation,  to add as named defendants  Citigroup,  Salomon
Smith Barney and certain  executive  officers and current and former  employees,
asserting  claims under federal  securities laws for allegedly  issuing research
reports without a reasonable basis in fact and for allegedly failing to disclose
conflicts  of  interest  with  AT&T  in  connection  with  published  investment
research. By order dated March 27, 2003, the court denied plaintiffs' request to
amend their complaint to add as defendants  Citigroup,  Salomon Smith Barney and
certain of their executive officers and current and former employees.

                                       9
<PAGE>

     On or about January 28, 2003, the lead plaintiff in a consolidated  alleged
class action in the United States  District  Court for the Southern  District of
New  York  (In  Re  Global  Crossing,   Ltd.  Securities   Litigation)  filed  a
consolidated  complaint  on behalf of  purchasers  of the  securities  of Global
Crossing  and  its  subsidiaries,  which  names  as  defendants,  among  others,
Citigroup,  Salomon Smith Barney and certain executive  officers and current and
former employees,  asserting claims under federal  securities laws for allegedly
issuing  research  reports without a reasonable  basis in fact and for allegedly
failing to disclose  conflicts of interest  with Global  Crossing in  connection
with published investment research.

     On March 5, 2003, an action was brought on behalf of the  purchasers of the
Yosemite  Notes and Enron Credit  Linked  Notes,  alleging  violation of federal
securities laws.

     On April 9, 2003, an action was brought by a group of related  mutual funds
that purchased certain Yosemite Notes,  alleging  violations of state securities
laws and common law claims.

     On April 28, 2003,  Citigroup  Global  Markets  (formerly  known as Salomon
Smith Barney)  announced  final  agreements with the SEC, the NASD, the NYSE and
the New York Attorney  General (as lead state among the 50 states,  the District
of  Columbia  and  Puerto  Rico)  to  resolve  on a  civil  basis  all of  their
outstanding investigations into its research and IPO allocation and distribution
practices. As part of the settlements, Salomon Smith Barney has consented to the
entry of (1) an injunction  under the federal  securities  laws to be entered in
the United States District Court for the Southern District of New York,  barring
Salomon Smith Barney from violating  provisions of the federal  securities  laws
and related  NASD and NYSE rules  relating to research,  certain IPO  allocation
practices,   the  safeguarding  of  material   nonpublic   information  and  the
maintenance of required books and records, and requiring Salomon Smith Barney to
adopt and enforce new  restrictions  on the  operation of research;  (2) an NASD
Acceptance Waiver and Consent requiring Salomon Smith Barney to cease and desist
from violations of corresponding  NASD rules and requiring  Salomon Smith Barney
to adopt and  enforce the same new  restrictions;  (3) an NYSE  Stipulation  and
Consent  requiring  Salomon Smith Barney to cease and desist from  violations of
corresponding NYSE rules and requiring Salomon Smith Barney to adopt and enforce
the same new restrictions;  and (4) an Assurance of Discontinuance  with the New
York Attorney General containing substantially the same or similar restrictions.
As required  by the  settlements,  Salomon  Smith  Barney  expects to enter into
related  settlements with each of the other states, the District of Columbia and
Puerto Rico. Consistent with the  settlement-in-principle  announced in December
2002,  these  settlements  require  Salomon Smith Barney to pay $300 million for
retrospective  relief,  plus $25 million for investor  education,  and commit to
spend $75 million to provide independent  third-party research to its clients at
no charge.  Salomon  Smith  Barney  reached  these final  settlement  agreements
without admitting or denying any wrongdoing or liability. The settlements do not
establish wrongdoing or liability for purposes of any other proceeding. The $300
million was accrued during the fourth quarter of 2002.

     On June 23,  2003,  the West  Virginia  Attorney  General  filed an  action
against  Citigroup  Global Markets  Holdings Inc. and nine other firms that were
parties to the April 28, 2003  settlement  with the SEC, the NASD,  the NYSE and
the New York Attorney  General (the  "Research  Settlement").  The West Virginia
Attorney  General  alleges that the firms  violated the West  Virginia  Consumer
Credit and Protection Act in connection with their research activities and seeks
monetary penalties.


                                       10

<PAGE>

     In May 2003,  the SEC,  NYSE and NASD  issued a  subpoena  and  letters  to
Citigroup Global Markets Holdings Inc. requesting documents and information with
respect to their continuing  investigation of individuals in connection with the
supervision  of the research and  investment  banking  departments  of Citigroup
Global  Markets  Holdings  Inc.  Other parties to the Research  Settlement  have
received similar subpoena and letters.

     In April 2003,  to  effectuate  the  Research  Settlement,  the SEC filed a
Complaint  and  Final  Judgment  in the  United  States  District  Court for the
Southern  District of New York. Also in April 2003, the NASD accepted the Letter
of Acceptance,  Waiver and Consent  entered into with  Citigroup  Global Markets
Holdings Inc. in connection with the Research  Settlement;  and in May 2003, the
NYSE advised  Citigroup  Global Markets  Holdings Inc. that the Hearing  Panel's
Decision,  in which it  accepted  the  Research  Settlement,  had become  final.
Citigroup  Global Markets  Holdings Inc. is currently in discussion with various
of the states with respect to completion of the state components of the Research
Settlement.  Payment will be made in conformance with the payment  provisions of
the Final Judgment.  On October 31, 2003, the Final Judgment was entered against
Salomon Smith Barney and nine other investment banks. In addition, Salomon Smith
Barney has entered into separate settlement  agreements with numerous states and
certain U.S. territories.

     On June 6, 2003,  the  complaint in a  pre-existing  putative  class action
pending in the United States District Court for the Southern  District of Texas,
brought by purchasers of publicly  traded debt and equity  securities of Dynegy,
Inc.,  was amended to add  Citigroup,  Citibank  and  Citigroup  Global  Markets
Holdings  Inc., as well as other banks,  as defendants.  The  plaintiffs  allege
violations of the federal securities laws against the Citigroup defendants.

     On  July 6,  2003,  an  adversary  proceeding  was  filed  by the  Official
Committee of Unsecured  Creditors on behalf of Adelphia  against certain lenders
and  investment  banks,   including  Citigroup  Global  Markets  Holdings  Inc.,
Citibank,  N.A.,  Citicorp USA, Inc.,  and Citigroup  Financial  Products,  Inc.
(together,  the Citigroup  Parties).  The  Complaint  alleges that the Citigroup
Parties and numerous  other  defendants  committed acts in violation of the Bank
Company Holding Act and the common law. The complaint seeks equitable relief and
an unspecified amount of compensatory and punitive damages.

     In addition,  Salomon Smith Barney Inc.  (predecessor  of Citigroup  Global
Markets Inc.) is among the underwriters  named in numerous civil actions brought
to date by investors in Adelphia debt  securities  in  connection  with Adelphia
securities  offerings  between  September  1997 and October  2001.  Three of the
complaints also assert claims against  Citigroup Inc. and Citibank,  N.A. All of
the complaints allege violations of federal  securities laws, and certain of the
complaints also allege  violations of state  securities laws and the common law.
The complaints seek unspecified damages.

     On August 15, 2003, a purported  class action was brought by  purchasers of
Enron stock  alleging  state law claims of negligent  misrepresentation,  fraud,
breach of fiduciary duty and aiding and abetting a breach of fiduciary duty.

     On August 29, 2003,  an investment  company  filed a lawsuit  alleging that
Citigroup,  Citigroup  Global Markets and several other  defendants  (including,
among others,  Enron's auditor,  financial  institutions,  outside law firms and
rating agencies) engaged in a conspiracy,  which purportedly caused plaintiff to
lose credit (in the form of a commodity  sales contract) it extended to an Enron
subsidiary in purported reliance on Enron's financial  statements.  On September
24, 2003,  Enron filed a  preferential  proceeding  in its Chapter 11 bankruptcy


                                       11

<PAGE>

proceedings to recover alleged  preferential  payments and fraudulent  transfers
involving  Citigroup,  Citigroup  Global  Markets  and  other  entities,  and to
disallow or to subordinate  bankruptcy  claims that Citigroup,  Citigroup Global
Markets and other entities have filed against Enron.

     In the course of its business, Citigroup Global Markets, as a major futures
commission merchant and broker-dealer,  is a party to various claims and routine
regulatory  investigations  and proceedings that the general partner believes do
not have a material effect on the business of Citigroup Global Markets.

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

     There were no matters  submitted to the security  holders for a vote during
the last fiscal year covered by this report.


                                     PART II

Item 5.  Market for  Registrant's  Common  Equity and  Related  Security  Holder
         Matters.

          (a)  Market Information. The Partnership has issued no stock. There is
               no public market for the Redeemable Units of Limited  Partnership
               Interest.

          (b)  Holders. The number of holders of Redeemable Units of Partnership
               Interest as of December 31, 2003, was 1,639.

          (c)  Distribution.  The  Partnership did not declare a distribution in
               2003 or 2002.

          (d)  Use of Proceeds.  For the twelve months ended  December 31, 2003,
               there  were  additional  sales of  21,674.2111  Redeemable  Units
               totaling   $22,541,000.   For  the  period   from  July  1,  2002
               (commencement  of  operations)  to December 31, 2002,  there were
               additional   sales  of  28,827.4310   Redeemable  Units  totaling
               $28,797,000 and contributions by the General Partner representing
               1,526.2826  Unit  equivalents  totaling  $1,500,000.  During  the
               initial  offering  period  there were sales of 93,975  Redeemable
               Units  totaling  $93,975,000  and  contributions  by the  General
               Partner representing 950 Unit equivalents totaling $950,000.

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


                                       12

<PAGE>

Item 6. Selected Financial Data. The Partnership commenced trading operations on
July 1, 2002.  Net realized and  unrealized  trading gains (losses) from Master,
interest income allocated from Master, net income (loss) and increase (decrease)
in Net Asset Value per Redeemable  Unit for the year ended December 31, 2003 and
the period from July 1, 2002  (commencement  of trading  operations) to December
31, 2002 and total assets at December 31, 2003 and 2002 were as follows:

<TABLE>
<CAPTION>
<S>                                                               <C>                 <C>
                                                                  2003                2002
                                                              -----------           ----------

Net realized and unrealized trading gains (losses)
net of expenses allocated from Master, brokerage
commissions and clearing fees of $5,822,971 and
$5,422,049, respectively                                     $(36,992,242)         $12,739,048

Interest income allocated from Master                             977,786              731,136
                                                              -----------           ----------
                                                             $(36,014,456)         $13,470,184
                                                              -----------           ----------

Net income (loss) before
Allocation to Special Limited Partner                        $(38,965,212)         $11,945,991
                                                              -----------           ----------

Allocation to Special Limited Partner                                  --            2,240,668
                                                              -----------           ----------
Net income (loss) available for pro rata distribution
 to Partners                                                 $(38,965,212)          $9,705,323
                                                              -----------           ----------

Increase (decrease) in Net Asset Value per Redeemable
 Unit                                                            $(289.27)              $80.92
                                                              -----------           ----------

Total assets                                                  $99,038,186         $130,433,981
                                                              -----------           ----------
</TABLE>



                                       13

<PAGE>


Item 7.  Management's Discussion and Analysis of Financial Condition and Results
         of Operations.

Overview

     The  Partnership,  through its  investment in the Master,  seeks to achieve
capital  appreciation through speculative  trading,  directly or indirectly,  in
commodity interests generally including,  commodity futures and commodity option
contracts on United States  exchanges and certain  foreign  exchanges and swaps.
The  Partnership,  through its  investment in the Master,  intends to trade only
energy and energy related products, as well as the Goldman Sachs Commodity Index
(an index future comprised of energy and other products),  traded on the Chicago
Mercantile  Exchange,  but is authorized to trade commodity  futures,  swaps and
options contracts of any kind. The Partnerhsip has invested all of its assets in
the Master.  The Advisor is authorized  to trade forward  contracts on behalf of
the Partnership  and the Master but does not currently  intend to do so (certain
swaps that the Advisor trades are, however,  the substantial economic equivalent
of forward contracts).

     The  General   Partner/Managing   Member   manages  all   business  of  the
Partnership/Master. The General Partner has delegated its responsibility for the
investment  of the  Partnership's  assets to AAA. The  Partnership  has invested
these assets in the Master.  The General Partner employs a team of approximately
15  professionals  whose primary  emphasis is on attempting to maintain  quality
control  among the  advisors  to the  Partnerships  operated  or  managed by the
General  Partner.   A  full-time  staff  of  due  diligence   professionals  use
state-of-the-art  technology and on-site evaluations to monitor new and existing
futures money managers.  The accounting and operations staff provide  processing
of  trading   activity  and  reporting  to  limited   partners  and   regulatory
authorities.  In selecting the advisor for the Partnership,  the General Partner
considered past performance, trading style, volatility of markets traded and fee
requirements.

     Responsibilities of the General Partner/Managing Member include:
          o    due diligence examinations of the Advisor;
          o    selection, appointment and termination of the Advisor;
          o    negotiation of the management agreement; and
          o    monitoring the activity of the Advisor

     In addition,  the General  Partner/Managing  Member  prepares the books and
records  and  provides  the  administrative  and  compliance  services  that are
required by law or regulation  from time to time in connection with operation of
the Partnership/Master. These services include the preparation of required books
and records and reports to limited partners, government agencies and regulators;
computation of net asset value;  calculation of fees;  effecting  subscriptions,
redemptions  and limited  partner  communications;  and  preparation of offering
documents and sales literature.

     The General Partner/Managing Member shall seek the best prices and services
available  in  its  commodity  futures  brokerage   transactions.   The  General
Partner/Managing  Member reviews at least annually,  the brokerage rates charged
to commodity  pools  similar to the  Partnership/Master  to  determine  that the
brokerage fee the Partnership/Master pays is competitive with other rates.


                                       14

<PAGE>

     The  Partnership's  assets allocated to AAA for trading are not invested in
commodity  interests directly.  AAA's allocation of the Partnership's  assets is
currently  invested  in the  Master.  AAA trades the  Master's,  and thereby the
Partnership's, assets in accordance with its Energy with Swaps Program.

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

     AAA generally bases its trading decisions on "fundamental" factors,  namely
supply and demand for a particular  group or type of commodity.  AAA attempts to
buy  undervalued  commodities  and sell  overvalued  commodities,  often but not
always  simultaneously.  AAA uses options to attempt  either to reduce or define
risks.

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

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

      (a)     Liquidity.

     The  Partnership  does not engage in sales of goods or  services.  Its only
assets are its  Investment in the Master and cash. The Master does not engage in
the sale of goods or  services.  Because  of the low  margin  deposits  normally
required in commodity  trading,  relatively  small price movements may result in
substantial  losses to the  Partnership,  through its  investment in the Master.
Such substantial losses could lead to a material decrease in liquidity.

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

     In February  2003, the Master had a short position in the April natural gas
futures  contract as a partial  offset to an overall  long  position in delivery
months later in the year in the same contract. During the last week of February,
natural gas prices rose sharply reflecting  relatively high short-term demand in
the eastern and  mid-continental  United States along with a reduced  ability of
natural gas  suppliers  to deliver  natural gas from  storage due to low storage
inventories.  Volatility in the natural gas markets was exacerbated  during that
period as the markets became relatively illiquid when many traders stayed out of
the market to wait for the  volatility  to pass.  During this period,  the April


                                       15

<PAGE>

natural gas futures contract experienced an upward increase in price of over 50%
in two days and related cash market prices experienced a 300% increase in price.
Deferred  delivery months in the natural gas futures contract did not experience
comparable price  increases.  The spread between the price of the April contract
and those of the deferred months changed suddenly and unexpectedly. Such extreme
moves generally happen only in exceptionally  rare circumstances and can lead to
illiquid market conditions.

     In March 2003, volatility struck the crude oil market, and the Master again
experienced  losses as prices for crude oil dropped  over $8.00 per  barrel,  or
21%, in the course of a week. The Master's and the  Partnership's  liquidity was
not  hindered  as a result  of these  market  movements  as the  Master  and the
Partnership  each had adequate cash reserves to absorb market  volatility and to
meet redemption requests during that period.

     The  performance  for the year ended  December 31, 2003 is discussed in (c)
Results of Operations.

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

     (i)  The Master  invests its assets only in  commodity  interests  that the
          Advisor  believes  are traded in  sufficient  volume to permit ease of
          taking and liquidating positions.  Sufficient volume, in this context,
          refers to a level of liquidity  that the Advisor  believes will permit
          it to enter and exit trades without noticeably moving the market.

     (ii) The Advisor will not initiate additional positions in any commodity if
          these positions would result in aggregate positions requiring a margin
          of more  than 66 2/3% of the  Master's  net  assets  allocated  to the
          Advisor.

     (iii)The Master may  occasionally  accept  delivery of a commodity.  Unless
          such  delivery is disposed of promptly by  retendering  the  warehouse
          receipt  representing  the delivery to the appropriate  clearinghouse,
          the physical commodity position is fully hedged.

     (iv) The Master does not employ the  trading  technique  commonly  known as
          "pyramiding",  in which the  speculator  uses  unrealized  profits  on
          existing  positions as margin for the  purchases or sale of additional
          positions in the same or related commodities.

     (v)  The Master does not utilize borrowings except short-term borrowings if
          the Master takes delivery of any cash commodities.

     (vi) The Advisor may, from time to time, employ trading  strategies such as
          spreads or  straddles  on behalf of the Master.  The term  "spread" or
          "straddle"  describes a commodity  futures trading strategy  involving
          the simultaneous  buying and selling of futures  contracts on the same
          commodity but  involving  different  delivery  dates or markets and in
          which the trader expects to earn a profit from a widening or narrowing
          of the difference between the prices of the two contracts.


                                       16
<PAGE>

     (vii)The Master  will not  permit the  churning  of its  commodity  trading
          account.  The term  "churning"  refers to the practice of entering and
          exiting trades with a frequency  unwarranted by legitimate  efforts to
          profit  from the trades,  driven by the desire to generate  commission
          income.


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


     The Master is party to financial  instruments with off-balance  sheet risk,
including derivative financial  instruments and derivative commodity instruments
in the  normal  course of its  business.  These  financial  instruments  include
forwards,  futures, options and swaps, whose values are based upon an underlying
asset,  index or reference rate, and generally  represent future  commitments to
exchange  currencies  or cash  flows,  or to  purchase  or sell other  financial
instruments  at specified  terms at specified  future dates,  or, in the case of
derivative commodity interests,  to have a reasonable  possibility to be settled
in cash, through physical delivery or with another financial  instrument.  These
instruments may be traded on an exchange or over-the-counter  ("OTC").  Exchange
traded  instruments  are  standardized  and include  futures and certain  option
contracts.  OTC contracts are negotiated between contracting parties and include
forwards,  swaps and certain  options.  Each of these  instruments is subject to
various risks similar to those relating to the underlying financial  instruments
including  market and credit risk.  In general,  the risks  associated  with OTC
contracts are greater than those  associated  with exchange  traded  instruments
because of the greater risk of default by the counterparty to an OTC contract.

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

     Credit risk is the possibility  that a loss may occur due to the failure of
a counterparty to perform according to the terms of a contract. Credit risk with
respect to exchange traded instruments is reduced to the extent that an exchange
or clearing organization acts as counterparty to the transactions.  The Master's
risk of loss in the event of  counterparty  default is typically  limited to the
amounts  recognized in the statement of financial  condition and not represented
by the contract or notional  amounts of the  instruments.  The Master has credit
risk and concentration risk because the sole counterparty or broker with respect
to the Master's assets is CGM.

     The General Partner/Managing Member monitors and controls the Master's risk
exposure  on a  daily  basis  through  financial,  credit  and  risk  management
monitoring systems,  and accordingly  believes that it has effective  procedures
for  evaluating  and limiting the credit and market risks to which the Master is
subject. These monitoring systems allow the General  Partner/Managing  Member to
statistically  analyze  actual  trading  results with risk adjusted  performance
indicators and correlation statistics.  In addition,  on-line monitoring systems
provide account analysis of futures,  forwards and options  positions by sector,
margin requirements,  gain and loss transactions and collateral positions.  (See
also  "Item  8.  Financial   Statements  and  Supplementary  Data"  for  further
information  on  financial  instrument  risk  included in the notes to financial
statements.)


                                       17
<PAGE>

     Other than the risks inherent in commodity  futures and swaps trading,  the
Master knows of no trends, demands,  commitments,  events or uncertainties which
will  result  in or which  are  reasonably  likely  to  result  in the  Master's
liquidity  increasing or decreasing in any material way. The Limited Partnership
Agreement  provides that the General Partner may, in its  discretion,  cause the
Partnership to cease trading  operations and liquidate all open positions  under
certain  circumstances  including a decrease  in Net Asset Value per  Redeemable
Unit to less than $400 as of the close of business on any business day.

     (b)  Capital Resources.

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

     (ii) The Partnership's capital consists of the capital contributions of the
partners  as  increased  or  decreased  by gains 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
commodities  are dependent  upon  fundamental  and  technical  factors which the
Advisor may or may not be able to identify,  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 in interest rates.  Partnership expenses consist of, among other things,
commissions,  advisory fees and administrative fees. The level of these expenses
is  dependent  upon the level of  trading  and the  ability of the  Advisors  to
identify and take  advantage of price  movements in the  commodity  markets,  in
addition  to the level of Net  Assets  maintained.  In  addition,  the amount of
interest  income  payable by CGM is dependent upon interest rates over which the
Partnership has no control.

     For the year  ended  December  31,  2003,  there were  additional  sales of
21,674.2111  Redeemable Units totaling $22,541,000.  For the period from July 1,
2002  (commencement  of operations) to December 31, 2002,  there were additional
sales of 28,827.4310  Redeemable Units totaling $28,797,000 and contributions by
the  General  Partner   representing   1,526.2826  Unit   equivalents   totaling
$1,500,000.

     No forecast can be made as to the level of redemptions in any given period.
A limited partner may require the Partnership to redeem their  Redeemable  Units
at their  Net  Asset  Value as of the  last day of a month on 10  business  days
notice to the General Partner. For the year ended December 31, 2003, 16,891.2743
Redeemable Units were redeemed totaling $13,818,158. For the period from July 1,
2002  (commencement of operations) to December 31, 2002,  7,684.5966  Redeemable
Units were redeemed totaling  $8,032,041 and 2,076.6158 Units of Special Limited
Partnership Interest totaling $2,240,668 were redeemed.

     Redeemable Units of Limited  Partnership  Interest were sold to persons and
entities who are accredited  investors as that term is defined in rule 501(a) of
Regulation D under the  Securities  Act of 1933, as well as to those persons who
are not accredited investors but who have either a net worth (exclusive of home,
furnishings and automobile)  either  individually or jointly with the investor's
spouse of at least three times their  investment in the Partnership (the minimum
investment for which was $25,000) or gross income for the two previous years and
projected  gross income for the current fiscal year of not less than three times
their investment in the Partnership for each year.


                                       18
<PAGE>

     (c)  Results of Operations.

     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  Value per
Redeemable Unit increased 7.8% from $1,000.00 to $1,078.66.

     The  Partnership,  through its investment in the Master,  experienced a net
trading loss of $31,169,271  before  commissions and expenses for the year ended
December 31, 2003.  Losses were primarily  attributable  to the trading of NYMEX
Natural Gas,  NYMEX  Heating Oil,  NYMEX  Unleaded Gas, IPE and energy swaps and
were partially offset by gains in, IPE Gas Oil and NYMEX Crude Oil.

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

     In a broad  sense,  the year can be  viewed in three  parts:  (1) the first
quarter saw the  emergence of  hyper-volatility  in US natural gas markets and a
steep  drawdown in net asset value of the Partnership; (2) in the second and
third  quarters  the  Advisor's  focus  was on  recovery  and solid  gains  were
achieved;  (3) and the fourth quarter was progressing  well until early December
when sizable losses were incurred in a rapidly climbing US natural gas market.

     In the first  quarter,  February  and March  saw  extraordinary  volatility
strike the natural gas and crude oil markets as explained under Liquidity.  As a
discretionary  advisor  relying upon its  principals'  assessment of fundamental
supply and demand relationships, this volatility was both unexpected and greatly
disruptive.  Once  this  unusual  price  disequilibrium  was  shaken  out of the
markets,  more normal conditions resurfaced and trading results resumed a course
more typical of AAA's performance.

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

     In early  December,  a sharp drop in NAV  occurred as the result of sizable
losses in a rapidly  climbing US natural gas market.  The price of a natural gas
rose over 50% in a few weeks  despite  weak/discounted  cash markets for heating
fuels and surprisingly  small draw in high underground  storage levels during an
extremely cold weather period. Petroleum also rallied to new post war highs near
$35.00 on growing signs that the persistent weakness in the US dollar versus the
Euro and  expectations of a widespread  commodity  boom/inflationary  period has
brought new money to the buy side of these  markets.  Long  positions in forward
petroleum helped mitigate losses in NAV during December.

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


                                       19
<PAGE>

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

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

     Commodity markets are highly volatile.  Broad price  fluctuations and rapid
inflation  increase the risks involved in commodity  trading,  but also increase
the possibility of profit.  The  profitability of the Master and the Partnership
depends  on the  Advisor's  ability  to  forecast  changes  in energy and energy
related  commodities.  Such price changes are influenced by, among other things,
changing supply and demand relationships,  weather, governmental,  agricultural,
commercial and trade programs and policies, national and international political
and  economic  events and  changes in  interest  rates.  To the extent  that the
Advisor correctly makes such forecasts, the Master and the Partnership expect to
increase capital through operations.

     (d)  Operational Risk.

     The Partnership is directly  exposed to market risk and credit risk,  which
arise in the normal course of its business activities. Slightly less direct, but
of critical  importance,  are risks  pertaining to  operational  and back office
support.  This is particularly  the case in a rapidly  changing and increasingly
global environment with increasing  transaction  volumes and an expansion in the
number and complexity of products in the marketplace.

     Such risks include:

     Operational/Settlement  Risk - the risk of financial and  opportunity  loss
and legal  liability  attributable to operational  problems,  such as inaccurate
pricing of transactions,  untimely trade execution, clearance and/or settlement,
or   the   inability   to   process   large   volumes   of   transactions.   The
Partnership/Master  is subject to  increased  risks with  respect to its trading
activities in emerging  market  securities,  where  clearance,  settlement,  and
custodial risks are often greater than in more established markets.

     Technological  Risk  - the  risk  of  loss  attributable  to  technological
limitations or hardware failure that constrain the Partnership/Master's  ability
to gather,  process,  and  communicate  information  efficiently  and  securely,
without   interruption,   to  customers,   among  Redeemable  Units  within  the
Partnership/Master,   and   in  the   markets   where   the   Partnership/Master
participates.

     Legal/Documentation Risk - the risk of loss attributable to deficiencies in
the  documentation of transactions  (such as trade  confirmations)  and customer
relationships  (such as master  netting  agreements)  or errors  that  result in
noncompliance with applicable legal and regulatory requirements.


                                       20

<PAGE>

     Financial  Control Risk - the risk of loss  attributable  to limitations in
financial  systems and controls.  Strong  financial  systems and controls ensure
that assets are safeguarded,  that  transactions are executed in accordance with
management's   authorization,   and  that  financial   information  utilized  by
management and  communicated to external  parties,  including the  Partnership's
unit holders, creditors, and regulators, is free of material errors.

     (e)Critical Accounting Policies.


     The  preparation  of financial  statements  in conformity  with  accounting
principles generally accepted in the United States of America requires estimates
and  assumptions  that affect the  reported  amounts of assets and  liabilities,
revenues  and  expenses,  and  related  disclosures  of  contingent  assets  and
liabilities in the financial statements and accompanying notes.

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

     Foreign currency contracts are those contracts where the Partnership/Master
agrees to  receive  or  deliver a fixed  quantity  of  foreign  currency  for an
agreed-upon  price on an agreed  future date.  Foreign  currency  contracts  are
valued daily,  and the  Partnership/Master's  net equity  therein,  representing
unrealized  gain or loss on the contracts as measured by the difference  between
the forward foreign  exchange rates at the dates of entry into the contracts and
the forward  rates at the  reporting  dates,  is included  in the  statement  of
financial condition. Realized gains (losses) and changes in unrealized values on
foreign currency contracts are recognized in the period in which the contract is
closed or the  changes  occur and are  included in the  statement  of income and
expenses and partners' capital.

     The General Partner believes that the accounting policies that will be most
critical to the  Partnership's  financial  condition  and results of  operations
relate to the valuation of the Master's positions.  The majority of the Master's
positions will be exchange-traded futures contracts,  which will be valued daily
at settlement prices published by the exchanges.  Swap contracts  generally will
be valued by  reference  to published  settlement  prices or dealers'  quotes in
related  markets or other  measures  of fair  value  deemed  appropriate  by the
General  Partner.  The General Partner  expects that under normal  circumstances
substantially all of the Partnership/Master's assets will be valued by objective
measures and without difficulty.


                                       21

<PAGE>

Item 7A.  Quantitative and Qualitative Disclosures About Market Risk

     The  Master  is  a  speculative   commodity  pool.  The  market   sensitive
instruments  held by the Master are acquired for speculative  trading  purposes,
and all or substantially all of the Partnership's assets are subject to the risk
of trading  loss  through  its  investment  in the Master.  Unlike an  operating
company, the risk of market sensitive  instruments is integral,  not incidental,
to the Master's and the Partnership's main line of business.

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

     Market movements result in frequent changes in the fair market value of the
Master's open  positions and,  consequently,  in its earnings and cash flow. The
Master's and the  Partnership's  market risk is  influenced by a wide variety of
factors.  These  primarily  include  factors  which affect  energy price levels,
including supply factors and weather  conditions,  the  diversification  effects
among the Master's  open  positions and the liquidity of the markets in which it
trades.

     The Master rapidly acquires and liquidates both long and short positions in
a wide range of different markets.  Consequently,  it is not possible to predict
how a  particular  future  market  scenario  will  affect  performance,  and the
Master's past performance is not necessarily indicative of its future results.

     Value at Risk is a measure of the  maximum  amount  which the Master  could
reasonably be expected to lose in a given market sector.  However,  the inherent
uncertainty  of the  Master's  speculative  trading  and the  recurrence  in the
markets  traded by the Master of market  movements  far  exceeding  expectations
could result in actual  trading or  non-trading  losses far beyond the indicated
Value at Risk or the  Master's  experience  to date (i.e.,  "risk of ruin").  In
light of the foregoing as well as the risks and  uncertainties  intrinsic to all
future projections, the inclusion of the quantification included in this section
should not be considered to constitute any assurance or representation  that the
Master's  losses in any market sector will be limited to Value at Risk or by the
Master's attempts to manage its market risk.

Quantifying the Partnership's Trading Value at Risk

     The  following  quantitative  disclosures  regarding  the  Master's and the
Partnership's market risk exposures contain "forward-looking  statements" within
the meaning of the safe harbor from civil liability provided for such statements
by the Private  Securities  Litigation  Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of  1934).  All  quantitative  disclosures  in this  section  are  deemed  to be
forward-looking statements for purposes of the safe harbor except for statements
of historical fact (such as the terms of particular  contracts and the number of
market risk  sensitive  instruments  held during or at the end of the  reporting
period).


                                       22
<PAGE>

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

     Exchange  maintenance  margin  requirements have been used by the Master as
the measure of its Value at Risk.  Maintenance  margin  requirements  are set by
exchanges  to equal or exceed  the  maximum  losses  reasonably  expected  to be
incurred  in the fair value of any given  contract  in  95%-99%  of any  one-day
intervals.  The  maintenance  margin  levels  are  established  by  dealers  and
exchanges  using  historical  price  studies as well as an assessment of current
market  volatility  (including the implied  volatility of the options on a given
futures contract) and economic Fundamentals to provide a probabilistic  estimate
of the maximum expected near-term one-day price fluctuation.  Maintenance margin
has been used rather than the more generally  available initial margin,  because
initial margin  includes a credit risk component  which is not relevant to Value
at Risk.

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

     The fair value of the Master's futures and forward  positions does not have
any optionality  component.  However,  the Advisor does trade commodity options.
The Value at Risk associated with options is reflected in the following table as
the margin  requirement  attributable to the instrument  underlying each option.
Where this instrument is a futures contract,  the futures margin, and where this
instrument is a physical commodity,  the  futures-equivalent  maintenance margin
has been used. This calculation is conservative in that it assumes that the fair
value of an option  will  decline  by the same  amount as the fair  value of the
underlying  instrument,  whereas, in fact, the fair values of the options traded
by the Master in almost all cases fluctuate to a lesser extent than those of the
underlying instruments.

     In quantifying the Master's Value at Risk, 100% positive correlation in the
different  positions  held  in each  market  risk  category  has  been  assumed.
Consequently,  the margin  requirements  applicable to the open  contracts  have
simply been added to determine each trading category's  aggregate Value at Risk.
The diversification  effects resulting from the fact that the Master's positions
are rarely, if ever, 100% positively correlated have not been reflected.


                                       23
<PAGE>

The Master's Trading Value at Risk in Different Market Sectors

     The following table indicates the trading Value at Risk associated with the
Master's  open  positions  by market  category as of  December  31, 2003 and the
highest and lowest value at any point during the year. All open position trading
risk exposures of the Master have been included in  calculating  the figures set
forth below.  As of December 31, 2003,  the Master's  total  capitalization  was
$255,057,637.


                                December 31, 2003

<TABLE>
<CAPTION>
<S>                                <C>                 <C>               <C>              <C>            <C>
                                                                          Year to Date
                                                               ----------------------------------- ------------------
                                               % of Total           High              Low         Average Value at
Market Sector              Value at Risk        Capitalization    Value at Risk     Value at Risk          Risk*
------------------------ ------------------- ----------------- ----------------- ----------------- ------------------
Energy                          $25,111,381             9.85%      $131,820,411       $12,880,254        $36,036,714
Energy Swaps                      6,027,189             2.36%       $33,232,031          $900,000         $7,862,309
                                ----------             -----
Total                           $31,138,570            12.21%
                                ----------             -----
</TABLE>

*Monthly average based on month-end Value at Risk

                                       24
<PAGE>

The Master's Trading Value at Risk in Different Market Sectors

     The following table indicates the trading Value at Risk associated with the
Master's  open  positions  by market  category as of December  31,  2002.  As of
December 31, 2002 the Master's total capitalization was $350,283,453.




                                December 31, 2002

<TABLE>
<CAPTION>
<S>                                  <C>               <C>             <C>                 <C>         <C>
                                                                          Year to Date
                                                               ----------------------------------- ------------------
                                               % of Total           High              Low         Average Value at
 Market Sector              Value at Risk      Capitalization    Value at Risk     Value at Risk          Risk*
------------------------ ------------------- ----------------- ----------------- ----------------- ------------------
Energy                          $47,253,146            13.49%       $64,130,606        $5,737,107        $32,002,122
Energy Swaps                      9,245,703             2.64%       $30,923,087        $1,395,629         $5,271,479
                                ----------             -----
Total                           $56,498,849            16.13%
                                ----------             -----
</TABLE>



*Quarterly average based on Value at Risk


                                       25

<PAGE>


Material Limitations on Value at Risk as an Assessment of Market Risk

     The face  value of the  market  sector  instruments  held by the  Master is
typically  many times the applicable  margin  requirement  (margin  requirements
generally range between 2% and 15% of contract face value) as well as many times
the  capitalization of the Master.  The magnitude of the Master's open positions
creates a "risk of ruin" not typically found in most other investment  vehicles.
Because of the size of its positions,  certain market conditions -- unusual, but
historically  recurring  from time to time -- could  cause  the  Master to incur
severe losses over a short period of time. The foregoing  Value at Risk table --
as well as the past performance of the Partnership -- give no indication of this
"risk of ruin."

     Materiality  as  used  in  this  section,   "Qualitative  and  Quantitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the potential losses caused by such movements,  taking into
account the leverage, optionality and multiplier features of the Master's market
sensitive instruments.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

     The following  qualitative  disclosures  regarding the Master's market risk
exposures - except for (i) those  disclosures  that are statements of historical
fact and (ii) the descriptions of how the Master manages its primary market risk
exposures - constitute  forward-looking statements within the meaning of Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of 1934.  The Master's  primary  market risk exposures as well as the strategies
used and to be used by the General  Partner and the  Advisor for  managing  such
exposures are subject to numerous  uncertainties,  contingencies  and risks, any
one of which  could cause the actual  results of the  Master's  risk  control to
differ   materially   from  the  objectives  of  such   strategies.   Government
interventions,  defaults and expropriations,  illiquid markets, the emergence of
dominant Fundamental factors,  political upheavals,  changes in historical price
relationships,  an influx of new market  participants,  increased regulation and
many  other  factors  could  result in  material  losses as well as in  material
changes to the risk exposures and the management strategies of the Master. There
can be no  assurance  that the  Master's  current  market  exposure  and/or risk
management  strategies  will not change  materially or that any such  strategies
will be effective in either the short or long term.  Investors  must be prepared
to lose all or substantially all of their investment in the Partnership.

     The following  were the primary  trading risk exposures of the Master as of
December 31, 2003, by market sector.

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

     The  Master  engages  in swap  transactions  in crude oil and other  energy
related products. In this connection, the Master contracts with its counterparty
to exchange a stream of payments  computed by reference to a notional amount and
the price of the energy product that is the subject of the swap.  Swap contracts
are not guaranteed by an exchange or clearinghouse.  CGM does not engage in swap
transactions as a principal.

                                       26

<PAGE>

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

     The  Master  may also  enter into spot  transactions  to  purchase  or sell
commodities  with  CGM,  or one of  its  affiliates,  as  principal.  Such  spot
transactions  provide  for  two-day  settlement  and  are  not  margined.   Such
transactions  may be entered  into in  connection  with  exchange  for  physical
transactions.  Like the swap contract  market,  the spot market is a principals'
market so there is no  clearinghouse  guarantee  of  performance.  Instead,  the
Master is subject to the risk of inability of, or refusal by, a counterparty  to
perform with respect to the underlying contract.

     Other Commodity  Interests.  The Master primarily emphasizes the trading of
energy  products,  but may  also  trade  some  portion  of its  assets  in other
commodity interests, including, but not limited to, commodity interest contracts
on the Goldman Sachs  Commodity  Index (an index future  comprised  primarily of
energy products). Commodity interest prices can be affected by numerous factors,
including political developments, weather conditions, seasonal effects and other
factors which affect supply and demand for the underlying commodity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

     The General Partner  monitors and controls the  Partnership's,  through its
investment  in the Master,  risk  exposure on a daily basis  through  financial,
credit and risk management  monitoring systems and accordingly  believes that it
has effective procedures for evaluating and limiting the credit and market risks
to which the Master and the Partnership are subject.

     The General Partner monitors the Master's performance and the concentration
of its open  positions,  and consults with the Advisor  concerning  the Master's
overall  risk  profile.  If the General  Partner felt it necessary to do so, the
General  Partner could require the Advisor to close out individual  positions as
well as enter  programs  traded  on  behalf  of the  Master.  However,  any such
intervention  would be a highly unusual  event.  The General  Partner  primarily
relies on the Advisor's own risk control  policies  while  maintaining a general
supervisory 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 and stop loss
points to exit a  position.  The  Advisor's  research of risk  management  often
suggests ongoing modifications to its trading programs.

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



                                       27
<PAGE>




Item 8.  Financial Statements and Supplementary Data.

           SALOMON SMITH BARNEY AAA ENERGY FUTURES PARTNERSHIP L.P. II
                          INDEX TO FINANCIAL STATEMENTS

                                                                     Page
                                                                    Number

       Oath or Affirmation.                                           F-2

       Independent Auditors' Report.                                  F-3

       Financial Statements:
       Statement of Financial Condition
       at December 31, 2003 and 2002.                                 F-4

       Statement of Income and Expenses
       for the years ended December 31,
       2003 and 2002.                                                 F-5

       Statement of Partners' Capital
       for the year ended December 31,
       2003, and for the period from March 25, 2002
       (date Partnership was organized) to December 31, 2002.         F-6

       Notes to Financial Statements.                             F-7 - F-11

       Selected Unaudited Quarterly  Financial
       Data.                                                         F-12

       Financial Statements of the SB AAA
       Master Partnership LLC
       Oath or Affirmation                                           F-13

       Independent Auditors' Reports.                             F-14 - 15

       Statement of Financial Condition at
       December 31, 2003 and 2002.                                   F-16

       Condensed Schedule of Investments at
       December 31, 2003 and 2002.                                F-17 - F-18

       Statement of Income and Expenses for
       the years ended December 31, 2003 and 2002
       and for the period from September 1, 2001
       (commencement of trading operations)
       to December 31, 2001.                                         F-19

       Statement of Members' Capital for
       the years ended December 31, 2003 and 2002
       and for the period from September 1, 2001
       (commencement of trading operations)
       to December 31, 2001.                                         F-20

       Notes to Financial Statements.                             F-21 - F-24

       Selected Unaudited Quarterly  Financial Data.                 F-25




<PAGE>
                           To the Limited Partners of
                  Salomon 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.






By: /s/ Daniel R. Mcauliffe. Jr.
        Daniel R. McAuliffe, Jr.
        Chief Financial Officer and Director
        Citigroup Managed Futures LLC
        General Partner, Salomon Smith Barney AAA
        Energy Fund L.P. II

Citigroup Managed Futures LLC
399 Park Avenue
7th Floor
New York, N.Y. 10022
212-559-2011



                                      F-2
<PAGE>






                          Independent Auditors' Report

To the Partners of
   Salomon Smith Barney AAA Energy Fund L.P. II:

We have audited the  accompanying  statements of financial  condition of Salomon
Smith Barney AAA Energy Fund L.P. II (the Partnership),  as of December 31, 2003
and 2002,  and the related  statements of income and expenses for the year ended
December 31, 2003 and the period from July 1, 2002  (commencement of operations)
through December 31, 2002 and its partners'  capital for the year ended December
31, 2003 and the period from March 25, 2002 (date  Partnership was organized) to
December 31, 2002.  These  financial  statements are the  responsibility  of the
Partnership's  management.  Our responsibility is to express an opinion on these
financial statements based on our audits.

We conducted our audits in accordance with auditing standards generally accepted
in the  United  States of  America.  Those  standards  require  that we plan and
perform the audit to obtain  reasonable  assurance  about  whether the financial
statements are free of material misstatement.  An audit includes examining, on a
test basis,  evidence  supporting  the amounts and  disclosures in the financial
statements.  An audit also includes assessing the accounting principles used and
significant  estimates  made by  management,  as well as evaluating  the overall
financial  statement  presentation.   We  believe  that  our  audits  provide  a
reasonable basis for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all material respects, the financial position of Salomon Smith Barney AAA Energy
Fund L.P. II as of December 31, 2003 and 2002, and the results of its operations
for the year ended  December  31, 2003 and the period from July 1, 2002  through
December 31, 2002 and its partners' capital for the year ended December 31, 2003
and the period from March 25, 2002 to December  31,  2002,  in  conformity  with
accounting principles generally accepted in the United States of America.

/s/ KPMG LLP
    KPMG LLP
    New York, New York
    February 27, 2004

                                      F-3
<PAGE>




                               Salomon Smith Barney AAA
                                  Energy Fund L.P. II
                           Statements of Financial Condition
                              December 31, 2003 and 2002

<TABLE>
<CAPTION>
<S>                                                                          <C>                 <C>
                                                                             2003                2002
                                                                        -------------       -------------
      Assets:
      Investment in Master, at fair value                                 $98,995,554        $130,402,024
      Cash                                                                     42,632              31,957
                                                                        -------------       -------------
                                                                          $99,038,186        $130,433,981
                                                                        -------------       -------------


      Liabilities and Partners' Capital:
      Liabilities:
        Accrued expenses:
         Management fees (Note 3b)                                           $168,162            $221,483
         Administrative fees (Note 3a)                                         42,041              55,371
         Professional fees                                                     36,275              38,750
         Other                                                                  3,314               4,243
        Due to CGM (Note 6)                                                        --              40,426
        Redemptions payable (Note 5)                                        2,185,482           3,228,426
                                                                         -------------       -------------
                                                                            2,435,274           3,588,699
      Partners' capital (Notes 1 and 5):
        General Partner, 2,476.2826 Unit equivalents outstanding
         in 2003 and 2002                                                   1,954,753           2,671,067
        Limited Partners, 119,900.7712 and 115,117.8344 Redeemable
         Units of Limited Partnership Interest outstanding in 2003
         and 2002, respectively                                            94,648,159         124,174,215
                                                                         -------------       -------------
                                                                           96,602,912         126,845,282
                                                                         -------------       -------------
                                                                          $99,038,186        $130,433,981
                                                                        -------------       -------------
</TABLE>

See accompanying notes to financial statements.
                                      F-4
<PAGE>

                            Salomon Smith Barney AAA
                               Energy Fund L.P. II
                        Statements of Income and Expenses
                      for the year ended December 31, 2003
                      and for the period from July 1, 2002
                          (commencement of operations)
                              to December 31, 2002

<TABLE>
<CAPTION>
<S>                                                                  <C>                  <C>
                                                                      2003                2002
                                                                 -------------      --------------
  Income:
    Realized gains (losses) on closed positions
     from Master                                                $(37,025,140)        $19,284,905
    Change in unrealized gains (losses) on
     open positions from Master                                    5,855,869          (1,123,808)
    Interest income allocated from Master                            977,786             731,136
    Expenses allocated from Master                                (5,822,971)         (5,422,049)
                                                                -------------      --------------
                                                                 (36,014,456)         13,470,184
  Expenses:
    Management fees (Note 3b)                                      2,233,848           1,181,093
    Administrative fees (Note 3a)                                    558,459             295,274
    Professional fees                                                142,414              38,750
    Other expenses                                                    16,035               9,076
                                                                -------------      --------------
                                                                   2,950,756           1,524,193
  Net income (loss) before allocation to the Special
    Limited Partner                                              (38,965,212)         11,945,991
  Allocation to the Special Limited Partner                               --           2,240,668
                                                                -------------      --------------
  Net income (loss) available for pro rata distribution         $(38,965,212)         $9,705,323
                                                                -------------      --------------
  Net income (loss) per Redeemable Unit of Limited
    Partnership Interest and General Partner Unit
    equivalent (Notes 1 and 7)                                      $(289.27)             $80.92
                                                                 -------------      --------------
</TABLE>

  See accompanying notes to financial statements.

                                      F-5
<PAGE>

                            Salomon Smith Barney AAA
                               Energy Fund L.P. II
                         Statements of Partners' Capital
                      for the year ended December 31, 2003
                     and for the period from March 25, 2002
                        (date Partnership was organized)
                              to December 31, 2002


<TABLE>
<CAPTION>
<S>                                                       <C>                 <C>               <C>              <C>
                                                                            Special
                                                         Limited            Limited           General
                                                        Partners            Partner           Partner            Total
                                                    --------------       -------------      -------------     -------------

Initial capital contributions, 1 Unit of Limited
   Partnership Interest and General Partner's
   contribution representing 1 Unit equivalent        $      1,000        $         --      $      1,000       $      2,000
Proceeds from offering of 93,974 Redeemable Units
   of Limited Partnership Interest and General
   Partner's contribution representing 949 Unit
   equivalents (Note 1)                                 93,974,000                  --           949,000         94,923,000
Offering costs (Note 6)                                    (49,500)                 --              (500)           (50,000)
                                                    --------------       -------------      -------------     -------------
Opening Partnership capital for operations              93,925,500                  --           949,500         94,875,000
Sale of 28,827.4310 Redeemable Units
   of Limited Partnership Interest and
   General Partner's contribution representing
   1,526.2826 Unit equivalents                          28,797,000                  --         1,500,000         30,297,000
Redemption of 7,684.5966 Redeemable Units
   of Limited Partnership Interest                      (8,032,041)                 --                --         (8,032,041)
Redemption of 2,076.6158 Redeemable Units
   of Special Limited Partnership Interest                      --          (2,240,668)               --         (2,240,668)
Allocation of net income for the year ended
   December 31, 2002:
Allocation of 2,076.6158 Redeemable Units
   of Limited Partnership Interest to the Special
   Limited Partner (Note 3b)                                    --           2,240,668                --          2,240,668
Net income available for pro rata distribution           9,483,756                  --           221,567          9,705,323
                                                    --------------       -------------      -------------     -------------
Partners' capital at December 31, 2002                 124,174,215                  --         2,671,067        126,845,282
Net loss available for pro rata distribution           (38,248,898)                 --          (716,314)       (38,965,212)
Sale of 21,674.2111 Redeemable Units
   of Limited Partnership Interest                      22,541,000                  --                --         22,541,000
Redemption of 16,891.2743 Redeemable Units of
   Limited Partnership Interest                        (13,818,158)                 --                --        (13,818,158)
                                                    --------------       -------------      -------------     -------------
Partners' capital at December 31, 2003                 $94,648,159     $             --       $1,954,753        $96,602,912
                                                    --------------       -------------      -------------     -------------
</TABLE>


See accompanying notes to financial statements.

                                      F-6
<PAGE>

                            Salomon Smith Barney AAA
                               Energy Fund L.P. II
                          Notes to Financial Statements


1.   Partnership Organization:

     Salomon  Smith  Barney AAA Energy  Fund L.P.  II (the  "Partnership")  is a
     limited  partnership  which  was  organized  on March  25,  2002  under the
     partnership  laws  of  the  State  of  New  York  to  engage,  directly  or
     indirectly,  in the  speculative  trading  of a  diversified  portfolio  of
     commodity  interests,  including  commodity  options and commodity  futures
     contracts on United States  exchanges and certain  foreign  exchanges.  The
     Partnership may trade commodity  futures and options  contracts of any kind
     but intends  initially to trade solely energy and energy related  products.
     In  addition,  the  Partnership  may enter  into swap  contracts  on energy
     related  products.   The  commodity   interests  that  are  traded  by  the
     Partnership  are volatile and involve a high degree of market risk.  During
     the  initial  offering  period  (May 31, 2002  through  July 1, 2002),  the
     Partnership sold 93,975  redeemable units of Limited  Partnership  Interest
     ("Redeemable Units"). The Partnership commenced trading on July 1, 2002.

     Effective July 1, 2002, the Partnership allocated all of its capital to the
     SB  AAA  Master  Fund  LLC,  a New  York  Limited  Liability  Company  (the
     "Master").  With this cash, the Partnership  purchased 64,945.0387 Units of
     the Master with a fair value of $94,925,000. The Master was formed in order
     to permit  commodity  pools  managed  now or in the  future by AAA  Capital
     Management,  Inc. (the "Advisor") using the Energy with Swaps Program,  the
     Advisor's  proprietary  trading program,  to invest together in one trading
     vehicle.  In  addition,  the  Advisor is a Special  Limited  Partner of the
     Partnership,  an employee of CGM and a related party. Individual and pooled
     accounts  currently  managed  by the  Advisor,  including  the  Partnership
     (collectively,  the  "Feeder  Funds"),  are  permitted  to be  non-managing
     members of the Master.  The General  Partner and the Advisor  believe  that
     trading through this master/feeder  structure should promote efficiency and
     economy in the trading  process.  Expenses to  investors as a result of the
     investment in the Master are  approximately  the same and redemption rights
     are not affected.

     The financial  statements of the Master,  including the condensed schedules
     of investments,  should be read together with the  Partnership's  financial
     statements.

     At December 31, 2003 and 2002, the Partnership  owns 38.8% and 37.2% of the
     Master.   It  is  the   Partnership's   intention  to  continue  to  invest
     substantially  all of its  assets in the  Master.  The  performance  of the
     Partnership is directly affected by the performance of the Master.

     Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management
     LLC, acts as the general partner (the "General Partner") of the Partnership
     and a managing member of the Master. The  Partnership's/Master's  commodity
     broker is Citigroup  Global Markets Inc.  ("CGM"),  formerly  Salomon Smith
     Barney Inc. CGM is an affiliate of the General Partner. The General Partner
     is wholly  owned by  Citigroup  Global  Markets  Holdings  Inc.  ("CGMHI"),
     formerly  Salomon Smith Barney  Holdings  Inc.,  which is the sole owner of
     CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. ("Citigroup").

     The  General  Partner  and each  limited  partner  share in the profits and
     losses of the  Partnership,  after the  allocation  to the Special  Limited
     Partner (as defined in Note 3b), in proportion to the amount of partnership
     interest  owned by each except that no limited  partner shall be liable for
     obligations  of  the   Partnership  in  excess  of  their  initial  capital
     contribution and profits, if any, net of distributions.

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

                                      F-7
<PAGE>

2.   Accounting Policies:

     a.   The value of the  Partnership's  investment in the Master reflects the
          Partnership's  proportional  interest in the  Members'  Capital of the
          Master.  All of the  unrealized and realized gains and losses from the
          commodity  transactions of the Master are allocated pro rata among the
          investors at the time of such  determination.  All commodity interests
          (including  derivative financial  instruments and derivative commodity
          instruments)  held by the Master are used for  trading  purposes.  The
          commodity  interests are recorded on trade date and open contracts are
          recorded in the statements of financial condition at fair value on the
          last business day of the year, which represents market value for those
          commodity  interests for which market quotations are readily available
          or other  measures of fair value deemed  appropriate  by management of
          the  General  Partner  for  those  commodity   interests  and  foreign
          currencies  for which  market  quotations  are not readily  available,
          including  dealer  quotes  for swaps  and  certain  option  contracts.
          Investments in commodity  interests  denominated in foreign currencies
          are translated into U.S.  dollars at the exchange rates  prevailing on
          the last business day of the year. Realized gains (losses) and changes
          in unrealized  gains  (losses) on open positions are recognized in the
          period in which the  contract is closed or the  changes  occur and are
          included in net gains (losses) on trading of commodity interests.

     b.   Income taxes have not been  provided as each  partner is  individually
          liable  for the taxes,  if any,  on their  share of the  Partnership's
          income and expenses.

     c.   The preparation of financial  statements in conformity with accounting
          principles generally accepted in the United States of America requires
          management to make estimates and assumptions  that affect the reported
          amounts of assets and liabilities, and disclosure of contingent assets
          and  liabilities  at the  date  of the  financial  statements  and the
          reported amounts of revenues and expenses during the reporting period.
          Actual  results  could differ from these  estimates.

     d.   Certain  prior  period  amounts have been  reclassified  to conform to
          current year presentation.

3.  Agreements:

     a. Limited Partnership Agreement:

          The  General  Partner  administers  the  business  and  affairs of the
          Partnership  including  selecting one or more advisors to make trading
          decisions for the  Partnership.  The Partnership  will pay the General
          Partner a monthly  administrative fee in return for its services equal
          to 1/12 of 0.50%  (0.50%  per  year) of  month-end  Net  Assets of the
          Partnership.  Month-end  Net Assets,  for the  purpose of  calculating
          administrative  fees  are  Net  Assets,  as  defined  in  the  Limited
          Partnership  Agreement,  prior to the  reduction  of  redemptions  and
          incentive fees.

     b. Management Agreement:

          The General Partner, on behalf of the Partnership,  has entered into a
          Management  Agreement with the Advisor, a registered commodity trading
          advisor.  Mr. A. Anthony  Annunziato is the sole trading  principal of
          the  Advisor  and is  also an  employee  of CGM.  The  Partnership  is
          obligated to pay 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 fees
          are Net Assets, as defined in the Limited Partnership Agreement, prior
          to the reduction of redemptions and incentive fees.

          In  addition,  the  Advisor  is  a  Special  Limited  Partner  of  the
          Partnership  and  receives an annual  profit share  allocation  to its
          capital  account  in the  Partnership  equal  to  20%  of New  Trading
          Profits, as  defined in the  Management Agreement, earned on behalf of

                                      F-8
<PAGE>

          the  Partnership  during  each  calendar  year in the form of  Special
          Limited Partner Units.

     c. Customer Agreement:

          All brokerage  commissions,  exchange,  clearing,  user, give-up,  and
          National  Futures  Association  fees will be borne by the  Master  and
          allocated to the Partnership through its investment in the Master. CGM
          will pay a portion of brokerage fees to its financial  consultants who
          have sold  Redeemable  Units in this  Partnership.  The  Partnership's
          assets not held at the Master are held in the Partnership's account at
          CGM. The  Partnership's  cash is deposited by CGM in  segregated  bank
          accounts  to  the  extent   required  by  Commodity   Futures  Trading
          Commission  regulations.  CGM will pay the Partnership interest on 80%
          of the average daily equity allocated to the Partnership by the Master
          during  each  month at a 30-day  U.S.  Treasury  bill rate  determined
          weekly by CGM based on the  average  non-competitive  yield on 3-month
          U.S.  Treasury  bills  maturing in 30 days from the date on which such
          weekly rate is determined.  The Customer Agreement between CGM and the
          Master  gives the Master the legal right to net  unrealized  gains and
          losses. The Customer Agreement may be terminated upon notice by either
          party.

4.   Trading Activities:

     The results of the Master's trading  activities are shown in the statements
     of income and expenses.

5.   Distributions and Redemptions:

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

6.   Offering Costs:

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

     For the period  ended  December  31,  2003 and 2002,  $40,426 and $9,574 of
     these costs have been reimbursed to CGM, by the  Partnership.  In addition,
     the  Partnership has recorded  interest  expense of $669 and $1,076 for the
     period  ended  December  31,  2003 and  2002,  which is  included  in other
     expenses.


                                      F-9
<PAGE>


7.   Financial Highlights:

     Changes in the Net Asset Value per Redeemable Unit of Partnership  interest
     for the year  ended  December  31,  2003 and the  period  from July 1, 2002
     (commencement of operations) to December 31, 2002, is as follows:

<TABLE>
<CAPTION>
<S>                                                                                      <C>            <C>
                                                                                        2003              2002
                                                                                  -------------      ------------
    Net realized and unrealized gains (losses) *                                       $(273.05)          $107.47
    Interest income                                                                        7.42              6.55
    Expenses **                                                                          (23.64)           (33.10)
                                                                                   -------------     ------------
    Increase (decrease) for the period                                                  (289.27)            80.92
    Net asset value per Redeemable Unit, beginning of period                           1,078.66          1,000.00
    Offering cost adjustment                                                                 --             (2.26)
                                                                                   -------------     ------------
    Net asset value per Redeemable Unit, end of period                                   789.39          1,078.66
    Redemption/subscription value per Unit versus
     net asset value per Redeemable Unit                                                     --              0.34
                                                                                   -------------     ------------
    Redemption/subscription value per Redeemable Unit,
     end of period ***                                                                  $789.39         $1,079.00
                                                                                   -------------     ------------

     *    Includes commissions expense allocated from Master
     **   Excludes  commissions  expense  allocated  from  Master  and  includes
          incentive fee allocation to special limited partner.
     ***  For the purpose of a  redemption/subscription,  any remaining  accrued
          liability  for   reimbursement  of  offering  costs  will  not  reduce
          redemption/subscription net asset value per Redeemable Unit.

    Ratios to average net assets:
      Net investment loss before incentive fee allocation ****                           (7.0)%             (5.4)%
                                                                                        -------            ------

      Operating expenses                                                                  7.8%               6.0%
      Incentive fee allocation                                                             --%               2.0%
                                                                                        -------            ------
      Total expenses and incentive fee allocation                                         7.8%               8.0%
                                                                                        -------            ------
    Total return:
      Total return before incentive fee allocation                                      (26.8)%             10.0%
      Incentive fee allocation                                                              --%             (1.9)%
                                                                                         -------            ------
      Total return after incentive fee allocation                                       (26.8)%              8.1%
                                                                                         -------            ------
</TABLE>

    **** Interest  income  less total  expenses  (exclusive  of  incentive  fee
          allocation)

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


                                      F-10
<PAGE>


8.   Financial Instrument Risks:

     In  the  normal   course  of  business,   the   Partnership,   through  the
     Partnership's  investment in the Master, is party to financial  instruments
     with off-balance sheet risk, including derivative financial instruments and
     derivative commodity  instruments.  These financial instruments may include
     forwards,  futures,  options  and  swaps,  whose  values  are based upon an
     underlying asset,  index, or reference rate, and generally represent future
     commitments  to exchange  currencies or cash flows,  or to purchase or sell
     other  financial  instruments at specific terms at specified  future dates,
     or, in the case of derivative commodity  instruments,  to have a reasonable
     possibility  to be settled in cash or with  another  financial  instrument.
     These instruments may be traded on an exchange or over-the-counter ("OTC").
     Exchange  traded  instruments  are  standardized  and  include  futures and
     certain option contracts.  OTC contracts are negotiated between contracting
     parties and include forwards and certain options. Each of these instruments
     is subject  to various  risks  similar to those  related to the  underlying
     financial  instruments  including  market and credit risk. In general,  the
     risks  associated with OTC contracts are greater than those associated with
     exchange traded  instruments  because of the greater risk of default by the
     counterparty  to an OTC  contract.  The  Master's  swap  contracts  are OTC
     contracts.

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

     Credit risk is the possibility  that a loss may occur due to the failure of
     a counterparty to perform according to the terms of a contract. Credit risk
     with respect to exchange  traded  instruments is reduced to the extent that
     an  exchange  or  clearing  organization  acts  as a  counterparty  to  the
     transactions.  The  Partnership's/Master's  risk of loss  in the  event  of
     counterparty  default is typically limited to the amounts recognized in the
     statements of financial  condition and not  represented  by the contract or
     notional amounts of the instruments. The Partnership through its investment
     in the Master has concentration risk because a significant  counterparty or
     broker with respect to the Master's assets is CGM.

     The General Partner monitors and controls the  Partnership's/Master's  risk
     exposure on a daily basis  through  financial,  credit and risk  management
     monitoring  systems,   and  accordingly  believes  that  it  has  effective
     procedures for evaluating and limiting the credit and market risks to which
     the  Partnership/  Master is subject.  These  monitoring  systems allow the
     General Partner to  statistically  analyze actual trading results with risk
     adjusted performance  indicators and correlation  statistics.  In addition,
     on-line  monitoring  systems provide account analysis of futures,  forwards
     and  options  positions  by  sector,  margin  requirements,  gain  and loss
     transactions and collateral positions.

     The majority of these  instruments  mature  within one year of December 31,
     2003. However,  due to the nature of the  Partnership's/Master's  business,
     these instruments may not be held to maturity.

                                      F-11
<PAGE>

Selected  unaudited  quarterly  financial  data for the years ended December 31,
2003 and 2002 are summarized below:
<TABLE>
<CAPTION>
<S>                                             <C>                      <C>                    <C>                    <C>
                                         For the period from      For the period from   For the period from    For the period from
                                         October 1, 2003 to         July 1, 2003 to       April 1, 2003 to      January 1, 2003 to
                                          December 31, 2003       September 30, 2003        June 30, 2003          March 31, 2003

Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions, clearing fees and
 expenses allocated from Master
 including interest income                      $ (7,385,256)       $ 2,099,664           $ 17,563,353           $ (48,292,217)

Net Income (loss)                               $ (8,153,908)       $ 1,342,880           $ 16,871,566           $ (49,025,750)

Increase (decrease) in Net Asset
 Value per Redeemable Unit                          $ (65.83)           $ 10.23               $ 127.27               $ (360.94)

                                                                  For the period from
                                         For the period from         July 1, 2002
                                         October 1, 2002 to  (commencement of operations)
                                          December 31, 2002     to September 30, 2002

Net realized and unrealized trading
 gains net of brokerage
 commissions, clearing fees and
 expenses allocated from Master
 including interest income                       $ 8,753,578        $ 4,716,606

Net Income                                       $ 6,421,745        $ 3,283,578

Increase in Net Asset
 Value per Redeemable Unit                           $ 55.85            $ 25.07
</TABLE>

                                      F-12
<PAGE>
                               To the Members of
                             SB AAA Master Fund LLC

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






By:/s/ Daniel R. McAuliffe, Jr.
       Daniel R. McAuliffe, Jr.
       Chief Financial Officer and Director
       Citigroup Managed Futures LLC
       Managing Member, SB AAA Master Fund LLC

Citigroup Managed Futures LLC
399 Park Avenue
7th Floor
New York, N.Y. 10022
212-559-2011

                                      F-13

<PAGE>

                          Independent Auditors' Report

To the Members of
   SB AAA Master Fund LLC:

We have audited the  accompanying  statements  of financial  condition of SB AAA
Master Fund LLC (the Company), including the condensed schedules of investments,
as of December  31,  2003 and 2002,  and the  related  statements  of income and
expenses,  and  members'  capital  for the years  then  ended.  These  financial
statements   are  the   responsibility   of  the   Company's   management.   Our
responsibility  is to express an opinion on these financial  statements based on
our audits.  The  statements of income and expenses and members'  capital of the
Company  for  the  period  from  September  1,  2001  (commencement  of  trading
operations)  to December  31, 2001 were audited by other  auditors  whose report
dated February 28, 2002 expressed an unqualified opinion on those statements.

We conducted our audits in accordance with auditing standards generally accepted
in the  United  States of  America.  Those  standards  require  that we plan and
perform the audit to obtain  reasonable  assurance  about  whether the financial
statements are free of material misstatement.  An audit includes examining, on a
test basis,  evidence  supporting  the amounts and  disclosures in the financial
statements.  An audit also includes assessing the accounting principles used and
significant  estimates  made by  management,  as well as evaluating  the overall
financial  statement  presentation.   We  believe  that  our  audits  provide  a
reasonable basis for our opinion.

In our opinion,  the financial  statements  referred to above present fairly, in
all material  respects,  the financial  position of SB AAA Master Fund LLC as of
December 31, 2003 and 2002,  and the results of its  operations and its members'
capital for the years then  ended,  in  conformity  with  accounting  principles
generally accepted in the United States of America.

/s/ KPMG LLP
    KPMG LLP
    New York, New York
    February 27, 2004

                                      F-14

<PAGE>

                         Report of Independent Auditors

To the Members of
   SB AAA Master Fund LLC:

In our opinion, the accompanying  statements of income and expenses and members'
capital present fairly, in all material  respects,  the results of SB AAA Master
Fund LLC's  operations  for the period from September 1, 2001  (commencement  of
trading  operations)  to  December  31,  2001,  in  conformity  with  accounting
principles  generally accepted in the United States of America.  These financial
statements are the  responsibility of the management of the Managing Member; our
responsibility  is to express an opinion on these financial  statements based on
our audit.  We conducted our audit of these  financial  statements in accordance
with  auditing  standards  generally  accepted in the United  States of America,
which require that we plan and perform the audit to obtain reasonable  assurance
about whether the financial  statements  are free of material  misstatement.  An
audit includes examining,  on a test basis,  evidence supporting the amounts and
disclosures in the financial  statements,  assessing the  accounting  principles
used and  significant  estimates made by the management of the Managing  Member,
and evaluating the overall financial statement presentation. We believe that our
audit provides a reasonable basis for our opinion.


/s/ PricewaterhouseCoopers LLP
    PricewaterhouseCoopers LLP
    New York, New York
    February 28, 2002


                                      F-15
<PAGE>

                                SB AAA Master Fund LLC
                           Statements of Financial Condition
                              December 31, 2003 and 2002


<TABLE>
<CAPTION>
<S>                                                                     <C>                 <C>
                                                                        2003                2002
                                                                  -------------       -------------
Assets:
  Equity in commodity futures trading account:
    Cash (restricted $48,471,997 and $53,522,255, respectively)    $231,361,103        $330,218,077
    Net unrealized appreciation on open futures positions             8,845,539           9,188,483
    Unrealized appreciation on open swaps positions                  50,093,912          38,011,771
    Commodity options owned, at fair value (cost $49,687,512
    and $63,879,907, respectively)                                   42,630,230          83,252,102
                                                                  --------------      -------------
                                                                    332,930,784         460,670,433
  Due from brokers                                                    2,148,690          12,595,792
  Interest receivable                                                   159,050             283,620
                                                                  --------------      -------------
                                                                   $335,238,524        $473,549,845
                                                                  --------------      -------------



Liabilities and Members' Capital:
  Liabilities:
   Unrealized depreciation on open swap positions                   $18,654,566         $48,470,222
   Commodity options written, at fair value
      (premium received $47,549,852 and $59,666,185, respectively)   57,804,597          67,724,777
   Accrued expenses:
      Commissions                                                     1,670,425           5,210,167
      Professional fees                                                  59,625              20,117
   Due to brokers                                                     1,815,015           1,541,223
   Due to CGM                                                            22,978              22,978
   Distribution payable                                                 153,681             276,908
                                                                  --------------      -------------
                                                                     80,180,887         123,266,392
  Members' Capital:
    Members' Capital, 211,023.7320 and 216,158.4103 Units
     outstanding in 2003 and 2002, respectively                     255,057,637         350,283,453
                                                                  --------------      -------------
                                                                   $335,238,524        $473,549,845
                                                                  -------------       -------------
</TABLE>


  See accompanying notes to financial statements.

                                      F-16
<PAGE>

                                SB AAA Master Fund LLC
                           Condensed Schedule of Investments
                                   December 31, 2003

<TABLE>
<CAPTION>
<S>             <C>                          <C>                                        <C>
              Number of
Sector        Contracts                    Contract                                  Fair Value
------        ---------                    --------                                   ----------
Energy                         Futures contracts purchased 5.35%                    $13,637,465
                               Futures contracts sold (1.88)%                        (4,791,926)
                                                                                    ------------
                                 Total futures contracts 3.47%                        8,845,539


                               Options owned 16.71%
                  6,488        NYMEX Natural Gas Put Feb. 04 - Oct 04  8.98%         22,900,060
                               Other 7.73%                                           19,730,170
                                                                                    ------------
                                                                                     42,630,230

                               Options written (22.66)%
                  7,335        NYMEX Natural Gas Call Feb. 04 - Dec 04 (16.04)%     (40,916,710)
                               Other (6.62)%                                        (16,887,887)
                                                                                    ------------
                                                                                    (57,804,597)

                               Unrealized appreciation on Swaps contracts 19.64%
                  1,000        HH Natural Gas Feb - 04  8.22%                        20,967,521
                               Other 11.42%                                          29,126,391
                                                                                    ------------
                                                                                     50,093,912

                               Unrealized depreciation on Swaps contracts (7.31)%   (18,654,566)
                                                                                    ------------
Total Energy Fair Value 9.85%                                                       $25,110,518
                                                                                   ------------

                                                      Investments at      % of Investments at
                    Country Composition                 Fair Value            Fair Value
                    --------------------             ---------------       --------------
                    United Kingdom                     $(113,943)              (0.45)%
                    United States                     25,224,461              100.45
                                                      -----------            -------
                                                     $25,110,518              100.00%
                                                     -----------             -------
</TABLE>





Percentages are based on Members' Capital unless otherwise indicated.
See accompanying  notes to financial statements.

                                      F-17
<PAGE>

                                SB AAA Master Fund LLC
                           Condensed Schedule of Investments
                                   December 31, 2002

<TABLE>
<CAPTION>
<S>                  <C>                          <C>                                                  <C>
                 Number of
Sector           Contracts                      Contract                                            Fair Value
------           ---------                      --------                                            ----------
Energy                            Futures contracts purchased 17.92%
                     6,228        IPE Gas Oil 5.45% Jan. - Feb. 2003                               $19,089,003
                                  Other 12.47%                                                      43,677,214
                                                                                                   ------------
                                                                                                    62,766,217

                                  Futures contracts sold (15.30)%
                    13,454        NYMEX Light Sweet Crude Oil (7.22)% Feb. 03 - June 04            (25,271,391)
                     7,578        NYMEX Natural Gas (6.05)% Feb. 03 - Feb. 04                      (21,203,640)
                                  Other (2.03)%                                                     (7,102,703)
                                                                                                   ------------
                                                                                                   (53,577,734)

                                  Options owned 23.77%
                     7,293        NYMEX Natural Gas Call 10.40% Feb. 03 - June 03                   36,430,400
                     5,325        NYMEX Natural Gas Put 5.37% Feb. 03 - June 03                     18,812,110
                                  Other 8.00%                                                       28,009,592
                                                                                                   ------------
                                                                                                    83,252,102

                                  Options written (19.33)%
                    12,086        NYMEX Light Sweet Crude Call (6.90)% Feb. 03 - June 03           (24,193,640)
                                  Other (12.43)%                                                   (43,531,137)
                                                                                                   ------------
                                                                                                   (67,724,777)

                                  Unrealized appreciation on Swaps contracts 10.85%
                     3,354        NYMEX Natural Gas 5.46%                                           19,130,237
                                  Other 5.39%                                                       18,881,534
                                                                                                   ------------
                                                                                                    38,011,771

                                  Unrealized depreciation on Swaps contracts (13.84)%
                     1,809        NYMEX Natural Gas (5.17)%                                        (18,107,814)
                                  Other (8.67)%                                                    (30,362,408)
                                                                                                   ------------
                                                                                                   (48,470,222)
                                                                                                   ------------
    Total Energy 4.07%                                                                              14,257,357
                                                                                                   ------------
Total Fair Value 4.07%                                                                             $14,257,357
                                                                                                  ------------
                                                      Investments at      % of Investments at
                    Country Composition                 Fair Value            Fair Value
                    -------------------               ------------          -----------
                    United Kingdom                      $25,728,485           180.46%
                    United States                       (11,471,128)          (80.46)
                                                       -----------            -------
                                                        $14,257,357          100.00%
                                                       -----------            -------
</TABLE>


Percentages are based on Members' Capital unless otherwise indicated.
See accompanying notes to financial statements.

                                      F-18
<PAGE>

                             SB AAA Master Fund LLC
                        Statements of Income and Expenses
                 for the years ended December 31, 2003 and 2002
                    and for the period from September 1, 2001
                      (commencement of trading operations)
                              to December 31, 2001


<TABLE>
<CAPTION>
<S>                                                         <C>                  <C>                <C>
                                                            2003               2002                2001
                                                        ------------        ------------        ------------
Income:
  Net gains (losses) on trading
   of commodity interests:
   Realized gains (losses) on closed positions          $(89,228,388)        $96,247,547        $23,522,245
   Change in unrealized gains (losses) on
    open positions                                        12,929,224           7,940,877         (5,652,277)
                                                        ------------        ------------        ------------
                                                         (76,299,164)        104,188,424         17,869,968
  Interest income                                          2,459,477           3,255,591             21,054
                                                         ------------        ------------        ------------
                                                         (73,839,687)        107,444,015         17,891,022
                                                         ------------        ------------        ------------
Expenses:
  Brokerage commissions including clearing fees
   of $2,041,075, $2,515,609 and $361,342,
   respectively                                           13,877,538          21,769,166          2,992,446
  Other expenses                                             347,628              37,083             38,000
                                                         ------------        ------------        ------------
                                                          14,225,166          21,806,249          3,030,446
                                                        ------------        ------------        ------------
Net income (loss)                                       $(88,064,853)        $85,637,766        $14,860,576
                                                         ------------        ------------        ------------
Net income (loss) per Unit of Member Interest
(Notes 1 and 6)                                            $(400.99)             $525.84            $109.24
                                                        ------------        ------------        ------------
</TABLE>



 See accompanying notes to financial statements.


                                      F-19
<PAGE>

                             SB AAA Master Fund LLC
                         Statements of Members' Capital
                 for the years ended December 31, 2003 and 2002
                    and for the period from September 1, 2001
                      (commencement of trading operations)
                              to December 31, 2001


<TABLE>
<CAPTION>
<S>                                                      <C>
                                                        Members'
                                                        Capital
                                                     -------------
Initial in-kind contribution from the Members
  representing 133,712.5867 Units                    $133,712,587
Net Income                                             14,860,576
Sale of 6,891.1523 Units of
  Member Interest                                       6,104,660
Redemptions of 3,379.4396 Units of
  Member Interest                                      (2,463,100)
                                                     -------------
Members' Capital at December 31, 2001                 152,214,723
Net Income                                             85,637,766
Sale of 103,668.6762 Units of
  Member Interest                                     149,182,059
Redemptions of 24,734.5653 Units of
  Member Interest                                     (33,598,368)
Distribution of Interest to feeder funds               (3,152,727)
                                                     -------------
Members' Capital at December 31, 2002                 350,283,453
Net Loss                                              (88,064,853)
Sale of 39,745.9253 Units of
  Member Interest                                      54,393,460
Redemptions of 44,880.6036 Units of
  Member Interest                                     (59,184,213)
Distribution of Interest to feeder funds               (2,370,210)
                                                     -------------
Members' Capital at December 31, 2003                $255,057,637
                                                     -------------
</TABLE>




See accompanying notes to financial statements.

                                      F-20
<PAGE>


                             SB AAA Master Fund LLC
                          Notes to Financial Statements


1.  General:

     SB AAA Master Fund LLC (the "Master") is a limited liability company formed
     under the New York Limited  Liability  Company Law. The Master's purpose is
     to  engage  in  the  speculative  trading  of a  diversified  portfolio  of
     commodity  interests  including  commodity  futures contracts and commodity
     options contracts on United States exchanges and certain foreign exchanges.
     The Master may trade commodity futures and option contracts of any kind but
     intends  initially to trade solely energy and energy related  products.  In
     addition,  the  Master  may  enter  into  swap  contracts.  The  Master  is
     authorized  to sell an  unlimited  number  of  units  ("Units")  of  member
     interest.

     On  September  1, 2001 (date Master  commenced  trading),  Smith Barney AAA
     Energy Fund L.P.  ("AAA")  allocated  substantially  all of its capital and
     Smith Barney Orion  Futures Fund L.P  ("Orion")  allocated a portion of its
     capital  to  the  Master.  With  this  cash,  the  Partnerships   purchased
     133,712.5867  Units  of  the  Master  with  a fair  value  of  $133,712,587
     (including unrealized appreciation of $7,755,035). On July 1, 2002, Salomon
     Smith Barney AAA Energy Fund L.P. II ("AAA II") allocated substantially all
     of its capital to the Master and  purchased  64,945.0387  Units with a fair
     value of  $94,925,000.  The  Master was  formed to permit  commodity  pools
     managed  now  or in  the  future  by  AAA  Capital  Management,  Inc.  (the
     "Advisor") using the Energy with Swaps Program,  the Advisor's  proprietary
     trading program, to invest together in one vehicle.

     The  Master  operates  under a  "master/feeder  fund"  structure  where its
     investors consist of AAA, AAA II, Orion and Pinnacle Natural Resources,  LP
     (each a "Member", collectively the "Feeder Funds") with 47.6%, 38.8%, 13.1%
     and 0.5% investments in the Master at December 31, 2003, respectively.

     Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management
     LLC, acts as the managing member (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 is  wholly-owned  by Citigroup  Global Markets
     Holdings Inc. ("CGMHI"), formerly Salomon Smith Barney Holdings Inc., which
     is the sole owner of CGM. CGMHI is a  wholly-owned  subsidiary of Citigroup
     Inc.  Effective  as of December  31, 2001,  all trading  decisions  for the
     Master are made by the Advisor.

2.  Accounting Policies:

     a.   All commodity interests (including  derivative  financial  instruments
          and derivative  commodity  instruments) are used for trading purposes.
          The commodity  interests are recorded on trade date and open contracts
          are recorded in the statements of financial condition at fair value on
          the last business day of the year, which  represents  market value for
          those  commodity  interests  for which market  quotations  are readily
          available  or other  measures  of fair  value  deemed  appropriate  by
          management of the Managing  Member for those  commodity  interests and
          foreign  currencies  for  which  market  quotations  are  not  readily
          available,  including  dealer  quotes  for  swaps and  certain  option
          contracts.  Investments in commodity interests  denominated in foreign
          currencies  are  translated  into U.S.  dollars at the exchange  rates
          prevailing  on the  last  business  day of the  year.  Realized  gains
          (losses) and changes in unrealized  gains  (losses) on open  positions
          are  recognized  in the period in which the  contract is closed or the
          changes  occur and are  included  in net gains  (losses) on trading of
          commodity interests.

     b.   The Master  may  purchase  and write  (sell)  options.  An option is a
          contract allowing, but not requiring, its holder to buy (call) or sell
          (put) a specific or standard  commodity or financial  instrument  at a
          specified price during a specified time period.  The option premium is
          the total price paid or received for the option contract.


                                      F-21
<PAGE>

          When the Master writes an option,  the premium received is recorded as
          a liability in the  statements  of financial  condition  and marked to
          market daily. When the Master purchases an option, the premium paid is
          recorded as an asset in the  statements  of  financial  condition  and
          marked to market daily.

     c.   All of the income and expenses and realized and  unrealized  gains and
          losses on  trading  of  commodity  interests  are  determined  on each
          valuation  day and  allocated  pro rata among the Feeder  Funds at the
          time of such determination.

     d.   Income  taxes have not been  provided  as each  partner of each of the
          members (the Feeder Funds) is  individually  liable for the taxes,  if
          any,  on their  share of the  Master's  income  and  expenses.  e. The
          preparation  of financial  statements  in conformity  with  accounting
          principles generally accepted in the United States of America requires
          management to make estimates and assumptions  that affect the reported
          amounts of assets and liabilities, and disclosure of contingent assets
          and  liabilities  at the  date  of the  financial  statements  and the
          reported amounts of revenues and expenses during the reporting period.
          Actual  results  could differ from these  estimates.

     f.   Certain  prior  period  amounts have been  reclassified  to conform to
          current year presentation.

3. Agreements:

     a.   Managing Member Agreement:

          The Managing Member administers the business affairs of the Master.

     b.   Management Agreement:

          The  Managing  Member,  on behalf of the  Master  has  entered  into a
          Management  Agreement with the Advisor, a registered commodity trading
          advisor.  The Advisor is affiliated  with the Managing  Member and CGM
          but is not  responsible  for  the  organization  or  operation  of the
          Master.  The Management  Agreement  provides that the Advisor has sole
          discretion in determining  the investment of the assets of the Master.
          All management fees in connection with the Management  Agreement shall
          be borne by the Feeder Funds.

     c.   Customer Agreement:

          The Master has entered into a Customer  Agreement with CGM whereby CGM
          provides services which include,  among other things, the execution of
          transactions for the Master's account in accordance with orders placed
          by the Advisor.  The Master will pay CGM brokerage  commissions at $18
          per  round  turn  for  futures,  options  and swap  transactions.  The
          brokerage  fee  is  inclusive  of  applicable  floor  brokerage.   All
          exchange,  clearing,  user,  give-up and National Futures  Association
          fees  are  borne by the  Master.  All  other  fees  (management  fees,
          administrative fees, incentive fees and offering costs) shall be borne
          by the Feeder  Funds.  All of the Master's cash is deposited by CGM in
          segregated bank accounts,  to the extent required by Commodity Futures
          Trading  Commission  regulations.  At December 31, 2003 and 2002,  the
          amount  of  cash  held  by the  Master  for  margin  requirements  was
          $48,471,997  and  $53,522,255,  respectively.  The Customer  Agreement
          between  the Master  and CGM gives the  Master the legal  right to net
          unrealized gains and losses.  The Customer Agreement may be terminated
          by either  party.  All  commissions  in  connection  with the Customer
          Agreement shall be borne by the Feeder Funds.

                                      F-22
<PAGE>

4.  Trading Activities:

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

     All of the  commodity  interests  owned by the Master are held for  trading
     purposes. The average fair values for the years ended December 31, 2003 and
     2002 based on a monthly  calculation,  were  $39,703,607  and  $13,217,805,
     respectively.  The fair  values  of these  commodity  interests,  including
     options  thereon,  if  applicable,  at  December  31,  2003 and  2002  were
     $25,110,518 and $14,257,357, respectively.

5.  Distributions and Redemptions:

     Distributions  of profits,  if any, will be made at the sole  discretion of
     the Managing Member and at such time as the Managing  Member may decide.  A
     member  may  require  the Master to redeem  their  Units at their Net Asset
     Value as of the last day of the month.  The  Managing  Member,  at its sole
     discretion,  may permit redemptions more frequently than monthly.  There is
     no fee charged to members in connection with redemptions.

6.  Financial Highlights:

     Changes in the Net Asset  Value per Unit of Member  interest  for the years
     ended  December 31, 2003 and 2002 and for the period from September 1, 2001
     (commencement of trading operations) to December 31, 2001 were as follows:

<TABLE>
<CAPTION>
<S>                                                           <C>          <C>         <C>
                                                             2003         2002         2001
                                                          ---------    -----------  ----------
     Net realized and unrealized gains (losses)*           $(410.62)     $510.93      $109.36
     Interest income                                          11.23        15.13         0.16
     Expenses **                                              (1.60)       (0.22)       (0.28)
                                                          ---------    -----------  ----------
     Increase (decrease) for year                           (400.99)      525.84       109.24
     Distributions                                           (10.84)      (14.59)          --
     Net asset value per Unit, beginning of year/period    1,620.49     1,109.24     1,000.00
                                                          ---------    -----------  ----------
     Net asset value per Unit, end of year/period         $1,208.66    $1,620.49    $1,109.24
                                                          ---------    -----------  ----------
     *    Includes brokerage commissions
     **   Excludes brokerage commissions

     Ratio to average net assets:
       Net investment loss ***                                (4.1)%       (8.9)%       (2.1)%****
       Operating expenses                                      5.0%         9.0%         6.5%****
     Total Return                                            (24.7)%       47.4%        10.9%
     ***  Interest income less total expenses
     **** Annualized
     The above ratios may vary for individual  investors  based on the timing of
     capital transactions during the year.
</TABLE>


                                      F-23
<PAGE>

7.  Financial Instrument Risks:

     In the normal  course of its  business,  the  Master is party to  financial
     instruments with off-balance  sheet risk,  including  derivative  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 reference  rate, and generally
     represent  future  commitments  to exchange  currencies  or cash flows,  to
     purchase or sell other financial instruments at specific terms at specified
     future dates, or, in the case of derivative commodity instruments,  to have
     a reasonable  possibility to be settled in cash,  through physical delivery
     or with another financial instrument. These instruments may be traded on an
     exchange or  over-the-counter  ("OTC").  Exchange  traded  instruments  are
     standardized  and  include  futures  and  certain  option  contracts.   OTC
     contracts are negotiated between  contracting  parties and include forwards
     and certain options.  Each of these instruments is subject to various risks
     similar to those related to the underlying financial  instruments including
     market and credit risk. In general, the risks associated with OTC contracts
     are greater than those associated with exchange traded instruments  because
     of the greater risk of default by the counterparty to an OTC contract.

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

     Credit risk is the possibility  that a loss may occur due to the failure of
     a counterparty to perform according to the terms of a contract. Credit risk
     with respect to exchange  traded  instruments is reduced to the extent that
     an  exchange  or  clearing  organization  acts  as a  counterparty  to  the
     transactions.  The  Master's  risk  of loss in the  event  of  counterparty
     default is typically limited to the amounts recognized in the statements of
     financial condition and not represented by the contract or notional amounts
     of the instruments. The Master has concentration risk because a significant
     counterparty  or broker with respect to the  Master's  assets is CGM. As of
     December 31, 2003, the  counterparties  to the Master's swap contracts were
     Citibank, N.A., which is affiliated with the Master, Morgan Stanley Capital
     Group Inc., J. Aron & Company and Hess Trading Company, LLC.

     The Managing  Member  monitors and controls the Master's risk exposure on a
     daily  basis  through  financial,  credit  and risk  management  monitoring
     systems and,  accordingly  believes  that it has effective  procedures  for
     evaluating  and limiting the credit and market risks to which the Master is
     subject.   These   monitoring   systems   allow  the  Managing   Member  to
     statistically analyze actual trading results with risk adjusted performance
     indicators and  correlation  statistics.  In addition,  on-line  monitoring
     systems provide account analysis of futures, forwards and options positions
     by sector,  margin requirements,  gain and loss transactions and collateral
     positions.

     The majority of these  instruments  mature  within one year of December 31,
     2003.  However,  due  to  the  nature  of  the  Master's  business,   these
     instruments may not be held to maturity.

                                      F-24
<PAGE>

Selected  unaudited  quarterly  financial  data for the years ended December 31,
2003 and 2002 are summarized below:

<TABLE>
<CAPTION>
<S>                                                <C>                    <C>                    <C>                     <C>
                                           For the period from    For the period from    For the period from     For the period from
                                           October 1, 2003 to        July 1, 2003 to       April 1, 2003 to       January 1, 2003 to
                                            December 31, 2003      September 30, 2003        June 30, 2003           March 31, 2003

Net realized and unrealized trading
 gains (losses) net of brokerage
 commissions and clearing fees
 including interest income                $ (19,076,349)              $ 5,417,949             $ 43,551,945         $ (117,610,770)

Net Income (loss)                         $ (19,209,758)              $ 5,222,221             $ 43,542,648         $ (117,619,964)

Increase (decrease) in Net Asset
 Value per Redeemable Unit                     $ (91.62)                  $ 24.17                 $ 196.92              $ (530.46)

                                           For the period from    For the period from    For the period from     For the period from
                                           October 1, 2002 to       July 1, 2002 to       April 1, 2002 to       January 1, 2002 to
                                            December 31, 2002     September 30, 2002       June 30, 2002           March 31, 2002

Net realized and unrealized trading
 gains net of brokerage
 commissions and clearing fees
 including interest income                 $ 24,053,583              $ 13,555,805             $ 21,669,451           $ 26,396,010

Net Income                                 $ 24,044,185              $ 13,546,406             $ 21,660,359           $ 26,386,816

Increase in Net Asset
 Value per Redeemable Unit                     $ 111.45                   $ 62.01                 $ 158.46               $ 193.92
</TABLE>



                                      F-25





<PAGE>


Item  9.  Changes  in and  Disagreements  with  Accountants  on  Accounting  and
          Financial Disclosure.

     PricewaterhouseCoopers  LLP was previously the principal accountant for the
Master.  On July 9, 2002,  that firm was dismissed as principal  accountant  and
KPMG LLP was engaged as principal accountant. The decision to change accountants
was approved by the general partner of the Partnership.

     In  connection  with the audit of the fiscal year ended  December 31, 2001,
and   through    July   9,   2002,    there   were   no    disagreements    with
PricewaterhouseCoopers  LLP on any matter of accounting principles or practices,
financial  statement  disclosure,   or  auditing  scope  or  procedures,   which
disagreements  if not resolved to their  satisfaction  would have caused them to
make reference thereto in their report on the financial statements for the year.

     The audit report of PricewaterhouseCoopers  LLP on the financial statements
of the Master as of and for the year ended December 31, 2001 did not contain any
adverse opinion or disclaimer of opinion, nor were they qualified or modified as
to uncertainty, audit scope, or accounting principle.

Item 9A.  Controls and Procedures

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

     There were no significant changes in the Partnership's internal controls or
in other factors that could significantly affect such controls subsequent to the
date of their evaluation as of year end.

                                    PART III

Item 10.  Directors and Executive Officers of the Registrant.

     The Partnership has no officers or directors and its affairs are managed by
its General Partner,  Citigroup  Managed Futures LLC.  Investment  decisions are
made by the Advisor, AAA Capital Management, Inc.

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

Item 11.  Executive Compensation.

     The  Partnership  has no directors or officers.  Its affairs are managed by
Citigroup Managed Futures LLC, its General Partner,  which receives compensation
for its services,  as set forth under "Item 1.  Business."  CGM, an affiliate of
the General  Partner,  is the commodity  broker for the Partnership and receives
brokerage  commissions for such services, as described under "Item 1. Business."
During the year ended  December 31,  2003,  CGM earned  $5,685,484  in brokerage
commissions and clearing fees from the Partnership and through the Partnership's
investment in the Master.  The Advisor  earned  $2,233,848  in  management  fees
during 2003. The General Partner earned $558,459 in  administrative  fees during
2003.

                                       28
<PAGE>

Item 12.  Security Ownership of Certain Beneficial Owners and Management.

     (a) Security  ownership of certain beneficial owners. The Partnership knows
of no  person  who  beneficially  owns  more  than  5% of the  Redeemable  Units
outstanding.

     (b)  Security  ownership  of  management.  Under the  terms of the  Limited
Partnership  Agreement,  the  Partnership's  affairs  are managed by the General
Partner.  The  General  Partner  owns  Units  of  general  partnership  interest
equivalent  to  2,476.2826  (2.0%) Units of Limited  Partnership  Interest as of
December 31, 2003.

Principals who own Redeemable Units of the Partnership:
David J. Vogel                 20.0000 Redeemable Units
Maureen O'Toole                23.4030 Redeemable Units
Steve Keltz                    24.1187 Redeemable Units

     (c) Changes in control. None.

Item 13.  Certain Relationships and Related Transactions.

     Citigroup  Global  Markets  and  Citigroup  Managed  Futures  LLC  would be
considered  promoters for purposes of item 404(d) of Regulation  S-K. The nature
and the amounts of compensation  each promoter will receive from the Partnership
are set forth under  "Item 1.  Business.',  "Item 8.  Financial  Statements  and
Supplementary Data." and "Item 11. Executive Compensation."

Item 14. Principal Accountant Fees and Services

     (a) Audit Fees.  The aggregate  fees billed for each of the last two fiscal
years  for  professional  services  rendered  by  KPMG  for  the  audit  of  the
Partnership's  annual  financial  statements,  review  of  financial  statements
included in the Partnership's Forms 10-Q and other services normally provided in
connection with regulatory filings or engagements are as follows:

2002 $17,974
2003 $29,494

     (b)  Audit-Related Fees. None

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

2002 $4,809
2003 $4,809

     (d)  All Other Fees. None.

     (e)  Not Applicable.

     (f)  Not Applicable.

                                       29
<PAGE>

                                     PART IV



Item 15.  Exhibits, Financial Statement Schedules, and Reports on Form 8-K.

     (a)  (1)  Financial  Statements:   Statements  of  Financial  Condition  at
               December 31, 2003 and 2002.

               Statements of Income and Expenses for the year ended December 31,
               2003 and the period July 1, 2002  (commencement of operations) to
               December 31, 2002.

               Statements of Partners'  Capital for the year ended  December 31,
               2003  and  the  period  March  25,  2002  (date  Partnership  was
               organized) to December 31, 2002.

               Notes to Financial Statements

          (2)  Financial Statement  Schedules:  Financial Data Schedule for year
               ended December 31, 2003.

          (3)  Exhibits:

               3.1  Certificate of Limited Partnership (previously filed).

               3.2  Limited Partnership Agreement (previously filed).

               10.1 - Advisory  Agreement  among the  Partnership,  the  General
                    Partner and AAA Capital Management, Inc. (previously filed).

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

               10.3 - Customer  Agreement  between  the Master  Partnership  and
                    Salomon   Smith  Barney  Inc.  (the   predecessor   to  CGM)
                    (previously filed).

               10.4 -  Agency  Agreement  between  the  Partnership,   Citigroup
                    Managed  Futures LLC and  Salomon  Smith  Barney  Inc.  (the
                    predecessor to CGM) (previously filed).

               10.5 - Form of Subscription Agreement (previously filed).

               10.6 - Letter from the General Partner to AAA Capital Management,
                    Inc.  extending  the  Advisory  Agreement  for  2003  (filed
                    herein).

                    The exhibits  required to be filed by item 601 of Regulation
                    S-K are incorporated herein by reference.

               16.1 - Letter from PricewaterhouseCoopers LLP (filed herein).

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

               31.2 - Rule 13a-14(a)/15d-14(a)  Certification  (Certification of
                    Chief Financial Officer and Director).

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

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

     (b)  Report on Form 8-K: None Filed.


                                       30
<PAGE>


     Supplemental  Information  To Be Furnished  With Reports Filed  Pursuant To
Section 15(d) Of The Act by  Registrants  Which Have Not  Registered  Securities
Pursuant To Section 12 Of the Act.













Annual Report to Limited Partners

No proxy material has been sent to Limited Partners.

                                       31
<PAGE>

                                   SIGNATURES

     Pursuant  to the  requirements  of  Section  13 or 15(d) of the  Securities
Exchange Act of 1934,  the Registrant has duly caused this annual report on Form
10-K  authorized,  in the City of New York and State of New York on the 15th day
of March 2004.



SALOMON SMITH BARNEY AAA ENERGY FUTURES PARTNERSHIP L.P II



By:  Citigroup Managed Futures LLC
     (General Partner)



By /s/ David J. Vogel
       David J. Vogel, President & Director



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





/s/ David J. Vogel                               /s/ Shelley Ullman
    David J. Vogel                                   Shelley Ullman
    Director, Principal Executive                    Director
    Officer and President



/a/ Maureen O'Toole                              /s/ Steve J. Keltz
    Maureen O'Toole                                  Steve J. Keltz
    Director                                         Secretary and Director



/a/ Daniel R. McAuliffe, Jr.
    Daniel R. McAuliffe, Jr.
    Chief Financial Officer and
    Director


                                       32
<PAGE>

                                                                   Exhibit 31.1
                                  CERTIFICATION


I, David J. Vogel, certify that:

1. I have  reviewed this  quarterly  report on Form 10-K of Salomon Smith Barney
AAA Energy Partnership L.P. II (the "registrant");

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact  necessary to make the statements
made, in light of the  circumstances  under which such statements were made, not
misleading with respect to the period covered by this report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this report, fairly present in all material respects the
financial  condition and results of operations of the registrant as of, and for,
the periods presented in this report;

4.  The  registrant's  other  certifying  officer  and  I  are  responsible  for
establishing and maintaining  disclosure  controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

a)   designed such disclosure controls and procedures, or caused such disclosure
     controls and  procedures to be designed  under our  supervision,  to ensure
     that material information  relating to the registrant,  is made known to us
     by others within those  entities,  particularly  during the period in which
     this report is being prepared;

b)   evaluated the  effectiveness  of the registrant's  disclosure  controls and
     procedures  and  presented  in  this  report  our  conclusions   about  the
     effectiveness of the disclosure  controls and procedures,  as of the end of
     the period covered by this report based on such evaluation; and

c)   disclosed in this report any change in the  registrant's  internal  control
     over financial  reporting that occurred during the registrant's most recent
     fiscal  quarter (the  registrant's  fourth fiscal quarter in the case of an
     annual report) that has  materially  affected,  or is reasonably  likely to
     materially  affect,  the  registrant's   internal  control  over  financial
     reporting; and


5. The registrant's other certifying officer and I have disclosed,  based on our
most recent  evaluation of internal  control over  financial  reporting,  to the
registrant's  auditors  and the audit  committee  of the  registrant's  board of
directors (or persons performing the equivalent functions):

a)   all  significant  deficiencies  and  material  weaknesses  in the design or
     operation of internal control over financial reporting which are reasonably
     likely to adversely  affect the  registrant's  ability to record,  process,
     summarize and report financial information; and

b)   any fraud,  whether or not  material,  that  involves  management  or other
     employees who have a significant role in the registrant's  internal control
     over financial reporting.


Date: March 15, 2004
                                           /s/  David. Vogel
                                                David J. Vogel
                                                Citigroup Managed Futures LLC
                                                President and Director


                                       33
<PAGE>

                                                                    Exhibit 31.2
                                  CERTIFICATION

I, Daniel R. McAuliffe, Jr., certify that:

1. I have  reviewed this  quarterly  report on Form 10-K of Salomon Smith Barney
AAA Energy Partnership L.P. II (the "registrant");

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact  necessary to make the statements
made, in light of the  circumstances  under which such statements were made, not
misleading with respect to the period covered by this report;

3.  Based  on my  knowledge,  the  financial  statements,  and  other  financial
information included in this report, fairly present in all material respects the
financial  condition and results of operations of the registrant as of, and for,
the periods presented in this report;

4.  The  registrant's  other  certifying  officer  and  I  are  responsible  for
establishing and maintaining  disclosure  controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant
and have:

a)   designed such disclosure controls and procedures, or caused such disclosure
     controls and  procedures to be designed  under our  supervision,  to ensure
     that material information  relating to the registrant,  is made known to us
     by others within those  entities,  particularly  during the period in which
     this report is being prepared;

b)   evaluated the  effectiveness  of the registrant's  disclosure  controls and
     procedures  and  presented  in  this  report  our  conclusions   about  the
     effectiveness of the disclosure  controls and procedures,  as of the end of
     the period covered by this report based on such evaluation; and

c)   disclosed in this report any change in the  registrant's  internal  control
     over financial  reporting that occurred during the registrant's most recent
     fiscal  quarter (the  registrant's  fourth fiscal quarter in the case of an
     annual report) that has  materially  affected,  or is reasonably  likely to
     materially  affect,  the  registrant's   internal  control  over  financial
     reporting; and

5. The registrant's other certifying officer and I have disclosed,  based on our
most recent  evaluation of internal  control over  financial  reporting,  to the
registrant's  auditors  and the audit  committee  of the  registrant's  board of
directors (or persons performing the equivalent functions):

a)   all  significant  deficiencies  and  material  weaknesses  in the design or
     operation of internal control over financial reporting which are reasonably
     likely to adversely  affect the  registrant's  ability to record,  process,
     summarize and report financial information; and

b)   any fraud,  whether or not  material,  that  involves  management  or other
     employees who have a significant role in the registrant's  internal control
     over financial reporting.


Date: March 15, 2004
                                       /s/  Daniel R. Mcauliffe, Jr.
                                            Daniel R. McAuliffe, Jr.
                                            Citigroup Managed Futures LLC
                                            Chief Financial Officer and Director


                                       34
<PAGE>

                                                                    Exhibit 32.1


                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002


In  connection  with the  Annual  Report of  Salomon  Smith  Barney  AAA  Energy
Partnership  L.P.  II (the  "Partnership")  on Form 10-K for the  period  ending
December 31, 2003 as filed with the  Securities  and Exchange  Commission on the
date  hereof  (the  "Report"),  I, David J.  Vogel,  President  and  Director of
Citigroup  Managed  Futures LLC,  certify,  pursuant to 18 U.S.C.  ss. 1350,  as
adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:

     (1) The Report fully  complies  with the  requirements  of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and

     (2)  The  information  contained  in the  Report  fairly  presents,  in all
material  respects,  the  financial  condition  and results of operations of the
Partnership.


/s/ David J. Vogel
    David J. Vogel
    Citigroup Managed Futures LLC
    President and Director

Date: March 15, 2004


                                       35
<PAGE>

                                                                    Exhibit 32.2


                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002


In  connection  with the  Annual  Report of  Salomon  Smith  Barney  AAA  Energy
Partnership  L.P.  II (the  "Partnership")  on Form 10-K for the  period  ending
December 31, 2003 as filed with the  Securities  and Exchange  Commission on the
date hereof (the "Report"), I, Daniel R. McAuliffe, Jr., Chief Financial Officer
and Director of Citigroup  Managed Futures LLC,  certify,  pursuant to 18 U.S.C.
ss.  1350,  as adopted  pursuant to ss. 906 of the  Sarbanes-Oxley  Act of 2002,
that:

     (1) The Report fully  complies  with the  requirements  of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and

     (2)  The  information  contained  in the  Report  fairly  presents,  in all
material  respects,  the  financial  condition  and results of operations of the
Partnership.




/s/ Daniel R. McAuliffe, Jr.
    Daniel R. McAuliffe, Jr.
    Citigroup Managed Futures LLC
    Chief Financial Officer and Director

Date: March 15, 2004


                                       36
<PAGE>
                       Smith Barney Futures Management LLC
                         388 Greenwich Street, 7th Floor
                          New York, New York 10013-2396

June 11, 2002



AAA Capital Management Inc.
5051 Westheimer - Suite 2100
Houston, Texas 77056

Attention:  Mr. Anthony Annunziato

         Re:      Management Agreement Renewals

Dear Mr. Annunziato:

We are  writing  with  respect  to your  management  agreements  concerning  the
commodity pools to which reference is made below (the "Management  Agreements").
We are extending the term of the Management Agreements through June 30, 2003 and
all other provisions of the Management Agreements will remain unchanged.

o        Smith Barney AAA Energy Fund L.P.
o        SB AAA Master Fund LLC
o        Salomon Smith Barney Orion Futures Fund L.P.
o        Aurora 2001

Please  acknowledge  receipt of this  modification  by signing  one copy of this
letter and returning it to the attention of Mr. Daniel  McAuliffe at the address
above or fax to  212-723-8985.  If you have any  questions  I can be  reached at
212-723-5435.

Very truly yours,

SMITH BARNEY FUTURES MANAGEMENT LLC


By:  /s/ Daniel R. McAuliffe, Jr.
         Daniel R. McAuliffe, Jr.
         Chief Financial Officer & Director

AGREED AND ACCEPTED
AAA Capital Management Inc.