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

FORM 10-K

Annual ReportPursuant to Section 13 or 15(d) of the Securities Exchange Act of1934

For the Fiscal Year Ended December 31, 2005

Commission File Number 0-50272

SALOMON SMITH BARNEY AAA ENERGY FUND L.P. II

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(Exact name ofregistrant as specified in its charter)

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| NewYork                                                      |  | 03-0407557                         |
| (State or otherjurisdiction of incorporation ororganization) |  | (I.R.S. EmployerIdentificationNo.) |
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c/o Citigroup Managed FuturesLLC731 Lexington Avenue – 25th Fl. New York, New York10022

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(Addressand Zip Code of principal executive offices)

(212)559-2011

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(Registrant'stelephone number, including area code)

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

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

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

Yes [  ]    No[X]

Indicate by check mark if the registrant isnot required to file reports pursuant to Section 13 or Section 15(d) ofthe Act.

Yes [  ]    No[X]

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

YesX        No     

Indicate by check mark if disclosure of delinquentfilers 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 referencein Part III of this Form 10-K or any amendment to this form 10-K[X]

Indicate by check mark whether theregistrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer (as defined in Rule 12b-2 of the Act).

Large accelerated filer[  ]    Accelerated filer[  ]    Non-accelerated filer[X]

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

Yes [  ]    No[X]

Limited Partnership RedeemableUnits with an aggregate value of 241,888,736 were outstanding and heldby non-affiliates as of the last business day of the registrant'smost recently completed second fiscal quarter.

Asof February 28, 2006, 217,497.6080 Limited Partnership Redeemable Unitswere outstanding.

DOCUMENTS INCORPORATED BYREFERENCE

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PART I

Item1.    Business.

(a)    General development ofbusiness. Salomon Smith Barney AAA Energy Fund L.P. II (the"Partnership") is a limited partnershiporganized on March 2, 2002 under the partnership laws of the State ofNew York to engage directly or indirectly in the speculative trading ofa diversified portfolio of commodity interests, including commodityoptions and commodity futures contracts on United States exchanges andcertain foreign exchanges. The Partnership may trade commodity futuresand options contracts of any kind, but currently trades solely energyand energy related products. In addition, the Partnership may enterinto swap contracts on energy related products. The Partnership hasinvested all of its assets in SB AAA Master Fund LLC, a New YorkLimited Liability Company (the "Master"). Thecommodity interests that are traded by the Master are volatile andinvolve a high degree of market risk. A total of 150,000 redeemableunits of Limited Partnership Interest in the Partnership("Redeemable Units") have been offered to thepublic. During the initial offering period (May 31, 2002 through July1, 2002) the Partnership sold 93,975 Redeemable Units. The Partnershipcommenced trading on July 1, 2002. No securities which represent anequity interest or any other interest in the Partnership trade on anypublic market. Sales and redemptions of Redeemable Units and generalpartner contributions and redemptions for the years ended December 31,2005, 2004 and 2003 are reported in the Statements of Changes inPartners' Capital on page F-8 under "Item 8.Financial Statements and Supplementary Data."

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

Effective July 1, 2002, thePartnership allocated all of its capital to the Master. With this cash,the Partnership purchased 64,945.0387 Units of the Master with a fairvalue of $94,925,000. The Master was formed in order to permitcommodity pools managed now or in the future by AAA Capital Management,Inc. ("AAA") (the"Advisor") using the Energy with SwapsProgram, the Advisor's proprietary trading program, to investtogether in one trading vehicle. Citigroup Managed Futures LLC, acts asthe general partner (the "General Partner")of the Partnership and the managing member (the "ManagingMember") of the Master. In addition, the Advisor is aSpecial Limited Partner of the Partnership. Individual and pooledaccounts currently managed by the Advisor, including the Partnership,are permitted to be non-managing members of the Master. The GeneralPartner and the Advisor believe that trading through this master/feederstructure should promote efficiency and economy in the trading process.Expenses to investors as a result of the investment in the Master areapproximately the same and redemption rights are not affected.

At December 31, 2005 and 2004, the Partnership owns 52.4% and35.7%, respectively, of the Master. It is thePartnership's intention to continue to invest substantially allof its assets in the Master. The performance of the Partnership isdirectly affected by the performance of the Master.

CitigroupGlobal Markets Inc. ("CGM"), acts as thePartnership's and the Master Fund's commodity broker. CGMis an affiliate of the General Partner. The General Partner is whollyowned by Citigroup Global Markets Holdings Inc.("CGMH"), which is the sole owner of CGM.CGMH is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

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

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

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

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

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

(b)    Financialinformation about industry segments. The Partnership'sbusiness consists of only one segment, speculative trading of commodityinterests. The Partnership does not engage in sales of goods orservices. The Partnership's net income from operations for theyears ended December 31, 2005, 2004 and 2003 and for the period July 1,2002 (commencement of trading operations) to December 31, 2002 are setforth under "Item 6. Selected FinancialData." The Partnership's capital as of December31, 2005, was $466,873,381.

(c)    Narrative descriptionof business.

See Paragraphs (a) and (b) above.

(i) through (xii) - Not applicable.

(xiii) -The Partnership has no employees.

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

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

Item 1A.    Risk Factors.

The trading ofcommodity interests is speculative, volatile and involves a high degreeof leverage. A small change in the market price of a commodity interestcontract can produce major losses for the Partnership.

Due tothe speculative nature of trading commodity interests, an investorcould lose all of its investment in the Partnership.

Regardlessof its trading performance, the Partnership will incur fees andexpenses, including brokerage and management fees. Fees will be paid tothe trading advisor even if the Partnership experiences a net loss forthe full year.

An investor's ability to redeem units islimited and no market exists for the units.

The Partnership issubject to numerous conflicts of interest including those that arisefrom the facts that:

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| 1.  | The General Partner andcommodity broker are affiliates; |

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

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

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

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

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

Item2.    Properties.

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

Item 3.    LegalProceedings

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

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

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

Regulatory Matters

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

IPO RegulatoryInquiries

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

IPO CivilLitigation

In April 2002, consolidated amended complaints werefiled against Citigroup Global Markets and other investment banks namedin numerous alleged class actions filed in the United States DistrictCourt 

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for the Southern District of New York,alleging violations of certain federal securities laws (includingSection 11 of the Securities Act of 1933, as amended, and Section 10(b)of the Securities Exchange Act of 1934, as amended) with respect to theallocation of shares for certain initial public offerings and relatedaftermarket transactions and damage to investors caused by allegedlybiased research analyst reports. On February 19, 2003, the Court issuedan opinion denying defendants' motion to dismiss.

OnOctober 13, 2004, the court granted in part the motion to certify classactions for six focus cases in the securities litigation. CitigroupGlobal Markets is not a defendant in any of the six focus cases. Theunderwriter defendants in the focus cases have filed a petition to theUnited States Court of Appeals for the Second Circuit seeking review ofthis decision.

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

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

Research Settlement

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

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

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Several individual actions have been filedagainst Citigroup and Citigroup Global Markets relating to, among otherthings, research on Qwest Communications International, Inc. allegingviolations of state and federal securities laws.

EnronRegulatory Settlement

On July 28, 2003, Citigroup (CitigroupGlobal Markets' ultimate parent) entered into a final settlementagreement with the SEC to resolve the SEC's outstandinginvestigations into Citigroup transactions with Enron Corp. and DynegyInc. Pursuant to the settlement, Citigroup has, among other terms, (1)consented to the entry of an administrative cease and desist order,which bars Citigroup from committing or causing violations ofprovisions of the federal securities laws, and (2) agreed to pay $120million ($101.25 million allocable to Enron and $18.75 millionallocable to Dynegy). Citigroup entered into this settlement withoutadmitting or denying any wrongdoing or liability, and the settlementdoes not establish wrongdoing or liability for purposes of any otherproceeding. On July 28, 2003, Citibank, N.A. entered into an agreementwith the Office of the Comptroller of the Currency("OCC") and Citigroup entered into anagreement with the Federal Reserve Bank of New York("FED") to resolve their inquiries intocertain of Citigroup's transactions with Enron. Pursuant to theagreements, Citibank and Citigroup have agreed to submit plans to theOCC and FED, respectively, regarding the handling of complex structuredfinance transactions. Also on July 28, 2003, Citigroup entered into asettlement agreement with the Manhattan District Attorney'sOffice to resolve its investigation into certain of Citigroup'stransactions with Enron. Pursuant to that settlement, Citigroup hasagreed to pay $25.5 million and to abide by its agreements with theSEC, OCC and FED.

Enron-Related Civil Actions

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

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

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

In April 2005,Citigroup, along with other financial institution defendants, reachedan agreement-in-principle to settle four state-court actions brought byvarious investment funds, which were not 

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previously consolidated or coordinated withother actions. The four cases are OCM Opportunities Fund III, L.P.,et al. v. Citigroup Inc., et al.; Pacific Investment Management Co.LLC, et al. v. Citigroup Inc., et al.; AUSA Life Insurance v. CitigroupInc., et al. and Principal Global Investors v. Citigroup Inc., etal. The amounts to be paid in settlement of these actions arecovered by existing litigation reserves.

On August 26, 2005, agroup of 15 plaintiffs filed an action in the United States DistrictCourt for the Southern District of Texas (Avenue Capital ManagementII, L.P., et al. v. J.P. Morgan-Chase & Co., et al.). Thecomplaint names as defendants Citigroup Inc., Citibank, N.A., CitigroupGlobal Markets, and several J.P. Morgan entities and alleges fraud,breach of fiduciary duty and breach of contract arising out of Enronbank debt incurred under two syndicated revolving credit facilities anda syndicated letter of credit facility.

Dynegy Inc.

OnJune  6, 2003, the complaint in a pre-existing alleged classaction pending in the United States District Court for the SouthernDistrict of Texas (In Re: Dynegy  Inc. SecuritiesLitigation) brought by purchasers of publicly traded debt andequity securities of Dynegy  Inc. was amended to add Citigroup,Citibank and Citigroup Global Markets as defendants. The plaintiffsallege violations of Sections 10(b) and 20(a) of the SecuritiesExchange Act of 1934, as amended, against the Citigroup defendants. TheCitigroup defendants filed a motion to dismiss in March  2004,which motion was granted by the District Court in October  2004.The court denied lead plaintiff's request for leave toappeal.

The court had also previously denied leadplaintiff's motion for leave to amend. No appeal was yet timelywhile the remainder of the case remained pending. On April 15, 2005, aspart of a global settlement involving all defendants, Citigroup enteredinto a memorandum of understanding to settle this case. The amount tobe paid in settlement is covered by existing litigation reserves.

WorldCom-Related Litigation

Citigroup, Citigroup GlobalMarkets and certain executive officers and current and former employeeshave been named as defendants—along with twenty-two otherinvestment banks, certain current and former WorldCom officers anddirectors, and WorldCom's former auditors—in a consolidatedclass action brought on behalf of individuals and entities whopurchased or acquired publicly traded securities of WorldCom betweenApril 29, 1999 and June 25, 2002 in In Re: Worldcom, Inc. SecuritiesLitigation. The class action complaint asserts claims againstCitigroup Global Markets under (i) Sections 11 and 12(a)(2) of theSecurities Act of 1933, as amended, in connection with certain bondofferings in which it served as underwriter, and (ii) Sections 10(b)and 20(a) of the Securities Exchange Act of 1934, as amended, and Rule10b-5 promulgated under Section 10(b), alleging that it participated inthe preparation and/or issuance of misleading WorldCom registrationstatements and disseminated misleading research reports concerningWorldCom stock. In 2003, the district court denied Citigroup GlobalMarkets' motion to dismiss the consolidated class actioncomplaint and granted the plaintiffs' motion for classcertification.

Pursuant to an order entered May 28, 2003, theDistrict Court consolidated approximately seventy-eight individualactions with the class action for pretrial proceedings. The claimsasserted in these individual actions are substantially similar to theclaims alleged in the class action and assert state and federalsecurities law claims based on Citigroup Global Markets' researchreports concerning WorldCom and/or Citigroup Global Markets' roleas an underwriter in WorldCom offerings. Plaintiffs in certain of theseactions filed motions to remove their cases to state court. TheDistrict Court denied these motions and its rulings were upheld onappeal.

Numerous other actions asserting claims againstCitigroup Global Markets in connection with its research reports aboutWorldCom and/or its role as an investment banker for WorldCom arepending in other federal and state courts around the country. Theseactions have been remanded to various state courts, are pending inother federal courts, or have been conditionally transferred to theUnited States District Court for the Southern District of New York tobe consolidated with the class action. In addition to the court suits,actions asserting claims against Citigroup and certain of itsaffiliates relating to its WorldCom research reports are pending innumerous arbitrations around the country. These actions assert claimsthat are substantially similar to the claims asserted in the classaction.

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On May 10, 2004, Citigroup announced thatit had agreed to pay $2.58 billion to settle the WorldCom class actionsuits. The United States District Court for the Southern District ofNew York granted approval of the proposed settlement on November 10,2004.

On September 17, 2004, Weinstein, et al. v. Ebbers, etal., an alleged class action against Citigroup Global Markets andothers brought on behalf of holders of WorldCom securities assertingclaims based on, among other things, Citigroup Global Markets'research reports concerning WorldCom, was dismissed with prejudice inits entirety by the United States District Court for the SouthernDistrict of New York. The plaintiffs noticed an appeal of the dismissalto the United States Court of Appeals for the Second Circuit on October15, 2004. The parties have reached an agreement in principle on theterms of a settlement of this action.

Citigroup and CitigroupGlobal Markets, along with a number of other defendants, have settledRetirement Systems of Alabama, et al. v. J.P. Morgan Chase &Co., et al., a WorldCom individual action that had been remanded tothe Circuit Court of Montgomery County, Alabama. The settlement becamefinal on September 30, 2004.

On June 28, 2004, the United StatesDistrict Court for the Southern District of New York dismissed allclaims under the Securities Act of 1933, as amended, and certain claimsunder the Securities Exchange Act of 1934 in In Re: TargetsSecurities Litigation, an alleged class action against Citigroupand Citigroup Global Markets and certain former employees, leaving onlyclaims under the 1934 Act for purchases of Targeted Growth EnhancedTerms Securities With Respect to the Common Stock of MCI WorldCom, Inc.("TARGETS") after July 30, 1999. On October20, 2004, the parties signed a Memorandum of Understanding settingforth the terms of a settlement of all remaining claims in this action.The settlement was preliminarily approved by the Court on January 11,2005.

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

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

Global Crossing

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

In addition, on or about January 27, 2004, theGlobal Crossing Estate Representative filed in the United StatesBankruptcy Court for the Southern District of New York (i) an adversaryproceeding asserting claims against, among others, Citigroup, CitigroupGlobal Markets and certain executive officers and current and formeremployees, under federal bankruptcy law and common law in connectionwith 

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Citigroup Global Markets' researchreports about Global Crossing and for its role as an underwriter inGlobal Crossing offerings, and (ii) an adversary proceeding againstCitigroup and several other financial institutions seeking to rescindthe payment of a $1 billion loan made to a subsidiary of GlobalCrossing. The Citigroup-related defendants moved to dismiss the formeraction on June 26, 2004, and the latter on May 28, 2004. The plaintiffsand the Citigroup-related defendants have since entered into adefinitive settlement agreement in the In Re: Global Crossing, Ltd.Securities Litigation; the settlement was preliminarily approved bythe Court on March 8, 2005. The amount to be paid in settlement iscovered by existing litigation reserves.

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

Adelphia CommunicationsCorporation

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

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

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

Mutual Funds

Citigroup and certain of its affiliates have been named in severalclass action litigations pending in various federal district courtsarising out of alleged violations of the federal securities laws, theInvestment Company Act and the common law (including breach offiduciary duty and unjust enrichment). The claims concern practices inconnection with the sale of mutual funds, including allegationsinvolving market timing, revenue sharing, incentive payments for thesale of proprietary funds, undisclosed breakpoint discounts for thesale of certain classes of funds, inappropriate share classrecommendations and inappropriate fund investments. The litigationsinvolving market timing have been consolidated under the MDL rules inthe United States District Court for the District of Maryland, and thelitigations involving revenue sharing, incentive payment and otherissues have been consolidated in the United States District Court forthe Southern District of New York. The plaintiffs in these litigationsgenerally seek unspecified compensatory damages, rescissionary damages,injunctive relief, costs and fees. In the principal market timing casesthat name Citigroup, a lead plaintiff has been appointed but thatplaintiff 

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has not yet filed an amended complaint. In thecases concerning revenue sharing, incentive payment and other issues,the lead plaintiff filed a consolidated and amended complaint onDecember 15, 2004.

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

On May 31, 2005, Citigroup announced thatSmith Barney Fund Management LLC and Citigroup Global Markets completeda settlement with the SEC resolving an investigation by the SEC intomatters relating to arrangements between certain Smith Barney mutualfunds, an affiliated transfer agent and an unaffiliated sub-transferagent. Under the terms of the settlement, Citigroup agreed to pay finestotaling $208.1 million. The settlement, in which Citigroup neitheradmitted nor denied any wrongdoing or liability, includes allegationsof willful misconduct by Smith Barney Fund Management LLC and CitigroupGlobal Markets in failing to disclose aspects of the transfer agentarrangements to certain mutual fund investors.

Research AnalystLitigation

Since May 2002, Citigroup Global Markets and certainexecutive officers and current and former employees have been named asdefendants in numerous alleged class action complaints, individualactions, and arbitration demands by purchasers of various securitiesalleging that they violated federal securities law, including Sections10 and 20 of the Securities Exchange Act of 1934, as amended, andcertain state laws for allegedly issuing research reports without areasonable basis in fact and for allegedly failing to discloseconflicts of interest with companies in connection with publishedinvestment research, including Global Crossing, Ltd., AT&T Corp.,Level 3 Communications, Inc., Metromedia Fiber Network, Inc., XOCommunications, Inc., Williams Communications Group Inc., and FocalCommunications, Inc. The alleged class actions relating to research ofthese companies are pending before a single judge in the United StatesDistrict Court for the Southern District of New York for coordinatedproceedings. The Court has consolidated these actions into separateproceedings corresponding to the companies named above. On December 2,2004, the Court granted in part and denied in part theCitigroup-related defendants' motions to dismiss the claimsagainst it in the AT&T, Level 3, XO and Williams actions. OnJanuary 6, 2005, the Court granted in part and denied in partCitigroup's motion to dismiss the claims against it in theMetromedia action.

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

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

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

On September 22, 2005,Citigroup reached an agreement-in-principle to settle all claimsagainst the Citigroup-related defendants in Norman v. Salomon SmithBarney, et al., a class action asserting violations of theInvestment Advisers Act of 1940 and various common law claims inconnection with certain 

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investors who maintained guided portfoliomanagement accounts at Smith Barney. The settlement amount is coveredby existing litigation reserves. The settlement is subject to judicialapproval.

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

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

Supervisory Investigation

In May 2003, the SEC, NYSE andNASD issued a subpoena and letters to Citigroup Global Marketsrequesting documents and information with respect to their continuinginvestigation of individuals in connection with the supervision of theresearch and investment banking departments of Citigroup GlobalMarkets. Other parties to the Research Settlement have received similarsubpoenas and letters.

West Virginia Attorney General Suit

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

Citigroup Shareholder Litigation

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

NASD Settlement

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

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

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Item 4.    Submission of Mattersto a Vote of Security Holders.

There were nomatters submitted to the security holders for a vote during the lastfiscal year covered by this report.

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PART II

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

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

(b)    Holders. The number of holders ofRedeemable Units of Partnership Interest as of December 31, 2005, was2,995.

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

(d)    Use ofProceeds. For the twelve months ended December 31, 2005 there wereadditional sales of 122,647.4741 Redeemable Units totaling$202,886,547. For the twelve months ended December 31, 2004, there wereadditional sales of 10,998.9458 Redeemable Units totaling $11,781,000and contributions by the General Partner representing 25 Unitequivalents totaling $19,735. For the twelve months ended December 31,2003, there were additional sales of 21,674.2111 Redeemable Unitstotaling $22,541,000.

(e)    Compensation Plans.None

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

Item 6.    SelectedFinancial Data.

The Partnership commenced tradingoperations 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 Unitfor the year ended December 31, 2005, 2004, 2003 and the period fromJuly 1, 2002 (commencement of trading operations) to December 31, 2002and total assets at December 31, 2005, 2004, 2003 and 2002 were asfollows:

|                                                                                                                                                                                                          |  |        |             |        |  |        |             |        |  |        |             |         |  |        |             |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--------|-------------|---------|--|--------|-------------|--------|--|--|
|                                                                                                                                                                                                     |  | 2005   |             | 2004   |  | 2003   |             | 2002   |
| Netrealized and unrealized trading gains (losses) net of expensesallocated from Master, brokerage commissions (including clearing fees)of $6,272,480, $3,692,595, $5,822,971 and $5,422,049,respectively |  | $      | 202,242,056 |   |  | $      | 42,925,509  |   |  | $      | (36,992,242 | )  |  | $      | 12,739,048  |   |
| Interestincome allocated fromMaster                                                                                                                                                                      |  |   | 6,199,984   |   |  |   | 1,088,006   |   |  |   | 977,786     |    |  |   | 731,136     |   |
|                                                                                                                                                                                                     |  | $      | 208,442,040 |   |  | $      | 44,013,515  |   |  | $      | (36,014,456 | )  |  | $      | 13,470,184  |   |
| Netincome (loss) before Allocation to Special LimitedPartner                                                                                                                                             |  | $      | 200,854,431 |   |  | $      | 41,115,934  |   |  | $      | (38,965,212 | )  |  | $      | 11,945,991  |   |
| Allocationto Special LimitedPartner                                                                                                                                                                      |  |   | 38,930,890  |   |  |   | 1,708,907   |   |  |   | —     |    |  |   | 2,240,668   |   |
| Netincome (loss) available for pro rata distribution toPartners                                                                                                                                          |  | $      | 161,923,541 |   |  | $      | 39,407,027  |   |  | $      | (38,965,212 | )  |  | $      | 9,705,323   |   |
| Increase(decrease) in Net Asset Value per RedeemableUnit                                                                                                                                                 |  | $      | 1,022.63    |   |  | $      | 360.35      |   |  | $      | (289.27     | )  |  | $      | 80.92       |   |
| Totalassets                                                                                                                                                                                              |  | $      | 500,859,262 |   |  | $      | 120,302,312 |   |  | $      | 99,038,186  |    |  | $      | 130,433,981 |   |
|                                                                                                                                                                                                          |

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Item 7.    Management'sDiscussion and Analysis of Financial Condition and Results ofOperations.

Overview

The Partnership, through itsinvestment in the Master, seeks to achieve capital appreciation throughspeculative trading, directly or indirectly, in commodity interestsgenerally including, commodity futures and commodity option contractson United States exchanges and certain foreign exchanges and swaps. ThePartnership, through its investment in the Master, intends to tradeonly energy and energy related products, as well as the Goldman SachsCommodity Index (an index future comprised of energy and otherproducts), traded on the Chicago Mercantile Exchange, but is authorizedto trade commodity futures, swaps and options contracts of any kind.The Partnerhship has invested all of its assets in the Master. TheAdvisor is authorized to trade forward contracts on behalf of thePartnership and the Master but does not currently intend to do so(certain swaps that the Advisor trades are, however, the substantialeconomic equivalent of forward contracts).

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

Responsibilities of the GeneralPartner/Managing Member include:

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

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

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

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

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

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

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

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

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

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AAA is aware of price trends but does nottrade upon trends. AAA often takes profits in positions with specifictrends even though that trend may still be intact or perhaps evenstrong. AAA occasionally establishes positions that arecountertrend.

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

(a)    Liquidity.

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

In the first quarter of 2003, the Master andtherefore the Partnership experienced a cumulative loss of 25%.This loss was primarily attributable to extraordinary price activityduring the first quarter of 2003 in U.S. natural gas and crude oilmarkets which led to losses in the Master's energy marketpositions.

In February 2003, the Master had a short position inthe April natural gas futures contract as a partial offset to anoverall long position in delivery months later in the year in the samecontract. During the last week of February, natural gas prices rosesharply reflecting relatively high short-term demand in the eastern andmid-continental United States along with a reduced ability of naturalgas suppliers to deliver natural gas from storage due to low storageinventories. Volatility in the natural gas markets was exacerbatedduring that period as the markets became relatively illiquid when manytraders stayed out of the market to wait for the volatility to pass.During this period, the April natural gas futures contract experiencedan upward increase in price of over 50% in two days and relatedcash market prices experienced a 300% increase in price.Deferred delivery months in the natural gas futures contract did notexperience comparable price increases. The spread between the price ofthe April contract and those of the deferred months changed suddenlyand unexpectedly. Such extreme moves generally happen only inexceptionally rare circumstances and can lead to illiquid marketconditions.

In March 2003, volatility struck the crude oilmarket, and the Master again experienced losses as prices for crude oildropped over $8.00 per barrel, or 21%, in the course of a week.The Master's and the Partnership's liquidity was nothindered as a result of these market movements as the Master and thePartnership each had adequate cash reserves to absorb market volatilityand to meet redemption requests during that period.

Theperformance for the years ended December 31, 2005 and 2004 is discussedin (c) Results of Operations.

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

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

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

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

|            |                                                                                                                                                                                                                                                   |
|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (iv)  | The Master doesnot employ the trading technique commonly known as"pyramiding", in which the speculator usesunrealized profits on existing positions as margin for the purchases orsale of additional positions in the same or relatedcommodities. |

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|           |                                                                                                                         |
|-----------|-------------------------------------------------------------------------------------------------------------------------|
| (v)  | The Master does notutilize borrowings except short-term borrowings if the Master takesdelivery of any cash commodities. |

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

|             |                                                                                                                                                                                                                                                                                  |
|-------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (vii)  | The Masterwill not permit the churning of its commodity trading account. The term"churning" refers to the practice of enteringand exiting trades with a frequency unwarranted by legitimate effortsto profit from the trades, driven by the desire to generate commissionincome. |

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

The Master is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments in the normal course of its business.These financial instruments include forwards, futures, options andswaps, whose values are based upon an underlying asset, index orreference rate, and generally represent future commitments to exchangecurrencies or cash flows, or to purchase or sell other financialinstruments at specified terms at specified future dates, or, in thecase of derivative commodity interests, to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards, swaps and certain options.Each of these instruments is subject to various risks similar to thoserelating to the underlying financial instruments including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

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

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

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

Other thanthe risks inherent in commodity futures and swaps trading, the Masterknows of no trends, demands, commitments, events or uncertainties whichwill result in or which are reasonably likely to result in theMaster's liquidity increasing or decreasing in any material way.The Limited Partnership Agreement provides that the General Partnermay, in its discretion, cause the Partnership to cease trading

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operations and liquidate all open positionsunder certain circumstances including a decrease in Net Asset Value perRedeemable Unit to less than $400 as of the close of business on anybusiness day.

(b)    Capital Resources.

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

(ii)    The Partnership'scapital consists of the capital contributions of the partners asincreased or decreased by gains or losses on trading and by expenses,interest income, redemptions of Redeemable Units and distributions ofprofits, if any. Gains or losses on trading cannot be predicted. Marketmoves in commodities are dependent upon fundamental and technicalfactors which the Advisor may or may not be able to identify, such aschanging supply and demand relationships, weather, governmentagricultural, commercial and trade programs and policies, national andinternational political and economic events and changes in interestrates. Partnership expenses consist of, among other things,commissions, advisory fees and administrative fees. The level of theseexpenses is dependent upon the level of trading and the ability of theAdvisors to identify and take advantage of price movements in thecommodity markets, in addition to the level of Net Assets maintained.In addition, the amount of interest income payable by CGM is dependentupon interest rates over which the Partnership has no control.

For the year ended December 31, 2005, there were additionalsales of 122,647.4741 Redeemable Units totaling $202,886,547. For theyear ended December 31, 2004, there were additional sales of10,998.9458 Redeemable Units totaling $11,781,000 and contributions bythe General Partner representing 25 Unit equivalents totaling $19,735.For the year ended December 31, 2003, there were additional sales of21,674.2111 Redeemable Units totaling $22,541,000.

Noforecast can be made as to the level of redemptions in any givenperiod. A limited partner may require the Partnership to redeem theirRedeemable Units at their Net Asset Value as of the last day of a monthon 10 business days notice to the General Partner. For the year endedDecember 31, 2005 13,010.6482 Redeemable Units were redeemed totaling$22,009,451 and 15,296.1443 Units of Special Limited PartnershipInterest totaling $32,881,363 were redeemed. For the year endedDecember 31, 2004, 32,234.8932 Redeemable Units were redeemed totaling$31,496,364. For the year ended December 31, 2003, 16,891.2743Redeemable Units were redeemed totaling $13,818,158.

Redeemable Units of Limited Partnership Interest were soldto persons and entities who are accredited investors as that term isdefined in rule 501(a) of Regulation D under the Securities Act of1933, as well as to those persons who are not accredited investors butwho have either a net worth (exclusive of home, furnishings andautomobile) either individually or jointly with the investor'sspouse of at least three times their investment in the Partnership (theminimum investment for which was $25,000) or gross income for the twoprevious years and projected gross income for the current fiscal yearof not less than three times their investment in the Partnership foreach year.

(c)    Results of Operations.

For the year ended December 31, 2005 the Net Asset Valueper Redeemable Unit increased 88.9% from $1,149.74 to $2,172.37.For the year ended December 31, 2004, the Net Asset Value perRedeemable Unit increased 45.6% from $789.39 to $1,149.74. Forthe year ended December 31, 2003 the Net Asset Value per RedeemableUnit decreased 26.8% from $1,078.66 to $789.39. For the threeyears ended December 31, 2005 the Net Asset Value per Redeemable Unitincreased 101.4% from $1,078.66 to $2,172.37.

The Partnership, for its own account, through itsinvestment in the Master, experienced a net trading gain of$208,514,536 before commissions and expenses for the year endedDecember 31, 2005. Gains were primarily attributable to the trading ofNYMEX Crude Oil, NYMEX energy swaps, NYMEX Heating Oil, NYMEX NaturalGas and OTC energy swaps and were partially offset by losses in IPE GasOil, Gasoline and NYMEX Unleaded Gas.

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

The newmoney has pushed prices to unprecedented differentials and destroyedmany of the reliable and traditional price relationships. The nebulousprice relationships fueled higher volatility and reduced 

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liquidity. This increased break intraditional relationships between the long-term and short-termfundamentals provided treacherous short-term trading but at the sametime provided an opportunity in all but the 10th month togenerate above substantial returns.

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

The second quarter beganthe period where speculative money started to flow into the energymarkets and volatility increased. Crude oil rose to over $60 a barreland natural gas and gasoline started showing seasonal price increases.Both these markets began to show evidence of overbought conditions inthe near-term prices which led to wider price ranges and disequilibriumin terms of location and calendar relationships.

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

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

ThePartnership, for its own account, through its investment in the Master,experienced a net trading gain of $46,618,104 before commissions andexpenses for the year ended December 31, 2004. Gains were primarilyattributable to the trading of NYMEX Natural Gas, NYMEX Heating Oil,NYMEX Crude Oil and IPE Gas Oil and were partially offset by losses inNYMEX Unleaded Gas.

Trading results for the year 2004were positive as strong trends and market volatility across the energysector provided profitable trading opportunities for the Advisor. Theresults for the year were primarily influenced by one historic trendand one volatile but adeptly traded market: the price of crude oil roseto over $50 a barrel while the price of natural gas experienced nearly50% swings at least twice during the year.

Thefirst quarter began with a fairly static January performance as crudeoil oscillated in a narrow range. Natural gas prices dropped nearly$2.00/MM BTU in January and continued a bearish trend through thequarter. A large portion of the profits for this period was the resultof a bearish short option/volatility position on the front end of themarket combined with a long futures positions in the summer months.

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

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

These price rallies were shortlived, particularly in natural gas, as the supplies built up, winterweather was mild, and political tensions eased. While October wasprofitable for the Partnership, natural gas decreased from over$7.00/MM BTU to a low of $6.00/MM BTU by the end of December andresulted in losses for the Partnership's natural gas longpositions. Crude oil fluctuated nearly $10.00 a barrel in the

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last two months of the year, so the focus wason profit preservation and adjusting positions to a long term view.Overall, it was a successful trading year for the Partnershipillustrating the benefits of patience, agility and a marketdiversification

The Partnership, through its investment in theMaster, experienced a net trading loss of $31,169,271 beforecommissions and expenses for the year ended December 31, 2003. Losseswere primarily attributable to the trading of NYMEX Natural Gas, NYMEXHeating Oil, NYMEX Unleaded Gas and energy swaps and were partiallyoffset by gains in, IPE Gas Oil and NYMEX Crude Oil.

Commoditymarkets are highly volatile. Broad price fluctuations and rapidinflation increase the risks involved in commodity trading, but alsoincrease the possibility of profit. The profitability of the Master andthe Partnership depends on the Advisor's ability to forecastchanges in energy and energy related commodities. Such price changesare influenced by, among other things, changing supply and demandrelationships, weather, governmental, agricultural, commercial andtrade programs and policies, national and international political andeconomic events and changes in interest rates. To the extent that theAdvisor correctly makes such forecasts, the Master and the Partnershipexpect to increase capital through operations.

(d)    Operational Risk.

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

Such risks include:

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

TechnologicalRisk — the risk of loss attributable to technologicallimitations or hardware failure that constrain thePartnership/Master's ability to gather, process, and communicateinformation efficiently and securely, without interruption, tocustomers, among Redeemable Units within the Partnership/Master, and inthe markets where the Partnership/Master participates.

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

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

(e)    Critical Accounting Policies.

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

All commodity interests (includingderivative financial instruments and derivative commodity instruments)are used for trading purposes. The commodity interests are recorded ontrade date and open contracts are recorded in the statement offinancial condition at fair value on the last business day of theperiod, which represents market value for those commodity interests forwhich market quotations are readily available or other measures of fairvalue deemed appropriate by management of the General 

18

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Partner for those commodity interests andforeign currencies for which market quotations are not readilyavailable, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values on commodity interests andforeign currencies are recognized in the period in which the contractis closed or the changes occur and are included in net gains (losses)on trading of commodity interests.

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

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

Item7A.    Quantitative and Qualitative Disclosures About MarketRisk

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

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

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

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

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

Quantifyingthe Partnership's Trading Value at Risk

The followingquantitative disclosures regarding the Master's and thePartnership's market risk exposures contain"forward-looking statements" within themeaning of the safe harbor from civil liability 

19

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

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

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

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

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

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

The Master's Trading Value at Risk in Different MarketSectors

The following table indicates the trading Value at Riskassociated with the Master's open positions by market category asof December 31, 2005, and the highest, lowest and average value at anypoint during the year. All open position trading risk exposures of theMaster have been included in calculating the figures set forth below.As of December 31, 2005, the Master's total capitalization was$954,082,152.

December 31,2005

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

|  |
|--|
|  |  |
|  |

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

20

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The Master's Trading Value at Riskin Different Market Sectors

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

December31,2004

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

|  |
|--|
|  |  |
|  |

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

Material Limitations onValue at Risk as an Assessment of Market Risk

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

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

Qualitative Disclosures Regarding Primary TradingRisk Exposures

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

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

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

21

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

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

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

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

QualitativeDisclosures Regarding Means of Managing Risk Exposure

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

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

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

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

22

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Item8.    Financial Statements and Supplementary Data.

SALOMON SMITH BARNEY AAA ENERGY FUND L.P. II

INDEX TOFINANCIAL STATEMENTS

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

F-1

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

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

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

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

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

F-2

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Management's Report on InternalControl overFinancial Reporting

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

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

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

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

F-3

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Report of IndependentRegistered Public Accounting Firm

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

We have auditedmanagement's assessment, included in the accompanyingManagement's Report on Internal Control Over FinancialReporting, that Salomon Smith Barney AAA Energy Fund L.P. II (the"Partnership") maintained effective internalcontrol over financial reporting as of December 31, 2005, based oncriteria established in Internal Control—Integrated Frameworkissued by the Committee of Sponsoring Organizations of the TreadwayCommission ("COSO"). The Partnership'smanagement is responsible for maintaining effective internal controlover financial reporting and for its assessment of the effectiveness ofinternal control over financial reporting. Our responsibility is toexpress an opinion on management's assessment and an opinion onthe effectiveness of the Partnership's internal control overfinancial reporting based on our audit.

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

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

Because of itsinherent limitations, internal control over financial reporting may notprevent or detect misstatements. Also, projections of any evaluation ofeffectiveness to future periods are subject to the risk that controlsmay become inadequate because of changes in conditions, or that thedegree of compliance with the policies or procedures maydeteriorate.

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

We alsohave audited, in accordance with the standards of the Public CompanyAccounting Oversight Board (United States), the statements of financialcondition of the Partnership as of December 31, 2005 and 2004, and therelated statements of income and expenses, changes in partners'capital, and cash flows for each of the years in the three-year periodended December 31, 2005, and our report dated March 13, 2006 expressedan unqualified opinion on those financial statements.

                                            

New York, New York March 13, 2006

F-4

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Report of Independent Registered PublicAccounting Firm

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

We have audited the accompanyingstatements of financial condition of Salomon Smith Barney AAA EnergyFund L.P. II (the "Partnership") as ofDecember 31, 2005 and 2004, and the related statements of income andexpenses, changes in partners' capital, and cash flows for eachof the years in the three-year period ended December 31, 2005. Thesefinancial statements are the responsibility of the Partnership'smanagement. Our responsibility is to express an opinion on thesefinancial statements based on our audits.

We conducted ouraudits in accordance with the standards of the Public CompanyAccounting Oversight Board (United States). Those standards requirethat we plan and perform the audit to obtain reasonable assurance aboutwhether the financial statements are free of material misstatement. Anaudit includes examining, on a test basis, evidence supporting theamounts and disclosures in the financial statements. An audit alsoincludes assessing the accounting principles used and significantestimates made by management, as well as evaluating the overallfinancial statement presentation. We believe that our audits provide areasonable basis for our opinion.

In our opinion, the financialstatements referred to above present fairly, in all material respects,the financial position of Salomon Smith Barney AAA Energy Fund L.P. IIas of December 31, 2005 and 2004, and the results of its operations,changes in its partners' capital, and its cash flows for each ofthe years in the three-year period ended December 31, 2005, inconformity with U.S. generally accepted accounting principles.

We also have audited, in accordance with the standards of the PublicCompany Accounting Oversight Board (United States), the effectivenessof the Partnership's internal control over financial reporting asof December 31, 2005, based on criteria established in InternalControl—Integrated Framework issued by the Committee ofSponsoring Organizations of the Treadway Commission("COSO"), and our report dated March 13, 2006expressed an unqualified opinion on management's assessment of,and the effective operation of, internal control over financialreporting.

                                            

New York, New York March 13, 2006

F-5

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

|                                                                                                                                             |  |        |             |        |  |        |             |        |  |  |
|---------------------------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|--------|--|--------|-------------|--------|--|--|
|                                                                                                                                        |  | 2005   |             | 2004   |
| Assets:                                                                                                                                     |  |   |        |   |  |   |        |   |
| Investmentin Master, at fairvalue                                                                                                           |  | $      | 500,832,721 |   |  | $      | 120,251,909 |   |
| Cash                                                                                                                                        |  |   | 26,541      |   |  |   | 50,403      |   |
|                                                                                                                                        |  | $      | 500,859,262 |   |  | $      | 120,302,312 |   |
| Liabilitiesand Partners'Capital:                                                                                                            |  |   |        |   |  |   |        |   |
| Liabilities:                                                                                                                                |  |   |        |   |  |   |        |   |
| Accruedexpenses:                                                                                                                            |  |   |        |   |  |   |        |   |
| Management fees(Note3b)                                                                                                                     |  | $      | 850,749     |   |  | $      | 203,734     |   |
| Administrativefees (Note3a)                                                                                                                 |  |   | 212,687     |   |  |   | 50,933      |   |
| Professionalfees                                                                                                                            |  |   | 11,311      |   |  |   | 31,706      |   |
| Other                                                                                                                                       |  |   | 3,572       |   |  |   | 1,856       |   |
| Redemptionspayable (Note5)                                                                                                                  |  |   | 32,907,562  |   |  |   | 1,990,866   |   |
|                                                                                                                                        |  |   | 33,985,881  |   |  |   | 2,279,095   |   |
| Partners'capital (Notes 1 and5):                                                                                                            |  |   |        |   |  |   |        |   |
| General Partner,2,501.2826 Unit equivalents outstanding in 2005 and2004                                                                     |  |   | 5,433,711   |   |  |   | 2,875,825   |   |
| SpecialLimited Partner, 4,111.1273 and 1,486.3421 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |   | 8,930,890   |   |  |   | 1,708,907   |   |
| LimitedPartners, 208,301.6497 and 98,664.8238 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively     |  |   | 452,508,780 |   |  |   | 113,438,485 |   |
|                                                                                                                                        |  |   | 466,873,381 |   |  |   | 118,023,217 |   |
|                                                                                                                                        |  | $      | 500,859,262 |   |  | $      | 120,302,312 |   |
|                                                                                                                                             |

Seeaccompanying notes to financial statements.

F-6

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

|                                                                                                                        |  |        |             |         |  |        |            |         |  |        |             |         |  |  |
|------------------------------------------------------------------------------------------------------------------------|--|--------|-------------|---------|--|--------|------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                   |  | 2005   |             | 2004    |  | 2003   |
| Income:                                                                                                                |  |   |        |    |  |   |       |    |  |   |        |    |
| Realizedgains (losses) on closed positions fromMaster                                                                  |  | $      | 30,944,651  |    |  | $      | 36,038,622 |    |  | $      | (37,025,140 | )  |
| Changein unrealized gains on open positions fromMaster                                                                 |  |   | 177,569,885 |    |  |   | 10,579,482 |    |  |   | 5,855,869   |    |
| Interestincome allocated fromMaster                                                                                    |  |   | 6,199,984   |    |  |   | 1,088,006  |    |  |   | 977,786     |    |
| Expensesallocated fromMaster                                                                                           |  |   | (6,272,480  | )  |  |   | (3,692,595 | )  |  |   | (5,822,971  | )  |
|                                                                                                                   |  |   | 208,442,040 |    |  |   | 44,013,515 |    |  |   | (36,014,456 | )  |
| Expenses:                                                                                                              |  |   |        |    |  |   |       |    |  |   |        |    |
| Managementfees (Note3b)                                                                                                |  |   | 5,868,947   |    |  |   | 2,154,945  |    |  |   | 2,233,848   |    |
| Administrativefees (Note3a)                                                                                            |  |   | 1,467,235   |    |  |   | 538,736    |    |  |   | 558,459     |    |
| Professionalfees                                                                                                       |  |   | 210,601     |    |  |   | 192,562    |    |  |   | 142,414     |    |
| Otherexpenses                                                                                                          |  |   | 40,826      |    |  |   | 11,338     |    |  |   | 16,035      |    |
|                                                                                                                   |  |   | 7,587,609   |    |  |   | 2,897,581  |    |  |   | 2,950,756   |    |
| Netincome (loss) before allocation to the Special LimitedPartner                                                       |  |   | 200,854,431 |    |  |   | 41,115,934 |    |  |   | (38,965,212 | )  |
| Allocationto the Special Limited Partner (Note3b)                                                                      |  |   | 38,930,890  |    |  |   | 1,708,907  |    |  |   | —     |    |
| Netincome (loss) available for pro ratadistribution                                                                    |  | $      | 161,923,541 |    |  | $      | 39,407,027 |    |  | $      | (38,965,212 | )  |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent (Notes 1 and6) |  | $      | 1,022.63    |    |  | $      | 360.35     |    |  | $      | (289.27     | )  |
|                                                                                                                        |

Seeaccompanying notes to financial statements.

F-7

----

Salomon Smith Barney AAA Energy FundL.P. II

Statements of Changes in Partners'Capital for the years ended December 31, 2005, 2004 and2003

|                                                                                                                                        |  |                 |             |                       |  |                |             |         |  |        |           |         |  |        |             |         |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|-----------------|-------------|-----------------------|--|----------------|-------------|---------|--|--------|-----------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                                   |  | LimitedPartners |             | SpecialLimitedPartner |  | GeneralPartner |             | Total   |
| Partners'capital at December 31,2002                                                                                                   |  | $               | 124,174,215 |                  |  | $              | —     |    |  | $      | 2,671,067 |    |  | $      | 126,845,282 |    |
| Netloss available for pro ratadistribution                                                                                             |  |            | (38,248,898 | )                |  |           | —     |    |  |   | (716,314  | )  |  |   | (38,965,212 | )  |
| Saleof 21,674.2111 Redeemable Units of Limited PartnershipInterest                                                                     |  |            | 22,541,000  |                  |  |           | —     |    |  |   | —   |    |  |   | 22,541,000  |    |
| Redemptionof 16,891.2743 Redeemable Units of Limited PartnershipInterest                                                               |  |            | (13,818,158 | )                |  |           | —     |    |  |   | —   |    |  |   | (13,818,158 | )  |
| Partners'capital at December 31,2003                                                                                                   |  |            | 94,648,159  |                  |  |           | —     |    |  |   | 1,954,753 |    |  |   | 96,602,912  |    |
| Sale of 10,998.9458 Redeemable Units of Limited PartnershipInterest and General Partner's contribution representing 25 Unitequivalents |  |            | 11,781,000  |                  |  |           | —     |    |  |   | 19,735    |    |  |   | 11,800,735  |    |
| Redemption of 32,234.8932 Redeemable Units of LimitedPartnershipInterest                                                               |  |            | (31,496,364 | )                |  |           | —     |    |  |   | —   |    |  |   | (31,496,364 | )  |
| Allocation of net income for the year ended December31,2004:                                                                           |  |            |        |                  |  |           |        |    |  |   |      |    |  |   |        |    |
| Allocationof 1,486.3421 Redeemable Units of Limited Partnership Interest to theSpecial Limited Partner (Note3b)                        |  |            | —     |                  |  |           | 1,708,907   |    |  |   | —   |    |  |   | 1,708,907   |    |
| Net income availablefor pro rata distribution                                                                                          |  |            | 38,505,690  |                  |  |           | —     |    |  |   | 901,337   |    |  |   | 39,407,027  |    |
| Partners' capital at December 31,2004                                                                                                  |  |            | 113,438,485 |                  |  |           | 1,708,907   |    |  |   | 2,875,825 |    |  |   | 118,023,217 |    |
| Sale of 122,647.4741 RedeemableUnits of Limited Partnership Interest                                                                   |  |            | 202,886,547 |                  |  |           |        |    |  |   |      |    |  |   | 202,886,547 |    |
| Redemption of13,010.6482 Redeemable Units of Limited PartnershipInterest                                                               |  |            | (22,009,451 | )                |  |           | —     |    |  |   | —   |    |  |   | (22,009,451 | )  |
| Redemption of 15,296.1443Redeemable Units of Special Limited PartnershipInterest                                                       |  |            | —     |                  |  |           | (32,881,363 | )  |  |   | —   |    |  |   | (32,881,363 | )  |
| Allocation of net income for theyear ended December 31,2005:                                                                           |  |            |        |                  |  |           |        |    |  |   |      |    |  |   |        |    |
| Allocationof 17,920.9295 Redeemable Units of Limited Partnership Interest to theSpecial                                                |  |            |        |                  |  |           |        |    |  |   |      |    |  |   |        |    |
| LimitedPartner (Note 3b)                                                                                                               |  |            | —     |                  |  |           | 38,930,890  |    |  |   | —   |    |  |   | 38,930,890  |    |
| Net incomeavailable for pro ratedistribution                                                                                           |  |            | 158,193,199 |                  |  |           | 1,172,456   |    |  |   | 2,557,886 |    |  |   | 161,923,541 |    |
| Partners' capital at December 31,2005                                                                                                  |  | $               | 452,508,780 |                  |  | $              | 8,930,890   |    |  | $      | 5,433,711 |    |  | $      | 466,873,381 |    |
|                                                                                                                                   |  |            |        |                  |  |           |        |    |  |   |      |    |  |   |        |    |
|                                                                                                                                   |  |            |        |                  |  |           |        |    |  |   |      |    |  |   |        |    |
|                                                                                                                                        |

NetAsset Value Per RedeemableUnit:

|      |
|------|
|      |  |  |  |  |  |  |
| 2003 |  | $ | 789.39 |   |
| 2004 |  | $ | 1,149.74 |   |
| 2005 |  | $ | 2,172.37 |   |
|      |

Seeaccompanying notes to financial statements.

F-8

----

Salomon Smith Barney AAA Energy FundL.P. II Statements of Cash Flows for the years ended December31, 2005, 2004 and 2003

|                                                                                           |  |        |              |         |  |        |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------|--|--------|--------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                      |  | 2005   |              | 2004    |  | 2003   |
| Cash flows from operatingactivities:                                                      |  |   |         |    |  |   |        |    |  |   |        |    |
| Net income (loss)                                                                         |  | $      | 161,923,541  |    |  | $      | 39,407,027  |    |  | $      | (38,965,212 | )  |
| Adjustments to reconcile net income to netcash provided by (used in) operatingactivities: |  |   |         |    |  |   |        |    |  |   |        |    |
| Changes in operatingassets and liabilities:                                               |  |   |         |    |  |   |        |    |  |   |        |    |
| Purchase ofinvestment inMaster                                                            |  |   | (204,595,454 | )  |  |   | (11,781,000 | )  |  |   | (22,541,000 | )  |
| Proceedsfrom sale of investment inMaster                                                  |  |   | 26,325,594   |    |  |   | 33,465,468  |    |  |   | 17,055,479  |    |
| Netunrealized appreciation (depreciation) on investment inMaster                          |  |   | (202,310,952 | )  |  |   | (42,940,823 | )  |  |   | 36,891,991  |    |
| Accruedexpenses:                                                                          |  |   |         |    |  |   |        |    |  |   |        |    |
| Increase (decrease) in managementfees                                                     |  |   | 647,015      |    |  |   | 35,572      |    |  |   | (53,321     | )  |
| Increase(decrease) in administrative fees                                                 |  |   | 161,754      |    |  |   | 8,892       |    |  |   | (13,330     | )  |
| Increase(decrease) in professionalfees                                                    |  |   | (20,395      | )  |  |   | (4,569      | )  |  |   | (2,475      | )  |
| Increase (decrease) in other                                                              |  |   | 1,716        |    |  |   | (1,458      | )  |  |   | (929        | )  |
| Increase (decrease)in due to CGM                                                          |  |   | —      |    |  |   | —     |    |  |   | (40,426     | )  |
| Net cashprovided by (used in) operatingactivities                                         |  |   | (217,867,181 | )  |  |   | 18,189,109  |    |  |   | (7,669,223  | )  |
| Cashflows from financing activities:                                                      |  |   |         |    |  |   |        |    |  |   |        |    |
| Proceedsfrom additions — GeneralPartner                                             |  |   | —      |    |  |   | 19,735      |    |  |   | —     |    |
| Proceedsfrom additions — Limited Partners                                           |  |   | 202,886,547  |    |  |   | 11,781,000  |    |  |   | 22,541,000  |    |
| Allocationof units — Special LimitedPartner                                         |  |   | 38,930,890   |    |  |   | 1,708,907   |    |  |   | —     |    |
| Paymentsfor redemptions — LimitedPartners                                           |  |   | (21,092,755  | )  |  |   | (31,690,980 | )  |  |   | (14,861,102 | )  |
| Paymentsfor redemptions — Special LimitedPartner                                    |  |   | (2,881,363   | )  |  |   | —     |    |  |   | —     |    |
| Net cash provided by (used in) financingactivities                                        |  |   | 217,843,319  |    |  |   | (18,181,338 | )  |  |   | 7,679,898   |    |
| Net change in cash                                                                        |  |   | (23,862      | )  |  |   | 7,771       |    |  |   | 10,675      |    |
| Cash, at beginningof year                                                                 |  |   | 50,403       |    |  |   | 42,632      |    |  |   | 31,957      |    |
| Cash, at end ofyear                                                                       |  | $      | 26,541       |    |  | $      | 50,403      |    |  | $      | 42,632      |    |
|                                                                                           |

Seeaccompanying notes to financial statements.

F-9

----

SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

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

SalomonSmith Barney AAA Energy Fund L.P. II (the"Partnership") is a limited partnership whichwas organized on March 25, 2002 under the partnership laws of the Stateof New York to engage, directly or indirectly, in the speculativetrading of a diversified portfolio of commodity interests, includingcommodity options and commodity futures contracts on United Statesexchanges and certain foreign exchanges. The Partnership may tradecommodity futures and options contracts of any kind but intendsinitially to trade solely energy and energy related products. Inaddition, the Partnership may enter into swap contracts on energyrelated products. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk. ThePartnership was authorized to sell 150,000 redeemable units of LimitedPartnership Interest ("Redeemable Units").During the initial offering period, the Partnership sold 93,975Redeemable Units of Limited Partnership Interest. The Partnershipcommenced trading on July 1, 2002. The Partnership continues to offerRedeemable Units.

Effective July 1, 2002, the Partnershipallocated all of its capital to the SB AAA Master Fund LLC, a New YorkLimited Liability Company (the "Master").With this cash, the Partnership purchased 64,945.0387 Units of theMaster with a fair value of $94,925,000. The Master was formed in orderto permit commodity pools managed now or in the future by AAA CapitalManagement, Inc. (the "Advisor") using theEnergy with Swaps Program, the Advisor's proprietary tradingprogram, to invest together in one trading vehicle. In addition, theAdvisor is a Special Limited Partner of the Partnership. Individual andpooled accounts currently managed by the Advisor, including thePartnership (collectively, the "FeederFunds"), are permitted to be non-managing members of theMaster. The General Partner and the Advisor believe that tradingthrough this master/feeder structure should promote efficiency andeconomy in the trading process. Expenses to investors as a result ofthe investment in the Master are approximately the same and redemptionrights are not affected.

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

At December 31, 2005 and 2004, the Partnership owned 52.4%and 35.7%, respectively, of the Master. It is thePartnership's intention to continue to invest substantially allof its assets in the Master. The performance of the Partnership isdirectly affected by the performance of the Master.

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

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

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

|          |                      |
|----------|----------------------|
| 2.  | Accounting Policies: |

|          |                                                                                                                                                                                                                                                                                |
|----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| a.  | The value of the Partnership'sinvestment in the Master reflects the Partnership's proportionalinterest in the members' capital of the Master. All of theunrealized and realized gains and losses from the commoditytransactions of the Master are allocated pro rata among the |

F-10

----

SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

|        |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | investors at the time of such determination.All commodity interests (including derivative financial instruments andderivative commodity instruments) held by the Master are used fortrading purposes. The commodity interests are recorded on trade dateand open contracts are recorded in the statements of financialcondition at fair value on the last business day of the year, whichrepresents market value for those commodity interests for which marketquotations are readily available or other measures of fair value deemedappropriate by management of the General Partner for those commodityinterests and foreign currencies for which market quotations are notreadily available, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the year. Realized gains(losses) and changes in unrealized gains (losses) on open positions arerecognized in the period in which the contract is closed or the changesoccur and are included in net gains (losses). |

|          |                                                                                                                                                       |
|----------|-------------------------------------------------------------------------------------------------------------------------------------------------------|
| b.  | Income taxes have not been provided as eachpartner is individually liable for the taxes, if any, on its share ofthe Partnership's income andexpenses. |

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

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

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

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

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

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

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

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

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

All brokerage commissions, exchange, clearing, user,give-up, and National Futures Association fees will be borne by theMaster and allocated to the Partnership through its investment in theMaster. CGM will pay a portion of brokerage fees to its financialadvisors who have sold 

F-11

----

SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

Redeemable Units in this Partnership. ThePartnership's assets not held at the Master are held in thePartnership's account at CGM. The Partnership's cash isdeposited by CGM in segregated bank accounts to the extent required byCommodity Futures Trading Commission regulations. CGM will pay thePartnership interest on 80% of the average daily equityallocated to the Partnership by the Master during each month at a30-day U.S. Treasury bill rate determined weekly by CGM based on theaverage non-competitive yield on 3-month U.S. Treasury bills maturingin 30 days from the date on which such weekly rate is determined. TheCustomer Agreement between CGM and the Master gives the Master thelegal right to net unrealized gains and losses. The Customer Agreementmay be terminated upon notice by either party.

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

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

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

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

F-12

----

SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

|          |                      |
|----------|----------------------|
| 6.  | FinancialHighlights: |

Changes in the Net Asset Value per Redeemable Unitof Partnership interest for the years ended December  31, 2005and 2004 and 2003 were asfollows:

|                                                      |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|------------------------------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                 |  | 2005   |          | 2004    |  | 2003   |
| Netrealized and unrealized gains(losses)*            |  | $      | 1,279.15 |    |  | $      | 392.92   |    |  | $      | (273.05  | )  |
| Interestincome                                       |  |   | 37.96    |    |  |   | 10.02    |    |  |   | 7.42     |    |
| Expenses**                                           |  |   | (294.48  | )  |  |   | (42.59   | )  |  |   | (23.64   | )  |
| Increase(decrease) for theyear                       |  |   | 1,022.63 |    |  |   | 360.35   |    |  |   | (289.27  | )  |
| Netasset value per Redeemable Unit, beginning ofyear |  |   | 1,149.74 |    |  |   | 789.39   |    |  |   | 1,078.66 |    |
| Netasset value per Redeemable Unit, end ofyear       |  | $      | 2,172.37 |    |  | $      | 1,149.74 |    |  | $      | 789.39   |    |
|                                                      |

|  |
|--|
|  |  |
|  |

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

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

|                                                                    |  |        |        |          |  |        |        |          |  |        |         |          |  |  |
|--------------------------------------------------------------------|--|--------|--------|----------|--|--------|--------|----------|--|--------|---------|----------|--|--|
|                                                               |  | 2005   |        | 2004     |  | 2003   |
| Ratiosto average net assets:                                       |  |   |   |     |  |   |   |     |  |   |    |     |
| Netinvestment loss before allocation to Special LimitedPartner**** |  |   | (3.0   | )%  |  |   | (5.3   | )%  |  |   | (7.0    | )%  |
| Operatingexpenses                                                  |  |   | 5.4    | %   |  |   | 6.3    | %   |  |   | 7.8     | %   |
| Allocationto Special LimitedPartner                                |  |   | 15.0   | %   |  |   | 1.7    | %   |  |   | — | %   |
| Totalexpenses and allocation to Special LimitedPartner             |  |   | 20.4   | %   |  |   | 8.0    | %   |  |   | 7.8     | %   |
|                                                               |  |   |   |     |  |   |   |     |  |   |    |     |
| Totalreturn:                                                       |  |   |   |     |  |   |   |     |  |   |    |     |
| Total return beforeallocation to Special LimitedPartner            |  |   | 104.7  | %   |  |   | 47.8   | %   |  |   | (26.8   | )%  |
| Allocationto Special LimitedPartner                                |  |   | (15.8  | )%  |  |   | (2.1   | )%  |  |   | — | %   |
| Totalreturn after allocation to Special LimitedPartner             |  |   | 88.9   | %   |  |   | 45.7   | %   |  |   | (26.8   | )%  |
|                                                                    |

|  |
|--|
|  |  |
|  |

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

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

|          |                            |
|----------|----------------------------|
| 7.  | Financial InstrumentRisks: |

In the normal course of business, the Partnership,through its investment in the Master, is party to financial instrumentswith off-balance sheet risk, including derivative financial instrumentsand derivative commodity instruments. These financial instruments mayinclude forwards, futures, options and swaps, whose values are basedupon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange currencies or cash flows, orto purchase or sell other financial instruments at specific terms atspecified future dates, or, in the case of derivative commodityinstruments, to have a reasonable possibility to be settled in cash orwith another financial instrument. These instruments may be traded onan exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments 

F-13

----

SalomonSmith Barney AAAEnergy Fund L.P. IINotes to FinancialStatements

including market and credit risk. In general,the risks associated with OTC contracts are greater than thoseassociated with exchange traded instruments because of the greater riskof default by the counterparty to an OTC contract. The Master'sswap contracts are OTC contracts.

Market risk is the potentialfor changes in the value of the financial instruments traded by theMaster due to market changes, including interest and foreign exchangerate movements and fluctuations in commodity or security prices. Marketrisk is directly impacted by the volatility and liquidity in themarkets in which the related underlying assets are traded.

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

The General Partner monitors and controls thePartnership's/Master's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Partnership/Master is subject. These monitoring systems allow the General Partnerto statistically analyze actual trading results with risk adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

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

F-14

----

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

|                                                                                                                  |  |                                                        |            |                                                       |  |                                                   |            |                                                      |  |   |            |        |  |   |            |        |  |  |
|------------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|------------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|------------|--------|--|---|------------|--------|--|--|
|                                                                                                             |  | Forthe period from October 1, 2005 to December 31,2005 |            | For the period from July 1, 2005 to September30, 2005 |  | For the period from April 1, 2005 to June30, 2005 |            | For the period from January 1, 2005 to March31, 2005 |
| Net realized and unrealized trading gainsnet of brokerage fees commissions and clearing fees plus interestincome |  | $                                                      | 42,665,185 |                                                  |  | $                                                 | 69,427,317 |                                                 |  | $ | 47,895,867 |   |  | $ | 48,655,169 |   |
| NetIncome                                                                                                        |  | $                                                      | 32,351,903 |                                                  |  | $                                                 | 54,095,209 |                                                 |  | $ | 37,304,123 |   |  | $ | 38,172,306 |   |
| Increase inNet Asset Value perRedeemable Unit                                                                    |  | $                                                      | 138.60     |                                                  |  | $                                                 | 321.78     |                                                 |  | $ | 261.85     |   |  | $ | 300.40     |   |
|                                                                                                                  |

|                                                                                                             |  |                                                        |           |                                                       |  |                                                   |            |                                                      |  |   |           |        |  |   |           |        |  |  |
|-------------------------------------------------------------------------------------------------------------|--|--------------------------------------------------------|-----------|-------------------------------------------------------|--|---------------------------------------------------|------------|------------------------------------------------------|--|---|-----------|--------|--|---|-----------|--------|--|--|
|                                                                                                        |  | Forthe period from October 1, 2004 to December 31,2004 |           | For the period from July 1, 2004 to September30, 2004 |  | For the period from April 1, 2004 to June30, 2004 |            | For the period from January 1, 2004 to March31, 2004 |
| Net realized and unrealized trading gainsnet of brokerage commissions and clearing fees plus interestincome |  | $                                                      | 8,838,422 |                                                  |  | $                                                 | 23,335,080 |                                                 |  | $ | 3,730,544 |   |  | $ | 8,197,683 |   |
| NetIncome                                                                                                   |  | $                                                      | 6,397,247 |                                                  |  | $                                                 | 22,351,623 |                                                 |  | $ | 3,092,705 |   |  | $ | 7,565,452 |   |
| Increasein Net Asset ValueperUnit                                                                           |  | $                                                      | 57.21     |                                                  |  | $                                                 | 209.37     |                                                 |  | $ | 27.97     |   |  | $ | 65.80     |   |
|                                                                                                             |

F-15

----

To theMembers ofSB AAA Master Fund LLC

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

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

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

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

F-16

----

Independent Auditors'Report

To the Members ofSB AAA Master Fund LLC:

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

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

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

                                        

New York, New York March 13,2006

F-17

----

SB AAAMaster Fund LLCStatements of Financial ConditionDecember 31,2005 and2004

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

See accompanyingnotes to financial statements.

F-18

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2005

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

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

See accompanying notes tofinancial statements.

F-19

----

SB AAA Master Fund LLCCondensedSchedule of InvestmentsDecember 31,2004

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

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

See accompanying notes tofinancial statements.

F-20

----

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

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

See accompanyingnotes to financial statements.

F-21

----

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

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

NetAsset Value PerUnit:

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

Seeaccompanying notes to financialstatements.

F-22

----

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

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

See accompanyingnotes to financialstatements.

F-23

----

SBAAA Master Fund LLCNotes to FinancialStatements

1.    General:

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

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

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

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

2.    Accounting Policies:

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

F-24

----

SBAAA Master Fund LLCNotes to FinancialStatements

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

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

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

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

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

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

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

The Managing Member administers thebusiness affairs of the Master.

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

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

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

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

F-25

----

SBAAA Master Fund LLCNotes to FinancialStatements

4.    Trading Activities:

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

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

5.    Distributions and Redemptions:

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

6.    Financial Highlights:

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

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

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

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

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

7.    Financial Instrument Risks:

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

F-26

----

SBAAA Master Fund LLCNotes to FinancialStatements

currencies or cash flows, to purchase or sellother financial instruments at specific terms at specified futuredates, or, in the case of derivative commodity instruments, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter ("OTC").Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

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

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

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

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

F-27

----

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

|                                                                                                                  |  |                                                      |            |                                                     |  |                                                 |             |                                                    |  |   |             |        |  |   |             |        |  |  |
|------------------------------------------------------------------------------------------------------------------|--|------------------------------------------------------|------------|-----------------------------------------------------|--|-------------------------------------------------|-------------|----------------------------------------------------|--|---|-------------|--------|--|---|-------------|--------|--|--|
|                                                                                                             |  | Forthe period fromOctober 1, 2005 toDecember 31,2005 |            | For the period fromJuly 1, 2005 toSeptember 30,2005 |  | For the period fromApril 1, 2005 toJune 30,2005 |             | For the period fromJanuary 1, 2005 toMarch 31,2005 |
| Net realized and unrealized trading gains netof brokerage fees commissions and clearing fees plus interestincome |  | $                                                    | 78,571,053 |                                                |  | $                                               | 139,754,428 |                                               |  | $ | 105,296,290 |   |  | $ | 118,510,387 |   |
| NetIncome                                                                                                        |  | $                                                    | 78,379,858 |                                                |  | $                                               | 139,650,072 |                                               |  | $ | 105,228,428 |   |  | $ | 118,455,863 |   |
| Increasein Net Asset Value per RedeemableUnit                                                                    |  | $                                                    | 304.38     |                                                |  | $                                               | 666.56      |                                               |  | $ | 535.54      |   |  | $ | 606.02      |   |
|                                                                                                                  |

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

F-28

----

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

None.

Item 9A.    Controls andProcedures

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

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

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

Item 9B.    OtherInformation.

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

PART III

Item10.    Directors and Executive Officers of theRegistrant.

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

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

Item11.    Executive Compensation.

The Partnership hasno directors or officers. Its affairs are managed by Citigroup ManagedFutures LLC, its General Partner, which receives compensation for itsservices, as set forth under "Item 1.Business." CGM, an affiliate of the GeneralPartner, is the commodity broker for the Partnership and receivesbrokerage commissions for such services, as described under"Item 1. Business." During the yearended December 31, 2005, CGM earned $6,070,982 in brokerage commissionsand clearing fees from the Partnership and through thePartnership's investment in the Master. The Advisor earned$5,868,947 in management fees during 2005. The General Partner earned$1,467,235 in administrative fees during 2005.

Item12.    Security Ownership of Certain Beneficial Owners andManagement.

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

(b)    Security ownership of management.Under the terms of the Limited Partnership Agreement, thePartnership's affairs are managed by the General Partner. TheGeneral Partner owns Units of general partnership interest equivalentto 2,501.2826 (1.16%) Units of Limited Partnership Interest asof December 31, 2005.

Principals who own Redeemable Units of thePartnership:*

* David J. Vogel                     20.0000 Redeemable Units* Maureen O'Toole                   23.4030 RedeemableUnits

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

* No oneprincipal owns more than 1% of Redeemable Units of LimitedPartnership Interest.

(c)    Changes in control.None.

23

----

Item 13.    Certain Relationshipsand Related Transactions.

Citigroup Global Markets andCitigroup Managed Futures LLC would be considered promoters forpurposes of item 404(d) of Regulation S-K. The nature and the amountsof compensation each promoter will receive from the Partnership are setforth under "Item 1. Business.","Item 8. Financial Statements and SupplementaryData." and "Item 11. ExecutiveCompensation."

Item 14.    PrincipalAccountant Fees and Services

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

2005            $61,765

2004            $44,560

(2)    Audit-Related Fees. None

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

2005            $7,606

2004            $5,136

(4)    All Other Fees. None.

(5)    NotApplicable.

(6)    Not Applicable.

PART IV

Item 15.    Exhibits and Financial StatementSchedules.

|               |                                                                                      |
|---------------|--------------------------------------------------------------------------------------|
| (a) (1)  | FinancialStatements: Statements of Financial Condition at December 31, 2005 and2004. |

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

|        |                                                                                                 |
|--------|-------------------------------------------------------------------------------------------------|
|   | Statements of Changes in Partners' Capitalfor the years ended December 31, 2005, 2004 and 2003. |

|        |                                                                               |
|--------|-------------------------------------------------------------------------------|
|   | Statements of Cash Flows for the years endedDecember 31, 2005, 2004 and 2003. |

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

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

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

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

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

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

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

24

----

|        |                                                                                                                                                              |
|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.4 – AgencyAgreement between the Partnership, Citigroup Managed Futures LLC andSalomon Smith Barney Inc. (the predecessor to CGM) (previouslyfiled). |

|        |                                                                |
|--------|----------------------------------------------------------------|
|   | 10.5 – Form of SubscriptionAgreement (previously filed). |

|        |                                                                                                                                     |
|--------|-------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.6 –Letter from General Partner to AAA Capital Management, Inc. extendingthe Advisory Agreement for 2003 (previouslyfiled). |

|        |                                                                                                                                      |
|--------|--------------------------------------------------------------------------------------------------------------------------------------|
|   | 10.7 – Letter from GeneralPartner to AAA Capital Management, Inc. extending the AdvisoryAgreement for 2004 (previously filed). |

|        |                                                                                                                                 |
|--------|---------------------------------------------------------------------------------------------------------------------------------|
|   | 10.8– Letter from General Partner to AAA Capital Management, Inc.extending the Advisory Agreement for 2005 (filedherein). |

|        |                                                                        |
|--------|------------------------------------------------------------------------|
|   | 16.1 – Letter fromPricewaterhouseCoopers LLP (previously filed). |

|        |                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------|
|   | The exhibits required to be filed by Item 601 ofRegulations S-K are incorporated herein by reference. |

|        |                                                                                               |
|--------|-----------------------------------------------------------------------------------------------|
|   | 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 andDirector). |

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

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

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

AnnualReport to Limited Partners

No proxy material has been sent toLimited Partners.

25

----

SIGNATURES

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

Salomon Smith Barney AAA Energy Fund L.P.II

By:    /s/ Citigroup Managed FuturesLLC            (General Partner)

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

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

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

26

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