Table of Contents

FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

(X) QUARTERLY REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

OR ( ) TRANSITIONREPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGEACT OF 1934

For the Quarter endedMarch 31, 2006

Commission File Number000-51282

CITIGROUP FAIRFIELD FUTURES FUNDL.P. II

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|--|
|  |  |
|  |

(Exact name ofregistrant as specified in its charter)

|                                |  |                    |  |  |  |  |
|--------------------------------|--|--------------------|--|--|--|--|
| NewYork                        |  | 56-2421596         |
| (State or otherjurisdiction of |  | (I.R.S. Employer   |
| incorporation or organization) |  | IdentificationNo.) |
|                                |

c/o Citigroup Managed Futures LLC 731Lexington Ave. — 25th Floor New York, New York10022

|  |
|--|
|  |  |
|  |

(Address and ZipCode of principal executive offices)

(212)559-2011

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|--|
|  |  |
|  |

(Registrant'stelephone number, including area code)

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

YesX     No     

Indicate by checkmark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of"accelerated filer and large acceleratedfiler" in Rule 12b-2 of the Exchange Act. (Check one)

Large accelerated filer        Accelerated filer         Non-accelerated filer X

Indicate by check mark whetherthe registrant is a shell company (as defined in rule 12b-2 of theExchange  Act).

Yes         NoX

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Table of Contents

CITIGROUP FAIRFIELDFUTURES FUND L.P. II

FORM 10-Q

INDEX

|                               |  |                                                                                                                   |    |        |                               |        |  |  |  |  |
|-------------------------------|--|-------------------------------------------------------------------------------------------------------------------|----|--------|-------------------------------|--------|--|--|--|--|
| PARTI - FinancialInformation: |  | PageNumber                                                                                                        |
| Item1.                        |  | FinancialStatements:                                                                                              |    |   |                          |   |
|                          |  | Statements of FinancialConditionat March 31, 2006 and December 31,2005(unaudited).                                |    |   | 3                             |   |
|                          |  | CondensedSchedules of Investmentsat March 31, 2006 and December 31,2005(unaudited).                               |    |   | 4 – 5         |   |
|                          |  | Statementsof Income and Expensesand Partners' Capital for thethreemonths ended March 31, 2006 and 2005(unaudited) |    |   | 6                             |   |
|                          |  | Statementsof Cash Flows for the three months ended March 31, 2006 and2005(unaudited).                             |    |   | 7                             |   |
|                          |  | Notesto FinancialStatements(unaudited).                                                                           |    |   | 8 – 12        |   |
| Item2.                        |  | Management's Discussion andAnalysis of FinancialConditionand Results ofOperations.                                |    |   |  13 – 15 |   |
| Item3.                        |  | Quantitative and QualitativeDisclosures about MarketRisk                                                          |    |   | 16                            |   |
| Item4.                        |  | Controls andProcedures.                                                                                           |    |   | 17                            |   |
| PARTII - OtherInformation     |  |                                                                                                              | 18 |   |
|                               |

2

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Table of Contents

PART I

Item1.    Financial Statements

Citigroup Fairfield Futures FundL.P. IIStatements of FinancialCondition(Unaudited)

|                                                                                                                                        |  |               |            |                 |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|---------------|------------|-----------------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | March31, 2006 |            | December31,2005 |
| Assets:                                                                                                                                |  |          |       |            |  |   |       |   |
| Equityin commodity futures tradingaccount:                                                                                             |  |          |       |            |  |   |       |   |
| Cash (restricted$9,088,209 and $4,363,860 in 2006 and 2005,respectively)                                                               |  | $             | 73,076,339 |            |  | $      | 77,422,488 |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |          | 1,990,365  |            |  |   | —    |   |
| Unrealizedappreciation on open forwardcontracts                                                                                        |  |          | 2,169,302  |            |  |   | 3,298,568  |   |
|                                                                                                                                   |  |          | 77,236,006 |            |  |   | 80,721,056 |   |
| Interestreceivable                                                                                                                     |  |          | 78,690     |            |  |   | 30,485     |   |
|                                                                                                                                   |  | $             | 77,314,696 |            |  | $      | 80,751,541 |   |
| Liabilitiesand Partners'Capital:                                                                                                       |  |          |       |            |  |   |       |   |
| Liabilities:                                                                                                                           |  |          |       |            |  |   |       |   |
| Netunrealized depreciation on open futurespositions                                                                                    |  | $             | —    |            |  | $      | 78,814     |   |
| Unrealizeddepreciation on open forwardcontracts                                                                                        |  |          | 2,032,102  |            |  |   | 2,216,527  |   |
| Accruedexpenses:                                                                                                                       |  |          |       |            |  |   |       |   |
| Commissions                                                                                                                            |  |          | 282,311    |            |  |   | 299,840    |   |
| Managementfees                                                                                                                         |  |          | 124,845    |            |  |   | 132,652    |   |
| Administrativefees                                                                                                                     |  |          | 31,211     |            |  |   | 33,163     |   |
| Other                                                                                                                                  |  |          | 93,261     |            |  |   | 59,157     |   |
| Dueto CGM for offeringcosts                                                                                                            |  |          | 152        |            |  |   | 10,451     |   |
| Redemptionspayable                                                                                                                     |  |          | 1,917,039  |            |  |   | 2,474,663  |   |
|                                                                                                                                   |  |          | 4,480,921  |            |  |   | 5,305,267  |   |
| Partners'Capital:                                                                                                                      |  |          |       |            |  |   |       |   |
| General Partner,724.0407 Unit equivalents outstanding in 2006 and2005                                                                  |  |          | 591,404    |            |  |   | 577,858    |   |
| SpecialLimited Partner, 100.0000 Redeemable Units of Limited PartnershipInterest Outstanding in 2006 and2005                           |  |          | 81,681     |            |  |   | 79,803     |   |
| LimitedPartners, 88,344.7426 and 93,717.1815 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005,respectively |  |          | 72,160,690 |            |  |   | 74,788,613 |   |
|                                                                                                                                   |  |          | 72,833,775 |            |  |   | 75,446,274 |   |
|                                                                                                                                   |  | $             | 77,314,696 |            |  | $      | 80,751,541 |   |
|                                                                                                                                        |

SeeAccompanying Notes to Financial Statements.

3

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Citigroup Fairfield Futures Fund L.P.IICondensed Schedule of InvestmentsMarch 31,2006(Unaudited)

|                                                  |  |           |            |                      |  |        |        |         |  |  |
|--------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|---------|--|--|
| FuturesContracts Purchased                       |  | FairValue |            | % ofPartners'Capital |
|                                             |  |      |       |                 |  |   |   |    |
| Energy                                           |  | $         | 10,020     |                 |  |   | 0.01   | %  |
| Grains                                           |  |      | (4,600     | )               |  |   | (0.00) | *  |
| InterestRatesNon-U.S.                            |  |      | (1,301     | )               |  |   | (0.00) | *  |
| Indices                                          |  |      | 202,045    |                 |  |   | 0.28   |    |
| Livestock                                        |  |      | 20,450     |                 |  |   | 0.03   |    |
| Metals                                           |  |      | 18,090     |                 |  |   | 0.02   |    |
| Softs                                            |  |      | (448       | )               |  |   | (0.00) | *  |
| Totalfutures contractspurchased                  |  |      | 244,256    |                 |  |   | 0.34   |    |
|                                             |  |      |       |                 |  |   |   |    |
| FuturesContractsSold                             |  |      |       |                 |  |   |   |    |
|                                             |  |      |       |                 |  |   |   |    |
| Energy                                           |  |      | (45,691    | )               |  |   | (0.06  | )  |
| Grains                                           |  |      | (14,836    | )               |  |   | (0.02  | )  |
| InterestRatesNon-U.S.                            |  |      | 1,010,725  |                 |  |   | 1.39   |    |
| InterestRatesU.S.                                |  |      | 740,728    |                 |  |   | 1.02   |    |
| Softs                                            |  |      | 55,183     |                 |  |   | 0.07   |    |
| Totalfutures contractssold                       |  |      | 1,746,109  |                 |  |   | 2.40   |    |
|                                             |  |      |       |                 |  |   |   |    |
| UnrealizedAppreciation on ForwardContracts       |  |      |       |                 |  |   |   |    |
|                                             |  |      |       |                 |  |   |   |    |
| Currencies                                       |  |      | 1,590,925  |                 |  |   | 2.18   |    |
| Metals                                           |  |      | 578,377    |                 |  |   | 0.79   |    |
| Totalunrealized appreciation on forwardcontracts |  |      | 2,169,302  |                 |  |   | 2.97   |    |
| UnrealizedDepreciation on ForwardContracts       |  |      |       |                 |  |   |   |    |
|                                             |  |      |       |                 |  |   |   |    |
| Currencies                                       |  |      | (1,542,954 | )               |  |   | (2.12  | )  |
| Metals                                           |  |      | (489,148   | )               |  |   | (0.67  | )  |
|                                             |  |      |       |                 |  |   |   |    |
| Totalunrealized depreciation on forwardcontracts |  |      | (2,032,102 | )               |  |   | (2.79  | )  |
|                                             |  |      |       |                 |  |   |   |    |
| TotalFairValue                                   |  | $         | 2,127,565  |                 |  |   | 2.92   | %  |
|                                                  |

Percentagesare based on Partners' capital unless otherwiseindicated

* Due to Rounding

SeeAccompanying Notes to Financial Statements.

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Citigroup Fairfield Futures Fund L.P.IICondensed Schedule of InvestmentsDecember 31,2005(Unaudited)

|                                                   |  |           |            |                      |  |        |        |          |  |  |
|---------------------------------------------------|--|-----------|------------|----------------------|--|--------|--------|----------|--|--|
| FuturesContracts Purchased                        |  | FairValue |            | % ofPartners'Capital |
|                                              |  |      |       |                 |  |   |   |     |
| Grains                                            |  | $         | (1,063     | )               |  |   | (0.00) | %*  |
| Interest Rates Non-U.S.                           |  |      | 90,201     |                 |  |   | 0.12   |     |
| Interest Rates U.S.                               |  |      | (34,076    | )               |  |   | (0.05  | )   |
| Indices                                           |  |      | 25,032     |                 |  |   | 0.03   |     |
| Livestock                                         |  |      | (6,181     | )               |  |   | (0.01  | )   |
| Metals                                            |  |      | (8,050     | )               |  |   | (0.01  | )   |
| Softs                                             |  |      | 35,291     |                 |  |   | 0.05   |     |
| Total futures contractspurchased                  |  |      | 101,154    |                 |  |   | 0.13   |     |
|                                              |  |      |       |                 |  |   |   |     |
| FuturesContractsSold                              |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| Energy                                            |  |      | 14,530     |                 |  |   | 0.02   |     |
| Grains                                            |  |      | (26,835    | )               |  |   | (0.04  | )   |
| Indices                                           |  |      | 6,272      |                 |  |   | 0.01   |     |
| Interest Rates Non-U.S.                           |  |      | 13,507     |                 |  |   | 0.02   |     |
| Interest Rates U.S.                               |  |      | (94,103    | )               |  |   | (0.13  | )   |
| Softs                                             |  |      | (93,339    | )               |  |   | (0.12  | )   |
| Total futures contractssold                       |  |      | (179,968   | )               |  |   | (0.24  | )   |
|                                              |  |      |       |                 |  |   |   |     |
| Unrealized Appreciation onForwardContracts        |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | 1,104,499  |                 |  |   | 1.46   |     |
| Metals                                            |  |      | 2,194,069  |                 |  |   | 2.91   |     |
| Total unrealized appreciation on forwardcontracts |  |      | 3,298,568  |                 |  |   | 4.37   |     |
|                                              |  |      |       |                 |  |   |   |     |
| Unrealized Depreciation onForwardContracts        |  |      |       |                 |  |   |   |     |
|                                              |  |      |       |                 |  |   |   |     |
| Currencies                                        |  |      | (749,945   | )               |  |   | (0.99  | )   |
| Metals                                            |  |      | (1,466,582 | )               |  |   | (1.94  | )   |
| Total unrealized depreciation on forwardcontracts |  |      | (2,216,527 | )               |  |   | (2.93  | )   |
| Total Fair Value                                  |  | $         | 1,003,227  |                 |  |   | 1.33   | %   |
|                                                   |

Percentages are based onPartners' capital unless otherwiseindicated

|   |                |
|---|----------------|
| * | Due toRounding |

See Accompanying Notes to FinancialStatements.

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Citigroup Fairfield Futures Fund L.P.IIStatements of Income and Expenses and Partners'Capital(Unaudited)

|                                                                                                                                      |  |                           |            |         |  |        |            |         |  |  |
|--------------------------------------------------------------------------------------------------------------------------------------|--|---------------------------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                                                                 |  | ThreeMonths EndedMarch31, |
|                                                                                                                                 |  | 2006                      |            | 2005    |
| Income:                                                                                                                              |  |                      |       |    |  |   |       |    |
| Netgains (losses) on trading of commodityinterests:                                                                                  |  |                      |       |    |  |   |       |    |
| Realized gains(losses) on closed positions                                                                                           |  | $                         | 1,346,399  |    |  | $      | (3,172,846 | )  |
| Change inunrealized gains (losses) on openpositions                                                                                  |  |                      | 1,124,338  |    |  |   | (3,883,308 | )  |
|                                                                                                                                 |  |                      | 2,470,737  |    |  |   | (7,056,154 | )  |
| Interestincome                                                                                                                       |  |                      | 648,202    |    |  |   | 377,785    |    |
|                                                                                                                                 |  |                      | 3,118,939  |    |  |   | (6,678,369 | )  |
| Expenses:                                                                                                                            |  |                      |       |    |  |   |       |    |
| Brokeragecommissions including clearing fees of $24,664 and $13,997,respectively                                                     |  |                      | 897,164    |    |  |   | 991,086    |    |
| Managementfees                                                                                                                       |  |                      | 375,307    |    |  |   | 401,584    |    |
| Administrativefees                                                                                                                   |  |                      | 93,827     |    |  |   | 100,396    |    |
| Other                                                                                                                                |  |                      | 34,173     |    |  |   | 36,255     |    |
|                                                                                                                                 |  |                      | 1,400,471  |    |  |   | 1,529,321  |    |
| Netincome(loss)                                                                                                                      |  |                      | 1,718,468  |    |  |   | (8,207,690 | )  |
| Additions– Limited Partners                                                                                                    |  |                      | 2,636,000  |    |  |   | 9,040,000  |    |
| Redemptions –LimitedPartners                                                                                                   |  |                      | (6,966,967 | )  |  |   | (2,740,947 | )  |
| Netdecrease in Partners' capital                                                                                                     |  |                      | (2,612,499 | )  |  |   | (1,908,637 | )  |
| Partners'capital, beginning ofperiod                                                                                                 |  |                      | 75,446,274 |    |  |   | 81,709,052 |    |
| Partners'capital, end ofperiod                                                                                                       |  | $                         | 72,833,775 |    |  | $      | 79,800,415 |    |
| Netasset value per Redeemable Unit (89,168.7833 and 96,955.5183 RedeemableUnits outstanding at March 31, 2006 and 2005,respectively) |  | $                         | 816.81     |    |  | $      | 822.72     |    |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unitequivalent                               |  | $                         | 18.78      |    |  | $      | (84.92     | )  |
| Redemption/Subscriptionvalue per Redeemable Unit                                                                                     |  | $                         | 816.81     |    |  | $      | 823.10     |    |
|                                                                                                                                      |

SeeAccompanying Notes to Financial Statements.

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Citigroup Fairfield Futures Fund L.P.IIStatements of CashFlows(Unaudited)

|                                                                                                 |  |                           |            |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------------|--|---------------------------|------------|---------|--|--------|------------|---------|--|--|
|                                                                                            |  | ThreeMonths EndedMarch31, |
|                                                                                            |  | 2006                      |            | 2005    |
| Cashflows from operatingactivities:                                                             |  |                      |       |    |  |   |       |    |
| Net income(loss)                                                                                |  | $                         | 1,718,468  |    |  | $      | (8,207,690 | )  |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |                      |       |    |  |   |       |    |
| Changesin operating assets andliabilities:                                                      |  |                      |       |    |  |   |       |    |
| (Increase)decrease in restrictedcash                                                            |  |                      | (4,724,349 | )  |  |   | 3,575,925  |    |
| (Increase)decrease in net unrealized appreciation on open futures positions                     |  |                      | (1,990,365 | )  |  |   | 1,408,251  |    |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                          |  |                      | 1,129,266  |    |  |   | 2,467,066  |    |
| (Increase)decrease in interest receivable                                                       |  |                      | (48,205    | )  |  |   | (37,242    | )  |
| Increase(decrease) in net unrealized depreciation on open futurespositions                      |  |                      | (78,814    | )  |  |   | 546,252    |    |
| Increase(decrease) in unrealized depreciation on open forward contracts                         |  |                      | (184,425   | )  |  |   | (538,261   | )  |
| Accruedexpenses:                                                                                |  |                      |       |    |  |   |       |    |
| Increase(decrease) in commissions                                                               |  |                      | (17,529    | )  |  |   | (9,268     | )  |
| Increase(decrease) in managementfees                                                            |  |                      | (7,807     | )  |  |   | (4,167     | )  |
| Increase(decrease) in administrative fees                                                       |  |                      | (1,952     | )  |  |   | (1,041     | )  |
| Increase(decrease) in due to CGM                                                                |  |                      | (10,299    | )  |  |   | (8,440     | )  |
| Increase(decrease) inother                                                                      |  |                      | 34,104     |    |  |   | 35,802     |    |
| Netcash provided by (used in) operatingactivities                                               |  |                      | (4,181,907 | )  |  |   | (772,813   | )  |
| Cashflows from financingactivities:                                                             |  |                      |       |    |  |   |       |    |
| Proceeds fromadditions – LimitedPartners                                                  |  |                      | 2,636,000  |    |  |   | 9,040,000  |    |
| Paymentsfor redemptions – LimitedPartners                                                 |  |                      | (7,524,591 | )  |  |   | (3,499,425 | )  |
| Netcash provided by (used in) Financingactivities                                               |  |                      | (4,888,591 | )  |  |   | 5,540,575  |    |
| Netchange inCash                                                                                |  |                      | (9,070,498 | )  |  |   | 4,767,762  |    |
| Unrestrictedcash, at beginning ofperiod                                                         |  |                      | 73,058,628 |    |  |   | 70,799,002 |    |
| Unrestrictedcash, at end ofperiod                                                               |  | $                         | 63,988,130 |    |  | $      | 75,566,764 |    |
|                                                                                                 |

SeeAccompanying Notes to FinancialStatements.

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Citigroup FairfieldFutures Fund L.P. II Notes to Financial Statements March 31,2006 (Unaudited)

1.    General:

CitigroupFairfield Futures Fund L.P. II (the"Partnership") is a limited partnership whichwas organized on December 18, 2003 under the partnership laws of theState of New York to engage in the speculative trading of a diversifiedportfolio of commodity interests including futures contracts, optionsand forward contracts. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk.

During the initial offering period (January 12, 2004 throughMarch  12, 2004), the Partnership sold 28,601 redeemable units ofLimited Partnership Interest ("RedeemableUnits") and 285 Units of General Partnership Interest. ThePartnership commenced trading on March 15, 2004.

CitigroupManaged Futures LLC acts as the general partner (the"General Partner") of the Partnership. ThePartnership's commodity 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.As of March 31, 2006, all trading decisions for the Partnership aremade by Graham Capital Management, L.P. (the"Advisor").

The accompanying financialstatements are unaudited but, in the opinion of management, include alladjustments, consisting only of normal recurring adjustments, necessaryfor a fair presentation of the Partnership's financial conditionat March 31, 2006 and December 31, 2005 and the results of itsoperations and cash flows for the three months ended March 31, 2006 and2005. These financial statements present the results of interim periodsand do not include all disclosures normally provided in annualfinancial statements. You should read these financial statementstogether with the financial statements and notes included in thePartnership's Annual Report for the year ended December 31,2005.

Due to the nature of commodity trading, the results ofoperations for the interim periods presented should not be consideredindicative of the results that may be expected for the entireyear.

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements March 31, 2006(Unaudited)

2.    Financial Highlights:

Changes inNet Asset Value per Redeemable Unit of Limited Partnership Interest forthe three months ended March 31, 2006 and 2005 were asfollows:

|                                                                                            |  |                           |        |            |  |        |        |         |  |  |
|--------------------------------------------------------------------------------------------|--|---------------------------|--------|------------|--|--------|--------|---------|--|--|
|                                                                                       |  | ThreeMonths EndedMarch31, |
|                                                                                       |  | 2006                      |        | 2005       |
| Netrealized and unrealized gains(losses)*                                                  |  | $                         | 17.22  |       |  | $      | (84.22 | )  |
| Interestincome                                                                             |  |                      | 6.96   |       |  |   | 3.94   |    |
| Expenses**                                                                                 |  |                      | (5.40  | )     |  |   | (4.64  | )  |
| Increase(decrease) for theperiod                                                           |  |                      | 18.78  |       |  |   | (84.92 | )  |
| Net Asset Valueper Redeemable Unit, beginning ofperiod                                     |  |                      | 798.03 |       |  |   | 907.64 |    |
| NetAsset Value per Redeemable Unit, end ofperiod                                           |  | $                         | 816.81 |       |  | $      | 822.72 |    |
| Redemption/subscriptionvalue per Redeemable Unit versus Net Asset value per RedeemableUnit |  |                      | 0.00   | ****  |  |   | 0.38   |    |
| Redemption/subscriptionvalue per Redeemable Unit, end ofperiod***                          |  | $                         | 816.81 |       |  | $      | 823.10 |    |
|                                                                                            |

|   |                                |
|---|--------------------------------|
| * | Includesbrokerage commissions. |

|    |                                |
|----|--------------------------------|
| ** | Excludesbrokerage commissions. |

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

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

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements March 31, 2006(Unaudited)

2.    Financial Highlights (continued):

|                                           |  |                            |         |          |  |        |         |          |  |  |
|-------------------------------------------|--|----------------------------|---------|----------|--|--------|---------|----------|--|--|
|                                      |  | ThreeMonths Ended March31, |
|                                      |  | 2006                       |         | 2005     |
| Ratioto average netassets:*               |  |                       |    |     |  |   |    |     |
| Netinvestment loss before incentivefees** |  |                       | (4.2    | )%  |  |   | (5.8    | )%  |
| Operatingexpenses                         |  |                       | 7.8     | %   |  |   | 7.7     | %   |
| Incentivefees                             |  |                       | — | %   |  |   | — | %   |
| Totalexpenses                             |  |                       | 7.8     | %   |  |   | 7.7     | %   |
| Totalreturn:                              |  |                       |    |     |  |   |    |     |
| Total return beforeincentivefees          |  |                       | 2.4     | %   |  |   | (9.4    | )%  |
| Incentivefees                             |  |                       | — | %   |  |   | — | %   |
| Totalreturn after incentivefees           |  |                       | 2.4     | %   |  |   | (9.4)   | %   |
|                                           |

|   |                                       |
|---|---------------------------------------|
| * | Annualized(other than incentive fees) |

|    |                                                                  |
|----|------------------------------------------------------------------|
| ** | Interest income less total expenses(exclusive of incentive fees) |

The aboveratios may vary for individual investors based on the timing of capitaltransactions during the period. Additionally, these ratios arecalculated for the Limited Partner class using the LimitedPartners' share of income, expenses and average netassets.

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements March 31, 2006(Unaudited)

3.    Offering Costs:

Offering andorganization costs of $75,000 relating to the issuance and marketing ofthe partnership's Redeemable Units offered were initially paid byCGM. These costs have been recorded as due to CGM in the statement offinancial condition. These costs are being reimbursed to CGM by thePartnership in 24 equal monthly installments (together with interest atthe prime rate quoted by the JP Morgan Chase & Co.).

As ofMarch 31, 2006, $74,848 of these costs have been reimbursed to CGM bythe Partnership.

In addition, the Partnership has recordedinterest expense of $0 and $2,365 for March 31, 2006 and 2005,respectively which is included in other expenses.

The remainingdeferred liability for these costs due to CGM of $152 (exclusive ofinterest charges) will not reduce Net Asset Value per Redeemable Unitfor any purpose (other than financial reporting), including calculationof advisory and brokerage fees and the redemption/subscription value ofRedeemable Units.

4.    Trading Activities:

ThePartnership was formed for the purpose of trading contracts in avariety of commodity interests, including derivative financialinstruments and derivative commodity instruments. The results of thePartnership's trading activities are shown in the Statements ofIncome and Expenses and Partners' Capital and are discussed inItem 2, Management's Discussion and Analysis of FinancialCondition and Results of Operations.

The Customer Agreementbetween the Partnership and CGM gives the Partnership the legal rightto net unrealized gains and losses on open futures positions.

All of the commodity interests owned by the Partnership are held fortrading purposes. The average fair values of these interests during thethree months ended March 31, 2006 and December 31, 2005, based on amonthly calculation, were $1,124,342 and $395,806, respectively. Thefair values of these commodity interests, including options thereon, ifapplicable, at March 31, 2006 and December 31, 2005, were $2,127,565and $1,003,227, respectively. Fair values for exchange traded commodityfutures and options are based on quoted market prices for those futuresand options. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

5.    Financial InstrumentRisks:

In the normal course of its business, the Partnership isparty to financial instruments with off-balance sheet risk, includingderivative financial instruments and derivative commodity instruments.These financial instruments may include forwards, futures and options,whose values are based upon an underlying asset, index, or referencerate, and generally represent future commitments to exchange currenciesor cash flows, to purchase or sell other financial instruments atspecific terms at specified future dates, or, in the case of derivativecommodity instruments, to have a reasonable possibility to be settledin cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter ("OTC"). Exchange tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards and certain options.

Each of these instrumentsis subject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements March 31, 2006(Unaudited)

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

Credit risk isthe possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Creditrisk with respect to exchange traded instruments is reduced to theextent that an exchange or clearing organization acts as a counterpartyto the transactions. The Partnership's risk of loss in the eventof counterparty default is typically limited to the amounts recognizedas unrealized appreciation in the statements of financial condition andnot represented by the contract or notional amounts of the instruments.The Partnership has credit risk and concentration risk because the solecounterparty or broker with respect to the Partnership's assetsis CGM.

The General Partner monitors and controls thePartnership's risk exposure on a daily basis through financial,credit and risk management monitoring systems, and accordingly believesthat it has effective procedures for evaluating and limiting the creditand market risks to which the Partnership is subject. These monitoringsystems allow the General Partner to statistically analyze actualtrading results with risk-adjusted performance indicators andcorrelation statistics. In addition, on-line monitoring systems provideaccount analysis of futures, forward and option positions by sector,margin requirements, gain and loss transactions and collateralpositions.

The majority of these instruments mature within oneyear of March 31, 2006. However, due to the nature of thePartnership's business, these instruments may not be held tomaturity.

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Item2.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Liquidity andCapital Resources

The Partnership does not engage in thesale of goods or services. Its only assets are its equity in itscommodity futures trading account, consisting of cash, net unrealizedappreciation (depreciation) on open futures and forward contracts andinterest receivable. Because of the low margin deposits normallyrequired in commodity futures trading, relatively small price movementsmay result in substantial losses to the Partnership. While substantiallosses could lead to a substantial decrease in liquidity, no suchlosses occurred in the first quarter of 2006.

ThePartnership's capital consists of capital contributions, asincreased or decreased by realized and/or unrealized gains or losses oncommodity futures trading and expenses, interest income, redemptions ofRedeemable Units and distributions of profits, if any.

For thethree months ended March 31, 2006, Partnership capital decreased3.5% from $75,446,274 to $72,833,775. This decrease wasattributable to the redemption of 8,676.3073 Redeemable Units ofLimited Partnership Interest totaling $6,966,967, which was partiallyoffset by a net income from operations of $1,718,468 coupled with theaddition of 3,303.8684 Redeemable Units totalling $2,636,000, Futureredemptions can impact the amount of funds available for investment incommodity contract positions in subsequent periods.

Critical Accounting Policies

The preparationof financial statements in conformity with accounting principlesgenerally accepted in the United States of America requires managementto make estimates and assumptions that affect the reported amounts ofassets and liabilities, disclosures of contingent assets andliabilities at the date of the financial statements and reportedamounts of revenues and expenses during the reporting period. Actualresults could differ from these estimates.

All commodityinterests (including derivative financial instruments and derivativecommodity instruments) are used for trading purposes. The commodityinterests are recorded on trade date and open contracts are recorded inthe statements of financial condition at fair value on the lastbusiness day of the period, which represents market value for thosecommodity interests for which market quotations are readily availableor other measures of fair value deemed appropriate by management of theGeneral Partner for those commodity interests and foreign currenciesfor which market quotations are not readily available. Investments incommodity interests denominated in foreign currencies are translatedinto U.S. dollars at the exchange rates prevailing on the last businessday of the period. Realized gains (losses) and changes in unrealizedvalues 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.

Foreign currencycontracts are those contracts where the Partnership agrees to receiveor deliver a fixed quantity of foreign currency for an agreed-uponprice on an agreed future date. Foreign currency contracts are valueddaily, and the Partnership'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 date, is includedin the statements 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 statements of income and expenses andpartners' capital.

Results ofOperations

During the Partnership's first quarter of2006 the net asset value per Redeemable unit increased 2.4% from$798.03 to $816.81 as compared to a decrease of 9.4% in thefirst quarter of 2005. The Partnership experienced a net trading gainbefore brokerage commissions and related fees in the first quarter of2006 of $2,470,737. Gains were primarily attributable to the trading ofcommodity futures in U.S. and non-U.S. interest rates, livestock,metals and indices partially offset by losses in currencies, energy,grains, and softs. The Partnership experienced a net trading lossbefore brokerage commissions and related fees in the first quarter of2005 of $7,056,154. Losses were primarily attributable to the tradingof commodity futures in currencies, energy, grains, U.S. and non-U.S.interest rates, livestock, metals and indices and were partially offsetby gains in softs.

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The main drivers of performance in thefirst quarter 2006 were trending markets in stock indices and interestrates that were conducive to the Advisor's trading program.

Global political instability, rising energy and the prices ofindustrial commodities combined with further increase from the U.S.Federal Reserve pushed U.S. and global interest rates higher throughoutthe quarter. The Partnership's Advisor profited with shortpositions in many of these markets.

Counterintuitive totraditional market reaction to higher interest rates, global stockmarkets advanced as corporate earnings reports for full year 2005 metor exceeded expectations and consumer spending remained high despiteincreased energy prices and interest rates. The Partnership'sAdvisor was properly positioned to take advantage of these trends. Theresults from energy trading was negative with profits made in naturalgas offset by losses in crude oil trading.

Reducing gains forthe partnership were losses in foreign currency and agriculturalmarkets. The U.S. dollar remained in a trading pattern for most of thequarter with its' value versus both the Euro and yen rising andfalling within a range that resulted in losses for those advisors whosetrading systems tend to be longer term in nature. Trading results ingrains and softs were inconsequential for the quarter.

Commodityfutures markets are highly volatile. The potential for broad and rapidprice fluctuations increases the risks involved in commodity trading,but also increases the possibility of profit. The profitability of thePartnership depends on the existence of major price trends and theability of the Advisor to correctly identify those price trends. Pricetrends are influenced by, among other things, changing supply anddemand relationships, weather, governmental, agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. To the extent thatmarket trends exist and the Advisor is able to identify them, thePartnership expects to increase capital throughoperations.

Interest income on 80% of thePartnership's daily average equity maintained in cash was earnedat a 30-day U.S. Treasury bill rate determined weekly by CGM based onthe average non-competitive yield on 3-month U.S. Treasury billsmaturing in 30 days. CGM may continue to maintain thePartnership's assets in cash and/or place all of thePartnership's assets in 90-day Treasury bills and pay thePartnership 80% of the interest earned on the Treasury billspurchased. CGM will retain 20% of any interest earned onTreasury bills. Interest income for the three months ended March 31,2006 increased by $270,417, as compared to the corresponding period in2005. The increase in interest income is primarily due to higherinterest rates during the three months ended March 31, 2006 as comparedto the corresponding period in 2005.

Brokerage commissions arecalculated as a percentage of the Partnership's adjusted netasset value on the last day of each month and are affected by tradingperformance, additions and redemptions. Accordingly, they must beanalyzed in relation to the fluctuations in the monthly net assetvalues. Commissions and fees for the three months ended March 31, 2006decreased by $93,922, as compared to the corresponding period in 2005.The decrease in brokerage commissions is due to lower month-end netassets during the three months ended March 31, 2006 as compared to thecorresponding period in 2005.

Management fees are calculated asa percentage of the Partnership's net asset value as of the endof each month and are affected by trading performance, additions andredemptions. Management fees for the three months ended March 31, 2006decreased by $26,277 as compared to the three months March 31, 2005.The decrease in management fees is due to lower month-end net assetsduring the three March 31, 2006 as compared to the corresponding periodin 2005.

Administrative fees are paid to the General Partner foradministering the business and affairs of the Partnership. These feesare calculated as a percentage of the Partnership's net assetvalue as of the end of each month and are affected by tradingperformance and redemptions. Administrative fees for the three monthsended March 31, 2006 decreased by $6,569 as compared to thecorresponding period in 2005. The decrease in administrative fees isdue to lower month-end net assets during the three months ended March31, 2006 as compared to the corresponding period in 2005.

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Special Limited Partner profit shareallocations (incentive fees) are based on the new trading profitsgenerated by the Advisor at the end of the quarter, as defined in theadvisory agreement between the Partnership, the General Partner and theAdvisor. There were no profit share allocations earned for the threemonths ended March 31, 2006 or 2005.

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

The Partnership is aspeculative commodity pool. The market sensitive instruments held by itare acquired for speculative trading purposes, and all or substantiallyall of the Partnership's assets are subject to the risk oftrading loss. Unlike an operating company, the risk of market sensitiveinstruments is integral, not incidental, to the Partnership'smain line of business.

Market movements result infrequent changes in the fair market value of the Partnership'sopen positions and, consequently, in its earnings and cash flow. ThePartnership's market risk is influenced by a wide variety offactors, including the level and volatility of interest rates, exchangerates, equity price levels, the market value of financial instrumentsand contracts, the diversification effects among thePartnership's open positions and the liquidity of the markets inwhich it trades.

The Partnership rapidly acquires andliquidates both long and short positions in a wide range of differentmarkets. Consequently, it is not possible to predict how a particularfuture market scenario will affect performance, and thePartnership's past performance is not necessarily indicative ofits future results.

Value at Risk is a measure of themaximum amount which the Partnership could reasonably be expected tolose in a given market sector. However, the inherent uncertainty of thePartnership's speculative trading and the recurrence in themarkets traded by the Partnership of market movements far exceedingexpectations could result in actual trading or non-trading losses farbeyond the indicated Value at Risk or the Partnership'sexperience to date (i.e., "risk of ruin"). Inlight of the foregoing, as well as the risks and uncertaintiesintrinsic to all future projections, the inclusion of thequantification in this section should not be considered to constituteany assurance or representation that the Partnership's losses inany market sector will be limited to Value at Risk or by thePartnership's attempts to manage its market risk.

Exchange maintenance margin requirements have been used bythe Partnership as the measure of its Value at Risk. Maintenance marginrequirements are set by exchanges to equal or exceed the maximum lossesreasonably expected to be incurred in the fair value of any givencontract in 95%-99% of any one-day interval. Maintenancemargin has been used rather than the more generally available initialmargin, because initial margin includes a credit risk component, whichis not relevant to Value at Risk.

The following tableindicates the trading Value at Risk associated with thePartnership's open positions by market category as of March 31,2006, and the highest, lowest and average values during the threemonths ended March 31, 2006. All open position trading risk exposuresof the Partnership have been included in calculating the figures setforth below. As of March 31, 2006, the Partnership's totalcapitalization was $72,833,775. There has been no material change inthe trading Value at Risk information previously disclosed in thePartnership's Annual Report on Form  10-K for the yearended December  31, 2005.

March 31,2006(Unaudited)

|                                  |  |               |           |                         |  |                                 |        |                  |  |                      |           |        |  |        |           |        |  |        |           |        |  |  |
|----------------------------------|--|---------------|-----------|-------------------------|--|---------------------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                             |  |          |           |                    |  | Threemonths ended March 31,2006 |
| MarketSector                     |  | Value at Risk |           | % ofTotalCapitalization |  | High Value atRisk               |        | LowValue at Risk |  | Average ValueatRisk* |
| Currencies                       |  |          |      |                    |  |                            |   |             |  |                 |      |   |  |   |      |   |  |   |      |   |
| –OTC                       |  | $             | 948,362   |                    |  |                            | 1.30   | %           |  | $                    | 2,175,558 |   |  | $      | 298,020   |   |  | $      | 1,041,070 |   |
| Energy                           |  |          | 132,400   |                    |  |                            | 0.18   | %           |  |                 | 843,025   |   |  |   | 51,425    |   |  |   | 113,242   |   |
| Grains                           |  |          | 24,035    |                    |  |                            | 0.03   | %           |  |                 | 80,250    |   |  |   | 6,300     |   |  |   | 21,074    |   |
| Indices                          |  |          | 3,380,356 |                    |  |                            | 4.64   | %           |  |                 | 5,410,046 |   |  |   | 1,585,403 |   |  |   | 2,749,204 |   |
| Interest RatesNon-U.S.           |  |          | 2,239,716 |                    |  |                            | 3.08   | %           |  |                 | 2,239,716 |   |  |   | 145,145   |   |  |   | 1,044,307 |   |
| Interest RatesU.S.               |  |          | 1,187,700 |                    |  |                            | 1.63   | %           |  |                 | 1,187,700 |   |  |   | 90,833    |   |  |   | 593,760   |   |
| Livestock                        |  |          | 21,400    |                    |  |                            | 0.03   | %           |  |                 | 21,400    |   |  |   | 5,600     |   |  |   | 7,133     |   |
| Metals                           |  |          |      |                    |  |                            |   |             |  |                 |      |   |  |   |      |   |  |   |      |   |
| –Exchange Traded Contracts |  |          | 29,750    |                    |  |                            | 0.04   | %           |  |                 | 126,000   |   |  |   | 3,000     |   |  |   | 25,083    |   |
| – OTC                      |  |          | 123,450   |                    |  |                            | 0.17   | %           |  |                 | 1,490,421 |   |  |   | 6,048     |   |  |   | 76,947    |   |
| Softs                            |  |          | 65,309    |                    |  |                            | 0.09   | %           |  |                 | 132,342   |   |  |   | 29,000    |   |  |   | 75,054    |   |
| Total                            |  | $             | 8,152,478 |                    |  |                            | 11.19  | %           |  |                 |      |   |  |   |      |   |  |   |      |   |
|                                  |

|   |                                    |
|---|------------------------------------|
| * | Averageof month-end Values at Risk |

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

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Item 4.    Controls and Procedures

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

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PART II. OTHERINFORMATION

Item 1.    Legal Proceedings

Thefollowing information supplements and amends our discussion set forthunder Part 1, Item 3 "Legal Proceedings" inthe Partnership's Annual Report on Form 10-K for the period endedDecember  31, 2005.

WorldCom, Inc.

In March 2006, the class action settlement in IN RE WORLDCOM, INC.SECURITIES LITIGATION became final, and the settlement amount was paidpursuant to the terms of the settlement agreement.

Research

On March 29, 2006, the courtpreliminarily approved Citigroup's settlement of IN RE SALOMONANALYST AT&T LITIGATION. A final hearing on the settlement isscheduled for August 11, 2006.

IPO AntitrustLitigation

The underwriter defendants' motion in theSecond Circuit to stay the issuance of the mandate remanding the casesto the district court pending the filing of a petition for writ ofcertiorari to the United States Supreme Court was granted on March 9,2006, after the writ of certiorari was filed on March 8, 2006.

Item 1A.    Risk Factors

There are no material changesfrom the risk factors set forth under Part I, Item 1A."Risk Factors" in our Annual Report on Form10-K for the fiscal year ended December 31, 2005.

Item2.    Unregistered Sales of Equity Securities and Use ofProceeds

For the three months ended March 31, 2006 there wereadditional sales of 3,303.8684 Redeemable Units of Limited Partnershiptotaling $2,636,000. The Redeemable Units were issued in reliance uponapplicable exemptions from registration under section 4(2) of theSecurities Act of 1933, as amended and section 506 of Regulation Dpromulgated thereunder.

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

Thefollowing chart sets forth the purchases of Redeemable Units by thePartnership.

|                                          |  |                                                 |            |                                             |  |                                                                                               |  |                                                                                                                          |     |        |  |        |     |        |  |  |  |  |
|------------------------------------------|--|-------------------------------------------------|------------|---------------------------------------------|--|-----------------------------------------------------------------------------------------------|--|--------------------------------------------------------------------------------------------------------------------------|-----|--------|--|--------|-----|--------|--|--|--|--|
| Period                                   |  | (a)Total Number of Shares (or Units) Purchased* |            | (b)Average Price Paid per Share (or Unit)** |  | (c) TotalNumber of Shares (or Units) Purchased as Part ofPublicly Announced Plans or Programs |  | (d) MaximumNumber (or Approximate Dollar Value) of Shares (orUnits) that May Yet Be Purchased Under the Plans orPrograms |
| January 1, 2006– January 31,2006   |  |                                            | 3,797.6380 |                                        |  | $798.89                                                                                       |  |                                                                                                                     | N/A |   |  |   | N/A |   |
| February1, 2006 – February 28,2006 |  |                                            | 2,531.6865 |                                        |  | $796.32                                                                                       |  |                                                                                                                     | N/A |   |  |   | N/A |   |
| March1, 2006 – March 31,2006       |  |                                            | 2,346.9828 |                                        |  | $816.81                                                                                       |  |                                                                                                                     | N/A |   |  |   | N/A |   |
| Total                                    |  |                                            | 8,676.3073 |                                        |  | $804.01                                                                                       |  |                                                                                                                     | N/A |   |  |   | N/A |   |
|                                          |

|  |                                                                                                                                                                                                       |
|--|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | *Generally, Limited Partners are permitted to redeem their RedeemableUnits as of the end of each month on 10 days' notice to theGeneral Partner. Under certain circumstances, the General Partner can |

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|  |                                                                                                                                                                                                                                                                                         |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | compel redemption but to date the GeneralPartner has not exercised this right. Purchases of Redeemable Units bythe Partnership reflected in the chart above were made in the ordinarycourse of the Partnership's business in connection with effectingredemptions for Limited Partners. |

|  |                                                                                                                                           |
|--|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | ** Redemptions ofRedeemable Units are effected as of the last day of each month at theNet Asset Value per Redeemable Unit as of that day. |

Item3.    Defaults Upon Senior Securities – None

Item4.    Submission of Matters to a Vote of Security Holders –None

Item 5.    Other Information – None

Item6.    Exhibits

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

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

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

|        |                                                                                                 |
|--------|-------------------------------------------------------------------------------------------------|
|   | Exhibit – 32.1– Section 1350 Certification (Certification of President andDirector) |

|        |                                                                                                               |
|--------|---------------------------------------------------------------------------------------------------------------|
|   | Exhibit – 32.2 –Section 1350 Certification (Certification of Chief Financial Officerand Director) |

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalfby the undersigned, thereunto duly authorized.

CITIGROUP FAIRFIELD FUTURES FUND L.P. II

|        |  |                                                                                                                                                                                                                                                                                           |  |        |  |  |  |  |  |  |
|--------|--|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--------|--|--|--|--|--|--|
| By:    |  | CitigroupManaged Futures LLC                                                                                                                                                                              |  |   |
|   |  | (General Partner)                                                                                                                                                                                                                                                                         |  |   |
| By:    |  | /s/ David J.Vogel                                             |  |   |
|   |  | David J. Vogel,Presidentand Director                                                                                                                                                                                                                                                      |  |   |
| Date:  |  | May 12,2006                                                                                                                                                                                                                                                                               |  |   |
| By:    |  | /s/Daniel R. McAuliffe,Jr.                                                                                                                         |  |   |
|   |  | DanielR. McAuliffe, Jr.Chief Financial Officer andDirector                                                                                                                                                                                                                                |  |   |
| Date:  |  | May12, 2006                                                                                                                                                                                                                                                                               |  |   |
|        |

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