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

On June 28, 2004, the United States District Court for the Southern District of New York dismissed all claims under the Securities Act of 1933, as amended, and certain claims under the Securities Exchange Act of 1934 in In Re: Targets Securities Litigation, an alleged class action against Citigroup and CGM and certain former employees, leaving only claims under the 1934 Act for purchases of Targeted Growth Enhanced Terms Securities With Respect to the Common Stock of MCI WorldCom, Inc. ("TARGETS") after July 30, 1999. On October 20, 2004, the parties signed a Memorandum of Understanding setting forth 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 in connection with the proposed class settlement between plaintiffs and the Citigroup-related defendants in In Re: Worldcom, Inc. Securities Litigation.

Global Crossing

On or about January 28, 2003, lead plaintiff in a consolidated alleged class action in the United States District Court for the Southern District of New York (In Re: Global Crossing, Ltd. Securities Litigation) filed a consolidated complaint on behalf of purchasers of the securities of Global Crossing and Asia Global Crossing, which names as defendants, among others, Citigroup, CGM, CGMH and certain executive officers and current and former employees. The purported class action complaint asserts claims under the federal securities laws alleging that the defendants issued research reports without a reasonable basis in fact and failed to disclose conflicts of interest with Global Crossing in connection with published investment research. On March 22, 2004, the lead plaintiff amended its consolidated complaint to add claims on behalf of purchasers of the securities of Asia Global Crossing. The added claims assert causes of action under the federal securities laws and common law in connection with CGM's research reports about Global Crossing and Asia Global Crossing and for CGM's roles as an investment banker for Global Crossing and as an underwriter in the Global Crossing and Asia Global Crossing offerings. The Citigroup related defendants moved to dismiss all of the claims against them on July 2, 2004. The plaintiffs and the Citigroup related defendants have reached an agreement in principle on the terms of a settlement of this action.

In addition, on or about January 27, 2004, the Global Crossing Estate Representative filed in the United States Bankruptcy Court for the Southern District of New York (i) an adversary proceeding asserting claims against, among others, Citigroup, CGM and certain executive officers and current and former employees, asserting claims under federal bankruptcy law and common law in connection with CGM's research reports about Global Crossing and for its role as an underwriter in Global Crossing offerings, and (ii) an adversary proceeding against Citigroup and several other financial institutions seeking to rescind the payment of a $1 billion loan made to a subsidiary of Global Crossing. The Citigroup related defendants moved to dismiss the former action on June 26, 2004, and the latter on May 28, 2004.

In addition, actions asserting claims against Citigroup and certain of its affiliates relating to its Global Crossing research reports are pending in numerous arbitrations around the country. These arbitration proceedings assert claims that are substantially similar to the claims asserted in the alleged class action.

Adelphia Communications Corporation

On July 6, 2003, an adversary proceeding was filed by the Official Committee of Unsecured Creditors on behalf of Adelphia Communications Corporation against certain lenders and investment banks, including CGM, Citibank, N.A., Citicorp USA, Inc., and Citigroup Financial Products, Inc. (together, the Citigroup Parties). The complaint alleges that the Citigroup Parties and numerous other defendants committed acts in violation of the Bank Holding Company Act and the common law. The complaint seeks equitable relief and an unspecified amount of compensatory and punitive damages. In November 2003, a similar adversary proceeding was filed by the Equity Holders Committee of Adelphia. In June 2004, motions to dismiss were filed with respect to the complaints of the Official Committee of Unsecured Creditors and the Equity Holders Committee. The motions are currently pending.

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In addition, CGM is among the underwriters named in numerous civil actions brought to date by investors in Adelphia debt securities in connection with Adelphia securities offerings between September 1997 and October 2001. Three of the complaints also assert claims against Citigroup Inc. and Citibank, N.A. All of the complaints allege violations of federal securities laws, and certain of the complaints also allege violations of state securities laws and the common law. The complaint seeks unspecified damages. In December 2003, a second amended complaint was filed and consolidated before the same judge of the United States District Court for the Southern District of New York. In February 2004, motions to dismiss the class and individual actions pending in the United States District Court for the Southern District were filed. The motions are currently pending.

Mutual Funds

Citigroup and certain of its affiliates have been named in several class action litigations pending in various federal district courts arising out of alleged violations of the federal securities laws, the Investment Company Act and common law (including breach of fiduciary duty and unjust enrichment). The claims concern practices in connection with the sale of mutual funds, including allegations involving market timing, revenue sharing, incentive payments for the sale of proprietary funds, undisclosed breakpoint discounts for the sale of certain classes of funds, inappropriate share class recommendations and inappropriate fund investments. The litigations involving market timing have been consolidated under the MDL rules in the United States District Court for the District of Maryland, and the litigations involving revenue sharing, incentive payment and other issues have been consolidated in the United States District Court for the Southern District of New York. The plaintiffs in these litigations generally seek unspecified compensatory damages, rescissionary damages, injunctive relief, costs and fees. In the principal market timing cases that name Citigroup, a lead plaintiff has been appointed but that plaintiff has not yet filed an amended complaint. In the cases concerning revenue sharing, incentive payment and other issues, the lead plaintiff filed a consolidated and amended complaint on December 15, 2004.

Several issues in the mutual fund industry have come under scrutiny of federal and state regulators. Citigroup has received subpoenas and other requests for information from various government regulators regarding market timing, financing, fees, sales practices and other mutual fund issues in connection with various investigations. Citigroup is cooperating with all such reviews.

Research Analyst Litigation

Since May 2002, CGM and certain executive officers and current and former employees have been named as defendants in numerous alleged class action complaints, individual actions, and arbitration demands by purchasers of various securities alleging that they violated federal securities law, including Sections 10 and 20 of the Securities Exchange Act of 1934, as amended, and certain state laws for allegedly issuing research reports without a reasonable basis in fact and for allegedly failing to disclose conflicts of interest with companies in connection with published investment research, including Global Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc., Metromedia Fiber Network, Inc., XO Communications, Inc., Williams Communications Group Inc., and Focal Communications, Inc. The alleged class actions relating to research of these companies are pending before a single judge in the United States District Court for the Southern District of New York for coordinated proceedings. The Court has consolidated these actions into separate proceedings corresponding to the companies named above. On December 2, 2004, the Court granted in part and denied in part the Citigroup related defendants' motions to dismiss the claims against it in the AT&T, Level 3, XO and Williams actions. On January 6, 2005, the Court granted in part and denied in part Citigroup's motion to dismiss the claims against it in the Metromedia action.

In addition to the alleged research class actions, several individual actions have been filed against Citigroup and CGM relating to, among other things, research on Qwest Communications International, Inc. These actions allege violations of state and federal securities laws in connection with CGM's publication of research about Qwest and its underwriting of Qwest securities.

Two alleged class actions against CGM asserting common law claims in connection with published investment research on behalf of CGM customers have been dismissed by United States District Courts,

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one of which was affirmed by the United States Court of Appeals for the Ninth Circuit, and one of which is pending on appeal to the United States Courts of Appeals for the Third Circuit. Two more putative class actions raising similar claims are pending against CGM, one in the United States District Court for the Southern District of New York (Norman v. Salomon Smith Barney, et al.) and the other in Illinois state court (Disher v. CGM Inc.). On June 9, 2004, the District Court denied CGMI's motion to dismiss Norman v. Salomon Smith Barney, et al., a case which asserts violations of the Investment Advisers Act of 1940 and various common law claims in connection with certain investors who maintained guided portfolio management accounts at Smith Barney.

Supervisory Investigation

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

West Virginia Attorney General Suit

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

Citigroup Shareholder Litigation

In July 2002, Citigroup, CGM and certain officers were named as defendants in an alleged class action filed in the United States District Court for the Southern District of New York, brought on behalf of purchasers of Citigroup common stock between July 24, 1999 and July 23, 2002. The complaint seeks unspecified compensatory and punitive damages for alleged violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, and for common law fraud. Fourteen virtually identical complaints have been filed and consolidated. The complaints allege that Citigroup misstated the extent of its Enron-related exposure, and that Citigroup's stock price fell once the true extent of Citigroup's Enron involvements became known. Plaintiffs filed an amended complaint on March 10, 2003, which incorporated the allegations in the 15 separate actions and added new material as well. The amended complaint focuses on certain transactions between 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 to dismiss the consolidated amended complaint. Plaintiffs' response was filed on July 30, and Citigroup's reply was filed on October 3, 2003. On August 10, 2004, Judge Swain granted Citigroup's motion to dismiss the consolidated amended complaint. The plaintiffs filed a notice of appeal in October 2004.

NASD Settlement

In November 2004, CGM entered into a final agreement with the NASD to resolve the NASD's investigation into certain of its selling practices. Without admitting or denying any allegations or findings, CGM accepted certain factual findings by the NASD that it (i) sold units in two managed futures funds to 45 customers for whom the investment was not suitable, (ii) failed to maintain records disclosing the basis upon which its investor suitability determinations were made and (iii) failed to adequately disclose the risks of investing in managed futures products on its website. CGM consented to a censure and a fine of $275,000 and offered to redeem the investment of the customers for whom investment in the two managed futures funds was found not suitable.

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

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

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

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PART II

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

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

(b)    Holders. The number of holders of Redeemable Units of Partnership Interest as of December 31, 2004, was 1,551.

(c)    Distribution. The Partnership did not declare a distribution in 2004 or 2003.

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

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

Item 6.    Selected Financial Data.

The Partnership commenced trading operations on July 1, 2002. Net realized and unrealized trading gains (losses) from Master, interest income allocated from Master, net income (loss) and increase (decrease) in Net Asset Value per Redeemable Unit for the year ended December 31, 2004, 2003 and the period from July 1, 2002 (commencement of trading operations) to December 31, 2002 and total assets at December 31, 2004, 2003 and 2002 were as follows:

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

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

Overview

The Partnership, through its investment in the Master, seeks to achieve capital appreciation through speculative trading, directly or indirectly, in commodity interests generally including, commodity futures

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

The General Partner/Managing Member manages all business of the Partnership/Master. The General Partner has delegated its responsibility for the investment of the Partnership's assets to AAA. The Partnership has invested these assets in the Master. The General Partner employs a team of approximately 20 professionals whose primary emphasis is on attempting to maintain quality control among the advisors to the Partnerships operated or managed by the General Partner. A full-time staff of due diligence professionals use state-of-the-art technology and on-site evaluations to monitor new and existing futures money managers. The accounting and operations staff provide processing of trading activity and reporting to limited partners and regulatory authorities. In selecting the advisor for the Partnership, the General Partner considered past performance, trading style, volatility of markets traded and fee requirements.

Responsibilities of the General Partner/Managing Member include:

•	due diligence examinations of the Advisor;

•	selection, appointment and termination of the Advisor;

•	negotiation of the management agreement; and

•	monitoring the activity of the Advisor

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

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

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

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

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

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

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

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(a)    Liquidity.

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

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

In February 2003, the Master had a short position in the April natural gas futures contract as a partial offset to an overall long position in delivery months later in the year in the same contract. During the last week of February, natural gas prices rose sharply reflecting relatively high short-term demand in the eastern and mid-continental United States along with a reduced ability of natural gas suppliers to deliver natural gas from storage due to low storage inventories. Volatility in the natural gas markets was exacerbated during that period as the markets became relatively illiquid when many traders stayed out of the market to wait for the volatility to pass. During this period, the April natural gas futures contract experienced an upward increase in price of over 50% in two days and related cash market prices experienced a 300% increase in price. Deferred delivery months in the natural gas futures contract did not experience comparable price increases. The spread between the price of the April contract and those of the deferred months changed suddenly and unexpectedly. Such extreme moves generally happen only in exceptionally rare circumstances and can lead to illiquid market conditions.

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

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

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

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

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

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

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

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

(vi)

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

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

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

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

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

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

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

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

(b)    Capital Resources.

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

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

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

For the year ended December 31, 2004, there were additional sales of 10,998.9458 Redeemable Units totaling $11,781,000 and contributions by the General Partner representing 25 Unit equivalents totaling $19,735. For the year ended December 31, 2003, there were additional sales of 21,674.2111 Redeemable Units totaling $22,541,000. For the period from July 1, 2002 (commencement of operations) to December 31, 2002, there were additional sales of 28,827.4310 Redeemable Units totaling $28,797,000 and contributions by the General Partner representing 1,526.2826 Unit equivalents totaling $1,500,000.

No forecast can be made as to the level of redemptions in any given period. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of a month on 10 business days notice to the General Partner. For the year ended December 31, 2004, 32,234.8932 Redeemable Units were redeemed totaling $31,496,364. For the year ended December 31, 2003, 16,891.2743 Redeemable Units were redeemed totaling $13,818,158. For the period from July 1, 2002 (commencement of operations) to December 31, 2002, 7,684.5966 Redeemable Units were redeemed totaling $8,032,041 and 2,076.6158 Units of Special Limited Partnership Interest totaling $2,240,668 were redeemed.

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

(c)    Results of Operations.

For the year ended December 31, 2004, the Net Asset Value per Redeemable Unit increased 45.6% from $789.39 to $1,149.74. For the year ended December 31, 2003 the Net Asset Value per Redeemable Unit decreased 26.8% from $1,078.66 to $789.39. For the period from July 1, 2002 (commencement of operations) to December 31, 2002 the Net Asset Value per Redeemable Unit increased 7.9% from $1,000.00 to $1,078.66.

The Partnership, through its investment in the Master, experienced a net trading gain of $46,618,104 before commissions and expenses for the year ended December 31, 2004. Gains were primarily attributable to the trading of NYMEX Natural Gas, NYMEX Heating Oil, NYMEX Crude Oil and IPE Gas Oil and were partially offset by losses in NYMEX Unleaded Gas.

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

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

The second quarter likewise started off mixed but quickly developed momentum as crude oil moved past the psychological $40 barrier in May. The high prices did not persist and swung lower later in the

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quarter. Trading was mixed as prices moved rapidly in short timeframes. The Partnership's only profitable month for the quarter was May as the Partnership's natural gas trading profited from near-term price stability but declining long-term prices.

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

These price rallies were short lived, particularly in natural gas, as the supplies built up, winter weather was mild, and political tensions eased. While October was profitable 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 and resulted in losses for the Partnership's natural gas long positions. Crude oil fluctuated nearly $10.00 a barrel in the last two months of the year, so the focus was on profit preservation and adjusting positions to a long term view. Overall, it was a successful trading year for the Partnership illustrating the benefits of patience, agility and a market diversification

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

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

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

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

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

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

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

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

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

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

(d)    Operational Risk.

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

Such risks include:

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

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

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

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

(e)    Critical Accounting Policies.

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

All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statement of financial condition at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotations are readily available or other measures of fair value deemed appropriate by management of the General Partner for those commodity interests and foreign currencies for which market quotations are not readily available, including dealer quotes for swaps and certain option contracts. Investments in commodity

15

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interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing on the last business day of the period. Realized gains (losses) and changes in unrealized values on commodity interests and foreign currencies are recognized in the period in which the contract is closed or the changes occur and are included in net gains (losses) on trading of commodity interests.

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

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

Item 7A.    Quantitative and Qualitative Disclosures About Market Risk

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

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

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

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

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

Quantifying the Partnership's Trading Value at Risk

The following quantitative disclosures regarding the Master's and the Partnership's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability

16

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

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

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

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

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

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

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

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

December 31, 2004

												Year to Date
Market Sector				Value at Risk				% of Total Capitalization				High Value at Risk				Low Value at Risk				Average Value at Risk*
Energy				$	20,193,006				6.00	%		$	40,780,129			$	10,664,222			$	20,757,158
Energy Swaps					3,300,000				0.98	%		$	3,788,189			$	1,698,904			$	2,605,289
Total				$	23,493,006				6.98	%

	* Average of month-end Value at Risk

17

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

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

December 31, 2003

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

	* Average of month-end Value at Risk

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

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

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

The following were the primary trading risk exposures of the Master as of December 31, 2004, by market sector.

Energy.  Energy related products, such as crude oil, heating oil, gasoline and natural gas, constitute the principal market exposure of the Master. The Master has substantial market exposure to gas and oil price movements, often resulting from political developments in the Middle East. Political developments in other countries or regions can also materially impact upon the prices of energy products, as could

18

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changing supply and demand relationships, weather, governmental, commercial and trade programs and policies, and other significant economic events. Energy prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in these markets.

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

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

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

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

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

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

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

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Item 8.    Financial Statements and Supplementary Data.

SALOMON SMITH BARNEY AAA ENERGY FUND L.P. II

INDEX TO FINANCIAL STATEMENTS

				Page Number
Oath or Affirmation				F-2
Management's Report on Internal Control over Financial Reporting				F-3
Report of Independent Registered Public Accounting Firm				F-4 – F-6
Financial Statements:
Statements of Financial Condition at December 31, 2004 and 2003				F-7
Statements of Income and Expenses for the years ended December 31, 2004 and 2003 and for the period from July 1, 2002 (commencement of operations) to December 31, 2002				F-8
Statements of Changes in Partners' Capital for the year ended December 31, 2004 and 2003 and for the period from March 25, 2002 (date Partnership was organized) to December 31, 2002				F-9
Statements of Cash Flows for the years ended December 31, 2004 and 2003 and for the period from March 25, 2002 (date Partnership was organized) to December 31, 2002				F-10
Notes to Financial Statements				F-11 – F-15
Selected Unaudited Quarterly Financial Data				F-16
Financial Statements of SB AAA Master Fund LLC
Oath or Affirmation				F-17
Independent Auditors' Report				F-18
Statements of Financial Condition at December 31, 2004 and 2003				F-19
Condensed Schedules of Investments at December 31, 2004 and 2003				F-20 – F-21
Statements of Income and Expenses for the years ended December 31, 2004, 2003 and 2002				F-22
Statements of Changes in Members' Capital for the years ended December 31, 2004, 2003 and 2002				F-23
Statements of Cash Flows for the years ended December 31, 2004, 2003 and 2002				F-24
Notes to Financial Statements				F-25 – F-28
Selected Unaudited Quarterly Financial Data				F-29

F-1

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

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

/s/ D.R. McAuliffe, Jr.

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

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

F-2

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Management's Report on Internal Control over
Financial Reporting

The management of Salomon Smith Barney AAA Energy Fund L.P. II (the "Partnership"), Citigroup Managed Futures LLC, is responsible for establishing and maintaining adequate internal control over financial reporting. The Partnership's internal control system was designed to provide reasonable assurance to the Partnership's management and Board of Directors regarding the preparation and fair presentation of published financial statements in accordance with U.S. generally accepted accounting principles. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.

Management maintains a comprehensive system of controls intended to ensure that transactions are executed in accordance with management's authorization, assets are safeguarded, and financial records are reliable. Management also takes steps to see that information and communication flows are effective and to monitor performance, including performance of internal control procedures.

The Partnership's management assessed the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2004 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on this assessment, management believes that, as of December 31, 2004, the Partnership's internal control over financial reporting is effective.

Management's assessment of the effectiveness of the Company's internal control over financial reporting as of December 31, 2004 has been audited by KPMG LLP, the Partnership's independent registered public accounting firm, as stated in their reports appearing on the following pages, which express unqualified opinions on management's assessment and on the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2004.

F-3

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Report of Independent Registered Public Accounting Firm

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

We have audited management's assessment, included in the accompanying Management's Report on Internal Control Over Financial Reporting, that Salomon Smith Barney AAA Energy Fund L.P. II (the "Partnership") maintained effective internal control over financial reporting as of December 31, 2004, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"). The Partnership's management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting. Our responsibility is to express an opinion on management's assessment and an opinion on the effectiveness of the Partnership's internal control over financial reporting based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit included obtaining an understanding of internal control over financial reporting, evaluating management's assessment, testing and evaluating the design and operating effectiveness of internal control, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.

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

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

In our opinion, management's assessment that Salomon Smith Barney AAA Energy Fund L.P. II maintained effective internal control over financial reporting as of December 31, 2004, is fairly stated, in all material respects, based on criteria established in Internal Control—Integrated Framework issued by COSO. Also, in our opinion, the Partnership maintained, in all material respects, effective internal control over financial reporting as of December 31, 2004, based on criteria established in Internal Control—Integrated Framework issued by COSO.

F-4

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We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statements of financial condition of the Partnership, as of December 31, 2004 and 2003, and the related statements of income and expenses, changes in partners' capital, and cash flows for each of the years in the two-year period ended December 31, 2004 and the period from July 1, 2002(commencement of operations) through December 31, 2002, and our report dated March 14, 2005 expressed an unqualified opinion on those financial statements.

/s/ KPMG LLP
New York, New York
March 14, 2005

F-5

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Report of Independent Registered Public Accounting Firm

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

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

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

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Salomon Smith Barney AAA Energy Fund L.P. II as of December 31, 2004 and 2003, and the results of its operations, changes in its partners' capital, and its cash flows for each of the periods referred to above in conformity with U. S. generally accepted accounting principles.

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

/s/ KPMG LLP
New York, New York
March 14, 2005

F-6

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Salomon Smith Barney AAA
Energy Fund L.P. II
Statements of Financial Condition
December 31, 2004 and 2003

				2004				2003
Assets:
Investment in Master, at fair value				$	120,251,909			$	98,995,554
Cash					50,403				42,632
				$	120,302,312			$	99,038,186
Liabilities and Partners' Capital:
Liabilities:
Accrued expenses:
Management fees (Note 3b)				$	203,734			$	168,162
Administrative fees (Note 3a)					50,933				42,041
Professional fees					31,706				36,275
Other					1,856				3,314
Redemptions payable (Note 5)					1,990,866				2,185,482
					2,279,095				2,435,274
Partners' capital (Notes 1 and 5):
General Partner, 2,501.2826 and 2,476.2826 Unit equivalents outstanding in 2004 and 2003, respectively					2,875,825				1,954,753
Special Limited Partner, 1,486.3421 and 0 Redeemable Units of Limited Partnership Interest outstanding in 2004 and 2003, respectively					1,708,907				—
Limited Partners, 98,664.8238 and 119,900.7712 Redeemable Units of Limited Partnership Interest outstanding in 2004 and 2003, respectively					113,438,485				94,648,159
					118,023,217				96,602,912
				$	120,302,312			$	99,038,186

See accompanying notes to financial statements.

F-7

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Salomon Smith Barney AAA
Energy Fund L.P. II
Statements of Income and Expenses
for the years ended December 31, 2004 and 2003 and
for the period from July 1, 2002
(commencement of trading operations)
to December 31, 2002

				2004				2003				2002
Income:
Realized gains (losses) on closed positions from Master				$	36,038,622			$	(37,025,140	)		$	19,284,905
Change in unrealized gains (losses) on open positions from Master					10,579,482				5,855,869				(1,123,808	)
Interest income allocated from Master					1,088,006				977,786				731,136
Expenses allocated from Master					(3,692,595	)			(5,822,971	)			(5,422,049	)
					44,013,515				(36,014,456	)			13,470,184
Expenses:
Management fees (Note 3b)					2,154,945				2,233,848				1,181,093
Administrative fees (Note 3a)					538,736				558,459				295,274
Professional fees					192,562				142,414				38,750
Other expenses					11,338				16,035				9,076
					2,897,581				2,950,756				1,524,193
Net income (loss) before allocation to the Special Limited Partner					41,115,934				(38,965,212	)			11,945,991
Allocation to the Special Limited Partner (Note 3b)					1,708,907				—				2,240,668
Net income (loss) available for pro rata distribution				$	39,407,027			$	(38,965,212	)		$	9,705,323
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent (Notes 1 and 7)				$	360.35			$	(289.27	)		$	80.92

See accompanying notes to financial statements.

F-8

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Salomon Smith Barney AAA
Energy Fund L.P. II

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

				Limited Partners				Special Limited Partner				General Partner				Total
Initial capital contributions, 1 Unit of Limited Partnership Interest and General Partner's contribution representing 1 Unit equivalent				$	1,000			$	—			$	1,000			$	2,000
Proceeds from offering of 93,974 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 949 Unit equivalents (Note 1)					93,974,000				—				949,000				94,923,000
Offering costs (Note 6)					(49,500	)			—				(500	)			(50,000	)
Opening Partnership capital for operations					93,925,500				—				949,500				94,875,000
Sale of 28,827.4310 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 1,526.2826 Unit equivalents					28,797,000				—				1,500,000				30,297,000
Redemption of 7,684.5966 Redeemable Units of Limited Partnership Interest					(8,032,041	)			—				—				(8,032,041	)
Redemption of 2,076.6158 Redeemable Units of Special Limited Partnership Interest					—				(2,240,668	)			—				(2,240,668	)
Allocation of net income for the year ended December 31, 2002:
Allocation of 2,076.6158 Redeemable Units of Limited Partnership Interest to the Special Limited Partner (Note 3b)					—				2,240,668				—				2,240,668
Net income available for pro rata distribution					9,483,756				—				221,567				9,705,323
Partners' capital at December 31, 2002					124,174,215				—				2,671,067				126,845,282
Net loss available for pro rata distribution					(38,248,898	)			—				(716,314	)			(38,965,212	)
Sale of 21,674.2111 Redeemable Units of Limited Partnership Interest					22,541,000				—				—				22,541,000
Redemption of 16,891.2743 Redeemable Units of Limited Partnership Interest					(13,818,158	)			—				—				(13,818,158	)
Partners' capital at December 31, 2003					94,648,159				—				1,954,753				96,602,912
Sale of 10,998.9458 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 25 Unit equivalents					11,781,000				—				19,735				11,800,735
Redemption of 32,234.8932 Redeemable Units of Limited Partnership Interest					(31,496,364	)			—				—				(31,496,364	)
Allocation of net income for the year ended December 31, 2004:
Allocation of 1,486.3421 Redeemable Units of Limited Partnership Interest to the Special Limited Partner (Note 3b)					—				1,708,907				—				1,708,907
Net income available for prorata distribution					38,505,690				—				901,337				39,407,027
Partners' capital at December 31, 2004				$	113,438,485			$	1,708,907			$	2,875,825			$	118,023,217

				2004				2003				2002
Net Asset Value Per Redeemable Unit:				$	1,149.74			$	789.39			$	1,078.66

See accompanying notes to financial statements.

F-9

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

				2004				2003				2002
Cash flows from operating activities:
Net income (loss)				$	39,407,027			$	(38,965,212	)		$	9,705,323
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
(Increase) decrease in investment in Master, at fair value					(21,256,355	)			31,406,470				(130,402,024	)
Accrued expenses:
Increase (decrease) in management fees					35,572				(53,321	)			221,483
Increase (decrease) in administrative fees					8,892				(13,330	)			55,371
Increase (decrease) in professional fees					(4,569	)			(2,475	)			38,750
Increase (decrease) in other					(1,458	)			(929	)			4,243
Increase (decrease) in due to CGM					—				(40,426	)			(9,574	)
Increase (decrease) in redemptions payable					(194,616	)			(1,042,944	)			3,228,426
Net cash provided by (used in) operating activities					17,994,493				(8,712,167	)			(117,158,002	)
Cash flows from financing activities:
Proceeds from additions — General Partner					19,735				—				1,500,000
Proceeds from additions — Limited Partners					11,781,000				22,541,000				28,797,000
Allocation of units — Special Limited Partner					1,708,907				—				—
Payments for redemptions — Limited Partners					(31,496,364	)			(13,818,158	)			(8,032,041	)
Net cash provided by (used in) financing activities					(17,986,722	)			8,722,842				22,264,959
Net change in cash					7,771				10,675				(94,893,043	)
Cash, at beginning of period					42,632				31,957				94,925,000
Cash, at end of period				$	50,403			$	42,632			$	31,957

See accompanying notes to financial statements.

F-10

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

1.	Partnership Organization:

Salomon Smith Barney AAA Energy Fund L.P. II (the "Partnership") is a limited partnership which was organized on March 25, 2002 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including commodity options and commodity futures contracts on United States exchanges and certain foreign exchanges. The Partnership may trade commodity futures and options contracts of any kind but intends initially to trade solely energy and energy related products. In addition, the Partnership may enter into swap contracts on energy related products. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. A total of 150,000 redeemable units of Limited Partnership Interest in the Partnership ("Redeemable Units") have been offered to the public. During the initial offering period (May 31, 2002 through July 1, 2002), the Partnership sold 93,975 Redeemable Units of Limited Partnership Interest. The Partnership commenced trading on July 1, 2002. The Partnership continues to offer Redeemable Units.

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

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

At December 31, 2004 and 2003, the Partnership owns 35.7% and 38.8% of the Master. It is the Partnership's intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master.

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

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

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

2.	Accounting Policies:

a.	The value of the Partnership's investment in the Master reflects the Partnership's proportional interest in the members' capital of the Master. All of the unrealized and realized gains and losses

F-11

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

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

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

c.

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

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

3.	Agreements:

a.	Limited Partnership Agreement:

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

b.	Management Agreement:

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

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

c.	Customer Agreement:

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

F-12

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

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

4.	Trading Activities:

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

5.	Distributions and Redemptions:

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

6.	Offering Costs:

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

For the years ended December 31, 2004 and 2003, $0 and $40,426 of these costs have been reimbursed to CGM, by the Partnership. In addition, the Partnership has recorded interest expense of $0 and $669 for the years ended December 31, 2004 and 2003, which is included in other expenses.

F-13

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

7.	Financial Highlights:

Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the years ended December 31, 2004 and 2003 and the period from July 1, 2002 (commencement of operations) to December 31, 2002 were as follows:

				2004				2003				2002
Net realized and unrealized gains (losses)*				$	392.92			$	(273.05	)		$	107.47
Interest income					10.02				7.42				6.55
Expenses**					(42.59	)			(23.64	)			(33.10	)
Increase (decrease) for the period					360.35				(289.27	)			80.92
Net asset value per Redeemable Unit, beginning of period					789.39				1,078.66				1,000.00
Offering cost adjustment					—				—				(2.26	)
Net asset value per Redeemable Unit, end of period					1,149.74				789.39				1,078.66
Redemption/subscription value per Unit versus net asset value per Redeemable Unit					—				—				0.34
Redemption/subscription value per Redeemable Unit, end of period***				$	1,149.74			$	789.39			$	1,079.00

*	Includes commissions expense allocated from Master

**	Excludes commissions expense allocated from Master and includes incentive fee allocation to special limited partner.

***	For the purpose of a redemption/subscription, any remaining accrued liability for reimbursement of offering costs will not reduce redemption/subscription net asset value per Redeemable Unit.

				2004				2003				2002
Ratios to average net assets:
Net investment loss before incentive fee allocation****					(5.3	)%			(7.0	)%			(5.4	)%
Operating expenses					6.3	%			7.8	%			6.0	%
Incentive fee allocation					1.7	%			—	%			2.0	%
Total expenses and incentive fee allocation					8.0	%			7.8	%			8.0	%
Total return:
Total return before incentive fee allocation					47.8	%			(26.8	)%			10.0	%
Incentive fee allocation					(2.1	)%			—	%			(1.9	)%
Total return after incentive fee allocation					45.7	%			(26.8	)%			8.1	%

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

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

8.	Financial Instrument Risks:

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

F-14

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

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

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

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

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

The majority of these instruments mature within one year of December 31, 2004. However, due to the nature of the Partnership's/Master's business, these instruments may not be held to maturity.

F-15

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Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2004 and December 31, 2003 is summarized below:

				For the period from October 1, 2004 to December 31, 2004				For the period from July 1, 2004 to September 30, 2004				For the period from April 1, 2004 to June 30, 2004				For the period from January 1, 2004 to March 31, 2004
Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income				$	8,838,422			$	23,335,080			$	3,730,544			$	8,197,683
Net Income (loss)				$	6,397,247			$	22,351,623			$	3,092,705			$	7,565,452
Increase (decrease) in Net Asset Value per Unit				$	57.21			$	209.37			$	27.97			$	65.80

				For the period from October 1, 2003 to December 31, 2003				For the period from July 1, 2003 to September 30, 2003				For the period from April 1, 2003 to June 30, 2003				For the period from January 1, 2003 to March 31, 2003
Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income				$	(7,385,256	)		$	2,099,664			$	17,563,353			$	(48,292,217	)
Net Income (loss)				$	(8,153,908	)		$	1,342,880			$	16,871,566			$	(49,025,750	)
Increase (decrease) in Net Asset Value per Unit				$	(65.83	)		$	10.23			$	127.27			$	(360.94	)

F-16

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To the Members of
SB AAA Master Fund LLC

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

/s/ D.R. McAuliffe, Jr.

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

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

F-17

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Independent Auditors' Report

To the Members of
    SB AAA Master Fund LLC:

We have audited the accompanying statements of financial condition of SB AAA Master Fund LLC (the Company), including the condensed schedules of investments, as of December 31, 2004 and 2003, and the related statements of income and expenses, changes in members' capital, and cash flows for each of the years in the three-year period ended December 31, 2004. These financial statements are the responsibility of the Company's management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with generally accepted auditing standards as established by the Auditing Standards Board (United States) and in accordance with the auditing standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Company is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company's internal control over financial reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of SB AAA Master Fund LLC as of December 31, 2004 and 2003, and the results of its operations, changes in its members' capital, and its cash flows for each of the years in the three-year period ended December 31, 2004, in conformity with accounting principles generally accepted in the United States of America.

/s/ KPMG LLP
New York, New York
March 14, 2005

F-18

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SB AAA Master Fund LLC
Statements of Financial Condition
December 31, 2004 and 2003

				2004				2003
Assets:
Equity in commodity futures trading account:
Cash (restricted $29,327,275 and $48,471,997, respectively)				$	302,866,457			$	231,361,103
Net unrealized appreciation on open futures positions					33,027,068				8,845,539
Unrealized appreciation on open swaps positions					93,606,729				50,093,912
Commodity options owned, at fair value (cost $39,565,244 and $49,687,512, respectively)					51,017,766				42,630,230
					480,518,020				332,930,784
Due from brokers					2,425,135				2,148,690
Interest receivable					459,835				159,050
				$	483,402,990			$	335,238,524
Liabilities and Members' Capital:
Liabilities:
Unrealized depreciation on open swap positions				$	89,659,294			$	18,654,566
Commodity options written, at fair value (premium received $54,943,984 and $47,549,852, respectively)					52,353,395				57,804,597
Accrued expenses:
Commissions					1,662,591				1,670,425
Professional fees					2,000				59,625
Due to brokers					2,753,610				1,815,015
Due to CGM					22,978				22,978
Distribution payable					453,587				153,681
					146,907,455				80,180,887
Members' Capital:
Members' Capital, 185,364.2361 and 211,023.7320 Units outstanding in 2004 and 2003, respectively					336,495,535				255,057,637
				$	483,402,990			$	335,238,524

See accompanying notes to financial statements.

F-19

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SB AAA Master Fund LLC
Condensed Schedule of Investments
December 31, 2004

Sector				Number of Contracts				Contract				Fair Value
Energy
								Futures contracts purchased 0.37%				$	1,240,430
								Futures contracts sold 9.45%
					2,626			NYMEX Natural Gas Feb. 05 – May 09 6.77%					22,776,795
								Other 2.68%					9,009,843
													31,786,638
								Total futures contracts 9.82%					33,027,068
								Options owned 15.16%					51,017,766
								Options written (15.56)%
					6,992			NYMEX Natural Gas Feb. 05 – Jan 06 (7.67)%					(25,794,540	)
								Other (7.89)%					(26,558,855	)
													(52,353,395	)
								Unrealized appreciation on Swaps contracts 27.82%
					1,450			Gulf Coast Unleaded Gas Calendar 2006 6.50%					21,867,545
					1,080			NYMEX Unleaded Gas Calendar 2005 6.98%					23,491,972
								Other 14.34%					48,247,212
													93,606,729
								Unrealized depreciation on Swaps contracts (26.65)%
					1,450			Gulf Coast Unleaded Gas Calendar 2006 (5.60)%					(18,846,201	)
					820			NYMEX Unleaded Gas Calendar 2005 (6.29)%					(21,159,503	)
								Other (14.76)%					(49,653,590	)
													(89,659,294	)
Total Energy Fair Value 10.59%												$	35,638,874

Country Composition				Investments at Fair Value				% of Investments at Fair Value
United Kingdom				$	1,752,837				4.92	%
United States					33,886,037				95.08
				$	35,638,874				100.00	%

Percentages are based on Members' Capital unless otherwise indicated.

See accompanying notes to financial statements.

F-20

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

Sector				Number of Contracts				Contract				Fair Value
Energy								Futures contracts purchased 5.35%				$	13,637,465
								Futures contracts sold (1.88)%					(4,791,926	)
								Total futures contracts 3.47%					8,845,539
								Options owned 16.71%
					6,488			NYMEX Natural Gas Put Feb. 04 – Oct 04 8.98%					22,900,060
								Other 7.73%					19,730,170
													42,630,230
								Options written (22.66)%
					7,335			NYMEX Natural Gas Call Feb. 04 – Dec 04 (16.04)%					(40,916,710	)
								Other (6.62)%					(16,887,887	)
													(57,804,597	)
								Unrealized appreciation on Swaps contracts 19.64%
					1,000			HH Natural Gas Feb 04 8.22%					20,967,521
								Other 11.42%					29,126,391
													50,093,912
								Unrealized depreciation on Swaps contracts (7.31)%					(18,654,566	)
Total Energy Fair Value 9.85%												$	25,110,518

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

Percentages are based on Members' Capital unless otherwise indicated.

See accompanying notes to financial statements.

F-21

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SB AAA Master Fund LLC
Statements of Income and Expenses
for the years ended December 31, 2004, 2003 and 2002

				2004				2003				2002
Income:
Net gains (losses) on trading of commodity interests:
Realized gains (losses) on closed positions				$	98,726,739			$	(89,228,388	)		$	96,247,547
Change in unrealized gains on open positions					28,044,756				12,929,224				7,940,877
					126,771,495				(76,299,164	)			104,188,424
Interest income					3,078,611				2,459,477				3,255,591
					129,850,106				(73,839,687	)			107,444,015
Expenses:
Brokerage commissions including clearing fees of $1,255,894, $2,041,075 and $2,515,609, respectively					9,765,132				13,877,538				21,769,166
Other expenses					244,350				347,628				37,083
					10,009,482				14,225,166				21,806,249
Net income (loss)				$	119,840,624			$	(88,064,853	)		$	85,637,766
Net income (loss) per Unit of Member Interest (Notes 1 and 6)				$	622.49			$	(400.99	)		$	525.84

See accompanying notes to financial statements.

F-22

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SB AAA Master Fund LLC
Statements of Changes in Members' Capital
for the years ended December 31, 2004, 2003 and 2002

				Members' Capital
Members' Capital at December 31, 2001				$	152,214,723
Net Income					85,637,766
Sale of 103,668.6762 Units of Member Interest					149,182,059
Redemptions of 24,734.5653 Units of Member Interest					(33,598,368	)
Distribution of Interest to feeder funds					(3,152,727	)
Members' Capital at December 31, 2002					350,283,453
Net Loss					(88,064,853	)
Sale of 39,745.9253 Units of Member Interest					54,393,460
Redemptions of 44,880.6036 Units of Member Interest					(59,184,213	)
Distribution of Interest to feeder funds					(2,370,210	)
Members' Capital at December 31, 2003					255,057,637
Net Income					119,840,624
Sale of 20,423.0579 Units of Member Interest					32,767,686
Redemptions of 46,082.5538 Units of Member Interest					(68,133,449	)
Distribution of Interest to feeder funds					(3,036,963	)
Members' Capital at December 31, 2004				$	336,495,535

Net Asset Value Per Unit:

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

See accompanying notes to financial statements.

F-23

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SB AAA Master Fund LLC
Statements of Cash Flows
for the years ended December 31, 2004, 2003 and 2002

				2004				2003				2002
Cash flows from operating activities:
Net income (loss)				$	119,840,624			$	(88,064,853	)		$	85,637,766
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
(Increase) decrease in restricted cash					19,144,722				5,050,258				(31,730,018	)
(Increase) decrease in net unrealized appreciation/depreciation on open futures positions					(24,181,529	)			342,944				(8,103,683	)
(Increase) decrease in net unrealized appreciation on open swaps contracts					(43,512,817	)			(12,082,141	)			(35,645,646	)
(Increase) decrease in commodity options owned, at fair value					(8,387,536	)			40,621,872				(81,116,402	)
(Increase) decrease in due from brokers					(276,445	)			10,447,102				(12,113,857	)
(Increase) decrease in interest receivable					(300,785	)			124,570				(280,709	)
Increase (decrease) in unrealized depreciation on open swap contracts					71,004,728				(29,815,656	)			45,497,787
Increase (decrease) in commodity options written, at fair value					(5,451,202	)			(9,920,180	)			61,223,031
Accrued expenses:
Increase (decrease) in commissions					(7,834	)			(3,539,742	)			4,948,450
Increase (decrease) in professional fees					(57,625	)			39,508				(17,883	)
Increase (decrease) in due to brokers					938,595				273,792				634,373
Increase (decrease) in distribution payable					299,906				(123,227	)			276,908
Net cash provided by (used in) operating activities					129,052,802				(86,645,753	)			29,210,117
Cash flows from financing activities:
Proceeds from additions					32,767,686				54,393,460				149,182,059
Payments for redemptions					(68,133,449	)			(59,184,213	)			(33,598,368	)
Distribution of interest to feeder funds					(3,036,963	)			(2,370,210	)			(3,152,727	)
Net cash provided by (used in) financing activities					(38,402,726	)			(7,160,963	)			112,430,964
Net change in cash					90,650,076				(93,806,716	)			141,641,081
Unrestricted cash, at beginning of year					182,889,106				276,695,822				135,054,741
Unrestricted cash, at end of year				$	273,539,182			$	182,889,106			$	276,695,822

F-24

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SB AAA Master Fund LLC
Notes to Financial Statements

1.    General:

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

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

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

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

2.    Accounting Policies:

a.

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

b.

The Master may purchase and write (sell) options. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Master writes an option, the premium received is recorded as a liability in the statements of financial condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the statements of financial condition and marked to market daily.

F-25

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SB AAA Master Fund LLC
Notes to Financial Statements

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

d.	Income taxes have not been provided as each partner of each of the members (the Feeder Funds) is individually liable for the taxes, if any, on their share of the Master's income and expenses.

e.

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

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

3.	Agreements:

a.	Managing Member Agreement:

The Managing Member administers the business affairs of the Master.

b.	Management Agreement:

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

c.	Customer Agreement:

The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master's account in accordance with orders placed by the Advisor. The Master will pay CGM brokerage commissions at $18 per round turn for futures, options and swap transactions. The brokerage fee is inclusive of applicable floor brokerage. All exchange, clearing, user, give-up and National Futures Association fees are borne by the Master. All other fees (management fees, administrative fees, incentive fees and offering costs) shall be borne by the Feeder Funds. All of the Master's cash is deposited by CGM in segregated bank accounts, to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2004 and 2003, the amount of cash held by the Master for margin requirements was $29,327,275 and $48,471,997, respectively. The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated by either party. All commissions in connection with the Customer Agreement shall be borne by the Feeder Funds.

4.    Trading Activities:

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

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

F-26

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SB AAA Master Fund LLC
Notes to Financial Statements

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

5.    Distributions and Redemptions:

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

6.    Financial Highlights:

Changes in the Net Asset Value per Unit of Member interest for the years ended December 31, 2004, 2003 and 2002 were as follows:

				2004				2003				2002
Net realized and unrealized gains (losses)*				$	607.73			$	(410.62	)		$	510.93
Interest income					16.06				11.23				15.13
Expenses**					(1.30	)			(1.60	)			(0.22	)
Increase (decrease) for year					622.49				(400.99	)			525.84
Distributions					(15.83	)			(10.84	)			(14.59	)
Net asset value per Unit, beginning of year					1,208.66				1,620.49				1,109.24
Net asset value per Unit, end of year				$	1,815.32			$	1,208.66			$	1,620.49
*   Includes brokerage commissions
** Excludes brokerage commissions
Ratio to average net assets:
Net investment loss***					(2.4	)%			(4.1	)%			(8.9	)%
Operating expenses					3.5	%			5.0	%			9.0	%
Total return					51.5	%			(24.7	)%			47.4	%
***    Interest income less total expenses

The above ratios may vary for individual investors based on the timing of capital transactions during the year.

7.    Financial Instrument Risks:

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

F-27

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SB AAA Master Fund LLC
Notes to Financial Statements

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

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Master's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Master has concentration risk because a significant counterparty or broker with respect to the Master's assets is CGM. As of December 31, 2004, the counterparties to the Master's swap contracts were Citibank, N.A., which is affiliated with the Master, Morgan Stanley Capital Group Inc., J. Aron & Company, Hess Trading Company, LLC and BP Corporation North America, Inc.

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

The majority of these instruments mature within one year of December 31, 2004. However, due to the nature of the Master's business, these instruments may not be held to maturity.

F-28

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Selected unaudited quarterly financial data for the Master for the years ended December 31, 2004 and December 31, 2003 is summarized below:

				For the period from October 1, 2004 to December 31, 2004				For the period from July 1, 2004 to September 30, 2004				For the period from April 1, 2004 to June 30, 2004				For the period from January 1, 2004 to March 31, 2004
Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income				$	23,925,828			$	64,277,686			$	10,197,155			$	21,684,305
Net Income (loss)				$	23,724,769			$	64,261,824			$	10,181,466			$	21,672,565
Increase (decrease) in Net Asset Value per Unit				$	122.43			$	338.61			$	52.27			$	109.18

				For the period from October 1, 2003 to December 31, 2003				For the period from July 1, 2003 to September 30, 2003				For the period from April 1, 2003 to June 30, 2003				For the period from January 1, 2003 to March 31, 2003
Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income				$	(19,076,349	)		$	5,417,949			$	43,551,945			$	(117,610,770	)
Net Income (loss)				$	(19,209,758	)		$	5,222,221			$	43,542,648			$	(117,619,964	)
Increase (decrease) in Net Asset Value per Unit				$	(91.62	)		$	24.17			$	196.92			$	(530.46	)

F-29

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

None.

Item 9A.    Controls and Procedures

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

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

Management's report on internal control over financial reporting and KPMG LLP's related opinion are included in the Partnership's annual financial statements under "Item 8. Financial Statements and Supplementary Data."

PART III

Item 10.    Directors and Executive Officers of the Registrant.

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

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

Item 11.    Executive Compensation.

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

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

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

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(b)    Security ownership of management. Under the terms of the Limited Partnership Agreement, the Partnership's affairs are managed by the General Partner. The General Partner owns Units of general partnership interest equivalent to 2,501.2826 (2.5%) Units of Limited Partnership Interest as of December 31, 2004.

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

*	No one principal owns more than 1% of Redeemable Units of Limited Partnership Interest.

(c)    Changes in control. None.

Item 13.    Certain Relationships and Related Transactions.

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

Item 14.    Principal Accountant Fees and Services

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

2004            $44,560

2003            $29,494

(2)    Audit-Related Fees. None

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

2004            $5,136

2003            $4,809

(4)    All Other Fees. None.

(5)    Not Applicable.

(6)    Not Applicable.

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PART IV

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

(a) (1)	Financial Statements: Statements of Financial Condition at December 31, 2004 and 2003.

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

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

	Statements of Cash Flows for the years ended December 31, 2004 and 2003 and for the period March 25, 2002 (date Partnership was organized) to December 31, 2002.

	Notes to Financial Statements

(2)	Exhibits:

	3.1 Certificate of Limited Partnership (previously filed).

	3.2 Limited Partnership Agreement (previously filed).

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

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

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

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

	10.5 – Form of Subscription Agreement (previously filed).

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

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

	16.1 – Letter from PricewaterhouseCoopers LLP (previously filed).

	The exhibits required to be filed by Item 601 of Regulations 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 and Director).

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

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

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

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

Annual Report to Limited Partners

No proxy material has been sent to Limited Partners.

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this annual report on Form 10-K to be signed on its behalf by the undersigned, thereunto duly authorized on the 15th day of March 2005.

Salomon Smith Barney AAA Energy Futures Partnership L.P. II

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

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

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

/s/ David J. Vogel				/s/ Shelley Ullman
David J. Vogel				Shelley Ullman
Director, Principal Executive				Director
Officer and President
/s/ Maureen O'Toole				/s/ Steve J. Keltz
Maureen O'Toole				Steve J. Keltz
Director				Secretary and Director
/s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Chief Financial Officer and
Director

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