##### Table of Contents



UNITED STATES 
    SECURITIES AND EXCHANGE COMMISSION
  WASHINGTON, D.C. 20549
   FORM 10-Q
    (X) QUARTERLY
    REPORT PURSUANT TO SECTION 13 OR 15(d)
    OF THE SECURITIES EXCHANGE ACT OF 1934
  For the
    quarterly period ended March 31, 2010
  OR ( )
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
    OF THE SECURITIES EXCHANGE ACT OF 1934
  For the
    transition period from
    to.
  Commission
    File Number 0-50272
   AAA CAPITAL ENERGY FUND L.P. II
    New York

03-0407557(State or other jurisdiction of
    incorporation or organization)

(I.R.S. Employer
    Identification No.)    c/o Ceres
    Managed Futures LLC
 55 East
59th
Street -
10th Floor
 New York, New York 10022
    (212) 559-2011
       Yes X     No
    Yes     No
    Large accelerated filer 
         Accelerated filer 
           Non-accelerated filer  X
         Smaller  reporting company
  Rule 12b-2
  Yes     No X




---



##### 



AAA CAPITAL ENERGY FUND L.P. II
  FORM 10-Q
  INDEX
  PageNumberPART I - Financial Information:Item 1.

Financial Statements:Statements of Financial Condition at
March 31, 2010 and
    December 31, 2009 (unaudited)

3Statements of Income and Expenses and Changes in Partners Capital for
    the three months ended March 31, 2010 and 2009     (unaudited)

4Notes to Financial Statements, including the Financial
    Statements of  AAA Master Fund LLC (unaudited)

5  16Item 2.

Management s Discussion and Analysis of Financial Condition
    and Results of Operations

17  19Item 3.

Quantitative and Qualitative Disclosures about Market Risk

20Item 4.

Controls and Procedures

21PART  II - Other Information

22  25ExhibitsEX-31.1EX-31.2EX-32.1EX-32.2           2




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##### Table of Contents



PART I Item 1.
    Financial Statements  AAA Capital Energy Fund L.P. IIStatements of Financial Condition
    (Unaudited)
  March 31,
    
    
    December 31,2010
    
    
    2009Assets:Investment in Master, at fair value
    
    $
    468,924,938
    
    
    $
    495,766,284Cash
    
    
    311,219
    
    
    
    240,717Total assets
    
    $
    469,236,157
    
    
    $
    496,007,001Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions
    
    $
    2,805,584
    
    
    $
    2,319,625Management fees
    
    
    776,938
    
    
    
    822,450Administrative fees
    
    
    194,235
    
    
    
    205,613Other
    
    
    267,770
    
    
    
    217,299Redemptions payable
    
    
    2,163,954
    
    
    
    5,481,521Total liabilities
    
    
    6,208,481
    
    
    
    9,046,508Partners Capital:General Partner, 1,224.2960 and 1,271.6341 Unit equivalents outstanding at
March 31, 2010 and December 31, 2009, respectively
    
    
    5,179,605
    
    
    
    5,604,320Special Limited Partner, 464.0795 Redeemable
Units of Limited Partnership Interest outstanding
at March 31, 2010 and December 31, 2009
    
    
    1,963,372
    
    
    
    2,045,282Limited Partners, 107,756.7508 and 108,756.8867 Redeemable
Units of Limited Partnership Interest outstanding at March 31,
2010 and
December 31, 2009, respectively
    
    
    455,884,699
    
    
    
    479,310,891Total partners capital
    
    
    463,027,676
    
    
    
    486,960,493Total liabilities and partners capital
    
    $
    469,236,157
    
    
    $
    496,007,001Net Asset Value per Unit
    
    $
    4,230.68
    
    
    $
    4,407.18    3




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##### Table of Contents



AAA Capital Energy Fund L.P. IIStatements of Income and Expenses and Changes in Partners Capital
    (Unaudited)
  Three Months EndedMarch 31,2010
    
    
    2009Income:Net realized gains (losses) on closed contracts allocated from Master
    
    $
    (25,456,268
    )
    
    $
    22,677,219Change in net unrealized gains (losses) on open contracts allocated
from Master
    
    
    11,085,842
    
    
    
    14,300,188Interest income allocated from Master
    
    
    40,578
    
    
    
    79,320Expenses allocated from Master
    
    
    (484,323
    )
    
    
    (351,145
    )Total income (loss)
    
    
    (14,814,171
    )
    
    
    36,705,582Expenses:Brokerage commissions
    
    
    2,031,309
    
    
    
    1,286,808Management fees
    
    
    2,401,816
    
    
    
    2,680,436Administrative fees
    
    
    600,455
    
    
    
    670,110Other
    
    
    118,173
    
    
    
    109,500Total expenses
    
    
    5,151,753
    
    
    
    4,746,854Net income
(loss) before allocation to Special Limited Partner
    
    
    (19,965,924
    )
    
    
    31,958,728Allocation to Special Limited Partner
    
    
    
    
    
    
    (6,375,882
    )Net income (loss) after allocation to Special Limited Partner
    
    
    (19,965,924
    )
    
    
    25,582,846Additions  Limited Partners
    
    
    13,350,000
    
    
    
    3,429,876Additions  Special Limited Partner
    
    
    
    
    
    
    6,375,882Redemptions  Limited Partners
    
    
    (17,116,893
    )
    
    
    (32,722,915
    )Redemptions  General Partner
    
    
    (200,000
    )
    
    
    Net increase (decrease) in Partners Capital
    
    
    (23,932,817
    )
    
    
    2,665,689Partners Capital, beginning of period
    
    
    486,960,493
    
    
    
    515,948,652Partners Capital, end of period
    
    $
    463,027,676
    
    
    $
    518,614,341Net Asset Value per Unit
(109,445.1263 and 119,156.9567 Units outstanding
at March 31, 2010 and 2009, respectively)
    
    $
    4,230.68
    
    
    $
    4,352.36Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent
    
    $
    (176.50
    )
    
    $
    206.47Weighted average units outstanding
    
    
    112,067.1398
    
    
    
    124,391.6669    4




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##### Table of Contents



AAA Capital Energy Fund L.P. IINotes to Financial Statements
    March 31, 2010
    (Unaudited)
  1.
    General:             Form 10-K
        5




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2010
    (Unaudited)
    AAA
    Master  Fund LLC
    Statements of Financial Condition
    (Unaudited)
  March 31,
    
    
    December 31,2010
    
    
    2009Assets:Equity in trading account:Cash
    
    $
    626,341,345
    
    
    $
    778,736,469Cash margin
    
    
    183,278,612
    
    
    
    112,350,862Options owned, at fair value
(cost $959,804,592 and $885,211,273, respectively)
    
    
    705,452,180
    
    
    
    741,495,723Total assets
    
    $
    1,515,072,137
    
    
    $
    1,632,583,054Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and
exchange cleared swap contracts
    
    $
    8,143,639
    
    
    $
    50,857,890Options written, at fair value
(premium $607,471,246 and $435,825,576, respectively)
    
    
    427,346,266
    
    
    
    352,233,900Accrued expenses:Professional fees
    
    
    247,287
    
    
    
    296,072Total liabilities
    
    
    435,737,192
    
    
    
    403,387,862Members Capital:Members Capital, 111,949.4266 and 123,710.6078 Units
outstanding at March 31, 2010 and December 31, 2009, respectively
    
    
    1,079,334,945
    
    
    
    1,229,195,192Total liabilities and members capital
    
    $
    1,515,072,137
    
    
    $
    1,632,583,054Net Asset Value per Unit
    
    $
    9,641.27
    
    
    $
    9,936.05
 6




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
March 31, 2010
    (Unaudited)
  AAA
    Master Fund LLC
 Condensed Schedule of Investments
 March 31, 2010
 (Unaudited)
 Number of
    
    
    
    
    
    
    % of MembersContracts
    
    
    Fair Value
    
    
    CapitalFutures
and Exchange Cleared Swap Contracts PurchasedEnergyNYMEX HH Swap May 10 - May 14
    
    
    22,780
    
    
    $
    (72,924,323
    )
    
    
    (6.76
    )%NYMEX HH Natural Gas Aug 10 - May 14
    
    
    10,801
    
    
    
    (98,005,945
    )
    
    
    (9.08
    )Other
    
    
    42,094
    
    
    
    26,296,665
    
    
    
    2.44Lumber
    
    
    107
    
    
    
    105,354
    
    
    
    0.01Total futures and exchange cleared swap contracts purchased
    
    
    
    
    
    
    (144,528,249
    )
    
    
    (13.39
    )Futures
and Exchange Cleared Swap Contracts SoldEnergyNYMEX HH Swap Feb 11 - Dec 15
    
    
    23,760
    
    
    
    84,105,418
    
    
    
    7.79NYMEX HH Natural Gas May 10 - Apr 14
    
    
    8,881
    
    
    
    87,169,963
    
    
    
    8.08Other
    
    
    33,009
    
    
    
    (34,748,781
    )
    
    
    (3.22
    )Lumber
    
    
    142
    
    
    
    (141,990
    )
    
    
    (0.01
    )Total futures and exchange cleared swap contracts sold
    
    
    
    
    
    
    136,384,610
    
    
    
    12.64Options
OwnedEnergyCallNYMEX Crude Oil E Jun 10 - Dec 12
    
    
    4,775
    
    
    
    59,684,290
    
    
    
    5.53NYMEX LT Crude Oil May 10 - Dec 13
    
    
    15,770
    
    
    
    161,591,200
    
    
    
    14.97NYMEX Natural Gas E May 10 - Oct 14
    
    
    25,176
    
    
    
    77,979,032
    
    
    
    7.22Other
    
    
    9,720
    
    
    
    83,560,970
    
    
    
    7.74Call options owned
    
    
    
    
    
    
    382,815,492
    
    
    
    35.46PutNYMEX Crude Oil E Dec 10 - Dec 16
    
    
    12,829
    
    
    
    101,075,180
    
    
    
    9.36NYMEX LT Crude Oil May 10 - Dec 13
    
    
    10,868
    
    
    
    64,782,360
    
    
    
    6.00NYMEX Natural Gas E May 10 - May 14
    
    
    10,296
    
    
    
    128,947,214
    
    
    
    11.95Other
    
    
    9,706
    
    
    
    27,831,934
    
    
    
    2.58Put options owned
    
    
    
    
    
    
    322,636,688
    
    
    
    29.89Total options owned
    
    
    
    
    
    
    705,452,180
    
    
    
    65.35Options
WrittenEnergyCallNYMEX Heating Oil May 10 - Dec 10
    
    
    13,119
    
    
    
    (116,718,949
    )
    
    
    (10.81
    )NYMEX LT Crude Oil May 10 - Dec 16
    
    
    14,801
    
    
    
    (64,732,290
    )
    
    
    (6.00
    )Other
    
    
    40,654
    
    
    
    (125,223,911
    )
    
    
    (11.60
    )Call options
written
    
    
    
    
    
    
    (306,675,150
    )
    
    
    (28.41
    )PutOther
    
    
    29,427
    
    
    
    (120,671,116
    )
    
    
    (11.18
    )Put options written
    
    
    
    
    
    
    (120,671,116
    )
    
    
    (11.18
    )Total options written
    
    
    
    
    
    
    (427,346,266
    )
    
    
    (39.59
    )Total fair value
    
    
    
    
    
    $
    269,962,275
    
    
    
    25.01
    %
 7




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2010
    (Unaudited)
  AAA
    Master Fund LLC
   Condensed Schedule of Investments
    December 31, 2009
    (Unaudited)
  Number of





% of MembersContracts


Fair Value


CapitalFutures and Exchange Cleared Swap Contracts PurchasedEnergy


76,309


$
(83,380,536
)


(6.78
)%Total futures and exchange cleared swap contracts purchased






(83,380,536
)


(6.78
)Futures and Exchange Cleared Swap Contracts SoldEnergy


68,230



32,522,646



2.65Total futures and exchange cleared swap contracts sold






32,522,646



2.65Options OwnedEnergyCallNYMEX LT Crude Oil Feb 10  Dec 12


10,366



130,224,950



10.59NYMEX Natural Gas E Feb 10  Oct 14


23,072



135,333,168



11.01Other


8,589



115,880,958



9.43Call options written






381,439,076



31.03PutNYMEX Crude Oil E Dec 10  Dec 16


13,074



127,745,250



10.39NYMEX LT Crude Oil Feb 10  Dec 13


10,761



73,976,480



6.02NYMEX Natural Gas E Feb 10  May 14


9,735



116,193,705



9.45Other


8,960



42,141,212



3.43Put options owned






360,056,647



29.29Total options owned






741,495,723



60.32Options WrittenEnergyCallNYMEX Heating Oil Feb 10  Dec 10


6,014



(61,856,584
)


(5.03
)NYMEX Natural Gas E Feb 10  Oct 14


18,423



(77,041,748
)


(6.27
)Other


19,042



(109,221,068
)


(8.89
)Call options written






(248,119,400
)


(20.19
)PutOther


21,738



(104,114,500
)


(8.47
)Put options written






(104,114,500
)


(8.47
)Total options written






(352,233,900
)


(28.66
)Total fair value





$
338,403,933



27.53
% 8




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2010
    (Unaudited)
  AAA
    Master Fund LLC
    Statements of Income and Expenses and Changes in Members Capital
    (Unaudited)
  Three Months EndedMarch 31,2010
    
    
    2009Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts
    
    $
    (61,447,730
    )
    
    $
    55,296,920Change in
net unrealized gains (losses) on open contracts
    
    
    28,610,693
    
    
    
    36,099,441Gain (loss) from trading, net
    
    
    (32,837,037
    )
    
    
    91,396,361Interest income
    
    
    100,242
    
    
    
    207,586Total income (loss)
    
    
    (32,736,795
    )
    
    
    91,603,947Expenses:Clearing fees
    
    
    945,322
    
    
    
    690,089Professional fees
    
    
    175,354
    
    
    
    177,375Total expenses
    
    
    1,120,676
    
    
    
    867,464Net
income (loss)
    
    
    (33,857,471
    )
    
    
    90,736,483Additions
    
    
    14,687,953
    
    
    
    55,749,031Redemptions
    
    
    (130,590,487
    )
    
    
    (134,050,531
    )Distribution
of interest income to feeder funds
    
    
    (100,242
    )
    
    
    (207,586
    )Net increase
(decrease) in Members Capital
    
    
    (149,860,247
    )
    
    
    12,227,397Members Capital, beginning of period
    
    
    1,229,195,192
    
    
    
    1,338,631,099Members Capital, end of period
    
    $
    1,079,334,945
    
    
    $
    1,350,858,496Net Asset Value per Unit
(111,949.4266 and 142,061.4413 Units outstanding
at March 31, 2010 and 2009, respectively)
    
    $
    9,641.27
    
    
    $
    9,508.97Net income
(loss) per Unit of Member Interest
    
    $
    (293.89
    )
    
    $
    633.90Weighted average units outstanding
    
    
    119,501.6077
    
    
    
    148,066.0111
 9




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2010
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months EndedMarch 31,2010
    
    
    2009Net realized
and unrealized gains (losses)*
    
    $
    (148.33
    )
    
    $
    285.80Interest income
    
    
    0.36
    
    
    
    0.64Expenses and allocation to Special Limited Partner**
    
    
    (28.53
    )
    
    
    (79.97
    )Increase
(decrease) for the period
    
    
    (176.50
    )
    
    
    206.47Net asset Value per Redeemable Unit, beginning of period
    
    
    4,407.18
    
    
    
    4,145.89Net asset Value per Redeemable Unit, end of period
    
    $
    4,230.68
    
    
    $
    4,352.36
   *
    
    Includes Partnership commissions and clearing fees allocated from the
    Master.**
    
    Excludes Partnership commissions, clearing fees allocated from the
    Master and includes allocation to Special Limited Partner
    in 2010 and 2009.  Three Months EndedMarch 31,2010
    
    
    2009Ratios to
Average Net Assets:***Net investment income (loss) before allocation to Special Limited Partner****
    
    
    (4.8
    )%
    
    
    (3.9
    )%Operating expenses
    
    
    4.8
    %
    
    
    4.0
    %Allocation to Special Limited Partner
    
    
    
    %
    
    
    1.2
    %Total expenses and allocation to Special Limited Partner
    
    
    4.8
    %
    
    
    5.2
    %Total return:Total return before allocation to Special Limited Partner
    
    
    (4.0)
    %
    
    
    6.3
    %Allocation to Special Limited Partner
    
    
    
    %
    
    
    (1.3
    )%Total return after allocation to Special Limited Partner
    
    
    (4.0
    )%
    
    
    5.0
    %
   ***
    
    Annualized (except for allocation to Special Limited Partner, if
applicable).****
    
    Interest income allocated from Master less total expenses
(exclusive of allocation to Special Limited Partner, if applicable).   10




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##### Table of Contents



AAA
Capital Energy Fund L.P. II
    Notes to Financial Statements
   March 31, 2010
    (Unaudited)
    Three Months EndedMarch 31,2010
    
    

2009Net realized
and unrealized gains*
    
    $
    (293.26
    )
    
    $
    633.70Interest Income
    
    
    0.89
    
    
    
    1.45Expenses **
    
    
    (1.52
    )
    
    
    (1.25
    )Increase
 for the period
    
    
    293.89
    
    
    
    633.90Distribution
    
    
    (0.89
    )
    
    
    (1.45
    )Net Asset Value per Unit of Member Interest, beginning of period
    
    
    9,936.05
    
    
    
    8,876.52Net Asset Value per Unit of Member Interest, end of period
    
    $
    9,641.27
    
    
    $
    9,508.97
   *
    
    Includes clearing fees.**
    
    Excludes clearing fees. Three Months EndedMarch 31,2010
    
    

2009Ratios to average net assets:***Net
investment gain****
    
    
    (0.4
    )%
    
    
    (0.2
    )%Operating expenses
    
    
    0.4
    %
    
    
    0.3
    %Total return
    
    
    (3.0
    )%
    
    
    7.1
    %
  ***
    
    Annualized.****
    
    Interest income less total expenses.   3.
    Trading Activities:     11




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    March 31, 2010
    (Unaudited)
      March 31, 2010AssetsFutures
and Exchange Cleared Swap ContractsEnergy
    
    $
    366,034,654Lumber
    
    
    107,004Total unrealized appreciation on open futures and exchange cleared swap contracts
    
    $
    366,141,658LiabilitiesFutures
and Exchange Cleared Swap ContractsEnergy
    
    $
    (374,141,657
    )Lumber
    
    
    (143,640
    )Total unrealized depreciation on open futures and exchange cleared swap contracts
    
    $
    (374,285,297
    )Net unrealized depreciation on open futures and exchange cleared swap contracts
    
    $
    (8,143,639
    )*AssetsOptions OwnedEnergy

    $
    705,452,180Total options owned

    $
    705,452,180
    **LiabilitiesOptions WrittenEnergy

    $
    (427,346,266
    )Total options written

    $
    (427,346,266
    )***
 
 *
    
    This amount is in Net unrealized depreciation on open futures and exchange cleared swap contracts on the Masters Statements of Financial Condition.**
    
    This amount is in Options owned, at fair value on the Masters Statements of Financial Condition.***
    
    This amount is in Options written, at fair
value on the Masters Statements of Financial Condition. 12




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##### Table of Contents



AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
 December 31, 2009AssetsFutures and Exchange Cleared Swap ContractsEnergy

$
274,140,959Total unrealized appreciation on open futures and exchange
    cleared swap contracts

$
274,140,959LiabilitiesFutures and Exchange Cleared Swap ContractsEnergy

$
(324,998,849
)Total unrealized depreciation on open futures and exchange
    cleared swap contracts

$
(324,998,849
)Net unrealized depreciation on open futures and exchange cleared
    swap contracts

$
(50,857,890
)*AssetsOptions OwnedEnergy

$
741,495,723Options owned

$
741,495,723
**LiabilitiesOptions WrittenEnergy

$
352,233,900Options written

$
352,233,900
***  
 *
    
    This amount is in Net unrealized depreciation on open
    futures and exchange cleared swap contracts on the
    Statements of Financial Condition.**
    
    This amount is in Options owned, at fair value on
    the Statements of Financial Condition.***
    
    This amount is in Options written, at fair value on
    the Statements of Financial Condition.  Three Months Ended
    
    
    Three Months EndedMarch 31, 2010
    
    
    March 31, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingEnergy
    
    $
    (32,821,199
    )
    
    $
    91,396,361Lumber
    
    
    (15,838
    )
    
    
    Total
    
    $
    (32,837,037
    )****
    
    $
    91,396,361
    ****
 
 ****
    
    This amount is in Gain (loss) from
trading, net on the Masters Statements of Income and
Expenses and Changes in Members Capital.  4.
    Fair
    Value Measurements:  Partnerships Investments.
  Partnerships Fair Value Measurements
     Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable Inputs3/31/2010


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master

$
468,924,938


$



$
468,924,938


$
Total fair value

$
468,924,938


$



$
468,924,938


$
Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable Inputs12/31/2009


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master
    
    $
    495,766,284
    
    
    $
    
    
    
    $
    495,766,284
    
    
    $
    Total fair value
    
    $
    495,766,284
    
    
    $
    
    
    
    $
    495,766,284
    
    
    $
       Masters Investments.
  Masters Fair Value Measurements.
 13




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
   March 31, 2010
    (Unaudited)
     Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable3/31/2010
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsOptions owned
    
    $
    705,452,180
    
    
    $
    705,452,180
    
    
    $
    
    
    
    $
    Total assets
    
    
    705,452,180
    
    
    
    705,452,180
    
    
    
    
    
    
    
    LiabilitiesFutures and
Exchange Cleared
Swaps
    
    $
    8,143,639
    
    
    $
    8,143,639
    
    
    $
    
    
    
    $
    Options written
    
    
    427,346,266
    
    
    
    427,346,266
    
    
    
    
    
    
    
    Total liabilites
    
    
    435,489,905
    
    
    
    435,489,905
    
    
    
    
    
    
    
    Total fair value
    
    $
    269,962,275
    
    
    $
    269,962,275
    
    
    $
    
    
    
    $
    
 Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable12/31/2009
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsOptions owned
    
    $
    741,495,723
    
    
    $
    741,495,723
    
    
    $
    
    
    
    $
    Total assets
    
    
    741,495,723
    
    
    
    741,495,723
    
    
    
    
    
    
    
    LiabilitiesFutures and
Exchange Cleared
Swaps
    
    $
    50,857,890
    
    
    $
    50,857,890
    
    
    $
    
    
    
    $
    Options written
    
    
    352,233,900
    
    
    
    352,233,900
    
    
    
    
    
    
    
    Total liabilites
    
    
    403,091,790
    
    
    
    403,091,790
    
    
    
    
    
    
    
    Total fair value
    
    $
    338,403,933
    
    
    $
    338,403,933
    
    
    $
    
    
    
    $
    
    5.
    Financial
    Instrument Risks:  14




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##### Table of Contents



AAA Capital Energy
 Fund L.P. II
    Notes to Financial Statements
    March 31, 2010
    (Unaudited)
       6. Critical Accounting Policies:
 Use of Estimates.
 Statement of Cash Flows.
 Partnerships Investments.
 Partnerships and the
Masters Fair Value Measurements.
   15




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##### Table of Contents



AAA Capital Energy
 Fund L.P. II
    Notes to Financial Statements
    March 31, 2010
    (Unaudited)
 Futures
Contracts.
 Options.
 Brokerage Commissions.
 Income Taxes.
    Subsequent
Events.
 Recent Accounting Pronouncements.
  Net Income (Loss) per Redeemable Unit.
 16




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##### Table of Contents



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations.  Liquidity and Capital Resources
           Critical Accounting Policies
 Partnerships Investments
  Partnerships Fair Value Measurements.
   Futures Contracts
 Options.
 Brokerage Commissions.
 17




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Results of Operations
                18




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##### Table of Contents



30-day 3-month and/or 90-day
         19




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##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk            one-day
    March 31, 2010
(Unaudited)
 Three
Months Ended March 31, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    114,734,546
    
    
    
    10.63
    %
    
    $
    143,609,109
    
    
    $
    105,255,921
    
    
    $
    114,508,627Lumber
    
    
    92,000
    
    
    
    0.01
    %
    
    $
    92,000
    
    
    $
    32,900
    
    
    $
    46,467Total
    
    $
    114,826,546
    
    
    
    10.64
    %
 *
    
    Average monthly Values at Risk 20




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##### Table of Contents



Item 4.
    Controls
    and Procedures      Rules 13a-15(e) 15d-15(e)
  internal control over financial
    reporting
  
    pertain to the maintenance of records that in reasonable detail
    accurately and fairly reflect the transactions and dispositions
    of the assets of the Partnership;
    provide reasonable assurance that (i) transactions are
    recorded as necessary to permit preparation of financial
    statements in accordance with GAAP, and (ii) the Partnerships
    receipts are handled and expenditures are made only pursuant to
    authorizations of the General Partner; and
    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.   21




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##### Table of Contents



PART II. OTHER INFORMATION  Item 1.
    Legal
    Proceedings   Credit Crisis Related Matters
   22




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##### Table of Contents



Item 1A.
    Risk
    Factors   23




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##### Table of Contents



Item 2.
    Unregistered
    Sales of Equity Securities and Use of Proceeds        (d) Maximum Number(or Approximate(c) Total Number



Dollar Value) ofof Redeemable Units



Redeemable Units(a) Total Number



(b) Average



Purchased as Part



that May Yet Beof Redeemable



Price Paid per



of Publicly Announced



Purchased Under thePeriod


Units Purchased*



Redeemable Unit**



Plans or Programs



Plans or ProgramsJanuary 1, 2010 January 31, 2010



550.9229



$
4,375.25




N/A




N/AFebruary 1, 2010  February 28, 2010



2,968.6915



$
4,224.93




N/A




N/AMarch 1, 2010  
March 31, 2010



511.4909



$
4,230.68




N/A




N/A4,031.1053



$
4,246.20




N/A




N/A       Item 3.
    Defaults
    Upon Senior Securities  None  Item 4.
    [Removed and Reserved]  Item 5.
    Other
    Information 
    None  24




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##### Table of Contents



Item 6.
    Exhibits 3.1
    
    Certificate of Limited Partnership of the Partnership as filed in the Office
of the Secretary of State of the State of New York, dated March 21, 2002 (filed as
Exhibit 3.1 to the general form for registration of securities on Form 10 filed on May
1, 2003 and incorporated herein by reference).
 (a)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated May
21, 2003 (filed as Exhibit 3.1(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).(b)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
September 21, 2005 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).(c)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
September 19, 2008 (filed as Exhibit 3.1(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).(d)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
August 27, 2008 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on
September 2, 2008 and incorporated herein by reference).(e)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed
on September 30, 2009 and incorporated herein by reference).
 3.2
    
    Amended and Restated Limited Partnership Agreement, dated January 9, 2007
(filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 16, 2007 and
incorporated herein by reference).10.1(a)
    
    Customer Agreement between the Partnership and Salomon Smith Barney Inc., dated
August 23, 2001 (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003 and incorporated herein by reference).10.1(b)
    
    Customer Agreement among the Partnership and Salomon Smith Barney Inc., and for
limited purposes Smith Barney AAA Master Fund LLC, dated May 31, 2002 (filed as
Exhibit 10 to the general form for registration of securities on Form 10 filed on May
1, 2003 and incorporated herein by reference).10.2
    
    Form of Subscription Agreement  (filed as Exhibit 10.2 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).10.3
    
    Management Agreement among the Partnership, Citigroup Managed Futures LLC and
AAA Capital Management Advisors, Ltd., dated April 3, 2006 (filed as Exhibit 10.3 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
 (a)
    
    Letter from the General Partner extending Management Agreements for
2009, dated June 9, 2009 (filed as Exhibit 10.3(a) to the annual report on Form 10-K
filed on March 31, 2010 and incorporated herein by reference).
 10.4
    
    Amended and Restated Agency Agreement among the Partnership, Ceres Managed
Futures LLC, Morgan Stanley Smith Barney LLC, and Citigroup Global Markets Inc., dated
November 11, 2009 (filed as Exhibit 10.4 to the Form 10-Q
filed on November 16, 2009 and incorporated herein by reference).16.1
    
     Letter from KPMG LLP Regarding Change of Certifying Account (filed as Exhibit 16.1 to the Form 8-K filed on July 1, 2008 and incorporated herein by reference).16.2
    
     Letter from PricewaterhouseCoopers LLP Regarding Change of Certifying Account (filed as Exhibit 16.1 to the Form 8-K filed on July 23, 2009 and 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)
 25




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##### Table of Contents



SIGNATURES
     AAA CAPITAL ENERGY FUND L.P. II
  By:

Ceres Managed Futures LLC(General Partner)By:

/s/  Jerry
    PascucciJerry Pascucci 
    President and DirectorDate:

May 17, 2010By:

/s/  Jennifer
    MagroJennifer Magro
    Chief Financial Officer and 
    Director
(Principal Accounting Officer)Date:

May 17, 2010  26