##### 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 June 30, 2009
  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
   CITIGROUP AAA 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 Citigroup
    Managed Futures LLC
 55 E.
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




---



##### 



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

Financial Statements:Statements of Financial Condition at June 30, 2009 and
    December 31, 2008 (unaudited)

3Statements of Income and Expenses and Partners Capital for
    the three and six months ended June 30, 2009 and 2008
    (unaudited)

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

5  15Item 2.

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

16  19Item 3.

Quantitative and Qualitative Disclosures about Market Risk

20Item 4T.

Controls and Procedures

21PART  II - Other Information

22  25ExhibitsEX-10 JOINDER AGREEMENTEX-31.1 CERTIFICATIONEX-31.2 CERTIFICATIONEX-32.1 CERTIFICATIONEX-32.2 CERTIFICATION   2




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##### Table of Contents



PART I Item 1.
    Financial Statements  Citigroup AAA Energy Fund L.P. IIStatements of Financial Condition
    (Unaudited)
  June 30,
    
    
    December 31,2009
    
    
    2008Assets:Investment in Master, at fair value
    
    $
    498,610,598
    
    
    $
    543,812,374Cash
    
    
    314,499
    
    
    
    240,801Total assets
    
    $
    498,925,097
    
    
    $
    544,053,175Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions
    
    $
    2,298,568
    
    
    $
    2,403,495Management fees
    
    
    827,267
    
    
    
    902,357Administrative fees
    
    
    206,817
    
    
    
    225,589Other
    
    
    266,389
    
    
    
    235,261Redemptions payable
    
    
    1,747,508
    
    
    
    24,337,821Total liabilities
    
    
    5,346,549
    
    
    
    28,104,523Partners Capital:General Partner, 2,051.6401 Unit equivalents outstanding at
June 30, 2009 and December 31, 2008
    
    
    8,924,983
    
    
    
    8,505,874Special Limited Partner, 963.4121 and 4,270.5527 Redeemable
Units of Limited Partnership Interest outstanding
at June 30, 2009 and December 31, 2008, respectively
    
    
    4,191,006
    
    
    
    17,705,242Limited Partners, 110,446.7348 and 118,126.1541 Redeemable
Units of Limited Partnership Interest outstanding at June 30, 2009 and
December 31, 2008, respectively
    
    
    480,462,559
    
    
    
    489,737,536Total partners capital
    
    
    493,578,548
    
    
    
    515,948,652Total liabilities and partners capital
    
    $
    498,925,097
    
    
    $
    544,053,175    3




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##### Table of Contents



Citigroup AAA Energy Fund L.P. IIStatements of Income and Expenses and
    Partners Capital
    (Unaudited)
  Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Income:Net realized gains (losses) on closed positions allocated from Master
    
    $
    231,144,084
    
    
    $
    (41,752,467
    )
    
    $
    253,821,303
    
    
    $
    (67,401,109
    )Change in net unrealized gains (losses) on open positions allocated
from Master
    
    
    (226,273,845
    )
    
    
    111,657,730
    
    
    
    (211,973,657
    )
    
    
    154,284,518Interest income allocated from Master
    
    
    71,181
    
    
    
    260,346
    
    
    
    150,501
    
    
    
    1,392,960Expenses allocated from Master
    
    
    (356,826
    )
    
    
    (437,264
    )
    
    
    (707,971
    )
    
    
    (824,170
    )Total income (loss)
    
    
    4,584,594
    
    
    
    69,728,345
    
    
    
    41,290,176
    
    
    
    87,452,199Expenses:Brokerage commissions
    
    
    1,275,296
    
    
    
    2,142,379
    
    
    
    2,562,104
    
    
    
    3,875,073Management fees
    
    
    2,541,674
    
    
    
    2,273,337
    
    
    
    5,222,110
    
    
    
    4,489,880Administrative fees
    
    
    635,418
    
    
    
    568,335
    
    
    
    1,305,528
    
    
    
    1,122,471Other
    
    
    109,501
    
    
    
    103,793
    
    
    
    219,001
    
    
    
    189,292Total expenses
    
    
    4,561,889
    
    
    
    5,087,844
    
    
    
    9,308,743
    
    
    
    9,676,716Net income (loss) before allocation to Special Limited Partner
    
    
    22,705
    
    
    
    64,640,501
    
    
    
    31,981,433
    
    
    
    77,775,483Allocation to Special Limited Partner
    
    
    
    
    
    
    (12,876,031
    )
    
    
    (6,375,882
    )
    
    
    (15,286,774
    )Net income (loss) after allocation to Special Limited Partner
    
    
    22,705
    
    
    
    51,764,470
    
    
    
    25,605,551
    
    
    
    62,488,709Additions  Limited Partners
    
    
    4,285,000
    
    
    
    1,500,000
    
    
    
    7,714,876
    
    
    
    5,480,000Additions  Special Limited Partner
    
    
    
    
    
    
    12,876,031
    
    
    
    6,375,882
    
    
    
    15,286,774Redemptions  Limited Partners
    
    
    (8,342,877
    )
    
    
    (34,338,445
    )
    
    
    (41,065,792
    )
    
    
    (74,255,433
    )Redemptions  Special Limited Partner
    
    
    (21,000,621
    )
    
    
    
    
    
    
    (21,000,621
    )
    
    
    Net increase (decrease) in Partners Capital
    
    
    (25,035,793
    )
    
    
    31,802,056
    
    
    
    (22,370,104
    )
    
    
    9,000,050Partners Capital, beginning of period
    
    
    518,614,341
    
    
    
    422,107,805
    
    
    
    515,948,652
    
    
    
    444,909,811Partners Capital, end of period
    
    $
    493,578,548
    
    
    $
    453,909,861
    
    
    $
    493,578,548
    
    
    $
    453,909,861Net Asset Value per Unit
(113,461.7870 and 137,849.5429 Units outstanding
at June 30, 2009 and 2008, respectively)
    
    $
    4,350.17
    
    
    $
    3,292.79
    
    
    $
    4,350.17
    
    
    $
    3,292.79Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent
    
    $
    (2.19
    )*
    
    $
    368.73
    
    
    $
    204.28
    
    
    $
    439.95    
 *
    
    The amount shown per Redeemable Unit does not correspond with
net income presented above for the three months ended June 30, 2009
because of the timing of additions of the Partnerships
Redeemable Units in relation to the fluctuating values of the Partnerships commodity
interest. 4




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##### Table of Contents



Citigroup AAA Energy Fund L.P. IINotes to Financial Statements
    June 30, 2009
    (Unaudited)
  1.
    General:             Form 10-K
       5




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##### Table of Contents



Citigroup AAA Energy Fund L.P. II
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
    Citigroup AAA
    Master Fund LLC
    Statements of Financial Condition
    (Unaudited)
 June 30,
    
    
    December 31,2009
    
    
    2008Assets:Equity in trading account:Cash
    
    $
    980,259,799
    
    
    $
    696,338,412Cash margin
    
    
    110,238,070
    
    
    
    90,640,874Net unrealized appreciation on open futures and exchange cleared swap contracts
    
    
    
    
    
    
    268,819,884Options
owned, at fair value (cost $935,750,483 and $867,124,483, respectively)
    
    
    727,859,274
    
    
    
    906,666,5771,818,357,143
    
    
    
    1,962,465,747Due from brokers
    
    
    
    
    
    
    518,950Total assets
    
    $
    1,818,357,143
    
    
    $
    1,962,984,697Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and exchange cleared swap contracts
    
    $
    156,262,877
    
    
    $
    Options
written, at fair value (premium $465,823,950 and $600,446,669, respectively)
    
    
    364,438,153
    
    
    
    624,018,932Accrued expenses:Professional fees
    
    
    361,416
    
    
    
    334,666Total liabilities
    
    
    521,062,446
    
    
    
    624,353,598Members Capital:Members
Capital, 135,316.1386 and 150,805.9242 Units outstanding at June 30,
2009 and December 31, 2008, respectively
    
    
    1,297,294,697
    
    
    
    1,338,631,099Total liabilities and members capital
    
    $
    1,818,357,143
    
    
    $
    1,962,984,697
 6




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##### Table of Contents



Citigroup AAA Energy Fund L.P. II
    Notes to Financial Statements
June 30, 2009
    (Unaudited)
  Citigroup AAA
    Master Fund LLC
 Schedule of Investments
 June 30, 2009
 (Unaudited)
 Number of
    
    
    
    
    
    
    % of MembersContracts
    
    
    Fair Value
    
    
    CapitalFutures and Exchange Cleared Swap Contracts PurchasedEnergyNYMEX Heating Oil Oct 09 - Dec 11
    
    
    5,380
    
    
    $
    (106,514,213
    )
    
    
    (8.21
    )%NYMEX WTI Financial Dec 09 - Dec 16
    
    
    4,543
    
    
    
    (110,530,580
    )
    
    
    (8.52
    )Other
    
    
    63,641
    
    
    
    (58,046,189
    )
    
    
    (4.47
    )Total futures and exchange cleared swap contracts purchased
    
    
    
    
    
    
    (275,090,982
    )
    
    
    (21.20
    )Futures and Exchange Cleared Swap Contracts SoldEnergyNYMEX HH Gas Swap Aug 09 - Dec 14
    
    
    30,611
    
    
    
    82,047,360
    
    
    
    6.32NYMEX HH Natural Gas Dec 09 - Dec 14
    
    
    7,574
    
    
    
    69,939,986
    
    
    
    5.39Other
    
    
    29,089
    
    
    
    (33,159,241
    )
    
    
    (2.56
    )Total futures and exchange cleared swap contracts sold
    
    
    
    
    
    
    118,828,105
    
    
    
    9.15Options OwnedEnergyNYMEX Crude Oil E Aug 09 - Dec 16
    
    
    20,616
    
    
    
    208,038,220
    
    
    
    16.04NYMEX LT Crude Oil Aug 09 - Dec 13
    
    
    16,388
    
    
    
    127,302,890
    
    
    
    9.81NYMEX Natural Gas E Aug 09 - Oct 14
    
    
    42,530
    
    
    
    302,414,444
    
    
    
    23.31Other
    
    
    21,905
    
    
    
    90,103,720
    
    
    
    6.95Total options owned
    
    
    
    
    
    
    727,859,274
    
    
    
    56.11Options WrittenEnergyNYMEX LT Crude Oil Aug 09 - Dec 12
    
    
    18,763
    
    
    
    (110,836,220
    )
    
    
    (8.54
    )NYMEX Natural Gas E Aug 09 - Oct 14
    
    
    26,332
    
    
    
    (119,604,500
    )
    
    
    (9.22
    )Other
    
    
    25,896
    
    
    
    (133,997,433
    )
    
    
    (10.33
    )Total options written
    
    
    
    
    
    
    (364,438,153
    )
    
    
    (28.09
    )Total fair value
    
    
    
    
    
    $
    207,158,244
    
    
    
    15.97
    %
 7




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##### Table of Contents



Citigroup AAA Energy Fund L.P. II
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  Citigroup AAA
    Master Fund LLC
    Schedule of Investments
    December 31, 2008
    (Unaudited)
  Number of





% of MembersContracts


Fair Value


CapitalFutures and Exchange Cleared Swap Contracts PurchasedEnergyNYMEX Heating Oil Feb 09  Aug 11


8,011


$
(441,745,130
)


(33.00
)%NYMEX HH N Gas Swap Feb 09  Dec 14


18,654



(89,160,340
)


(6.66
)NYMEX LS Crude Oil Feb 09  Dec 12


11,641



(129,427,041
)


(9.67
)NYMEX Natural Gas May 09  Dec 13


8,255



(139,708,500
)


(10.44
)NYMEX NYH RBOB Gas Feb 09  Dec 11


4,404



(119,810,053
)


(8.95
)NYMEX WTI Financial Jun 09  Dec 16


4,936



(209,218,410
)


(15.63
)Other


    16,316



(151,807,029
)


(11.34
)Total futures and exchange cleared swap contracts purchased






(1,280,876,503
)


(95.69
)Futures and Exchange Cleared Swap Contracts SoldEnergyIPE Brent Crude Oil Mar 09  Dec 14


4,692



121,030,070



9.04IPE Gas Oil Jan 09  Jun 11


11,819



535,126,020



39.98NYMEX Heating Oil Feb 09  Dec 11


3,501



166,705,095



12.45NYMEX HH N Gas Swap Mar 09  Dec 12


29,532



155,897,847



11.65NYMEX Natural Gas Feb 09  Dec 14


13,299



260,526,256



19.46NYMEX NYH RBOB Gas Apr 09  Apr 10


3,293



137,456,648



10.27Other


16,695



172,954,451



12.92Total futures and exchange cleared swap contracts sold






1,549,696,387



115.77Options OwnedEnergyNYMEX Brent Crude EP Jun 09  Dec 10


2,533



73,938,930



5.52NYMEX Crude EP Mar 09  Dec 16


11,958



253,787,240



18.96NYMEX LS Crude Oil P Feb 09  Dec 12


6,383



205,040,500



15.32NYMEX Natural Gas EC Feb 09  May 14


28,842



164,736,675



12.31NYMEX Natural Gas EP Mar 09  Mar 11


4,433



70,822,470



5.29Other


25,417



138,340,762



10.33Total options owned






906,666,577



67.73Options WrittenEnergyNYMEX LS Crude Oil P Feb 09  Dec 12


6,493



(131,792,570
)


(9.84
)NYMEX Natural Gas EP Feb 09  May 11


6,340



(209,214,966
)


(15.63
)Other


56,413



(283,011,396
)


(21.14
)Total options written






(624,018,932
)


(46.61
)Total fair value





$
551,467,529



41.20
% 8




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##### Table of Contents



Citigroup AAA Energy Fund L.P. II
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  Citigroup AAA
    Master Fund LLC
    Statements of Income and Expenses and Members Capital
    (Unaudited)
  Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Income:Net gains (losses) on trading of commodity interests:Net
realized gains (losses) on closed contracts
    
    $
    595,784,413
    
    
    $
    (99,509,226
    )
    
    $
    651,081,333
    
    
    $
    (156,630,223
    )Change in
net unrealized gains (losses) on open contracts
    
    
    (583,657,445
    )
    
    
    263,468,933
    
    
    
    (547,558,004
    )
    
    
    358,850,486Gain (loss)
from trading, net
    
    
    12,126,968
    
    
    
    163,959,707
    
    
    
    103,523,329
    
    
    
    202,220,263Interest income
    
    
    195,232
    
    
    
    641,551
    
    
    
    402,818
    
    
    
    3,300,053Total income
(loss)
    
    
    12,322,200
    
    
    
    164,601,258
    
    
    
    103,926,147
    
    
    
    205,520,316Expenses:Clearing fees
    
    
    744,041
    
    
    
    815,309
    
    
    
    1,434,130
    
    
    
    1,547,189Professional
fees
    
    
    176,910
    
    
    
    212,803
    
    
    
    354,285
    
    
    
    348,803Total
expenses
    
    
    920,951
    
    
    
    1,028,112
    
    
    
    1,788,415
    
    
    
    1,895,992Net
income (loss)
    
    
    11,401,249
    
    
    
    163,573,146
    
    
    
    102,137,732
    
    
    
    203,624,324Additions
    
    
    56,890,013
    
    
    
    39,657,908
    
    
    
    112,639,044
    
    
    
    54,398,042Redemptions
    
    
    (121,659,829
    )
    
    
    (86,032,294
    )
    
    
    (255,710,360
    )
    
    
    (141,674,303
    )Distribution
of interest income to feeder funds
    
    
    (195,232
    )
    
    
    (633,607
    )
    
    
    (402,818
    )
    
    
    (3,280,069
    )Net increase
(decrease) in Members Capital
    
    
    (53,563,799
    )
    
    
    116,565,153
    
    
    
    (41,336,402
    )
    
    
    113,067,994Members Capital, beginning of period
    
    
    1,350,858,496
    
    
    
    995,956,377
    
    
    
    1,338,631,099
    
    
    
    999,453,536Members Capital, end of period
    
    $
    1,297,294,697
    
    
    $
    1,112,521,530
    
    
    $
    1,297,294,697
    
    
    $
    1,112,521,530Net Asset
Value per Unit (135,316.1386 and 169,286.3660 Units outstanding at June 30, 2009 and 2008, respectively)
    
    $
    9,587.14
    
    
    $
    6,571.83
    
    
    $
    9,587.14
    
    
    $
    6,571.83Net income
(loss) per Unit of Member Interest
    
    $
    79.60
    
    
    $
    954.68
    
    
    $
    713.50
    
    
    $
    1,177.92 9




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##### Table of Contents



Citigroup AAA Energy Fund L.P. II
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Net realized
and unrealized gains (losses)*
    
    $
    25.53
    
    
    $
    480.31
    
    
    $
    311.33
    
    
    $
    579.21Interest income
    
    
    0.62
    
    
    
    1.85
    
    
    
    1.26
    
    
    
    9.17Expenses and allocation to Special Limited Partner**
    
    
    (28.34
    )
    
    
    (113.43
    )
    
    
    (108.31
    )
    
    
    (148.43
    )Increase
(decrease) for the period
    
    
    (2.19
    )
    
    
    368.73
    
    
    
    204.28
    
    
    
    439.95Net asset Value per Redeemable Unit, beginning of period
    
    
    4,352.36
    
    
    
    2,924.06
    
    
    
    4,145.89
    
    
    
    2,852.84Net asset Value per Redeemable Unit, end of period
    
    $
    4,350.17
    
    
    $
    3,292.79
    
    
    $
    4,350.17
    
    
    $
    3,292.79
   *
    
    Includes Partnership commissions and expenses allocated from the
    Master.**
    
    Excludes Partnership commissions, expenses allocated from the
    Master and includes allocation to Special Limited Partner
    in 2009 and 2008.  Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Ratios to
Average Net Assets:***Net investment income (loss) before allocation to Special Limited Partner****
    
    
    (3.9
    )%
    
    
    (4.9
    )%
    
    
    (3.9
    )%
    
    
    (4.2
    )%Operating expenses
    
    
    3.9
    %
    
    
    5.1
    %
    
    
    4.0
    %
    
    
    4.9
    %Allocation to Special Limited Partner
    
    
    
    %
    
    
    3.0
    %
    
    
    1.2
    %
    
    
    3.5
    %Total expenses and allocation to Special Limited Partner
    
    
    3.9
    %
    
    
    8.1
    %
    
    
    5.2
    %
    
    
    8.4
    %Total return:Total return before allocation to Special Limited Partner
    
    
    (0.1
    )%
    
    
    15.8
    %
    
    
    6.3
    %
    
    
    19.3
    %Allocation to Special Limited Partner
    
    
    
    %
    
    
    (3.2
    )%
    
    
    (1.4
    )%
    
    
    (3.9
    )%Total return after allocation to Special Limited Partner
    
    
    (0.1
    )%
    
    
    12.6
    %
    
    
    4.9
    %
    
    
    15.4
    %
   ***
    
    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



Citigroup AAA Energy Fund L.P. II
    Notes to Financial Statements
   June 30, 2009
    (Unaudited)
    Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Net realized
and unrealized gains (losses)*
    
    $
    79.46
    
    
    $
    952.19
    
    
    $
    713.16
    
    
    $
    1,161.58Interest Income
    
    
    1.43
    
    
    
    3.74
    
    
    
    2.88
    
    
    
    18.34Expenses **
    
    
    (1.29
    )
    
    
    (1.25
    )
    
    
    (2.54
    )
    
    
    (2.00
    )Increase
(decrease) for the period
    
    
    79.60
    
    
    
    954.68
    
    
    
    713.50
    
    
    
    1,177.92Distribution of
interest income to feeder funds
    
    
    (1.43
    )
    
    
    (3.69
    )
    
    
    (2.88
    )
    
    
    (18.23
    )Net Asset Value per Unit of Member Interest, beginning of period
    
    
    9,508.97
    
    
    
    5,620.84
    
    
    
    8,876.52
    
    
    
    5,412.14Net Asset Value per Unit of Member Interest, end of period
    
    $
    9,587.14
    
    
    $
    6,571.83
    
    
    $
    9,587.14
    
    
    $
    6,571.83
   *
    
    Includes brokerage commissions**
    
    Excludes brokerage commissions Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Ratios to average net assets:***Net
investment income (loss)****
    
    
    (0.2
    )%
    
    
    (0.1
    )%
    
    
    (0.2
    )%
    
    
    0.3
    %Operating expenses
    
    
    0.3
    %
    
    
    0.4
    %
    
    
    0.3
    %
    
    
    0.4
    %Total return
    
    
    0.8
    %
    
    
    17.0
    %
    
    
    8.0
    %
    
    
    21.8
    %
  ***
    
    Annualized****
    
    Interest income less total expenses   3.
    Trading Activities:       11




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##### Table of Contents



Citigroup AAA Energy Fund L.P. II
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
      June 30, 2009
    
    
    
    
    
    June 30, 2009Assets
    
    
    
    
    
    
    AssetsFutures and Exchange Cleared Swap Contracts
    
    
    
    
    
    
    Options OwnedEnergy
    
    $
    467,077,035
    
    
    
    Energy
    
    $
    727,859,274Total unrealized appreciation on open futures and exchange cleared swap contracts
    
    $
    467,077,035
    
    
    
    Options owned
    
    $
    727,859,274
    **Liabilities
    
    
    
    
    
    
    LiabilitiesFutures and Exchange Cleared Swap Contracts
    
    
    
    
    
    
    Options WrittenEnergy
    
    $
    (623,339,912
    )
    
    
    Energy
    
    $
    (364,438,153
    )Total unrealized depreciation on open futures and exchange cleared swap contracts
    
    $
    (623,339,912
    )
    
    
    Options written
    
    $
    (364,438,153
    )***Net unrealized depreciation on open futures and exchange cleared swap contracts
    
    $
    (156,262,877
    )
    *
 
 *
    
    This amount is included in Net unrealized depreciation on open futures and exchange cleared swap contracts on the Statements of Financial Condition.**
    
    This amount is included in options owned, at fair value on the Statements of Financial Condition.***
    
    This amount is included in options written, at fair
value on the Statements of Financial Condition. 12




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##### Table of Contents



Three Months Ended
    
    
    Six Months EndedJune 30, 2009
    
    
    June 30, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingEnergy
    
    $
    12,126,968
    
    
    $
    103,523,329Total
    
    $
    12,126,968
    
    
    $
    103,523,329
  4.
    Fair
    Value Measurements:  Investments.
  Fair Value Measurements. Fair Value Measurements No. FAS 157-2, Effective Date of FASB Statement No. 157
    Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable Inputs6/30/2009


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master

$
498,610,598


$



$
498,610,598


$
Total fair value

$
498,610,598


$



$
498,610,598


$
Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable Inputs12/31/2008


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master
    
    $
    543,812,374
    
    
    $
    
    
    
    $
    543,812,374
    
    
    $
    Total fair value
    
    $
    543,812,374
    
    
    $
    
    
    
    $
    543,812,374
    
    
    $
       Investments.
  Fair Value Measurements.
 13




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##### Table of Contents



Citigroup AAA Energy Fund L.P. II
    Notes to Financial Statements
   June 30, 2009
    (Unaudited)
  No. FAS 157-2, Effective Date of FASB Statement No. 157
   Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable Inputs6/30/2009
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsOptions owned
    
    $
    727,859,274
    
    
    $
    727,859,274
    
    
    $
    
    
    
    $
    Total assets
    
    
    727,859,274
    
    
    
    727,859,274
    
    
    
    
    
    
    
    LiabilitiesFutures and Exchange Cleared Swaps
    
    $
    156,262,877
    
    
    $
    156,262,877
    
    
    $
    
    
    
    $
    Options written
    
    
    364,438,153
    
    
    
    364,438,153
    
    
    
    
    
    
    
    Total liabilities
    
    
    520,701,030
    
    
    
    520,701,030
    
    
    
    
    
    
    
    Total fair value
    
    $
    207,158,244
    
    
    $
    207,158,244
    
    
    $
    
    
    
    $
    Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable Inputs12/31/2008
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsFutures
    
    $
    268,819,884
    
    
    $
    268,819,884
    
    
    $
    
    
    
    $
    Options owned
    
    
    906,666,577
    
    
    
    906,666,577
    
    
    
    
    
    
    
    Total assets
    
    
    1,175,486,461
    
    
    
    1,175,486,461
    
    
    
    
    
    
    
    LiabilitiesOptions written
    
    $
    624,018,932
    
    
    $
    624,018,932
    
    
    $
    
    
    
    $
    Total liabilites
    
    
    624,018,932
    
    
    
    624,018,932
    
    
    
    
    
    
    
    Total fair value
    
    $
    551,467,529
    
    
    $
    551,467,529
    
    
    $
    
    
    
    $
    
    5.
    Financial
    Instrument Risks:  14




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##### Table of Contents



Citigroup AAA Energy Fund L.P. II
    Notes to Financial Statements
    June 30, 2009
    (Unaudited)
       15




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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
 Use of Estimates.
 Statement of Cash Flows.
 Investments.
 Fair Value Measurements.
 16




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##### Table of Contents



Futures Contracts.
 Options.
 Brokerage Commissions.
 Income Taxes.
  17




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##### Table of Contents



Recent Accounting Pronouncements.
 Subsequent Events.
  Results of Operations
           18




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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
  Form 10-K
 June 30, 2009
(Unaudited)
 Three Months Ended June 30, 2009% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    147,468,039
    
    
    
    11.37
    %
    
    $
    207,597,990
    
    
    $
    4,405,231
    
    
    $
    133,166,548Total
    
    $
    147,468,039
    
    
    
    11.37
    %
 *
    
    Average monthly Values at Risk 20




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##### Table of Contents



Item 4T.
    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  Form 10-K
  Enron-Related Civil Actions
  Acquisition
Partners, L.P., et al. v. J.P. Morgan Chase & Co., et al., Avenue Capital Management II, L.P.,
et al. v. J.P. Morgan Chase & Co., et al. UniCredito Italiano, SpA, et al. v. J.P. Morgan Chase Bank, et. al.
  Subprime Mortgage-Related Litigation
  Buckingham v. Citigroup Inc., et al. Chen v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation.
  Asher, et al. v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation Asher, et al. v. Citigroup Inc., et al. Pellegrini v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation
  Epirus Capital Management, LLC, et al. v. Citigroup Inc., et al. In re Citigroup Inc. Securities Litigation
  Auction Rate Securities-Related Litigation
  Securities Actions. American Eagle Outfitters, Inc., et al. v. Citigroup Global
Markets Inc. In re Citigroup Inc. Auction Rate Securities Litigation Finn v. Smith Barney, et al.
  Texas Instruments Inc. v. Citigroup Global Markets Inc. et al.
  Governmental and Regulatory Actions.
  Falcon and ASTA/MAT-Related Litigation
  Marie Raymond Revocable Trust, et al. v. MAT Five LLC, et al.
  In re MAT Five Securities Litigation.
  ECA Acquisitions, Inc., et al. v. MAT Three LLC, et al.
  Zentner v. Citigroup, et al. In re MAT Two Securities
Litigation, In re MAT Three Securities Litigation and In re MAT Five Securities Litigation.) In re MAT Five Securities
Litigation
  Zentner v. Citigroup, et al.
 Other Matters
  Underwriting Actions .
  American Home Mortgage In re American
Home Mortgage Securities Litigation
  American International Group In re American International Group, Inc. 2008 Securities Litigation
 22




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Item 1A.
    Risk
    Factors  Form 10-K
  23




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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 ProgramsApril 1, 2009  April 30, 2009



1,068.2697



$
4,400.74




N/A




N/AMay 1, 2009  May 31, 2009



434.9334



$
4,355.13




N/A




N/AJune 1, 2009  
    June 30, 2009



401.7103



$
4,350.17




N/A




N/A1,904.9134



$
4,379.66




N/A




N/A       Item 3.
    Defaults
    Upon Senior Securities  None  Item 4.
    Submission
    of Matters to a Vote of Security Holders 
    None  Item 5.
    Other
    Information  Morgan Stanley/Citigroup Joint Venture
   24




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##### Table of Contents



Item 6.
    Exhibits  Regulation S-K Form 10-K
    Rule 13a-14(a)/15d-14(a)
  Rule 13a-14(a)/15d-14(a)
     25




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


Citigroup Managed Futures LLC(General Partner)By:


/s/  Jerry
    PascucciJerry Pascucci 
    President and DirectorDate:


August 14, 2009By:


/s/  Jennifer
    MagroJennifer Magro
    Chief Financial Officer and 
    DirectorDate:


August 14, 2009  26