##### 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 September 30, 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
 522 Fifth Avenue

 -
14th Floor
 New York, New York 10036
    (212) 296-1999
       Yes X     No
    Yes     No
    Large accelerated filer 
         Accelerated filer 
           Non-accelerated filer  X
         Smaller  reporting company
  Rule 12b-2
  Yes     No X




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##### 



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

Financial Statements:Statements of Financial Condition at
September 30, 2010 (unaudited) and
    December 31, 2009

3Statements of Income and Expenses and Changes in Partners Capital for
    the three and nine months ended September 30, 2010 and 2009     (unaudited)

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

5  17Item 2.

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

18  20Item 3.

Quantitative and Qualitative Disclosures about Market Risk

21Item 4.

Controls and Procedures

22PART  II - Other Information

23  26ExhibitsEX-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)
September 30,
    
    
    December 31,2010
    
    
    2009Assets:Investment in Master, at fair value
    
    $
    442,125,856
    
    
    $
    495,766,284Cash
    
    
    342,610
    
    
    
    240,717Total assets
    
    $
    442,468,466
    
    
    $
    496,007,001Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions
    
    $
    2,729,619
    
    
    $
    2,319,625Management fees
    
    
    732,452
    
    
    
    822,450Administrative fees
    
    
    183,113
    
    
    
    205,613Other
    
    
    267,653
    
    
    
    217,299Redemptions payable
    
    
    3,330,786
    
    
    
    5,481,521Total liabilities
    
    
    7,243,623
    
    
    
    9,046,508Partners Capital:General Partner, 1,064.1285 and 1,271.6341 unit equivalents outstanding at
September 30, 2010 and December 31, 2009, respectively
    
    
    4,403,789
    
    
    
    5,604,320Special Limited Partner, 464.0795 Redeemable
Units  outstanding
at September 30, 2010 and December 31, 2009
    
    
    1,920,547
    
    
    
    2,045,282Limited Partners, 103,639.2156 and 108,756.8867 Redeemable
Units  outstanding at September 30,
2010 and
December 31, 2009, respectively
    
    
    428,900,507
    
    
    
    479,310,891Total partners capital
    
    
    435,224,843
    
    
    
    486,960,493Total liabilities and partners capital
    
    $
    442,468,466
    
    
    $
    496,007,001Net asset value per unit
    
    $
    4,138.40
    
    
    $
    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 Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Income:Net realized gains (losses) on closed contracts allocated from Master
    
    $
    6,263,381
    
    
    $
    32,704,645
    
    
    $
    (14,525,967
    )
    
    $
    286,525,948Change in net unrealized gains (losses) on open contracts allocated
from Master
    
    
    (2,118,962
    )
    
    
    (17,328,485
    )
    
    
    (541,026
    )
    
    
    (229,302,142
    )Interest income allocated from Master
    
    
    83,765
    
    
    
    73,594
    
    
    
    209,112
    
    
    
    224,095Expenses allocated from Master
    
    
    (348,885
    )
    
    
    (357,186
    )
    
    
    (1,277,761
    )
    
    
    (1,065,157
    )Total income (loss)
    
    
    3,879,299
    
    
    
    15,092,568
    
    
    
    (16,135,642
    )
    
    
    56,382,744Expenses:Brokerage commissions
    
    
    1,232,775
    
    
    
    1,474,853
    
    
    
    4,743,742
    
    
    
    4,036,957Management fees
    
    
    2,227,883
    
    
    
    2,544,703
    
    
    
    6,932,171
    
    
    
    7,766,813Administrative fees
    
    
    556,971
    
    
    
    636,176
    
    
    
    1,733,044
    
    
    
    1,941,704Other
    
    
    60,468
    
    
    
    52,377
    
    
    
    299,468
    
    
    
    271,378Total expenses
    
    
    4,078,097
    
    
    
    4,708,109
    
    
    
    13,708,425
    
    
    
    14,016,852Net income
(loss) before allocation to Special Limited Partner
    
    
    (198,798
    )
    
    
    10,384,459
    
    
    
    (29,844,067
    )
    
    
    42,365,892Allocation to Special Limited Partner
    
    
    
    
    
    
    (2,052,508
    )
    
    
    
    
    
    
    (8,428,390
    )Net income (loss) after allocation to Special Limited Partner
    
    
    (198,798
    )
    
    
    8,331,951
    
    
    
    (29,844,067
    )
    
    
    33,937,502Additions  Limited Partners
    
    
    
    
    
    
    900,000
    
    
    
    13,668,000
    
    
    
    8,614,876Additions  Special Limited Partner
    
    
    
    
    
    
    2,052,508
    
    
    
    
    
    
    
    8,428,390Redemptions  Limited Partners
    
    
    (9,710,528
    )
    
    
    (11,931,208
    )
    
    
    (34,684,590
    )
    
    
    (52,997,000
    )Redemptions  Special Limited Partner
    
    
    
    
    
    
    (4,260,931
    )
    
    
    
    
    
    
    (25,261,552
    )Redemptions  General Partner
    
    
    (225,000
    )
    
    
    
    
    
    
    (874,993
    )
    
    
    Net increase (decrease) in Partners Capital
    
    
    (10,134,326
    )
    
    
    (4,907,680
    )
    
    
    (51,735,650
    )
    
    
    (27,277,784
    )Partners Capital, beginning of period
    
    
    445,359,169
    
    
    
    493,578,548
    
    
    
    486,960,493
    
    
    
    515,948,652Partners Capital, end of period
    
    $
    435,224,843
    
    
    $
    488,670,868
    
    
    $
    435,224,843
    
    
    $
    488,670,868Net asset value per unit
(105,167.4236 and 110,490.2838 units outstanding
at September 30, 2010 and 2009, respectively)
    
    $
    4,138.40
    
    
    $
    4,422.75
    
    
    $
    4,138.40
    
    
    $
    4,422.75Net income (loss) per Redeemable Unit   and General Partner unit equivalent
    
    $
    (2.38
    )
    
    $
    72.58
    
    
    $
    (268.78
    )
    
    $
    276.86Weighted average units outstanding
    
    
    106,696.9331
    
    
    
    112,974.4508
    
    
    
    109,173.5657
    
    
    
    117,782.5968    
  4




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##### Table of Contents



AAA Capital Energy Fund L.P. IINotes to Financial Statements
    September 30, 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
    September 30, 2010
    (Unaudited)
    AAA
    Master  Fund LLC
    Statements of Financial Condition
   (Unaudited)September 30,
    
    
    December 31,2010
    
    
    2009Assets:Equity in trading account:Cash
    
    $
    588,191,115
    
    
    $
    778,736,469Cash margin
    
    
    161,259,703
    
    
    
    112,350,862Net
unrealized appreciation on open futures and
exchange-cleared swap contracts
    
    
    23,822,359
    
    
    
    Options
purchased, at fair value
(cost $964,221,372 and $885,211,273, respectively)
    
    
    591,911,367
    
    
    
    741,495,723Total assets
    
    $
    1,365,184,544
    
    
    $
    1,632,583,054Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and
exchange-cleared swap contracts
    
    $
    
    
    
    $
    50,857,890Options
premium received, at fair value
(premium $582,867,928 and $435,825,576, respectively)
    
    
    343,562,156
    
    
    
    352,233,900Accrued expenses:Professional fees
    
    
    189,613
    
    
    
    296,072Total liabilities
    
    
    343,751,769
    
    
    
    403,387,862Members Capital:Members
Capital, 106,317.8812 and 123,710.6078 Units  of Member Interest
outstanding at September 30, 2010 and December 31, 2009, respectively
    
    
    1,021,432,775
    
    
    
    1,229,195,192Total liabilities and members capital
    
    $
    1,365,184,544
    
    
    $
    1,632,583,054Net asset value
per Unit of Member Interest
    
    $
    9,607.35
    
    
    $
    9,936.05
  6




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
September 30, 2010
    (Unaudited)
  AAA
    Master Fund LLC
 Condensed Schedule of Investments
 September 30, 2010
 (Unaudited)
 Number of
    
    
    
    
    
    
    % of MembersContracts
    
    
    Fair Value
    
    
    CapitalFutures and Exchange-Cleared Swap Contracts PurchasedEnergyNYMEX HH Swap Nov 10 - Dec 16
    
    
    17,555
    
    
    $
    (73,547,038
    )
    
    
    (7.20
    )%NYMEX HH Natural Gas Feb 11 - Dec 14
    
    
    9,701
    
    
    
    (97,907,489
    )
    
    
    (9.58
    )Other
    
    
    37,216
    
    
    
    1,404,320
    
    
    
    0.14Lumber
    
    
    29
    
    
    
    (163,777
    )
    
    
    (0.02
    )Total futures and exchange-cleared swap contracts
purchased
    
    
    
    
    
    
    (170,213,984
    )
    
    
    (16.66
    )Futures and Exchange-Cleared Swap Contracts SoldEnergyNYMEX HH Swap Feb 11 - Dec 14
    
    
    23,138
    
    
    
    128,079,000
    
    
    
    12.54NYMEX HH Natural Gas Nov 10 - Oct 15
    
    
    8,431
    
    
    
    64,660,179
    
    
    
    6.33Other
    
    
    29,079
    
    
    
    1,319,423
    
    
    
    0.13Lumber
    
    
    46
    
    
    
    (22,259
    )
    
    
    (0.00)
    *Total futures and exchange-cleared swap contracts sold
    
    
    
    
    
    
    194,036,343
    
    
    
    19.00Options PurchasedEnergyCallNYMEX LT Crude Oil Nov 10 - Dec 13
    
    
    16,290
    
    
    
    121,046,990
    
    
    
    11.85Other
    
    
    33,003
    
    
    
    127,126,963
    
    
    
    12.45Call options purchased
    
    
    
    
    
    
    248,173,953
    
    
    
    24.30PutNYMEX Crude Oil E Dec 10 - Dec 16
    
    
    12,526
    
    
    
    88,786,490
    
    
    
    8.69NYMEX LT Crude Oil Nov 10 - Dec 13
    
    
    16,698
    
    
    
    88,339,330
    
    
    
    8.65NYMEX Natural Gas E Nov 10 - May 14
    
    
    11,136
    
    
    
    145,436,127
    
    
    
    14.24Other
    
    
    12,760
    
    
    
    21,175,467
    
    
    
    2.07Put options purchased
    
    
    
    
    
    
    343,737,414
    
    
    
    33.65Total options purchased
    
    
    
    
    
    
    591,911,367
    
    
    
    57.95Options Premium ReceivedEnergyCallNYMEX Heating Oil Dec 10 - Jun 11
    
    
    15,320
    
    
    
    (81,569,061
    )
    
    
    (7.98
    )NYMEX LT Crude Oil Nov 10 - Dec 16
    
    
    13,229
    
    
    
    (60,973,600
    )
    
    
    (5.97
    )Other
    
    
    26,490
    
    
    
    (51,145,507
    )
    
    
    (5.01
    )Call options premium received
    
    
    
    
    
    
    (193,688,168
    )
    
    
    (18.96
    )PutNYMEX Heating Oil Dec 10 - Jun 11
    
    
    10,714
    
    
    
    (59,225,531
    )
    
    
    (5.80
    )Other
    
    
    26,821
    
    
    
    (90,648,457
    )
    
    
    (8.88
    )Put options premium received
    
    
    
    
    
    
    (149,873,988
    )
    
    
    (14.68
    )Total options premium received
    
    
    
    
    
    
    (343,562,156
    )
    
    
    (33.64
    )Total fair value
    
    
    
    
    
    $
    272,171,570
    
    
    
    26.65
    %
 
 *
    
    Due to rounding. 7




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    September 30, 2010
    (Unaudited)
  AAA
    Master Fund LLC
   Condensed Schedule of Investments
    December 31, 2009
  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 PurchasedEnergyCallNYMEX 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 purchased






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 purchased






360,056,647



29.29Total options purchased






741,495,723



60.32Options Premium ReceivedEnergyCallNYMEX 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 premium received






(248,119,400
)


(20.19
)PutOther


21,738



(104,114,500
)


(8.47
)Put options premium received






(104,114,500
)


(8.47
)Total options premium received






(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
    September 30, 2010
    (Unaudited)
  AAA
    Master Fund LLC
    Statements of Income and Expenses and Changes in Members Capital
    (Unaudited)
  Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts
    
    $
    14,465,672
    
    
    $
    86,532,707
    
    
    $
    (36,308,875
    )
    
    $
    737,614,040Change in net unrealized gains (losses) on open contracts
    
    
    (4,975,687
    )
    
    
    (46,337,712
    )
    
    
    1,799,890
    
    
    
    (593,895,716
    )Gain (loss) from trading, net
    
    
    9,489,985
    
    
    
    40,194,995
    
    
    
    (34,508,985
    )
    
    
    143,718,324Interest income
    
    
    207,252
    
    
    
    206,338
    
    
    
    516,422
    
    
    
    609,156Total income (loss)
    
    
    9,697,237
    
    
    
    40,401,333
    
    
    
    (33,992,563
    )
    
    
    144,327,480Expenses:Clearing fees
    
    
    618,341
    
    
    
    808,203
    
    
    
    2,404,508
    
    
    
    2,242,333Professional
fees
    
    
    185,424
    
    
    
    132,300
    
    
    
    540,073
    
    
    
    486,585Total expenses
    
    
    803,765
    
    
    
    940,503
    
    
    
    2,944,581
    
    
    
    2,728,918Net income (loss)
    
    
    8,893,472
    
    
    
    39,460,830
    
    
    
    (36,937,144
    )
    
    
    141,598,562Additions
    
    
    193,888
    
    
    
    36,998,828
    
    
    
    15,805,022
    
    
    
    149,637,872Redemptions
    
    
    (24,709,949
    )
    
    
    (45,385,436
    )
    
    
    (186,113,873
    )
    
    
    (301,095,796
    )Distribution of interest to feeder funds
    
    
    (207,252
    )
    
    
    (206,338
    )
    
    
    (516,422
    )
    
    
    (609,156
    )Net increase (decrease) in Members Capital
    
    
    (15,829,841
    )
    
    
    30,867,884
    
    
    
    (207,762,417
    )
    
    
    (10,468,518
    )Members Capital, beginning of period
    
    
    1,037,262,616
    
    
    
    1,297,294,697
    
    
    
    1,229,195,192
    
    
    
    1,338,631,099Members Capital, end of period
    
    $
    1,021,432,775
    
    
    $
    1,328,162,581
    
    
    $
    1,021,432,775
    
    
    $
    1,328,162,581Net asset
value per Unit of Member Interest
(106,317.8812 and 134,496.1590 Units outstanding
at September 30, 2010 and 2009, respectively)
    
    $
    9,607.35
    
    
    $
    9,875.10
    
    
    $
    9,607.35
    
    
    $
    9,875.10Net income (loss) per Unit of Member Interest
    
    $
    81.89
    
    
    $
    289.49
    
    
    $
    (323.98
    )
    
    $
    1,002.99Weighted average units oustanding
    
    
    107,869.1608
    
    
    
    136,371.7331
    
    
    
    112,710.7115
    
    
    
    141,872.2270
 9




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    September 30, 2010
    (Unaudited)
  2.
    Financial
    Highlights:   Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Net realized
and unrealized gains (losses)*
    
    $
    24.26
    
    
    $
    118.89
    
    
    $
    (186.46
    )
    
    $
    430.22Interest income
    
    
    0.78
    
    
    
    0.65
    
    
    
    1.91
    
    
    
    1.91Expenses and allocation to Special Limited Partner**

    
    (27.42
    )
    
    
    (46.96
    )
    
    
    (84.23
    )
    
    
    (155.27
    )Increase
(decrease) for the period

    
    (2.38
    )
    
    
    72.58
    
    
    
    (268.78
    )
    
    
    276.86Net asset value per unit, beginning of period

    
    4,140.78
    
    
    
    4,350.17
    
    
    
    4,407.18
    
    
    
    4,145.89Net asset value per unit, end of period

    $
    4,138.40
    
    
    $
    4,422.75
    
    
    $
    4,138.40
    
    
    $
    4,422.75
   *
    
    Includes brokerage commissions and clearing fees allocated from the
    Master.**
    
    Excludes brokerage commissions, clearing fees allocated from the
    Master and includes allocation to Special Limited Partner
    in 2010 and 2009.  Three Months Ended
    
    Nine Months EndedSeptember 30,
    
    September 30,2010
    
    2009
    
    2010
    
    2009Ratios to
Average Net Assets:***Net investment income (loss) before allocation to Special Limited Partner****

    
    (3.9)
    %
    
    
    (4.0
    )%
    
    
    (4.3)
    %
    
    
    (3.9
    )%Operating expenses

    
    4.0
    %
    
    
    4.0
    %
    
    
    4.4
    %
    
    
    4.0
    %Allocation to Special Limited Partner
 
    
    
    %
    
    
    0.4
    %
    
    
    
    %
    
    
    1.7
    %Total expenses and allocation to Special Limited Partner
 
    
    4.0
    %
    
    
    4.4
    %
    
    
    4.4
    %
    
    
    5.7
    %Total return:Total return before allocation to Special Limited Partner

    
    (0.1)
    %
    
    
    2.1
    %
    
    
    (6.1)
    %
    
    
    8.5
    %Allocation to Special Limited Partner
 
    
    
    %
    
    
    (0.4
    )%
    
    
    
    %
    
    
    (1.8
    )%Total return after allocation to Special Limited Partner

    
    (0.1)
    %
    
    
    1.7
    %
    
    
    (6.1)
    %
    
    
    6.7
    %
   ***
    
    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
   September 30, 2010
    (Unaudited)
   Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Net realized
and unrealized gains (losses)*
    
    $
    81.69
    
    
    $
    288.94
    
    
    $
    (323.82
    )
    
    $
    1,002.09Interest income
    
    
    1.93
    
    
    
    1.53
    
    
    
    4.72
    
    
    
    4.41Expenses **
    
    
    (1.73
    )
    
    
    (0.98
    )
    
    
    (4.88
    )
    
    
    (3.51
    )Increase
(decrease)
 for the period
    
    
    81.89
    
    
    
    289.49
    
    
    
    (323.98
    )
    
    
    1,002.99Distribution
of interest income to feeder funds
    
    
    (1.93
    )
    
    
    (1.53
    )
    
    
    (4.72
    )
    
    
    (4.41
    )Net asset value per Unit of Member Interest, beginning of period
    
    
    9,527.39
    
    
    
    9,587.14
    
    
    
    9,936.05
    
    
    
    8,876.52Net asset value per Unit of Member Interest, end of period
    
    $
    9,607.35
    
    
    $
    9,875.10
    
    
    $
    9,607.35
    
    
    $
    9,875.10
   *
    
    Includes clearing fees.**
    
    Excludes clearing fees. Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Ratios to average net assets:***Net
investment income (loss)****
    
    
    (0.2
    )%
    
    
    (0.2
    )%
    
    
    (0.3
    )%
    
    
    (0.2
    )%Operating expenses
    
    
    0.3
    %
    
    
    0.3
    %
    
    
    0.4
    %
    
    
    0.3
    %Total return
    
    
    0.9
    %
    
    
    3.0
    %
    
    
    (3.3
    )%
    
    
    11.3
    %
  ***
    
    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
    September 30, 2010
    (Unaudited)
      September 30, 2010AssetsFutures
and Exchange-Cleared Swap ContractsEnergy
    
    $
    364,750,205Total unrealized appreciation on open futures and exchange-cleared swap contracts
    
    $
    364,750,205LiabilitiesFutures
and Exchange-Cleared Swap ContractsEnergy
    
    $
    (340,741,810
    )Lumber
    
    
    (186,036
    )Total unrealized depreciation on open futures and exchange-cleared swap contracts
    
    $
    (340,927,846
    )Net
unrealized appreciation on open futures and exchange-cleared swap contracts
    
    $
    23,822,359
    *AssetsOptions
PurchasedEnergy
    
    $
    591,911,367Total options purchased
    
    $
    591,911,367
    **LiabilitiesOptions
Premium ReceivedEnergy
    
    $
    (343,562,156
    )Total options premium received
    
    $
    (343,562,156
    )***
 
 *
    
    This amount is in Net unrealized appreciation on open futures and exchangecleared swap contracts on the Masters Statements of Financial Condition.**
    
    This amount is in Options purchased, at fair value on the Masters Statements of Financial Condition.***
    
    This amount is in Options premium received, 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
September 30, 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 PurchasedEnergy

$
741,495,723Options purchased

$
741,495,723
**LiabilitiesOptions Premium ReceivedEnergy

$
(352,233,900
)Options premium received

$
(352,233,900
)***  
 *
    
    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 purchased, at fair value on
    the Masters Statements of Financial Condition.***
    
    This amount is in Options premium received, at fair value on
    the Masters Statements of Financial Condition.  Three Months Ended
    
    
    Three Months Ended
    
    
    Nine Months Ended
    
    
    Nine Months EndedSeptember 30, 2010
    
    
    September 30, 2009
    
    
    September 30, 2010
    
    
    September 30, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingCurrencies
    
    $
    (173,160
    )
    
    $
    
    
    
    $
    (173,160
    )
    
    $
    Energy
    
    
    9,647,205
    
    
    
    40,194,995
    
    
    
    (34,358,955
    )
    
    
    143,718,324Lumber
    
    
    15,940
    
    
    
    
    
    
    
    23,130
    
    
    
    Total
    
    $
    9,489,985
    ****
    
    $
    40,194,995
    ****
    
    $
    (34,508,985)
    ****
    
    $
    143,718,324
    ****
 
 ****
    
    This amount is in Gain (loss) from
trading, net on the Masters Statements of Income and
Expenses and Changes in Members Capital. 13




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##### Table of Contents



AAA Capital Energy Fund L.P. II
Notes to Financial Statements
September 30, 2010
(Unaudited)
  4.
    Fair
    Value Measurements:  Partnerships Investments.
  Partnerships Fair Value Measurements
     Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable Inputs9/30/2010


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master

$
442,125,856


$



$
442,125,856


$
Total fair value

$
442,125,856


$



$
442,125,856


$
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.
 14




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
   September 30, 2010
    (Unaudited)
     Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable9/30/2010
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsFutures and
Exchange-Cleared Swaps
    
    $
    23,822,359
    
    
    $
    23,822,359
    
    
    $
    
    
    
    $
    Options purchased
    
    
    591,911,367
    
    
    
    591,911,367
    
    
    
    
    
    
    
    Total assets
    
    
    615,733,726
    
    
    
    615,733,726
    
    
    
    
    
    
    
    LiabilitiesOptions premium received
    
    $
    343,562,156
    
    
    $
    343,562,156
    
    
    
    
    
    
    
    Total liabilities
    
    
    343,562,156
    
    
    
    343,562,156
    
    
    
    
    
    
    
    Total fair value
    
    $
    272,171,570
    
    
    $
    272,171,570
    
    
    $
    
    
    
    $
    
 Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable12/31/2009
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    Inputs (Level 3)AssetsOptions
purchased
    
    $
    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 premium received
    
    
    352,233,900
    
    
    
    352,233,900
    
    
    
    
    
    
    
    Total liabilities
    
    
    403,091,790
    
    
    
    403,091,790
    
    
    
    
    
    
    
    Total fair value
    
    $
    338,403,933
    
    
    $
    338,403,933
    
    
    $
    
    
    
    $
    
    5.
    Financial
    Instrument Risks:  15




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##### Table of Contents



AAA Capital Energy
 Fund L.P. II
    Notes to Financial Statements
    September 30, 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.
   16




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##### Table of Contents



AAA Capital Energy
 Fund L.P. II
    Notes to Financial Statements
    September 30, 2010
    (Unaudited)
 Futures
Contracts.
 Options.
 Brokerage Commissions.
 Income Taxes.
    Subsequent
Events.
 Recent Accounting Pronouncements.
  Net Income (Loss) per Redeemable Unit and General Partner Unit Equivalents.
 7. Subsequent Event:
  17




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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.
 18




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Results of Operations
       19




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##### Table of Contents



30-day 3-month and/or 90-day
         20




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##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk            one-day
    September 30, 2010
(Unaudited)
 Three Months Ended September 30, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    100,250,545
    
    
    
    9.82
    %
    
    $
    131,455,008
    
    
    $
    67,777,807
    
    
    $
    95,952,362Lumber
    
    
    41,900
    
    
    
    0.00
    % **
    
    
    88,100
    
    
    
    41,900
    
    
    
    55,033Total
    
    $
    100,292,445
    
    
    
    9.82
    %
 
 *
    
    Average monthly
Values at Risk.**
    
    Due to rounding. 21




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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.   22




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##### Table of Contents



PART II. OTHER INFORMATION  Item 1.
    Legal
    Proceedings   23




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##### Table of Contents



Item 1A.
    Risk
    Factors   24




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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 ProgramsJuly 1, 2010 July 31, 2010



990.5231



$
4,151.65




N/A




N/AAugust 1, 2010 
August 31, 2010



591.7297



$
4,212.12




N/A




N/ASeptember 1, 2010  
September 30, 2010






750.4799



$
4,138.40




N/A




N/A2,332.7327



$
4,162.73




N/A




N/A       Item 3.
    Defaults
    Upon Senior Securities  None  Item 4.
    [Removed and Reserved]  Item 5.
    Other
    Information 
    None  25




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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).(f)
    
    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 June 30, 2010
(filed as Exhibit 3.1(f) to the Current Report on Form 8-K filed on
July 2, 2010 and incorporated herein by reference).
 3.2
    
    Third Amended and Restated Limited Partnership Agreement, dated May 19, 2010
(filed as Exhibit 3.2 to the Current Report on Form 8-K filed on May 24, 2010 and
incorporated herein by reference).10.1(a)
    
    Customer Agreement between the Master 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
    
    Advisory Agreement among the Partnership, the General Partner 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 Agreement 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, the General Partner, Morgan Stanley Smith Barney LLC, and CGM, dated
November 11, 2009 (filed as Exhibit 10.4 to the Form 10-Q
filed on November 16, 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, Secretary and Director)32.1
    
     Section 1350 Certification (Certification of President and Director)32.2
    
     Section 1350 Certification (Certification of Chief Financial Officer, Secretary and Director)
 26




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##### Table of Contents



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

Ceres Managed Futures LLC(General Partner)By:

/s/  Walter DavisWalter Davis 
    President and DirectorDate:

November  12, 2010By:

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

November 12, 2010  27