##### 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, 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
June 30, 2010 and
    December 31, 2009 (unaudited)

3Statements of Income and Expenses and Changes in Partners Capital for
    the three and six months ended June 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)
  June 30,
    
    
    December 31,2010
    
    
    2009Assets:Investment in Master, at fair value
    
    $
    451,404,554
    
    
    $
    495,766,284Cash
    
    
    321,314
    
    
    
    240,717Total assets
    
    $
    451,725,868
    
    
    $
    496,007,001Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions
    
    $
    2,693,064
    
    
    $
    2,319,625Management fees
    
    
    747,927
    
    
    
    822,450Administrative fees
    
    
    186,982
    
    
    
    205,613Other
    
    
    276,537
    
    
    
    217,299Redemptions payable
    
    
    2,462,189
    
    
    
    5,481,521Total liabilities
    
    
    6,366,699
    
    
    
    9,046,508Partners Capital:General Partner, 1,118.4973 and 1,271.6341 unit equivalents outstanding at
June 30, 2010 and December 31, 2009, respectively
    
    
    4,631,451
    
    
    
    5,604,320Special Limited Partner, 464.0795 Redeemable
Units  outstanding
at June 30, 2010 and December 31, 2009
    
    
    1,921,651
    
    
    
    2,045,282Limited Partners, 105,971.9483 and 108,756.8867 Redeemable
Units  outstanding at June 30,
2010 and
December 31, 2009, respectively
    
    
    438,806,067
    
    
    
    479,310,891Total partners capital
    
    
    445,359,169
    
    
    
    486,960,493Total liabilities and partners capital
    
    $
    451,725,868
    
    
    $
    496,007,001Net asset value per unit
    
    $
    4,140.78
    
    
    $
    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
    
    
    Six Months EndedJune 30,
    
    
    June 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Income:Net realized gains (losses) on closed contracts allocated from Master
    
    $
    4,666,920
    
    
    $
    231,144,084
    
    
    $
    (20,789,348
    )
    
    $
    253,821,303Change in net unrealized gains (losses) on open contracts allocated
from Master
    
    
    (9,507,906
    )
    
    
    (226,273,845
    )
    
    
    1,577,936
    
    
    
    (211,973,657
    )Interest income allocated from Master
    
    
    84,769
    
    
    
    71,181
    
    
    
    125,347
    
    
    
    150,501Expenses allocated from Master
    
    
    (444,553
    )
    
    
    (356,826
    )
    
    
    (928,876
    )
    
    
    (707,971
    )Total income (loss)
    
    
    (5,200,770
    )
    
    
    4,584,594
    
    
    
    (20,014,941
    )
    
    
    41,290,176Expenses:Brokerage commissions
    
    
    1,479,658
    
    
    
    1,275,296
    
    
    
    3,510,967
    
    
    
    2,562,104Management fees
    
    
    2,302,472
    
    
    
    2,541,674
    
    
    
    4,704,288
    
    
    
    5,222,110Administrative fees
    
    
    575,618
    
    
    
    635,418
    
    
    
    1,176,073
    
    
    
    1,305,528Other
    
    
    120,827
    
    
    
    109,501
    
    
    
    239,000
    
    
    
    219,001Total expenses
    
    
    4,478,575
    
    
    
    4,561,889
    
    
    
    9,630,328
    
    
    
    9,308,743Net income
(loss) before allocation to Special Limited Partner
    
    
    (9,679,345
    )
    
    
    22,705
    
    
    
    (29,645,269
    )
    
    
    31,981,433Allocation to Special Limited Partner
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    (6,375,882
    )Net income (loss) after allocation to Special Limited Partner
    
    
    (9,679,345
    )
    
    
    22,705
    
    
    
    (29,645,269
    )
    
    
    25,605,551Additions  Limited Partners
    
    
    318,000
    
    
    
    4,285,000
    
    
    
    13,668,000
    
    
    
    7,714,876Additions  Special Limited Partner
    
    
    
    
    
    
    
    
    
    
    
    
    
    
    6,375,882Redemptions  Limited Partners
    
    
    (7,857,169
    )
    
    
    (8,342,877
    )
    
    
    (24,974,062
    )
    
    
    (41,065,792
    )Redemptions  Special Limited Partner
    
    
    
    
    
    
    (21,000,621
    )
    
    
    
    
    
    
    (21,000,621
    )Redemptions  General Partner
    
    
    (449,993
    )
    
    
    
    
    
    
    (649,993
    )
    
    
    Net increase (decrease) in Partners Capital
    
    
    (17,668,507
    )
    
    
    (25,035,793
    )
    
    
    (41,601,324
    )
    
    
    (22,370,104
    )Partners Capital, beginning of period
    
    
    463,027,676
    
    
    
    518,614,341
    
    
    
    486,960,493
    
    
    
    515,948,652Partners Capital, end of period
    
    $
    445,359,169
    
    
    $
    493,578,548
    
    
    $
    445,359,169
    
    
    $
    493,578,548Net asset value per unit
(107,554.5251 and 113,461.7870 units outstanding
at June 30, 2010 and 2009, respectively)
    
    $
    4,140.78
    
    
    $
    4,350.17
    
    
    $
    4,140.78
    
    
    $
    4,350.17Net income (loss) per Redeemable Unit   and General Partner unit equivalent
    
    $
    (89.90
    )
    
    $
    (2.19
    )*
    
    $
    (266.40
    )
    
    $
    204.28Weighted average units outstanding
    
    
    108,756.6241
    
    
    
    115,981,6727
    
    
    
    110,411.8820
    
    
    
    120,186.6698    
 *
    
    The amount shown per Reedemable Unit does not correspond with
net income presented above for the three months ended June 30, 2009
because of timing of additions of the Partnerships Reedemable
Units in relation to the fluctuating values of the Partnerships
commodity interest. 4




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##### Table of Contents



AAA Capital Energy Fund L.P. IINotes to Financial Statements
    June 30, 2010
    (Unaudited)
  1.
    General:             Form 10-K
        5




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AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    June 30, 2010
    (Unaudited)
    AAA
    Master  Fund LLC
    Statements of Financial Condition
    (Unaudited)
  June 30,
    
    
    December 31,2010
    
    
    2009Assets:Equity in trading account:Cash
    
    $
    594,574,272
    
    
    $
    778,736,469Cash margin
    
    
    169,003,155
    
    
    
    112,350,862Options
purchased, at fair value
(cost $990,451,248 and $885,211,273, respectively)
    
    
    722,651,421
    
    
    
    741,495,723Total assets
    
    $
    1,486,228,848
    
    
    $
    1,632,583,054Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and
exchange-cleared swap contracts
    
    $
    28,197,172
    
    
    $
    50,857,890Options
premium received, at fair value
(premium $612,404,993 and $435,825,576, respectively)
    
    
    420,614,181
    
    
    
    352,233,900Accrued expenses:Professional fees
    
    
    154,879
    
    
    
    296,072Total liabilities
    
    
    448,966,232
    
    
    
    403,387,862Members Capital:Members
Capital, 108,871.6670 and 123,710.6078 Units  of Member Interest
outstanding at June 30, 2010 and December 31, 2009, respectively
    
    
    1,037,262,616
    
    
    
    1,229,195,192Total liabilities and members capital
    
    $
    1,486,228,848
    
    
    $
    1,632,583,054Net asset value
per Unit of Member Interest
    
    $
    9,527.39
    
    
    $
    9,936.05
  6




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
June 30, 2010
    (Unaudited)
  AAA
    Master Fund LLC
 Condensed Schedule of Investments
 June 30, 2010
 (Unaudited)
 Number of
    
    
    
    
    
    
    % of MembersContracts
    
    
    Fair Value
    
    
    CapitalFutures
and Exchange-Cleared Swap Contracts PurchasedEnergyNYMEX HH Natural Gas Oct 10 - May 14
    
    
    9,756
    
    
    $
    (61,366,142
    )
    
    
    (5.92
    )%NYMEX WTI Financial Dec 10 - Dec 16
    
    
    2,222
    
    
    
    (58,194,730
    )
    
    
    (5.61
    )Other
    
    
    57,229
    
    
    
    (158,596,397
    )
    
    
    (15.29
    )Lumber
    
    
    91
    
    
    
    (747,418
    )
    
    
    (0.07
    )Total
futures and exchange-cleared swap contracts purchased
    
    
    
    
    
    
    (278,904,687
    )
    
    
    (26.89
    )Futures
and Exchange-Cleared Swap Contracts SoldEnergyNYMEX HH Swap Feb 11 - Dec 15
    
    
    23,406
    
    
    
    86,677,510
    
    
    
    8.36Other
    
    
    36,155
    
    
    
    163,829,774
    
    
    
    15.79Lumber
    
    
    77
    
    
    
    200,231
    
    
    
    0.02Total
futures and exchange-cleared swap contracts sold
    
    
    
    
    
    
    250,707,515
    
    
    
    24.17Options
PurchasedEnergyCallNYMEX LT Crude Oil Aug 10 - Dec 13
    
    
    15,724
    
    
    
    117,214,790
    
    
    
    11.30NYMEX Natural Gas E Aug 10 - Oct 14
    
    
    24,248
    
    
    
    91,797,064
    
    
    
    8.85Other
    
    
    12,889
    
    
    
    88,860,781
    
    
    
    8.57Call options
purchased
    
    
    
    
    
    
    297,872,635
    
    
    
    28.72PutNYMEX Crude Oil E Dec 10 - Dec 16
    
    
    12,829
    
    
    
    128,883,270
    
    
    
    12.43NYMEX LT Crude Oil Aug 10 - Dec 13
    
    
    13,743
    
    
    
    123,860,090
    
    
    
    11.94NYMEX Natural Gas E Aug 10 - May 14
    
    
    14,701
    
    
    
    120,158,954
    
    
    
    11.58Other
    
    
    9,183
    
    
    
    51,876,472
    
    
    
    5.00Put options
purchased
    
    
    
    
    
    
    424,778,786
    
    
    
    40.95Total options purchased
    
    
    
    
    
    
    722,651,421
    
    
    
    69.67Options
 Premium ReceivedEnergyCallNYMEX Heating Oil Aug 10 - Jun 11
    
    
    14,131
    
    
    
    (73,145,638
    )
    
    
    (7.05
    )NYMEX Natural Gas E Aug 10 - Oct 14
    
    
    23,978
    
    
    
    (63,444,926
    )
    
    
    (6.12
    )Other
    
    
    24,379
    
    
    
    (82,620,368
    )
    
    
    (7.96
    )Call options premium received
    
    
    
    
    
    
    (219,210,932
    )
    
    
    (21.13
    )PutNYMEX Heating Oil Aug 10 - Jun 11
    
    
    8,430
    
    
    
    (95,783,780
    )
    
    
    (9.24
    )Other
    
    
    24,109
    
    
    
    (105,619,469
    )
    
    
    (10.18
    )Put options premium received
    
    
    
    
    
    
    (201,403,249
    )
    
    
    (19.42
    )Total options premium received
    
    
    
    
    
    
    (420,614,181
    )
    
    
    (40.55
    )Total fair value
    
    
    
    
    
    $
    273,840,068
    
    
    
    26.40
    %
 7




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    June 30, 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 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
    June 30, 2010
    (Unaudited)
  AAA
    Master Fund LLC
    Statements of Income and Expenses and Changes in Members Capital
    (Unaudited)
  Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Income:Net gains (losses) on trading of
commodity interests:Net realized gains (losses) on closed
contracts
    
    $
    10,673,183
    
    
    $
    595,784,413
    
    
    $
    (50,774,547
    )
    
    $
    651,081,333Change in net unrealized gains
(losses) on open contracts
    
    
    (21,835,116
    )
    
    
    (583,657,445
    )
    
    
    6,775,577
    
    
    
    (547,558,004
    )Gain (loss) from trading, net
    
    
    (11,161,933
    )
    
    
    12,126,968
    
    
    
    (43,998,970
    )
    
    
    103,523,329Interest income
    
    
    208,928
    
    
    
    195,232
    
    
    
    309,170
    
    
    
    402,818Total income (loss)
    
    
    (10,953,005
    )
    
    
    12,322,200
    
    
    
    (43,689,800
    )
    
    
    103,926,147Expenses:Clearing fees
    
    
    840,845
    
    
    
    744,041
    
    
    
    1,786,167
    
    
    
    1,434,130Professional fees
    
    
    179,295
    
    
    
    176,910
    
    
    
    354,649
    
    
    
    354,285Total expenses
    
    
    1,020,140
    
    
    
    920,951
    
    
    
    2,140,816
    
    
    
    1,788,415Net income (loss)
    
    
    (11,973,145
    )
    
    
    11,401,249
    
    
    
    (45,830,616
    )
    
    
    102,137,732Additions
    
    
    923,181
    
    
    
    56,890,013
    
    
    
    15,611,134
    
    
    
    112,639,044Redemptions
    
    
    (30,813,437
    )
    
    
    (121,659,829
    )
    
    
    (161,403,924
    )
    
    
    (255,710,360
    )Distribution of interest income to feeder funds
    
    
    (208,928
    )
    
    
    (195,232
    )
    
    
    (309,170
    )
    
    
    (402,818
    )Net increase (decrease) in Members
Capital
    
    
    (42,072,329
    )
    
    
    (53,563,799
    )
    
    
    (191,932,576
    )
    
    
    (41,336,402
    )Members Capital, beginning of period
    
    
    1,079,334,945
    
    
    
    1,350,858,496
    
    
    
    1,229,195,192
    
    
    
    1,338,631,099Members Capital, end of period
    
    $
    1,037,262,616
    
    
    $
    1,297,294,697
    
    
    $
    1,037,262,616
    
    
    $
    1,297,294,697Net asset
value per Unit of Member Interest (108,871.6670 and 135,316.1386 Units
outstanding
at June 30, 2010 and 2009, respectively)
    
    $
    9,527.39
    
    
    $
    9,587.14
    
    
    $
    9,527.39
    
    
    $
    9,587.14Net income (loss) per Unit of Member
Interest
    
    $
    (111.98
    )
    
    $
    79.60
    
    
    $
    (405.87
    )
    
    $
    713.50Weighted average units outstanding
    
    
    110,761.3661
    
    
    
    141,178.9369
    
    
    
    115,131.4869
    
    
    
    144,622.4740
 9




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    June 30, 2010
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Net realized
and unrealized gains (losses)*
    
    $
    (62.39
    )
    
    $
    25.53
    
    
    $
    (210.72
    )
    
    $
    311.33Interest income
    
    
    0.77
    
    
    
    0.62
    
    
    
    1.13
    
    
    
    1.26Expenses and allocation to Special Limited Partner**
    
    
    (28.28
    )
    
    
    (28.34
    )
    
    
    (56.81
    )
    
    
    (108.31
    )Increase
(decrease) for the period
    
    
    (89.90
    )
    
    
    (2.19
    )
    
    
    (266.40
    )
    
    
    204.28Net asset value per Redeemable Unit, beginning of period
    
    
    4,230.68
    
    
    
    4,352.36
    
    
    
    4,407.18
    
    
    
    4,145.89Net asset value per Redeemable Unit, end of period
    
    $
    4,140.78
    
    
    $
    4,350.17
    
    
    $
    4,140.78
    
    
    $
    4,350.17
   *
    
    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
    
    Six Months EndedJune 30,
    
    June 30,2010
    
    2009
    
    2010
    
    2009Ratios to
Average Net Assets:***Net investment income (loss) before allocation to Special Limited Partner****
    
    
    (4.2
    )%
    
    
    (3.9
    )%
    
    
    (4.5
    )%
    
    
    (3.9
    )%Operating expenses
    
    
    4.3
    %
    
    
    3.9
    %
    
    
    4.5
    %
    
    
    4.0
    %Allocation to Special Limited Partner
    
    
    
    %
    
    
    
    %
    
    
    
    %
    
    
    1.2
    %Total expenses and allocation to Special Limited Partner
    
    
    4.3
    %
    
    
    3.9
    %
    
    
    4.5
    %
    
    
    5.2
    %Total return:Total return before allocation to Special Limited Partner
    
    
    (2.1)
    %
    
    
    (0.1
    )%
    
    
    (6.0
    )%
    
    
    6.3
    %Allocation to Special Limited Partner
    
    
    
    %
    
    
    
    %
    
    
    
    %
    
    
    (1.4
    )%Total return after allocation to Special Limited Partner
    
    
    (2.1
    )%
    
    
    (0.1
    )%
    
    
    (6.0
    )%
    
    
    4.9
    %
   ***
    
    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
   June 30, 2010
    (Unaudited)
    Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2010
    
    
    2009
    
    
    2010
    
    
    2009Net realized
and unrealized gains*
    
    $
    (112.25
    )
    
    $
    79.46
    
    
    $
    (405.51
    )
    
    $
    713.16Interest Income
    
    
    1.90
    
    
    
    1.43
    
    
    
    2.79
    
    
    
    2.88Expenses **
    
    
    (1.63
    )
    
    
    (1.29
    )
    
    
    (3.15
    )
    
    
    (2.54
    )Increase
(decrease)
 for the period
    
    
    (111.98
    )
    
    
    79.60
    
    
    
    (405.87
    )
    
    
    713.50Distribution
    
    
    (1.90
    )
    
    
    (1.43
    )
    
    
    (2.79
    )
    
    
    (2.88
    )Net asset value per Unit of Member Interest, beginning of period
    
    
    9,641.27
    
    
    
    9,508.97
    
    
    
    9,936.05
    
    
    
    8,876.52Net asset value per Unit of Member Interest, end of period
    
    $
    9,527.39
    
    
    $
    9,587.14
    
    
    $
    9,527.39
    
    
    $
    9,587.14
   *
    
    Includes clearing fees.**
    
    Excludes clearing fees. Three Months Ended
    
    Six Months EndedJune 30,
    
    June 30,2010
    
    2009
    
    2010
    
    2009Ratios to average net assets:***Net
investment gain****
    
    
    (0.3
    )%
    
    
    (0.2
    )%
    
    
    (0.3
    )%
    
    
    (0.2
    )%Operating expenses
    
    
    0.4
    %
    
    
    0.3
    %
    
    
    0.4
    %
    
    
    0.3
    %Total return
    
    
    (1.2
    )%
    
    
    0.8
    %
    
    
    (4.1
    )%
    
    
    8.0
    %
  ***
    
    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
    June 30, 2010
    (Unaudited)
      June
30, 2010AssetsFutures
and Exchange-Cleared Swap ContractsEnergy
    
    $
    307,829,772Lumber
    
    
    271,520Total
unrealized appreciation on open futures and exchange-cleared swap contracts
    
    $
    308,101,292LiabilitiesFutures
and Exchange-Cleared Swap ContractsEnergy
    
    $
    (335,479,757
    )Lumber
    
    
    (818,707
    )Total
unrealized depreciation on open futures and exchange-cleared swap contracts
    
    $
    (336,298,464
    )Net
unrealized depreciation on open futures and exchange-cleared swap contracts
    
    $
    (28,197,172
    )*AssetsOptions
PurchasedEnergy

    $
    722,651,421Total options purchased

    $
    722,651,421
    **LiabilitiesOptions
Premium ReceivedEnergy

    $
    (420,614,181
    )Total options premium received

    $
    (420,614,181
    )***
 
 *
    
    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. 12




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##### Table of Contents



AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 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
    
    
    Six Months Ended
    
    
    Six Months EndedJune 30, 2010
    
    
    June 30, 2009
    
    
    June 30, 2010
    
    
    June 30, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingEnergy
    
    $
    (11,184,961
    )
    
    $
    12,126,968
    
    
    $
    (44,006,160
    )
    
    $
    103,523,329Lumber
    
    
    23,028
    
    
    
    
    
    
    
    7,190
    
    
    
    Total
    
    $
    (11,161,933
    )****
    
    $
    12,126,968
    ****
    
    $
    (43,998,970
    )****
    
    $
    103,523,329
    ****
 
 ****
    
    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
June 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 Inputs6/30/2010


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master

$
451,404,554


$



$
451,404,554


$
Total fair value

$
451,404,554


$



$
451,404,554


$
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
   June 30, 2010
    (Unaudited)
     Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable6/30/2010
    
    
    (Level 1)
    
    
    (Level 2)
    
    

Inputs (Level 3)AssetsOptions
purchased
    
    $
    722,651,421
    
    
    $
    722,651,421
    
    
    $
    
    
    
    $
    Total assets
    
    
    722,651,421
    
    
    
    722,651,421
    
    
    
    
    
    
    
    LiabilitiesFutures and
Exchange-Cleared
Swaps
    
    $
    28,197,172
    
    
    $
    28,197,172
    
    
    $
    
    
    
    $
    Options
premium received
    
    
    420,614,181
    
    
    
    420,614,181
    
    
    
    
    
    
    
    Total liabilites
    
    
    448,811,353
    
    
    
    448,811,353
    
    
    
    
    
    
    
    Total fair value
    
    $
    273,840,068
    
    
    $
    273,840,068
    
    
    $
    
    
    
    $
    
 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 liabilites
    
    
    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
    June 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
    June 30, 2010
    (Unaudited)
 Futures
Contracts.
 Options.
 Brokerage Commissions.
 Income Taxes.
    Subsequent
Events.
 Recent Accounting Pronouncements.
  Net Income (Loss) per Redeemable Unit.
 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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##### Table of Contents



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
    June 30, 2010
(Unaudited)
 Three Months Ended June 30, 2010% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    78,464,789
    
    
    
    7.56
    %
    
    $
    118,049,477
    
    
    $
    78,229,962
    
    
    $
    100,910,539Lumber
    
    
    69,300
    
    
    
    0.01
    %
    
    
    126,800
    
    
    
    68,500
    
    
    
    91,067Total
    
    $
    78,534,089
    
    
    
    7.57
    %
 *
    
    Average monthly Values at Risk 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  Regulatory changes could restrict the
Partnerships operations
  Regulatory changes could restrict the Partnerships
operations.
   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 ProgramsApril 1, 2010 April 30, 2010



663.7264



$
4,253.29




N/A




N/AMay 1, 2010 
May 31, 2010



600.7316



$
4,281.38




N/A




N/AJune 1, 2010  
June 30, 2010



594.6196



$
4,140.78




N/A




N/A1,859.0776



$
4,226.38




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:

August  16, 2010By:

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

August 16, 2010  27