##### 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, 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
   AAA CAPITAL ENERGY FUND L.P. II
    New York

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

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




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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, 2009 and
    December 31, 2008 (unaudited)

3Statements of Income and Expenses and Changes in Partners Capital for
    the three and nine months ended September 30, 2009 and 2008
    (unaudited)

4Notes to Financial Statements, including the Financial
    Statements of  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 4.

Controls and Procedures

21PART  II - Other Information

22  25Exhibits                 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 31,2009
    
    
    2008Assets:Investment in Master, at fair value
    
    $
    501,688,160
    
    
    $
    543,812,374Cash
    
    
    258,544
    
    
    
    240,801Total assets
    
    $
    501,946,704
    
    
    $
    544,053,175Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions
    
    $
    2,486,127
    
    
    $
    2,403,495Management fees
    
    
    832,115
    
    
    
    902,357Administrative fees
    
    
    208,029
    
    
    
    225,589Other
    
    
    191,726
    
    
    
    235,261Redemptions payable
    
    
    9,557,839
    
    
    
    24,337,821Total liabilities
    
    
    13,275,836
    
    
    
    28,104,523Partners Capital:General Partner, 2,051.6401 Unit equivalents outstanding at
September 30, 2009 and December 31, 2008
    
    
    9,073,891
    
    
    
    8,505,874Special Limited Partner, 464.0795 and 4,270.5527 Redeemable
Units of Limited Partnership Interest outstanding
at September 30, 2009 and December 31, 2008, respectively
    
    
    2,052,508
    
    
    
    17,705,242Limited Partners, 107,974.5642 and 118,126.1541 Redeemable
Units of Limited Partnership Interest outstanding at September 30, 2009 and
December 31, 2008, respectively
    
    
    477,544,469
    
    
    
    489,737,536Total partners capital
    
    
    488,670,868
    
    
    
    515,948,652Total liabilities and partners capital
    
    $
    501,946,704
    
    
    $
    544,053,175    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 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Income:Net realized gains (losses) on closed positions allocated from Master
    
    $
    32,704,645
    
    
    $
    31,156,368
    
    
    $
    286,525,948
    
    
    $
    (36,244,741
    )Change in net unrealized gains (losses) on open positions allocated
from Master
    
    
    (17,328,485
    )
    
    
    49,009,175
    
    
    
    (229,302,142
    )
    
    
    203,293,693Interest income allocated from Master
    
    
    73,594
    
    
    
    627,923
    
    
    
    224,095
    
    
    
    2,020,883Expenses allocated from Master
    
    
    (357,186
    )
    
    
    (451,878
    )
    
    
    (1,065,157
    )
    
    
    (1,276,047
    )Total income (loss)
    
    
    15,092,568
    
    
    
    80,341,588
    
    
    
    56,382,744
    
    
    
    167,793,788Expenses:Brokerage commissions
    
    
    1,474,853
    
    
    
    1,907,012
    
    
    
    4,036,957
    
    
    
    5,782,085Management fees
    
    
    2,544,703
    
    
    
    2,499,531
    
    
    
    7,766,813
    
    
    
    6,989,411Administrative fees
    
    
    636,176
    
    
    
    624,883
    
    
    
    1,941,704
    
    
    
    1,747,354Other
    
    
    52,377
    
    
    
    152,947
    
    
    
    271,378
    
    
    
    342,240Total expenses
    
    
    4,708,109
    
    
    
    5,184,373
    
    
    
    14,016,852
    
    
    
    14,861,090Net income (loss) before allocation to Special Limited Partner
    
    
    10,384,459
    
    
    
    75,157,215
    
    
    
    42,365,892
    
    
    
    152,932,698Allocation to Special Limited Partner
    
    
    (2,052,508
    )
    
    
    (14,905,858
    )
    
    
    (8,428,390
    )
    
    
    (30,192,632
    )Net income (loss) after allocation to Special Limited Partner
    
    
    8,331,951
    
    
    
    60,251,357
    
    
    
    33,937,502
    
    
    
    122,740,066Additions  Limited Partners
    
    
    900,000
    
    
    
    1,285,000
    
    
    
    8,614,876
    
    
    
    6,765,000Additions  Special Limited Partner
    
    
    2,052,508
    
    
    
    14,905,858
    
    
    
    8,428,390
    
    
    
    30,192,632Redemptions  Limited Partners
    
    
    (11,931,208
    )
    
    
    (15,369,881
    )
    
    
    (52,997,000
    )
    
    
    (89,625,314
    )Redemptions  Special Limited Partner
    
    
    (4,260,931
    )
    
    
    (16,000,003
    )
    
    
    (25,261,552
    )
    
    
    (16,000,003
    )Net increase (decrease) in Partners Capital
    
    
    (4,907,680
    )
    
    
    45,072,331
    
    
    
    (27,277,784
    )
    
    
    54,072,381Partners Capital, beginning of period
    
    
    493,578,548
    
    
    
    453,909,861
    
    
    
    515,948,652
    
    
    
    444,909,811Partners Capital, end of period
    
    $
    488,670,868
    
    
    $
    498,982,192
    
    
    $
    488,670,868
    
    
    $
    498,982,192Net Asset Value per Unit
(110,490.2838 and 133,507.2279 Units outstanding
at September 30, 2009 and 2008, respectively)
    
    $
    4,422.75
    
    
    $
    3,737.49
    
    
    $
    4,422.75
    
    
    $
    3,737.49Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent
    
    $
    72.58
    
    
    $
    444.70
    
    
    $
    276.86
    
    
    $
    884.65Weighted average units outstanding
    
    
    112,974.4508
    
    
    
    136,147.4967
    
    
    
    117,782.5968
    
    
    
    143,705.8873    4




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AAA Capital Energy Fund L.P. IINotes to Financial Statements
    September 30, 2009
    (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, 2009
    (Unaudited)
    AAA
    Master  Fund LLC
    Statements of Financial Condition
    (Unaudited)
  September 30,
    
    
    December 31,2009
    
    
    2008Assets:Equity in trading account:Cash
    
    $
    1,039,083,786
    
    
    $
    696,338,412Cash margin
    
    
    118,254,308
    
    
    
    90,640,874Net unrealized appreciation on open futures and exchange cleared swap contracts
    
    
    
    
    
    
    268,819,884Options
owned, at fair value (cost $961,258,908 and $867,124,483, respectively)
    
    
    776,391,045
    
    
    
    906,666,5771,933,729,139
    
    
    
    1,962,465,747Due from brokers
    
    
    
    
    
    
    518,950Total assets
    
    $
    1,933,729,139
    
    
    $
    1,962,984,697Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and exchange cleared swap contracts
    
    $
    242,402,147
    
    
    $
    Options
written, at fair value (premium $481,035,323 and $600,446,669, respectively)
    
    
    362,871,314
    
    
    
    624,018,932Accrued expenses:Professional fees
    
    
    293,097
    
    
    
    334,666Total liabilities
    
    
    605,566,558
    
    
    
    624,353,598Members Capital:Members
Capital, 134,496.1590 and 150,805.9242 Units outstanding at September 30,
2009 and December 31, 2008, respectively
    
    
    1,328,162,581
    
    
    
    1,338,631,099Total liabilities and members capital
    
    $
    1,933,729,139
    
    
    $
    1,962,984,697
 6




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
September 30, 2009
    (Unaudited)
  AAA
    Master Fund LLC
 Schedule of Investments
 September 30, 2009
 (Unaudited)
 Number of
    
    
    
    
    
    
    % of MembersContracts
    
    
    Fair Value
    
    
    CapitalFutures and Exchange Cleared Swap Contracts PurchasedEnergyNYMEX Heating Oil Feb 10 - Dec 11
    
    
    5,687
    
    
    $
    (85,488,157
    )
    
    
    (6.44
    )%NYMEX WTI Financial Dec 09 - Dec 16
    
    
    4,612
    
    
    
    (115,537,210
    )
    
    
    (8.70
    )Other
    
    
    71,708
    
    
    
    (61,437,724
    )
    
    
    (4.62
    )Total futures and exchange cleared swap contracts
purchased
    
    
    
    
    
    
    (262,463,091
    )
    
    
    (19.76
    )Futures and Exchange Cleared Swap Contracts SoldEnergyOther
    
    
    68,878
    
    
    
    20,060,944
    
    
    
    1.51Total futures and exchange cleared swap contracts sold
    
    
    
    
    
    
    20,060,944
    
    
    
    1.51Options OwnedEnergyCallNYMEX LT Crude Oil Nov 09 - Dec 13
    
    
    11,024
    
    
    
    86,551,880
    
    
    
    6.51NYMEX Natural Gas E Nov 09 - May 13
    
    
    26,622
    
    
    
    151,686,437
    
    
    
    11.42Other
    
    
    14,475
    
    
    
    56,838,620
    
    
    
    4.28Call options owned
    
    
    
    
    
    
    295,076,937
    
    
    
    22.21PutNYMEX Crude Oil E Dec 09 - Dec 16
    
    
    15,743
    
    
    
    182,765,450
    
    
    
    13.76NYMEX LT Crude Oil Nov 09 - Dec 13
    
    
    12,359
    
    
    
    97,441,490
    
    
    
    7.34NYMEX Natural Gas E Nov 09 - May 14
    
    
    12,690
    
    
    
    113,557,399
    
    
    
    8.55Other
    
    
    11,675
    
    
    
    87,549,769
    
    
    
    6.59Put options owned
    
    
    
    
    
    
    481,314,108
    
    
    
    36.24Total options owned
    
    
    
    
    
    
    776,391,045
    
    
    
    58.45Options WrittenEnergyCallNYMEX Natural Gas E Nov 09 - Oct 14
    
    
    17,946
    
    
    
    (80,627,339
    )
    
    
    (6.07
    )Other
    
    
    35,083
    
    
    
    (141,149,886
    )
    
    
    (10.63
    )Call options owned
    
    
    
    
    
    
    (221,777,225
    )
    
    
    (16.70
    )PutOther
    
    
    21,940
    
    
    
    (141,094,089
    )
    
    
    (10.62
    )Put options written
    
    
    
    
    
    
    (141,094,089
    )
    
    
    (10.62
    )Total options written
    
    
    
    
    
    
    (362,871,314
    )
    
    
    (27.32
    )Total fair value
    
    
    
    
    
    $
    171,117,584
    
    
    
    12.88
    %
 7




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    September 30, 2009
    (Unaudited)
  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 OwnedEnergyCallNYMEX Natural Gas EC Feb 09  May 14
    
    
    28,842
    
    
    
    164,736,675
    
    
    
    12.31Other
    
    
    22,190
    
    
    
    31,922,424
    
    
    
    2.38Call options owned
    
    
    
    
    
    
    196,659,099
    
    
    
    14.69PutNYMEX 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 EP Mar 09 - Mar 11
    
    
    4,433
    
    
    
    70,822,470
    
    
    
    5.29Other
    
    
    3,227
    
    
    
    106,418,338
    
    
    
    7.95Put options owned
    
    
    
    
    
    
    710,007,478
    
    
    
    53.04Total options owned
    
    
    
    
    
    
    906,666,577
    
    
    
    67.73Options WrittenEnergyCallOther
    
    
    48,267
    
    
    
    (108,711,985
    )
    
    
    (8.12
    )Call options written
    
    
    
    
    
    
    (108,711,985
    )
    
    
    (8.12
    )PutNYMEX 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
    
    
    8,146
    
    
    
    (174,299,411
    )
    
    
    (13.02
    )Put options written
    
    
    
    
    
    
    (515,306,947
    )
    
    
    (38.49
    )Total options written
    
    
    
    
    
    
    (624,018,932
    )
    
    
    (46.61
    )Total fair value
    
    
    
    
    
    $
    551,467,529
    
    
    
    41.20
    % 8




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    September 30, 2009
    (Unaudited)
  AAA
    Master Fund LLC
    Statements of Income and Expenses and Changes in Members Capital
    (Unaudited)
  Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    

September 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts
    
    $
    86,532,707
    
    
    $
    77,034,339
    
    
    $
    737,614,040
    
    
    $
    (79,595,884
    )Change in net unrealized gains (losses) on open contracts
    
    
    (46,337,712
    )
    
    
    116,281,516
    
    
    
    (593,895,716
    )
    
    
    475,132,002Gain (loss) from trading, net
    
    
    40,194,995
    
    
    
    193,315,855
    
    
    
    143,718,324
    
    
    
    395,536,118Interest income
    
    
    206,338
    
    
    
    1,611,790
    
    
    
    609,156
    
    
    
    4,911,843Total income (loss)
    
    
    40,401,333
    
    
    
    194,927,645
    
    
    
    144,327,480
    
    
    
    400,447,961Expenses:Clearing fees
    
    
    808,203
    
    
    
    841,449
    
    
    
    2,242,333
    
    
    
    2,388,638Professional fees
    
    
    132,300
    
    
    
    249,870
    
    
    
    486,585
    
    
    
    598,673Total expenses
    
    
    940,503
    
    
    
    1,091,319
    
    
    
    2,728,918
    
    
    
    2,987,311Net income (loss)
    
    
    39,460,830
    
    
    
    193,836,326
    
    
    
    141,598,562
    
    
    
    397,460,650Additions
    
    
    36,998,828
    
    
    
    59,095,923
    
    
    
    149,637,872
    
    
    
    113,493,965Redemptions
    
    
    (45,385,436
    )
    
    
    (108,969,906
    )
    
    
    (301,095,796
    )
    
    
    (250,644,209
    )Distribution
of interest income to feeder funds
    
    
    (206,338
    )
    
    
    (1,604,109
    )
    
    
    (609,156
    )
    
    
    (4,884,178
    )Net increase (decrease) in Members Capital
    
    
    30,867,884
    
    
    
    142,358,234
    
    
    
    (10,468,518
    )
    
    
    255,426,228Members Capital, beginning of period
    
    
    1,297,294,697
    
    
    
    1,112,521,530
    
    
    
    1,338,631,099
    
    
    
    999,453,536Members Capital, end of period
    
    $
    1,328,162,581
    
    
    $
    1,254,879,764
    
    
    $
    1,328,162,581
    
    
    $
    1,254,879,764Net Asset Value per Unit
(134,496.1590 and 162,045.1284 Units outstanding
at September 30, 2009 and 2008, respectively)
    
    $
    9,875.10
    
    
    $
    7,744.01
    
    
    $
    9,875.10
    
    
    $
    7,744.01Net income (loss) per Unit of Member Interest
    
    $
    289.49
    
    
    $
    1,182.02
    
    
    $
    1,002.99
    
    
    $
    2,359.94Weighted
average units outstanding
    
    
    136,371.7331
    
    
    
    168,850.9768
    
    
    
    141,872.2270
    
    
    
    176,449.2333 9




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##### Table of Contents



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
    September 30, 2009
    (Unaudited)
  2.
    Financial
    Highlights:    Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Net realized
and unrealized gains (losses)*
    
    $
    118.89
    
    
    $
    575.11
    
    
    $
    430.22
    
    
    $
    1,154.32Interest income
    
    
    0.65
    
    
    
    4.69
    
    
    
    1.91
    
    
    
    13.86Expenses and allocation to Special Limited Partner**
    
    
    (46.96
    )
    
    
    (135.10
    )
    
    
    (155.27
    )
    
    
    (283.53
    )Increase
(decrease) for the period
    
    
    72.58
    
    
    
    444.70
    
    
    
    276.86
    
    
    
    884.65Net asset Value per Redeemable Unit, beginning of period
    
    
    4,350.17
    
    
    
    3,292.79
    
    
    
    4,145.89
    
    
    
    2,852.84Net asset Value per Redeemable Unit, end of period
    
    $
    4,422.75
    
    
    $
    3,737.49
    
    
    $
    4,422.75
    
    
    $
    3,737.49
   *
    
    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
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Ratios to
Average Net Assets:***Net investment income (loss) before allocation to Special Limited Partner****
    
    
    (4.0
    )%
    
    
    (4.2
    )%
    
    
    (3.9
    )%
    
    
    (4.2
    )%Operating expenses
    
    
    4.0
    %
    
    
    4.7
    %
    
    
    4.0
    %
    
    
    4.8
    %Allocation to Special Limited Partner
    
    
    0.4
    %
    
    
    3.1
    %
    
    
    1.7
    %
    
    
    6.7
    %Total expenses and allocation to Special Limited Partner
    
    
    4.4
    %
    
    
    7.8
    %
    
    
    5.7
    %
    
    
    11.5
    %Total return:Total return before allocation to Special Limited Partner
    
    
    2.1
    %
    
    
    16.9
    %
    
    
    8.5
    %
    
    
    38.9
    %Allocation to Special Limited Partner
    
    
    (0.4
    )%
    
    
    (3.4
    )%
    
    
    (1.8
    )%
    
    
    (7.9
    )%Total return after allocation to Special Limited Partner
    
    
    1.7
    %
    
    
    13.5
    %
    
    
    6.7
    %
    
    
    31.0
    %
   ***
    
    Annualized (except for allocation to Special Limited Partner, if
applicable).****
    
    Interest income allocated from Master less total expenses
(exclusive of allocation to Special Limited Partner, if applicable).   10




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##### Table of Contents



AAA
Capital Energy Fund L.P. II
    Notes to Financial Statements
   September 30, 2009
    (Unaudited)
    Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    

September 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Net realized
and unrealized gains*
    
    $
    288.94
    
    
    $
    1,173.66
    
    
    $
    1,002.09
    
    
    $
    2,335.24Interest Income
    
    
    1.53
    
    
    
    9.89
    
    
    
    4.41
    
    
    
    28.23Expenses **
    
    
    (0.98
    )
    
    
    (1.53
    )
    
    
    (3.51
    )
    
    
    (3.53
    )Increase
 for the period
    
    
    289.49
    
    
    
    1,182.02
    
    
    
    1,002.99
    
    
    
    2,359.94Distribution
    
    
    (1.53
    )
    
    
    (9.84
    )
    
    
    (4.41
    )
    
    
    (28.07
    )Net Asset Value per Unit of Member Interest, beginning of period
    
    
    9,587.14
    
    
    
    6,571.83
    
    
    
    8,876.52
    
    
    
    5,412.14Net Asset Value per Unit of Member Interest, end of period
    
    $
    9,875.10
    
    
    $
    7,744.01
    
    
    $
    9,875.10
    
    
    $
    7,744.01
   *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions. Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Ratios to average net assets:***Net
investment gain****
    
    
    (0.2
    )%
    
    
    0.2
    %
    
    
    (0.2
    )%
    
    
    0.2
    %Operating expenses
    
    
    0.3
    %
    
    
    0.4
    %
    
    
    0.3
    %
    
    
    0.4
    %Total return
    
    
    3.0
    %
    
    
    18.0
    %
    
    
    11.3
    %
    
    
    43.6
    %
  ***
    
    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, 2009
    (Unaudited)
      September 30, 2009
    
    
    
    
    
    September 30, 2009Assets
    
    
    
    
    
    
    AssetsFutures and Exchange Cleared Swap Contracts
    
    
    
    
    
    
    Options OwnedEnergy
    
    $
    286,814,805
    
    
    
    Energy
    
    $
    776,391,045Total unrealized appreciation on open futures and exchange cleared swap contracts
    
    $
    286,814,805
    
    
    
    Options owned
    
    $
    776,391,045
    **Liabilities
    
    
    
    
    
    
    LiabilitiesFutures and Exchange Cleared Swap Contracts
    
    
    
    
    
    
    Options WrittenEnergy
    
    $
    (529,216,952
    )
    
    
    Energy
    
    $
    (362,871,314
    )Total unrealized depreciation on open futures and exchange cleared swap contracts
    
    $
    (529,216,952
    )
    
    
    Options written
    
    $
    (362,871,314
    )***Net unrealized depreciation on open futures and exchange cleared swap contracts
    
    $
    (242,402,147
    )
    *
 
 *
    
    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



AAA Capital Energy Fund L.P. II
Notes to Financial Statements
September 30, 2009
(Unaudited)
  Three Months Ended
    
    
    Nine Months EndedSeptember 30, 2009
    
    
    September 30, 2009Sector
    
    Gain (loss) from trading
    
    
    Gain (loss) from tradingEnergy
    
    $
    40,194,995
    
    
    $
    143,718,324Total
    
    $
    40,194,995
    
    
    $
    143,718,324
  4.
    Fair
    Value Measurements:  Investments.
  Fair Value Measurements
    Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable Inputs9/30/2009


(Level 1)


(Level 2)


(Level 3)AssetsInvestment in Master

$
501,688,160


$



$
501,688,160


$
Total fair value

$
501,688,160


$



$
501,688,160


$
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



AAA Capital Energy Fund L.P. II
    Notes to Financial Statements
   September 30, 2009
    (Unaudited)
     Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable Inputs9/30/2009
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsOptions owned
    
    $
    776,391,045
    
    
    $
    776,391,045
    
    
    $
    
    
    
    $
    Total assets
    
    
    776,391,045
    
    
    
    776,391,045
    
    
    
    
    
    
    
    LiabilitiesFutures and Exchange Cleared Swaps
    
    $
    242,402,147
    
    
    $
    242,402,147
    
    
    $
    
    
    
    $
    Options written
    
    
    362,871,314
    
    
    
    362,871,314
    
    
    
    
    
    
    
    Total liabilities
    
    
    605,273,461
    
    
    
    605,273,461
    
    
    
    
    
    
    
    Total fair value
    
    $
    171,117,584
    
    
    $
    171,117,584
    
    
    $
    
    
    
    $
    Quoted Prices inActive Markets for
    
    
    Significant Other
    
    
    SignificantIdentical Assets
    
    
    Observable Inputs
    
    
    Unobservable Inputs12/31/2008
    
    
    (Level 1)
    
    
    (Level 2)
    
    
    (Level 3)AssetsFutures and Exchange Cleared Swaps
    
    $
    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



AAA Capital Energy
 Fund L.P. II
    Notes to Financial Statements
    September 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. ASC 820-10-65
 Subsequent Events.
  Results of Operations
                  18




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##### Table of Contents



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




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##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures about Market Risk            one-day
  Form 10-K
 September 30, 2009
(Unaudited)
 Three Months Ended September 30, 2009% of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    156,850,602
    
    
    
    11.81
    %
    
    $
    188,797,618
    
    
    $
    153,049,427
    
    
    $
    171,524,611Total
    
    $
    156,850,602
    
    
    
    11.81
    %
 *
    
    Average monthly Values at Risk 20




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##### Table of Contents



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




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##### Table of Contents



PART II. OTHER INFORMATION  Item 1.
    Legal
    Proceedings    Subprime Mortgage-Related Litigation
  Asher, et al. v. Citigroup Inc., et al. Pellegrini v. Citigroup Inc., et al. In re Citigroup Inc. Bond Litigation.
  Utah Retirement Systems v. Strauss, et al.
  In
Re American Home Mortgage Securities Litigation.
  In Re American International Group, Inc. 2008 Securities Litigation.
  Auction Rate SecuritiesRelated Litigation and Other Matters
  K-V
Pharmaceutical Co. v. CGMI In Re
Citigroup Auction Rate Securities Litigation.
  In Re Citigroup Auction Rate Securities Litigation.
  Ocwen Financial Corp.,
et al. v. CGMI In Re Citigroup Auction Rate Securities Litigation.
  Other Matters
  ECA
Acquisitions, Inc., et al. v. MAT Three LLC, et al..
  Adelphia Communications Corporation
    IPO Securities Litigation
    Other Matters
  Terra Securities Asa Konkursbo, et al. v.
Citigroup Inc., et al.
 22




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##### Table of Contents



Item 1A.
    Risk
    Factors    Speculative position and trading limits may reduce profitability.
  Regulatory changes could restrict the Partnerships operations.
  23




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##### Table of Contents



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



Dollar Value) ofof Redeemable Units



Redeemable Units(a) Total Number



(b) Average



Purchased as Part



that May Yet Beof Redeemable



Price Paid per



of Publicly Announced



Purchased Under thePeriod


Units Purchased*



Redeemable Unit**



Plans or Programs



Plans or ProgramsJuly 1, 2009  July 31, 2009



855.0487



$
4,483.08




N/A




N/AAugust 1, 2009  August 31, 2009



621.3422



$
4,508.06




N/A




N/ASeptember 1, 2009  
    September 30, 2009



1,197.6504



$
4,422.75




N/A




N/A2,674.0413



$
4,461.86




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 
    None  24




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##### Table of Contents



Item 6.
    Exhibits 3.1
    
    Certificate of Limited Partnership of the Partnership as filed in the Office
of the Secretary of State of the State of New York, dated March 21, 2002 (filed as
Exhibit 3.1 to the general form for registration of securities on Form 10 filed on May
1, 2003 and incorporated herein by reference).
 (a)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated May
21, 2003 (filed herein).(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 herein).(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 herein).(d)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
August 27, 2008 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on
September 2, 2008 and incorporated herein by reference).(e)
    
    Certificate of Amendment to the Certificate of Limited Partnership as
filed in the Office of the Secretary of State of the State of New York, dated
September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed
on September 30, 2009 and incorporated herein by reference).
 3.2
    
    Amendment and Restated Limited Partnership Agreement, dated January 9, 2007
(filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 16, 2007 and
incorporated herein by reference).10.1(a)
    
    Customer Agreement between the Partnership and Salomon Smith Barney Inc., dated
August 23, 2001 (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003 and incorporated herein by reference).10.1(b)
    
    Customer Agreement among the Partnership and Salomon Smith Barney Inc., and for
limited purposes Smith Barney AAA Master Fund LLC, dated May 31, 2002 (filed as
Exhibit 10 to the general form for registration of securities on Form 10 filed on May
1, 2003 and incorporated herein by reference).10.2
    
    Form of Subscription Agreement (filed herein).10.3
    
    Management Agreement among the Partnership, Citigroup Managed Futures LLC and
AAA Capital Management Advisors, Ltd., dated April 3, 2006 (filed herein).
 (a)
    
    Letter from the General Partner extending Management Agreements for
2008, dated June 5, 2008 (filed as Exhibit 10.11 to the annual report on Form 10-K
filed on March 31, 2009 and incorporated herein by reference).
 10.4
    
    Amended and Restated Agency Agreement among the Partnership, Ceres Managed
Futures LLC, Morgan Stanley Smith Barney LLC, and Citigroup Global Markets Inc., dated
November 11, 2009 (filed herein).31.1
    
     Rule 13a-14(a)/15d-14(a) Certification (Certification of President and
Director)31.2
    
     Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial
Officer and Director)32.1
    
     Section 1350 Certification (Certification of President and Director)32.2
    
     Section 1350 Certification (Certification of Chief Financial Officer and Director)
 25




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##### Table of Contents



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


Ceres Managed Futures LLC(General Partner)By:


/s/  Jerry
    PascucciJerry Pascucci 
    President and DirectorDate:


November 16, 2009By:


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


November 16, 2009  26