UNITED STATES
 SECURITIES AND EXCHANGE
    COMMISSION
 WASHINGTON, D.C.
    20549
  FORM 10-K
  (X) ANNUAL REPORT PURSUANT TO
    SECTION 13 OR 15(d)
 OF THE SECURITIES EXCHANGE ACT
    OF 1934
 For the fiscal year ended December 31, 2009
  OR ( ) TRANSITION
    REPORT PURSUANT TO SECTION 13 OR 15(d)
 OF THE SECURITIES EXCHANGE ACT
    OF 1934
  
  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
    None
  Redeemable Units of Limited Partnership Interest
     Yes



No

X
    Yes



No

X
     Yes

X

No
     Yes



No
  Regulation S-K Form 10-K form 10-K [X].
  Rule 12b-2
  Large accelerated filer



Accelerated filer



Non-accelerated filer

X

Smaller reporting company   Rule 12b-2
 Yes



No

X
       DOCUMENTS
    INCORPORATED BY REFERENCE
[None]




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##### 



PART I
 Item 1.
    
    Business.
 General Development of Business
 Financial
Statements and Supplementary Data
  Managements Discussion and Analysis of Financial Condition and
Results of Operations
    2




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Financial Information about Industry Segments Selected
Financial Data
 3




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##### 



Narrative Description of Business
    Financial Information About Geographic Areas
 Available Information
 Reports to Security Holders
 Enforceability of Civil Liabilities Against Foreign Persons
 Smaller Reporting Companies
 Item 1A.
    
    Risk Factors.
 As a result of leverage, small changes in the price of the Partnerships positions may result
in major losses.
  An investor may lose all of their investment.
  The Partnership will pay substantial fees and expenses regardless of profitability.
  An investors ability to redeem or transfer units is limited.
  Conflicts of interest exist.
  1.
    
    The General Partner and commodity broker are affiliates;2.
    
    The Advisor, the commodity broker and their principals and affiliates may trade in
commodity interests for their own accounts; and3.
    
    An investors financial advisor will receive ongoing compensation for
providing services to the investors account.
 Investing in units might not provide the desired diversification of an investors overall
portfolio.
 4




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##### 



Past performance is no assurance of future results.
  An investors tax liability may exceed cash distributions.
  Regulatory changes could restrict the Partnerships operations.
  Speculative position and trading limits may reduce profitability.
  Item 2.
    
    Properties.
  Item 3.
    
    Legal Proceedings.
    Mutual Funds
    FINRA Settlement
  Auction Rate Securities
   Subprime-Mortgage Related Actions
  Credit Crisis Related Matters
    Item 4.
    
    [Removed and Reserved]
 5




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##### 



PART II
 Item 5. Market for Registrants Common Equity, Related Stockholder Matters and Issuer
Purchases of Equity Securities.
 (a)
    
    Market Information. The Partnership has issued no stock. There is no public
market for the Redeemable Units.(b)
    
    Holders. The number of holders of Redeemable Units as of December 31, 2009 was
1,872.
 (c)
    
    Dividends. The Partnership did not declare a
distribution in 2009, 2008 or 2007. The
Partnership does not intend to declare distributions in the foreseeable future.(d)
    
    Securities Authorized for Issuance Under Equity Compensation Plans. None.Proceeds from the sale of additional Redeemable Units are used in the trading of commodity
interests including futures contracts, options, swaps and forward contracts.(e)
    
    Performance Graph. Not applicable.(f)
    
    Recent Sales of Unregistered Securities. For the twelve months ended December 31, 2009, there were
additional sales of 5,150.1739 Redeemable Units totaling $22,864,876,
an allocation of 1,929.0046 Redeemable Units of Special Limited
Partner Interest totaling an allocation of $8,428,390 and contributions by
the General Partner representing 780.0060 Unit equivalents totaling $3,499,771. For the
twelve months ended December 31, 2008, there were additional sales of 3,559.1112 Redeemable
Units totaling $11,920,000 and an allocation of 11,935.1626
Redeemable Units of Special Limited Partner Interest totaling an
allocation of $43,509,814. For the twelve months ended December 31, 2007, there were
additional sales of 1,843.6050 Redeemable Units totaling $5,130,000,
an allocation of 2,890.2614 Redeemable Units of Special Limited
Partner Interest totaling an allocation of $8,058,018 and contributions by the
General Partner representing 449.6425 Unit equivalents totaling $1,161,472.The Redeemable Units were issued in reliance upon applicable exemptions from registration
under Section 4(2) of the Securities Exchange Act of 1933, as amended, and Section 506 of
Regulation D promulagated thereunder. The Redeemable Units were purchased by accredited
investors as described in Regulation D, as well as to a small number of persons who are
non-accredited investors.(g)
    
    Purchases of Equity Securities by the Issuer and
Affiliated Purchasers.
  (d) Maximum Number(or Approximate(c) Total Number
    
    
    Dollar Value) ofof Redeemable Units
    
    
    Redeemable Units that(a) Total Number
    
    
    (b) Average
    
    
    Purchased as Part
    
    
    May Yet Beof Redeemable
    
    
    Price Paid per
    
    
    of Publicly Announced
    
    
    Purchased Under thePeriod
    
    
    Units Purchased*
    
    
    Redeemable Unit**
    
    
    Plans or Programs
    
    
    Plans or ProgramsOctober 1, 2009 
October 31, 2009
    
    
    
    551.0163
    
    
    
    $
    4,470.49
    
    
    
    
    N/A
    
    
    
    
    N/ANovember 1, 2009 
November 30, 2009
    
    
    
    573.7114
    
    
    
    $
    4,528.28
    
    
    
    
    N/A
    
    
    
    
    N/ADecember 1, 2009 
December 31, 2009
    
    
    
    1,243.7706
    
    
    
    $
    4,407.18
    
    
    
    
    N/A
    
    
    
    
    N/A2,368.4983
    
    
    
    $
    4,451.24
    
    
    
    
    N/A
    
    
    
    
    N/A
 
 *
    
    Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of
each month on 10 days notice to the General Partner. Under certain circumstances, the General
Partner can compel redemption, although to date the General Partner has not exercised this right.
Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the
ordinary course of the Partnerships business in connection with effecting redemptions for Limited
Partners.**
    
    Redemptions of Redeemable Units are effected as of the last day of each month at the Net
Asset Value per Redeemable Unit as of that day. 6




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##### 



Item 6.
    
    Selected Financial Data.
  2009
    
    
    2008
    
    
    2007
    
    
    2006
    
    
    2005Net realized and unrealized trading gains (losses) net of
expenses allocated from Master and brokerage commissions
(including clearing fees) of $7,180,532, $8,955,311, $7,426,408,
$8,910,566 and  $6,272,480, respectively
    
    $
    53,395,016
    
    
    $
    230,107,706
    
    
    $
    51,331,911
    
    
    $
    108,013,231
    
    
    $
    202,242,056Interest income allocated from Master
    
    
    243,073
    
    
    
    2,157,650
    
    
    
    12,771,202
    
    
    
    18,184,279
    
    
    
    6,199,984$
    53,638,089
    
    
    $
    232,265,356
    
    
    $
    64,103,113
    
    
    $
    126,197,510
    
    
    $
    208,442,040Net income (loss) before allocation to Special Limited
Partner
    
    $
    40,448,048
    
    
    $
    219,655,375
    
    
    $
    51,858,298
    
    
    $
    112,096,615
    
    
    $
    200,854,431Allocation to Special Limited Partner
    
    
    (8,428,390
    )
    
    
    (43,509,814
    )
    
    
    (8,058,018
    )
    
    
    (18,782,467
    )
    
    
    (38,930,890
    )Net income (loss) after allocation to Special Limited Partner
    
    $
    32,019,658
    
    
    $
    176,145,561
    
    
    $
    43,800,280
    
    
    $
    93,314,148
    
    
    $
    161,923,541Increase (decrease) in Net Asset Value per  Unit
    
    $
    261.29
    
    
    $
    1,293.05
    
    
    $
    255.33
    
    
    $
    425.14
    
    
    $
    1,022.63Net Asset
Value per Unit
    
    $
    4,407.18
    
    
    $
    4,145.89
    
    
    $
    2,852.84
    
    
    $
    2,597.51
    
    
    $
    2,172.37Total assets
    
    $
    496,007,001
    
    
    $
    544,053,175
    
    
    $
    456,053,107
    
    
    $
    509,199,389
    
    
    $
    500,859,262
 Item 7.
    
    Managements Discussion and Analysis of Financial Condition and Results of
Operations.
 Overview
  7




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
    due diligence examinations of the Advisor;
    selection, appointment and termination of the Advisor;
    negotiation of the Management Agreement; and
    monitoring the activity of the Advisor
   AAA Capital Management Advisors, Ltd.
      Liquidity.
  8




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##### 



(i)
    The Master invests its assets only in commodity interests that the Advisor believes are
traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient
volume, in this context, refers to a level of liquidity that the Advisor believes will
permit it to enter and exit trades without noticeably moving the market.(ii)
    The Advisor will not initiate additional positions in any commodity if these positions
would result in aggregate positions requiring a margin of more than
66 2/3% of the Masters
net assets allocated to the Advisor.(iii)
    The Master may occasionally accept delivery of a commodity. Unless such delivery is
disposed of promptly by retendering the warehouse receipt representing the delivery to the
appropriate clearinghouse, the physical commodity position is fully hedged.(iv)
    The Master does not employ the trading technique commonly known as pyramiding, in which
the speculator uses unrealized profits on existing positions as margin for the purchases or
sale of additional positions in the same or related commodities.(v)
    The Master does not utilize borrowings  other than short-term borrowings if the Master takes
delivery of any cash commodities.(vi)
    The Advisor may, from time to time, employ trading strategies such as spreads or
straddles on behalf of the Master. The term spread or straddle describes a commodity
futures trading strategy involving the simultaneous buying and selling of futures contracts
on the same commodity but involving different delivery dates or markets and in which the
trader expects to earn a profit from a widening or narrowing of the difference between the
prices of the two contracts.(vii)
    The Master will not permit the churning of its commodity trading account. The term
churning refers to the practice of entering and exiting trades with a frequency
unwarranted by legitimate efforts to profit from the trades, driven by the desire to
generate commission income.
 i.e.
    9




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##### 



Financial Statements and
Supplementary Data
  Capital Resources.
     10




---



##### 



Results of Operations.
                   Off-Balance Sheet Arrangements
 Contractual Obligations
 Operational Risk.
   Operational/Settlement Risk
 11




---



##### 



Technological Risk
 Legal/Documentation Risk
 Financial Control Risk
 Critical Accounting Policies.
 Use of Estimates.
 Statement of Cash Flows.
 Partnerships Investments.
 12




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##### 



Partnerships
Fair Value Measurements.
   Futures
Contracts.
 Options.
 Brokerage Commissions.
 Income Taxes.
  13




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##### 



Subsequent Events.
 Recent Accounting Pronouncements. .
   Item 7A.
    Quantitative and Qualitative Disclosures About Market Risk.
      Quantifying the Partnerships Trading Value at Risk
  14




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15




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##### 



The Masters Trading Value at Risk in Different Market Sectors
  December 31, 2009
 % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    133,905,240
    
    
    
    10.89
    %
    
    $
    352,329,038
    
    
    $
    4,405,231
    
    
    $
    166,882,818Total
    
    $
    133,905,240
    
    
    
    10.89
    %
    *
    
    Annual average of month-end Values at Risk  December 31, 2008
 % of Total
    
    
    High
    
    
    Low
    
    
    AverageMarket Sector
    
    Value at Risk
    
    
    Capitalization
    
    
    Value at Risk
    
    
    Value at Risk
    
    
    Value at Risk*Energy
    
    $
    306,037,030
    
    
    
    22.86
    %
    
    $
    393,679,114
    
    
    $
    86,922,706
    
    
    $
    205,141,776Total
    
    $
    306,037,030
    
    
    
    22.86
    %
    *
    
    Annual average of month-end Values at Risk Material Limitations on Value at Risk as an Assessment of Market Risk
  16




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##### 



Qualitative Disclosures Regarding Primary Trading Risk Exposures
   Energy
    Other Commodity Interests
 Qualitative Disclosures Regarding Means of Managing Risk Exposure
 17




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18




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##### 



Item 8.
    
    Financial Statements and Supplementary Data.
 AAA CAPITAL ENERGY FUND L.P. II
 INDEX TO FINANCIAL STATEMENTS
 PageNumberOath or Affirmation
    
    F-2Managements Report on Internal Control over Financial Reporting
    
    F-3Reports of Independent Registered Public Accounting Firms
    
    F-4    F-8Financial Statements:Statements of Financial Condition at December 31, 2009 and 2008
    
    F-9Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
    
    F-10Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008 and 2007
    
    F-11Notes to Financial Statements
    
    F-12  F-21Selected Unaudited Quarterly Financial Data
    
    F-22Financial Statements of AAA Master Fund LLCOath or Affirmation
    
    F-23Reports of Independent Registered Public Accounting Firms
    
    F-24  F-26Statements of Financial Condition at December 31, 2009 and 2008
    
    F-27Condensed Schedules of Investments at December 31, 2009 and 2008
    
    F-28  F-29Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007
    
    F-30Statements of Changes in Members Capital for the years ended December 31, 2009, 2008 and 2007
    
    F-31Notes to Financial Statements
    
    F-32  F-40Selected Unaudited Quarterly Financial Data
    
    F-41
 F-1




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##### 



To the Limited
    Partners of
    AAA Capital Energy Fund L.P. II
    
  By:
    Jennifer Magro      Ceres Managed Futures LLC
    212-559-2011
 F-2




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##### 



Managements
    Report on Internal Control Over
 Financial Reporting
            Internal Control-Integrated Framework
    
       F-3




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
 Internal Control
 Integrated Framework
   F-4




---



##### 



Internal Control  Integrated Framework
 
 F-5




---



##### 



Report of Independent Registered Public Accounting Firm
 
 Internal Control  Integrated Framework
  F-6




---



##### 



F-7




---



##### 



Report of Independent Registered Public Accounting Firm
 
    
 F-8




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##### 



AAA Capital
    Energy Fund L.P. II Statements of Financial Condition
 December 31, 2009 and 2008
  2009


2008Assets:Investment in Master, at fair value (Note 1)

$
495,766,284


$
543,812,374Cash (Note 3c)


240,717



240,801Total assets

$
496,007,001


$
544,053,175Liabilities and Partners Capital:Liabilities:Accrued expenses:Brokerage commissions (Note 3c)

$
2,319,625


$
2,403,495Management fees (Note 3b)


822,450



902,357Administrative fees (Note 3a)


205,613



225,589Professional fees


173,328



182,647Other


43,971



52,614Redemptions payable (Note 5)


5,481,521



24,337,821Total liabilities


9,046,508



28,104,523Partners Capital (Notes 1 and 5):General Partner, 1,271.6341 and 2,051.6401 Unit Equivalents
    outstanding at December 31, 2009 and 2008, respectively


5,604,320



8,505,874Special Limited Partner, 464.0795 and 4,270.5527 Redeemable
    Units of Limited Partnership Interest outstanding at
    December 31, 2009 and 2008, respectively


2,045,282



17,705,242Limited Partners, 108,756.8867 and 118,126.1541 Redeemable Units
    of Limited Partnership Interest outstanding at December 31,
    2009 and 2008, respectively


479,310,891



489,737,536Total partners capital


486,960,493



515,948,652Total liabilities and partners capital

$
496,007,001


$
544,053,175   See accompanying notes to financial statements.
 F-9




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##### 



AAA Capital
    Energy Fund L.P. II Statements of Income and Expenses
 for the years ended December 31, 2009, 2008 and 2007
  2009


2008


2007Income:Net realized gains (losses) on closed contracts allocated from
    Master

$
213,550,626


$
154,150,160


$
65,186,363Change in net unrealized gains (losses) on open contracts
    allocated from Master


(152,975,078
)


84,912,857



(6,428,044
)Interest income allocated from Master


243,073



2,157,650



12,771,202Expenses allocated from Master


(1,552,281
)


(1,719,612
)


(1,761,347
)Total income (loss)


59,266,340



239,501,055



69,768,174Expenses:Brokerage commissions (Note 3c)


5,628,251



7,235,699



5,665,061Management fees (Note 3b)


10,250,868



9,663,363



9,501,141Administrative fees (Note 3a)


2,562,719



2,415,842



2,375,285Professional fees


334,322



460,700



302,867Other


42,132



70,076



65,522Total expenses


18,818,292



19,845,680



17,909,876Net income (loss) before allocation to Special Limited Partner


40,448,048



219,655,375



51,858,298Allocation to Special Limited Partner (Note 3b)


(8,428,390
)


(43,509,814
)


(8,058,018
)Net income (loss) after allocation to Special Limited Partner

$
32,019,658


$
176,145,561


$
43,800,280Net income (loss) per Redeemable Unit of Limited Partnership
    Interest and General Partner Unit Equivalent (Notes 1 and 6)

$
261.29


$
1,293.05


$
255.33Weighted average units outstanding


115,997.0009



140,602.5001



174,306.8683   See accompanying notes to financial statements.
 F-10




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##### 



AAA Capital
    Energy Fund L.P. II Statements of Changes in Partners Capital
 for the years ended December 31, 2009, 2008 and 2007
  SpecialLimited


Limited


GeneralPartners


Partner


Partner


TotalPartners Capital at December 31, 2006

$
473,705,775


$
22,337,200


$
6,497,107


$
502,540,082Sale of 1,843.6050 Redeemable Units of Limited Partnership
    Interest


5,130,000











5,130,000Redemption of 30,536.6458 Redeemable Units of Limited
    Partnership Interest


(82,360,536
)










(82,360,536
)Redemption of 11,264.6716 Redeemable Units of Special Limited
    Partnership Interest






(31,096,561
)






(31,096,561
)Redemption of 449.6425 General Partner Unit Equivalents










(1,161,472
)


(1,161,472
)Allocation of net income (loss) for the year ended
    December 31, 2007:Allocation of 2,890.2614 Redeemable Units of Limited Partnership
    Interest to the Special Limited Partner (Note 3b)






8,058,018







8,058,018Net income (loss) available for pro rata distribution


41,939,522



1,343,392



517,366



43,800,280Partners Capital at December 31, 2007


438,414,761



642,049



5,853,001



444,909,811Sale of 3,559.1112 Redeemable Units of Limited Partnership
    Interest


11,920,000











11,920,000Redemption of 39,109.4084 Redeemable Units of Limited
    Partnership Interest


(130,535,147
)










(130,535,147
)Redemption of 7,889.6661 Redeemable Units of Special Limited
    Partnership Interest






(30,001,387
)






(30,001,387
)Allocation of net income (loss) for the year ended
    December 31, 2008:Allocation of 11,935.1626 Redeemable Units of Limited
    Partnership Interest to the Special Limited Partner
    (Note 3b)






43,509,814







43,509,814Net income (loss) available for pro rata distribution


169,937,922



3,554,766



2,652,873



176,145,561Partners Capital at December 31, 2008


489,737,536



17,705,242



8,505,874



515,948,652Sale of 5,150.1739 Redeemable Units of Limited Partnership
    Interest


22,864,876











22,864,876Redemption of 14,519.4413 Redeemable Units of Limited
    Partnership Interest


(63,539,760
)










(63,539,760
)Redemption of 5,735.4778 Redeemable Units of Special Limited
    Partnership Interest






(25,261,552
)






(25,261,552
)Redemption of 780.0060 General Partner Unit Equivalents










(3,499,771
)


(3,499,771
)Allocation of net income (loss) for the year ended
    December 31, 2009:Allocation of 1,929.0046 Redeemable Units of Limited Partnership
    Interest to the Special Limited Partner (Note 3b)






8,428,390







8,428,390Net income (loss) available for pro rata distribution


30,248,239



1,173,202



598,217



32,019,658Partners Capital at December 31, 2009

$
479,310,891


$
2,045,282


$
5,604,320


$
486,960,493    2007:

$
2,852.842008:

$
4,145.892009:

$
4,407.18
   See accompanying notes to financial statements.
 F-11




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##### 



AAA Capital
    Energy Fund L.P. II

 Notes to
    Financial Statements
 December 31, 2009
  1.
    Partnership
    Organization:             F-12




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2009
        2.
    Accounting
    Policies:  a.
    Use of Estimates.The preparation of financial
    statements and accompanying notes in conformity with GAAP
    requires management to make estimates and assumptions that
    affect the reported amounts of assets and liabilities, income
    and expenses, and related disclosures of contingent assets and
    liabilities in the financial statements and accompanying notes.
    In making these estimates and assumptions, management has
    considered the effects, if any, of events occurring after the
    date of the Partnerships Statements of Financial Condition
    through the date the financial statements were issued. As a
    result, actual results could differ from these estimates.b.
    Statement of Cash Flows.The Partnership is
    not required to provide a Statement of Cash Flows as permitted
    by ASC 230, Statement of Cash Flows (formerly,
    FAS No. 102, Statement of Cash Flows Exemption
    of Certain Enterprises and Classification of Cash Flows from
    Certain Securities Acquired for Resale).c.
    Partnerships Investments.The
    Partnership values its investment in the Master at its net asset
    value per unit as calculated by the Master. The Master values
    its investments as described in note 2 of the Masters
    notes to the annual financial statements as of December 31,
    2009.  Partnerships Fair Value
    Measurements.
  FAS No. 157-4,
 F-13




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##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2009
      Quoted Prices in





SignificantActive Markets for


Significant Other


UnobservableIdentical Assets


Observable Inputs


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


$
   Quoted Prices in





SignificantActive Markets for


Significant Other


UnobservableIdentical Assets


Observable Inputs


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


$
   Masters Investments.
  Masters Fair Value Measurements.
 F-14




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2009
      Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable12/31/2009


(Level 1)


(Level 2)


Inputs (Level 3)AssetsOptions owned

$
741,495,723


$
741,495,723


$



$
Total assets


741,495,723



741,495,723







LiabilitiesFutures and Exchange Cleared Swaps

$
50,857,890


$
50,857,890


$



$
Options written


352,233,900



352,233,900







Total liabilities


403,091,790



403,091,790







Total fair value

$
338,403,933


$
338,403,933


$



$
   Quoted Prices inActive Markets for


Significant Other


SignificantIdentical Assets


Observable Inputs


Unobservable12/31/2008


(Level 1)


(Level 2)


Inputs (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 liabilities


624,018,932



624,018,932







Total fair value

$
551,467,529


$
551,467,529


$



$
   Futures Contracts.The Master trades futures
    contracts. Exchange cleared swaps included in futures and
    exchange cleared swaps are swaps that are traded as futures. A
    futures contract is a firm commitment to buy or sell a specified
    quantity of investments, currency or a standardized amount of a
    deliverable grade commodity, at a specified price on a specified
    future date, unless the F-15




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2009
  contract is closed before the delivery date or if the delivery
    quantity is something where physical delivery cannot occur (such
    as the S&P 500 Index), whereby such contract is settled in
    cash. Payments (variation margin) may be made or
    received by the Master each business day, depending on the daily
    fluctuations in the value of the underlying contracts, and are
    recorded as unrealized gains or losses by the Master. When the
    contract is closed, the Master records a realized gain or loss
    equal to the difference between the value of the contract at the
    time it was opened and the value at the time it was closed.
    Because transactions in futures contracts require participants
    to make both initial margin deposits of cash or other assets and
    variation margin deposits, through the futures broker, directly
    with the exchange on which the contracts are traded, credit
    exposure is limited. Realized gains (losses) and changes in
    unrealized gains (losses) on futures contracts are included in
    the Statements of Income and Expenses.  Options.The Master may purchase and write
    (sell), both exchange listed and
    over-the-counter
    options on commodities or financial instruments. An option is a
    contract allowing, but not requiring, its holder to buy (call)
    or sell (put) a specific or standard commodity or financial
    instrument at a specified price during a specified time period.
    The option premium is the total price paid or received for the
    option contract. When the Master writes an option, the premium
    received is recorded as a liability in the Statements of
    Financial Condition and marked to market daily. When the Master
    purchases an option, the premium paid is recorded as an asset in
    the Statements of Financial Condition and marked to market
    daily. Realized gains (losses) and changes in unrealized gains
    (losses) on options contracts are included in the Statements of
    Income and Expenses.Brokerage Commissions.Commission charges to
    open and close futures and exchange traded swap contracts are
    expensed at the time the positions are opened. Commission
    charges on option contracts are expensed at the time the
    position is established and when the option contract is closed.  d.
    Income Taxes.Income taxes have not been
    provided as each partner is individually liable for the taxes,
    if any, on their share of the Partnerships income and
    expenses.      e.
    Subsequent Events.In 2009, the Partnership
    adopted ASC 855, Subsequent Events (formerly,
    FAS No. 165, Subsequent Events). The
    objective of ASC 855 is to establish general standards of
    accounting for and disclosure of events that occur after the
    balance sheet date but before financial statements are issued or
    available to be issued. Management has determined that there
    were no subsequent events requiring adjustment or disclosure in
    the financial statements.  f.
    Recent Accounting Pronouncements.In January
    2010, the FASB issued Accounting Standards Update
    No. 2010-06
    (ASU
    2010-06),
    Improving Disclosures about Fair Value Measurements,
    which , among other things, amends ASC 820 to require entities
    to separately present purchases, sales, issuances, and
    settlements in their reconciliation of Level 3 fair value
    measurements (i.e. to present such items on a gross basis rather
    than on a net basis), and which clarifies existing F-16




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2009
  disclosure requirements provided by ASC 820 regarding the level
    of disaggregation and the inputs and valuation techniques used
    to measure fair value for measurements that fall within either
    Level 2 or Level 3 of the fair value hierarchy. ASU
    2010-06 is
    effective for interim and annual periods beginning after
    December 15, 2009, except for the disclosures about
    purchases, sales, issuances, and settlements in the roll forward
    of activity in Level 3 fair value measurements (which are
    effective for fiscal years beginning after December 15,
    2010, and for interim periods within those fiscal years).
    Management is currently assessing the impact that the adoption
    of ASU
    2010-06 will
    have on the Partnerships financial statements disclosures.    g.
    Certain prior period amounts have been reclassified to conform
    to current period presentation.h.
    Net Income (Loss) per Redeemable Unit.Net
    income (loss) per Redeemable Unit is calculated in accordance
    with investment company guidance. See footnote 6 for Financial
    Highlights.  3.
    Agreements:  a.
    Limited Partnership Agreement:    b.
    Management Agreement:     F-17




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2009
    c.
    Customer Agreement:  give-up, 30-day 3-month 90-day and/or
  4.
    Trading
    Activities:         F-18




---



##### 



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

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

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

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

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

$
(50,857,890
)*AssetsOptions OwnedEnergy

$
741,495,723Options owned

$
741,495,723
**LiabilitiesOptions WrittenEnergy

$
352,233,900Options written

$
352,233,900
***   *
    
    This amount is in Net unrealized depreciation on open
    futures and exchange cleared swap contracts on the
    Masters Statements of Financial Condition.**
    
    This amount is in Options owned, at fair value on
    the Masters Statements of Financial Condition.***
    
    This amount is in Options written, at fair value on
    the Masters Statements of Financial Condition.   December 31, 2009Sector

Gain (loss) from tradingEnergy

$
154,505,739Total

$
154,505,739
****   ****
    
    This amount is in Gain (loss) from trading, net on
    the Masters Statement of Income and Expenses.  5.
    Subscriptions,
    Distributions and Redemptions:   F-19




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2009
  6.
    Financial
    Highlights:   2009


2008


2007Net realized and unrealized gains (losses)*

$
444.39


$
1,691.44


$
300.38Interest income


2.08



14.91



72.64Expenses and allocation to Special Limited Partner**


(185.18
)


(413.30
)


(117.69
)Increase (decrease) for the year


261.29



1,293.05



255.33Net Asset Value per Redeemable Unit, beginning of year


4,145.89



2,852.84



2,597.51Net Asset Value per Redeemable Unit, end of year

$
4,407.18


$
4,145.89


$
2,852.84   *
    Includes Partnership commissions and expenses allocated from
    Master.  **
    Excludes Partnership commissions and expenses allocated from
    Master and includes allocation to Special Limited Partner. 2008


2008


2007Ratios to average net assets:Net investment income (loss) before allocation to Special
    Limited Partner***


(4.0
)%


(4.2
)%


(1.5
)Operating expenses


4.1
%


4.6
%


4.2
%Allocation to Special Limited Partner


1.7
%


9.4
%


1.7
%Total expenses and allocation to Special Limited Partner


5.8
%


14.0
%


5.9
%Total return:Total return before allocation to Special Limited Partner


8.1
%


57.6
%


11.8
%Allocation to Special Limited Partner


(1.8
)%


(12.3
)%


(2.0
)%Total return after allocation to Special Limited Partner


6.3
%


45.3
%


9.8
%   ***
    Interest income allocated from Master less total expenses
    (exclusive of allocation to Special Limited Partner).    7.
    Financial
    Instrument Risks:  over-the-counter
 F-20




---



##### 



AAA Capital
    Energy Fund L.P. II
 Notes to Financial Statements
 December 31, 2009
             F-21




---



##### 



Selected unaudited quarterly financial data for the Partnership for the years ended December 31,
2009 and 2008 is summarized below:
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2009 to
    
    July 1, 2009 to
    
    April 1, 2009 to
    
    January 1, 2009 toDecember 31, 2009
    
    September 30, 2009
    
    June 30, 2009
    
    March 31, 2009Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees including interest income
    
    $
    1,292,302
    
    
    $
    13,617,715
    
    
    $
    3,309,298
    
    
    $
    35,418,774Net income (loss) before allocation to Special Limited Partner
    
    $
    (1,917,844
    )
    
    $
    10,384,459
    
    
    $
    22,705
    
    
    $
    31,958,728Net income (loss) after allocation to Special Limited Partner
    
    $
    (1,917,844
    )
    
    $
    8,331,951
    
    
    $
    22,705
    
    
    $
    25,582,846Increase (decrease) in Net Asset Value per Unit
    
    $
    (15.57
    )
    
    $
    72.58
    
    
    $
    (2.19
    )
    
    $
    206.47
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    
    September 30, 2008
    
    June 30, 2008
    
    March 31, 2008Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees including interest income
    
    $
    70,253,653
    
    
    $
    78,434,576
    
    
    $
    67,585,966
    
    
    $
    15,991,161Net income (loss) before allocation to Special Limited Partner
    
    $
    66,722,674
    
    
    $
    75,157,215
    
    
    $
    64,640,504
    
    
    $
    13,134,982Net income (loss) after allocation to Special Limited Partner
    
    $
    53,405,495
    
    
    $
    60,251,357
    
    
    $
    51,764,470
    
    
    $
    10,724,239Increase (decrease) in Net Asset Value per  Unit
    
    
    408.40
    
    
    
    444.70
    
    
    
    368.73
    
    
    
    71.22
 F-22




---



##### 



To the Members
    of
    AAA Master Fund LLC
    
  By:
    Jennifer Magro
    Chief Financial Officer and Director
    Ceres Managed Futures LLC
    Managing Member,
    AAA Master Fund LLC  Ceres Managed Futures LLC    212-559-2011
 F-23




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
    
 F-24




---



##### 



Report of Independent Auditors
 
  
 F-25




---



##### 



Report of Independent Registered Public Accounting Firm
 
    
 F-26




---



##### 



AAA Master
    Fund LLCStatements of Financial Condition
    December 31, 2009 and 2008
  2009


2008Assets:Equity in trading account:Cash (Note 3c)

$
778,736,469


$
696,338,412Cash margin (Note 3c)


112,350,862



90,640,874Net unrealized appreciation on open futures and exchange cleared
    swap contracts






268,819,884Options owned, at fair value (cost $885,211,273 and
    $867,124,483, respectively)


741,495,723



906,666,5771,632,583,054



1,962,465,747Due from brokers






518,950Total assets

$
1,632,583,054


$
1,962,984,697Liabilities and Members Capital:Liabilities:Net unrealized depreciation on open futures and exchange cleared
    swap contracts

$
50,857,890


$
Options written, at fair value (premium $435,825,576 and
    $600,446,669, respectively)


352,233,900



624,018,932Accrued expenses:Professional fees


296,072



334,666Total liabilities


403,387,862



624,353,598Members Capital:Members Capital, 123,710.6078 and 150,805.9242 Units of
    Member Interest outstanding at December 31, 2009 and 2008,
    respectively


1,229,195,192



1,338,631,099Total liabilities and members capital

$
1,632,583,054


$
1,962,984,697   See accompanying notes to financial statements.
 F-27




---



##### 



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 OwnedEnergyCallNYMEX LT Crude Oil Feb 10  Dec 12


10,366



130,224,950



10.59NYMEX Natural Gas E Feb 10  Oct 14


23,072



135,333,168



11.01Other


8,589



115,880,958



9.43Call options owned






381,439,076



31.03PutNYMEX Crude Oil E Dec 10  Dec 16


13,074



127,745,250



10.39NYMEX LT Crude Oil Feb 10  Dec 13


10,761



73,976,480



6.02NYMEX Natural Gas E Feb 10  May 14


9,735



116,193,705



9.45Other


8,960



42,141,212



3.43Put options owned






360,056,647



29.29Total options owned






741,495,723



60.32Options WrittenEnergyCallNYMEX Heating Oil Feb 10  Dec 10


6,014



(61,856,584
)


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


18,423



(77,041,748
)


(6.27
)Other


19,042



(109,221,068
)


(8.89
)Call options owned






(248,119,400
)


(20.19
)PutOther


21,738



(104,114,500
)


(8.47
)Put options written






(104,114,500
)


(8.47
)Total options written






(352,233,900
)


(28.66
)Total fair value





$
338,403,933



27.53
%   See accompanying notes to financial statements.
 F-28




---



##### 



AAA Master
    Fund LLC


    Condensed Schedule of Investments
    December 31, 2008
  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
%   See accompanying notes to financial statements.
 F-29




---



##### 



AAA Master
    Fund LLC


    Statements of Income and Expenses
    for the years ended December 31, 2009, 2008 and
    2007
  2009


2008


2007Income:Net gains (losses) on trading of commodity interests:Net realized gains (losses) on closed contracts

$
550,277,218


$
383,464,674


$
139,780,388Change in net unrealized gains (losses) on open contracts


(395,771,479
)


187,955,527



(15,598,237
)Gain (loss) from trading, net


154,505,739



571,420,201



124,182,151Interest income


661,850



5,262,752



27,854,202Total income (loss)


155,167,589



576,682,953



152,036,353Expenses:Clearing fees


3,343,809



3,223,638



3,197,637Professional fees


628,350



848,543



508,210Total expenses


3,972,159



4,072,181



3,705,847Net income (loss)

$
151,195,430


$
572,610,772


$
148,330,506Net income (loss) per Unit of Member Interest (Notes 1 and
    6)

$
1,064.36


$
3,494.47


$
756.40Weighted average units outstanding


139,419.9283



172,420.9234



200,906.2331   See accompanying notes to financial statements.
 F-30




---



##### 



AAA Master
    Fund LLC


    Statements of Changes in Members Capital
    for the years ended December 31, 2009, 2008 and
    2007
  MembersCapitalMembers Capital at December 31, 2006

$
993,359,899Net income (loss)


148,330,506Sale of 28,091.0093 Units of Member Interest


140,284,151Redemption of 50,568.2147 Units of Member Interest


(254,888,582
)Distribution of interest income to feeder funds


(27,632,438
)Members Capital at December 31, 2007


999,453,536Net income (loss)


572,610,772Sale of 26,018.8922 Units of Member Interest


176,599,395Redemption of 59,881.8271 Units of Member Interest


(404,833,765
)Distribution of interest income to feeder funds


(5,198,839
)Members Capital at December 31, 2008


1,338,631,099Net income (loss)


151,195,430Sale of 18,789.6645 Units of Member Interest


178,448,063Redemption of 45,884.9809 Units of Member Interest


(438,417,550
)Distribution of interest income to feeder funds


(661,850
)Members Capital at December 31, 2009

$
1,229,195,192Net Asset Value per Unit of Member Interest:     2007:

$
5,412.142008:

$
8,876.522009:

$
9,936.05
   See accompanying notes to financial statements.
 F-31




---



##### 



AAA Master
    Fund LLC


    Notes to Financial Statements
    December 31, 2009
  1.
    General:       F-32




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
        2.
    Accounting
    Policies:  a.
    Use of Estimates.The preparation of financial
    statements and accompanying notes in conformity with GAAP
    requires management to make estimates and assumptions that
    affect the reported amounts of assets and liabilities, income
    and expenses, and related disclosures of contingent assets and
    liabilities in the financial statements and accompanying notes.
    In making these estimates and assumptions, management has
    considered the effects, if any, of events occurring after the
    date of the Masters Statements of Financial Condition
    through the date the financial statements were issued. As a
    result, actual results could differ from these estimates.b.
    Statement of Cash Flows.The Master is not
    required to provide a Statement of Cash Flows as permitted by
    ASC 230, Statement of Cash Flows (formerly,
    FAS No. 102, Statement of Cash Flows Exemption
    of Certain Enterprises and Classification of Cash Flows from
    Certain Securities Acquired for Resale).c.
    Masters Investments.All commodity
    interests of the Master (including derivative financial
    instruments and derivative commodity instruments) are held for
    trading purposes. The commodity interests are recorded on trade
    date and open contracts are recorded at fair value (as described
    below) at the measurement date. Investments in commodity
    interests denominated in foreign currencies are translated into
    U.S. dollars at the exchange rates prevailing at the
    measurement date. Gains or losses are realized when contracts
    are liquidated. Unrealized gains or losses on open contracts are
    included as a component of equity in trading account on the
    Statements of Financial Condition. Realized gains or losses and
    any change in net unrealized gains or losses from the preceding
    period are reported in the Statements of Income and Expenses.Masters Fair Value Measurements.  The
    Master adopted ASC 820, Fair Value Measurements and Disclosures
    (formerly, FAS No. 157, Fair Value
    Measurements)as of January 1, 2008
    which defines fair value as the price that would be received to
    sell an asset or paid to transfer a liability in an orderly
    transaction between market participants at the measurement date.
    ASC 820 establishes a framework for measuring fair value and
    expands disclosures regarding fair value measurements in
    accordance with GAAP. The fair value hierarchy gives the highest
    priority to F-33




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
  unadjusted quoted prices in active markets for identical assets
    or liabilities (Level 1) and the lowest priority to
    fair values derived from unobservable inputs (Level 3). The
    level in the fair value hierarchy within which the fair value
    measurement in its entirety falls shall be determined based on
    the lowest level input that is significant to the fair value
    measurement in its entirety. The Master did not apply the
    deferral allowed by ASC 820 for nonfinancial assets and
    nonfinancial liabilities measured at fair value on a
    nonrecurring basis.  In 2009, the Master adopted amendments to ASC 820, Fair Value
    Measurements and Disclosures (formerly,
    FAS No. 157-4,
    Determining Fair Value When the Volume and Level of
    Activity for the Asset or Liability Have Significantly Decreased
    and Identifying Transactions That Are Not Orderly) which
    reaffirms that fair value is the price that would be received to
    sell an asset or paid to transfer a liability in an orderly
    transaction between market participants at the measurement date
    under current market conditions. These amendments to ASC 820
    also reaffirm the need to use judgment in determining if a
    formerly active market has become inactive and in determining
    fair values when the market has become inactive. These
    amendments to ASC 820 are required for interim and annual
    reporting periods ending after June 15, 2009. Management
    has concluded that based on available information in the
    marketplace, there has not been a decrease in the volume and
    level of activity in the Masters Level 2 assets and
    liabilities. The adoption of the amendments to ASC 820 had no
    effect on the Masters Financial Statements.The Master considers prices for exchange traded commodity
    futures, forwards and options contracts to be based on
    unadjusted quoted prices in active markets for identical assets
    (Level 1). The values of non-exchange traded forwards, swaps and
    certain options contracts for which market quotations are not
    readily available are priced by broker-dealers who derive fair
    values for those assets from observable inputs (Level 2).
    As of and for the years ended December 31, 2009 and
    December 31, 2008, the Master did not hold any derivative
    instruments for which market quotations are not readily
    available and which are priced by broker-dealers who derive fair
    values for those assets from observable inputs
    (Level 2) or that are priced at fair value using
    unobservable inputs through the application of managements
    assumptions and internal valuation pricing models (Level 3).  SignificantQuoted Prices in


Other


SignificantActive Markets for


Observable


UnobservableIdentical Assets


Inputs


Inputs12/31/2009


(Level 1)


(Level 2)


(Level 3)AssetsOptions owned

$
741,495,723


$
741,495,723


$



$
Total assets


741,495,723



741,495,723







LiabilitiesFutures and Exchange Cleared Swaps

$
50,857,890


$
50,857,890


$



$
Options written


352,233,900



352,233,900







Total liabilities


403,091,790



403,091,790







Total fair value

$
338,403,933


$
338,403,933


$



$
  F-34




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
  SignificantQuoted Prices in


Other


SignificantActive Markets for


Observable


UnobservableIdentical Assets


Inputs


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 liabilities


624,018,932



624,018,932







Total fair value

$
551,467,529


$
551,467,529


$



$
   d.
    Futures Contracts.The Master trades futures
    contracts. Exchange cleared swaps included in futures and
    exchange cleared swaps are swaps that are traded as futures. A
    futures contract is a firm commitment to buy or sell a specified
    quantity of investments, currency or a standardized amount of a
    deliverable grade commodity, at a specified price on a specified
    future date, unless the contract is closed before the delivery
    date or if the delivery quantity is something where physical
    delivery cannot occur (such as the S&P 500 Index), whereby
    such contract is settled in cash. Payments (variation
    margin) may be made or received by the Master each
    business day, depending on the daily fluctuations in the value
    of the underlying contracts, and are recorded as unrealized
    gains or losses by the Master. When the contract is closed, the
    Master records a realized gain or loss equal to the difference
    between the value of the contract at the time it was opened and
    the value at the time it was closed. Because transactions in
    futures contracts require participants to make both initial
    margin deposits of cash or other assets and variation margin
    deposits through the futures broker directly with the exchange
    on which the contracts are traded, credit exposure is limited.
    Realized gains (losses) and changes in unrealized gains (losses)
    on futures contracts are included in the Statements of Income
    and Expenses.e.
    Options.The Master may purchase and write
    (sell), both exchange listed and
    over-the-counter,
    options on commodities or financial instruments. An option is a
    contract allowing, but not requiring, its holder to buy (call)
    or sell (put) a specific or standard commodity or financial
    instrument at a specified price during a specified time period.
    The option premium is the total price paid or received for the
    option contract. When the Master writes an option, the premium
    received is recorded as a liability in the Statements of
    Financial Condition and marked to market daily. When the Master
    purchases an option, the premium paid is recorded as an asset in
    the Statements of Financial Condition and marked to market
    daily. Realized gains (losses) and changes in unrealized gains
    (losses) on options contracts are included in the Statements of
    Income and Expenses.  f.
    Income and Expenses Recognition.All of the
    income and expenses and realized and unrealized gains and losses
    on trading of commodity interests are determined on each
    valuation day and allocated pro rata among the Funds at the time
    of such determination.  g.
    Income Taxes.Income taxes have not been
    provided as each member is individually liable for the taxes, if
    any, on their share of the Masters income and expenses.In 2007, the Master adopted ASC 740, Income Taxes (formerly,
    FAS No. 48, Accounting for Uncertainty in Income
    Taxes). ASC 740 provides guidance for how uncertain tax
    positions should be recognized, measured, presented and
    disclosed in the financial statements. ASC 740 requires the
    evaluation of tax positions taken or expected to be taken in the
    course of preparing the F-35




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
  Masters financial statements to determine whether the tax
    positions are more-likely-than-not to be sustained
    by the applicable tax authority. Tax positions with respect to
    tax at the Master level not deemed to meet the
    more-likely-than-not threshold would be recorded as
    a tax benefit or expense in the current year. The Managing
    Member concluded that no provision for income tax is required in
    the Masters financial statements.  The following is the major tax jurisdiction for the Master and
    the earliest tax year subject to examination: United
    States  2006.h.
    Subsequent Events.In 2009, the Master adopted
    ASC 855, Subsequent Events (formerly,
    FAS No. 165, Subsequent Events). The
    objective of ASC 855 is to establish general standards of
    accounting for and disclosure of events that occur after the
    balance sheet date but before financial statements are issued or
    available to be issued. Management has determined that there
    were no subsequent events requiring adjustment or disclosure in
    the financial statements.  i.
    Recent Accounting Pronouncements.In January
    2010, the FASB issued Accounting Standards Update
    No. 2010-06
    (ASU
    2010-06),
    Improving Disclosures about Fair Value Measurements,
    which, among other things, amends ASC 820 to require entities to
    separately present purchases, sales, issuances, and settlements
    in their reconciliation of Level 3 fair value measurements
    (i.e. to present such items on a gross basis rather than on a
    net basis), and which clarifies existing disclosure requirements
    provided by ASC 820 regarding the level of disaggregation and
    the inputs and valuation techniques used to measure fair value
    for measurements that fall within either Level 2 or
    Level 3 of the fair value hierarchy. ASU
    2010-06 is
    effective for interim and annual periods beginning after
    December 15, 2009, except for the disclosures about
    purchases, sales, issuances, and settlements in the roll forward
    of activity in Level 3 fair value measurements (which are
    effective for fiscal years beginning after December 15,
    2010, and for interim periods within those fiscal years).
    Management is currently assessing the impact that the adoption
    of ASU
    2010-06 will
    have on the Masters financial statements disclosures.  In February 2010, the FASB issued Accounting Standards Update
    No. 2010-09
    (ASU
    2010-09),
    Subsequent Events (Topic 855): Amendments to Certain
    Recognition and Disclosure Requirements, which among other
    things amended ASC 855 to remove the requirement for an SEC
    filer to disclose the date through which subsequent events have
    been evaluated. This change alleviates potential conflicts
    between ASC 855 and the SECs requirements. All of the
    amendments in this update are effective upon issuance of this
    update. Management has included the provisions of these
    amendments in the financial statements.  j.
    Certain prior period amounts have been reclassified to conform
    to current period presentation.  k.
    Net Income (Loss) per Unit.Net income (loss)
    per Unit of Member Interest is calculated in accordance with
    investment company guidance. See footnote 6 for Financial
    Highlights.  3.
    Agreements:  a.
    Limited Liability Company Agreement:The Managing Member administers the business affairs of the
    Master including selecting one or more advisors to make trading
    decisions for the Master.b.
    Management Agreement:The Managing Member, on behalf of the Master has entered into a
    management agreement (the Management Agreement) with
    the Advisor, a registered commodity trading advisor. The Advisor
    is affiliated with the Managing Member and CGM but is not
    responsible for the organization or operation of the Master. The
    Management Agreement provides that the Advisor has sole
    discretion in determining the investment of the assets of the
    Master. All management fees in F-36




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
  connection with the Management Agreement shall be borne by the
    Funds. The Management Agreement may be terminated upon notice by
    either party.  c.
    Customer Agreement:The Master has entered into a customer agreement (the
    Customer Agreement) with CGM whereby CGM provides
    services which include, among other things, the execution of
    transactions for the Masters account in accordance with
    orders placed by the Advisor. All floor brokerage, exchange,
    clearing, user,
    give-up and
    NFA fees (collectively the clearing fees) are borne
    by the Master consistent with contractual agreements. All other
    fees (management fees, administrative fees, incentive fees,
    brokerage commissions and offering costs) shall be borne by the
    Funds. All of the Masters cash is deposited by CGM in
    segregated bank accounts, to the extent required by Commodity
    Futures Trading Commission regulations. At December 31,
    2009 and 2008, the amounts of cash held by the Master for margin
    requirements was $112,350,862 and $90,640,874, respectively. The
    Customer Agreement may be terminated by either party. All
    commissions in connection with the Customer Agreement shall be
    borne by the Funds.  4.
    Trading
    Activities:         F-37




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
    December 31, 2009AssetsFutures and Exchange Cleared Swap ContractsEnergy

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

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

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

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

$
(50,857,890
)*AssetsOptions OwnedEnergy

$
741,495,723Options owned

$
741,495,723
**LiabilitiesOptions WrittenEnergy

$
352,233,900Options written

$
352,233,900
***   *
    
    This amount is in Net unrealized depreciation on open
    futures and exchange cleared swap contracts on the
    Statements of Financial Condition.**
    
    This amount is in Options owned, at fair value on
    the Statements of Financial Condition.***
    
    This amount is in Options written, at fair value on
    the Statements of Financial Condition.    December 31,2009Sector

Gain (loss) from tradingEnergy

$
154,505,739Total

$
154,505,739
****   ****
    
    This amount is in Gain (loss) from trading, net on
    the Statements of Income and Expenses.  5.
    Subscriptions,
    Distributions and Redemptions:   F-38




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
   6.
    Financial
    Highlights:    2009


2008


2007Net realized and unrealized gains (losses)*

$
1,064.16


$
3,469.13


$
618.16Interest income


4.82



30.48



140.84Expenses**


(4.62
)


(5.14
)


(2.60
)Increase (decrease) for the year


1,064.36



3,494.47



756.40Distribution of interest income to feeder funds


(4.83
)


(30.09
)


(139.72
)Net Asset Value per Unit of Member Interest, beginning of year


8,876.52



5,412.14



4,795.46Net Asset Value per Unit of Member Interest, end of year

$
9,936.05


$
8,876.52


$
5,412.14    *
    
    Includes brokerage commissions.**
    
    Excludes brokerage commissions.  Ratio to average net assets:Net investment income (loss)***


(0.3
)%


0.1
%


2.4
%Operating expenses


0.3
%


0.4
%


0.4
%Total return


12.0
%


64.6
%


15.8
%    ***
    
    Interest income less total expenses.    7.
    Financial
    Instrument Risks:  over-the-counter
     F-39




---



##### 



AAA Master
    Fund LLC
    Notes to Financial Statements
    December 31, 2009
         F-40




---



##### 



Selected unaudited quarterly financial data for the Master for the years ended December 31, 2009
and 2008 is summarized below:
 For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2009 to
    
    July 1, 2009 to
    
    April 1, 2009 to
    
    January 1, 2009 toDecember 31, 2009
    
    September 30, 2009
    
    June 30, 2009
    
    March 31, 2009Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees including interest income
    
    $
    9,738,633
    
    
    $
    39,593,130
    
    
    $
    11,578,159
    
    
    $
    90,913,858Net income (loss)
    
    $
    9,596,868
    
    
    $
    39,460,830
    
    
    $
    11,401,249
    
    
    $
    90,736,483Increase
(decrease) in Net Asset Value per Unit
of Member Interest
    
    $
    61.37
    
    
    $
    289.49
    
    
    $
    79.60
    
    
    $
    633.90For the period from
    
    For the period from
    
    For the period from
    
    For the period fromOctober 1, 2008 to
    
    July 1, 2008 to
    
    April 1, 2008 to
    
    January 1, 2008 toDecember 31, 2008
    
    September 30, 2008
    
    June 30, 2008
    
    March 31, 2008Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees including interest income
    
    $
    175,399,992
    
    
    $
    194,086,196
    
    
    $
    163,785,949
    
    
    $
    40,187,178Net income (loss)
    
    $
    175,150,122
    
    
    $
    193,836,326
    
    
    $
    163,573,146
    
    
    $
    40,051,178Increase
(decrease) in Net Asset Value per Unit of Member Interest
    
    $
    1,134.53
    
    
    $
    1,182.02
    
    
    $
    954.68
    
    
    $
    223.24
 F-41




---



##### 



Item 9.
    
    Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
    Item 9A(T).
    
    Controls and Procedures.
    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.
 Financial Statements and Supplementary Data
  Item 9B.
    
    Other Information.
  19




---



##### 



PART III
 Item 10.
    
    Directors, Executive Officers and Corporate Governance.
         Item 11.
    
    Executive Compensation.
 Business Business
 Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters .
 Security ownership of certain beneficial owners
 Security ownership of management
  * Jerry Pascucci
    
    22.6104 Redeemable Units* Jennifer Magro
    
    5.6526 Redeemable Units
     *
    
    No one principal owns more than 1% of Redeemable Units. Changes in control
 Item 13.
    
    Certain Relationships and Related Transactions, and Director Independence.
 Business Financial Statements and
Supplementary Data Executive Compensation
 Item 14.
    
    Principal Accountant Fees and Services.
 Audit Fees
 Deloitte
    
    $  71,700PwC
    
    $283,000KPMG
    
    $  46,400
 20




---



##### 



Audit-Related Fees
 Tax
Fees
 2009
    
    $25,0002008
    
    $23,200
 All Other Fees
   21




---



##### 



PART IV
 Item 15. Exhibits, Financial Statement Schedules .
 (a)(1)
    
    Financial Statements:Statements of Financial Condition at December 31, 2009 and 2008.Statements of Income and Expenses for the years ended December 31, 2009, 2008 and 2007.Statements of Changes in Partners Capital for the years ended December 31, 2009, 2008
and 2007.Notes to Financial Statements(2)
    
    Exhibits
 3.1
    
    Certificate of Limited Partnership of the Partnership as filed in the
Office of the Secretary of State of the State of New York, dated March 21, 2002
(filed as Exhibit 3.1 to the general form for registration of securities on Form 10
filed on May 1, 2003 and incorporated herein by reference).(a)
    
    Certificate of Amendment to the Certificate of Limited Partnership
as filed in the Office of the Secretary of State of the State of New York, dated
May 21, 2003 (filed as Exhibit 3.1(a) to the Form 10-Q filed on November 16, 2009
and incorporated herein by reference).(b)
    
    Certificate of Amendment to the Certificate of Limited Partnership
as filed in the Office of the Secretary of State of the State of New York, dated
September 21, 2005 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November
16, 2009 and incorporated herein by reference).(c)
    
    Certificate of Amendment to the Certificate of Limited Partnership
as filed in the Office of the Secretary of State of the State of New York, dated
September 19, 2008 (filed as Exhibit 3.1(c) to the Form 10-Q filed on November
16, 2009 and incorporated herein by reference).(d)
    
    Certificate of Amendment to the Certificate of Limited Partnership
as filed in the Office of the Secretary of State of the State of New York, dated
August 27, 2008 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on
September 2, 2008 and incorporated herein by reference).(e)
    
    Certificate of Amendment to the Certificate of Limited Partnership
as filed in the Office of the Secretary of State of the State of New York, dated
September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed
on September 30, 2009 and incorporated herein by reference).3.2
    
    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 as Exhibit 10.2 to the Form 10-Q
filed on November 16, 2009 and incorporated herein by reference).10.3
    
    Management Agreement among the Partnership, Citigroup Managed Futures LLC
and AAA Capital Management Advisors, Ltd., dated April 3, 2006 (filed as Exhibit 10.3
to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference).(a)
    
    Letter from the General Partner extending Management Agreements for
2009, dated June 9, 2009 (filed herein).10.4
    
    Amended and Restated Agency Agreement among the Partnership, Ceres Managed
Futures LLC, Morgan Stanley Smith Barney LLC, and Citigroup Global Markets Inc.,
dated November 11, 2009 (filed as Exhibit 10.4 to the Form 10-Q filed on November 16,
2009 and incorporated herein by reference).
 16.1
    
    Letter from KPMG LLP (filed as Exhibit 16.1 to the Form 8-K filed on July
1, 2008 and incorporated herein by reference).16.2
    
    Letter from Pricewaterhouse Coopers LLP (filed as Exhibit 16.1 to the Form
8-K filed on July 23, 2009 and incorporated herein by reference).
      22




---



##### 



SIGNATURES
     By:
    Ceres Managed Futures LLC    By:
    /s/  Jerry
    Pascucci  
   /s/  Jerry
    PascucciJerry
    Pascucci
    President and DirectorCeres Managed Futures LLC

/s/  Shelley Deavitt
    UllmanShelley Deavitt
    Ullman
    DirectorCeres Managed Futures LLC/s/  Jennifer
    Magro




Jennifer
    Magro
    Chief Financial Officer and
    Director
(Principal Accounting Officer)Ceres Managed Futures LLC

/s/  Daryl
    DewbreyDaryl
    Dewbrey
    DirectorCeres Managed Futures LLC/s/  Raymond
    NolteRaymond
    Nolte
    Director Ceres Managed Futures LLC Supplemental Information to be Furnished With Reports Filed Pursuant to Section 15(d) of the Act by
Registrants Which Have Not Registered Securities Pursuant to Section 12 of the Act.
   23