Table of Contents

FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

(X) QUARTERLY REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

OR ( ) TRANSITIONREPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGEACT OF 1934

For the Quarter endedJune 30, 2006

Commission File Number000-51282

CITIGROUP FAIRFIELD FUTURES FUNDL.P. II

|  |
|--|
|  |  |
|  |

(Exact name ofregistrant as specified in its charter)

|                                |  |  |                    |
|--------------------------------|--|--|--------------------|
| NewYork                        |  |  | 56-2421596         |
| (State or otherjurisdiction of |  |  | (I.R.S. Employer   |
| incorporation or organization) |  |  | IdentificationNo.) |
|                                |

c/o Citigroup Managed Futures LLC 731Lexington Ave. — 25th Floor New York, New York10022

|  |
|--|
|  |  |
|  |

(Address and ZipCode of principal executive offices)

(212)559-2011

|  |
|--|
|  |  |
|  |

(Registrant'stelephone number, including area code)

Indicate by checkmark whether the registrant (1) has filed all reports required to befiled by Section 13 or 15(d) of the Securities Exchange Act of 1934during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subjectto such filing requirements for the past 90 days.

YesX     No     

Indicate by checkmark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of‘‘accelerated filer and large acceleratedfiler’’ in Rule 12b-2 of the Exchange Act. (Check one)

Large accelerated filer        Accelerated filer         Non-accelerated filer X

Indicate by check mark whetherthe registrant is a shell company (as defined in rule 12b-2 of theExchange  Act).

Yes         NoX

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Table of Contents

CITIGROUP FAIRFIELDFUTURES FUND L.P. II

FORM 10-Q

INDEX

|                               |  |  |                                                                                                                           |  |  |                             |
|-------------------------------|--|--|---------------------------------------------------------------------------------------------------------------------------|--|--|-----------------------------|
| PARTI - FinancialInformation: |  |  | PageNumber                                                                                                                |
| Item1.                        |  |  | FinancialStatements:                                                                                                      |  |  |                        |
|                          |  |  | Statements of FinancialConditionat June 30, 2006 and December 31,2005(unaudited).                                         |  |  | 3                           |
|                          |  |  | CondensedSchedules of Investmentsat June 30, 2006 and December 31,2005(unaudited).                                        |  |  | 4 –5                  |
|                          |  |  | Statements of Income and ExpensesandPartners' Capital for the three and six months ended June 30,2006 and 2005(unaudited) |  |  | 6                           |
|                          |  |  | Statementsof Cash Flows for the three and six months ended June 30, 2006 and2005(unaudited).                              |  |  | 7                           |
|                          |  |  | Notesto Financial Statements,including the Financial Statements ofCMF Graham Master Fund L.P.(unaudited)                  |  |  | 8 – 16  |
| Item2.                        |  |  | Management's Discussion andAnalysis of FinancialConditionand Results ofOperations.                                        |  |  | 17 – 19 |
| Item3.                        |  |  | Quantitative and QualitativeDisclosures about MarketRisk                                                                  |  |  | 20 – 21 |
| Item4.                        |  |  | Controls andProcedures.                                                                                                   |  |  | 22                          |
| PARTII - OtherInformation     |  |  | 23                                                                                                                        |
|                               |

2

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Table of Contents

PART I

Item1.    Financial Statements

Citigroup Fairfield Futures FundL.P. IIStatements of FinancialCondition(Unaudited)

|                                                                                                                                        |  |  |              |   |            |                 |  |  |  |   |            |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--|--------------|---|------------|-----------------|--|--|--|---|------------|--|
|                                                                                                                                   |  |  | June30, 2006 |   |            | December31,2005 |
| Assets:                                                                                                                                |  |  |              |   |       |                 |  |  |  |   |       |  |
| InvestmentinMaster                                                                                                                     |  |  |              | $ | 74,737,159 |                 |  |  |  | $ | —    |  |
| Equityin commodity futures tradingaccount:                                                                                             |  |  |              |   |       |                 |  |  |  |   |       |  |
| Cash (restricted$0 and $4,363,860 in 2006 and 2005,respectively)                                                                       |  |  |              |   | 116,302    |                 |  |  |  |   | 77,422,488 |  |
| Unrealizedappreciation on open forwardcontracts                                                                                        |  |  |              |   | 5,880      |                 |  |  |  |   | 3,298,568  |  |
|                                                                                                                                   |  |  |              |   | 74,859,341 |                 |  |  |  |   | 80,721,056 |  |
| Interestreceivable                                                                                                                     |  |  |              |   | —    |                 |  |  |  |   | 30,485     |  |
|                                                                                                                                   |  |  |              | $ | 74,859,341 |                 |  |  |  | $ | 80,751,541 |  |
| Liabilitiesand Partners'Capital:                                                                                                       |  |  |              |   |       |                 |  |  |  |   |       |  |
| Liabilities:                                                                                                                           |  |  |              |   |       |                 |  |  |  |   |       |  |
| Netunrealized depreciation on open futurespositions                                                                                    |  |  |              | $ | —    |                 |  |  |  | $ | 78,814     |  |
| Unrealizeddepreciation on open forwardcontracts                                                                                        |  |  |              |   | 2,376      |                 |  |  |  |   | 2,216,527  |  |
| Accruedexpenses:                                                                                                                       |  |  |              |   |       |                 |  |  |  |   |       |  |
| Brokeragecommissions                                                                                                                   |  |  |              |   | 280,714    |                 |  |  |  |   | 299,840    |  |
| Managementfees                                                                                                                         |  |  |              |   | 124,252    |                 |  |  |  |   | 132,652    |  |
| Administrativefees                                                                                                                     |  |  |              |   | 31,063     |                 |  |  |  |   | 33,163     |  |
| Other                                                                                                                                  |  |  |              |   | 24,903     |                 |  |  |  |   | 59,157     |  |
| Dueto CGM for offeringcosts                                                                                                            |  |  |              |   | —    |                 |  |  |  |   | 10,451     |  |
| Redemptionspayable                                                                                                                     |  |  |              |   | 1,522,524  |                 |  |  |  |   | 2,474,663  |  |
|                                                                                                                                   |  |  |              |   | 1,985,832  |                 |  |  |  |   | 5,305,267  |  |
| Partners'Capital:                                                                                                                      |  |  |              |   |       |                 |  |  |  |   |       |  |
| General Partner,724.0407 Unit equivalents outstanding in 2006 and2005                                                                  |  |  |              |   | 586,690    |                 |  |  |  |   | 577,858    |  |
| SpecialLimited Partner, 100.0000 Redeemable Units of Limited PartnershipInterest Outstanding in 2006 and2005                           |  |  |              |   | 81,030     |                 |  |  |  |   | 79,803     |  |
| LimitedPartners, 89,109.6769 and 93,717.1815 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005,respectively |  |  |              |   | 72,205,789 |                 |  |  |  |   | 74,788,613 |  |
|                                                                                                                                   |  |  |              |   | 72,873,509 |                 |  |  |  |   | 75,446,274 |  |
|                                                                                                                                   |  |  |              | $ | 74,859,341 |                 |  |  |  | $ | 80,751,541 |  |
|                                                                                                                                        |

Seeaccompanying Notes to Financial Statements.

3

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Citigroup Fairfield Futures Fund L.P.IICondensed Schedule of InvestmentsJune 30,2006(Unaudited)

|                                                  |  |  |           |   |        |                      |  |  |  |  |        |    |
|--------------------------------------------------|--|--|-----------|---|--------|----------------------|--|--|--|--|--------|----|
|                                             |  |  | FairValue |   |        | % ofPartners'Capital |
| UnrealizedAppreciation on ForwardContracts       |  |  |           |   |   |                      |  |  |  |  |   |    |
| Metals                                           |  |  |           | $ | 5,880  |                      |  |  |  |  | 0.01   | %  |
| Totalunrealized appreciation on forwardcontracts |  |  |           |   | 5,880  |                      |  |  |  |  | 0.01   |    |
| UnrealizedDepreciation on ForwardContracts       |  |  |           |   |   |                      |  |  |  |  |   |    |
| Metals                                           |  |  |           |   | (2,376 | )                    |  |  |  |  | (0.00  | )* |
| Totalunrealized depreciation on forwardcontracts |  |  |           |   | (2,376 | )                    |  |  |  |  | (0.00  | )  |
| Totalfairvalue                                   |  |  |           | $ | 3,504  |                      |  |  |  |  | 0.01   | %  |
|                                                  |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentagesare based on Partners' Capital unless otherwiseindicated. |

|  |                              |
|--|------------------------------|
|  | *  Due torounding. |

4

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Citigroup Fairfield Futures Fund L.P.IICondensed Schedule of InvestmentsDecember 31,2005(Unaudited)

|                                                   |  |  |           |   |            |                      |  |  |  |  |        |     |
|---------------------------------------------------|--|--|-----------|---|------------|----------------------|--|--|--|--|--------|-----|
| FuturesContracts Purchased                        |  |  | FairValue |   |            | % ofPartners'Capital |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |     |
| Grains                                            |  |  |           | $ | (1,063     | )                    |  |  |  |  | (0.00  | )%* |
| Interest Rates Non-U.S.                           |  |  |           |   | 90,201     |                      |  |  |  |  | 0.12   |     |
| Interest Rates U.S.                               |  |  |           |   | (34,076    | )                    |  |  |  |  | (0.05  | )   |
| Indices                                           |  |  |           |   | 25,032     |                      |  |  |  |  | 0.03   |     |
| Livestock                                         |  |  |           |   | (6,181     | )                    |  |  |  |  | (0.01  | )   |
| Metals                                            |  |  |           |   | (8,050     | )                    |  |  |  |  | (0.01  | )   |
| Softs                                             |  |  |           |   | 35,291     |                      |  |  |  |  | 0.05   |     |
| Total futures contractspurchased                  |  |  |           |   | 101,154    |                      |  |  |  |  | 0.13   |     |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |     |
| FuturesContractsSold                              |  |  |           |   |       |                      |  |  |  |  |   |     |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |     |
| Energy                                            |  |  |           |   | 14,530     |                      |  |  |  |  | 0.02   |     |
| Grains                                            |  |  |           |   | (26,835    | )                    |  |  |  |  | (0.04  | )   |
| Indices                                           |  |  |           |   | 6,272      |                      |  |  |  |  | 0.01   |     |
| Interest Rates Non-U.S.                           |  |  |           |   | 13,507     |                      |  |  |  |  | 0.02   |     |
| Interest Rates U.S.                               |  |  |           |   | (94,103    | )                    |  |  |  |  | (0.13  | )   |
| Softs                                             |  |  |           |   | (93,339    | )                    |  |  |  |  | (0.12  | )   |
| Total futures contractssold                       |  |  |           |   | (179,968   | )                    |  |  |  |  | (0.24  | )   |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |     |
| Unrealized Appreciation onForwardContracts        |  |  |           |   |       |                      |  |  |  |  |   |     |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |     |
| Currencies                                        |  |  |           |   | 1,104,499  |                      |  |  |  |  | 1.46   |     |
| Metals                                            |  |  |           |   | 2,194,069  |                      |  |  |  |  | 2.91   |     |
| Total unrealized appreciation on forwardcontracts |  |  |           |   | 3,298,568  |                      |  |  |  |  | 4.37   |     |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |     |
| Unrealized Depreciation onForwardContracts        |  |  |           |   |       |                      |  |  |  |  |   |     |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |     |
| Currencies                                        |  |  |           |   | (749,945   | )                    |  |  |  |  | (0.99  | )   |
| Metals                                            |  |  |           |   | (1,466,582 | )                    |  |  |  |  | (1.94  | )   |
| Total unrealized depreciation on forwardcontracts |  |  |           |   | (2,216,527 | )                    |  |  |  |  | (2.93  | )   |
| Total Fair Value                                  |  |  |           | $ | 1,003,227  |                      |  |  |  |  | 1.33   | %   |
|                                                   |

Percentages are based onPartners' Capital unless otherwiseindicated.

|   |                 |
|---|-----------------|
| * | Due torounding. |

See accompanying Notes to FinancialStatements.

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Citigroup Fairfield Futures Fund L.P.IIStatements of Income and Expenses and Partners'Capital(Unaudited)

|                                                                                                                                        |  |  |                           |   |            |                         |  |  |      |   |            |      |  |  |  |   |             |   |  |  |  |   |             |   |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--|---------------------------|---|------------|-------------------------|--|--|------|---|------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                                                                   |  |  | ThreeMonths EndedJune 30, |   |            | Six Months EndedJune30, |
|                                                                                                                                   |  |  | 2006                      |   |            | 2005                    |  |  | 2006 |   |            | 2005 |
| Income:                                                                                                                                |  |  |                           |   |       |                         |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Realized gains(losses) on closed positions allocated fromMaster                                                                        |  |  |                           | $ | (1,511,549 | )                       |  |  |      | $ | —    |      |  |  |  | $ | (1,511,549  | ) |  |  |  | $ | —     |   |
| Change inunrealized gains (losses) on open positions allocated fromMaster                                                              |  |  |                           |   | 357,770    |                         |  |  |      |   | —    |      |  |  |  |   | 357,770     |   |  |  |  |   | —     |   |
| Interest income allocated fromMaster                                                                                                   |  |  |                           |   | 227,122    |                         |  |  |      |   | —    |      |  |  |  |   | 227,122     |   |  |  |  |   | —     |   |
| Expenses allocated fromMaster                                                                                                          |  |  |                           |   | (24,204    | )                       |  |  |      |   | —    |      |  |  |  |   | (24,204     | ) |  |  |  |   | —     |   |
| Net gains(losses) on trading of commodityfutures:                                                                                      |  |  |                           |   |       |                         |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Realizedgains (losses) on closed positions                                                                                             |  |  |                           |   | 3,448,964  |                         |  |  |      |   | (5,162,261 | )    |  |  |  |   | 4,795,363   |   |  |  |  |   | (8,335,107  | ) |
| Change in unrealized gains (losses) on openpositions                                                                                   |  |  |                           |   | (2,124,061 | )                       |  |  |      |   | 2,517,538  |      |  |  |  |   | (999,723    | ) |  |  |  |   | (1,365,770  | ) |
|                                                                                                                                   |  |  |                           |   | 374,042    |                         |  |  |      |   | (2,644,723 | )    |  |  |  |   | 2,844,779   |   |  |  |  |   | (9,700,877  | ) |
| Interestincome                                                                                                                         |  |  |                           |   | 532,910    |                         |  |  |      |   | 454,321    |      |  |  |  |   | 1,181,112   |   |  |  |  |   | 832,106     |   |
|                                                                                                                                   |  |  |                           |   | 906,952    |                         |  |  |      |   | (2,190,402 | )    |  |  |  |   | 4,025,891   |   |  |  |  |   | (8,868,771  | ) |
| Expenses:                                                                                                                              |  |  |                           |   |       |                         |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Brokeragecommissions including clearing fees of $40,195, $10,547, $64,859 and$24,544 respectively                                      |  |  |                           |   | 920,532    |                         |  |  |      |   | 962,561    |      |  |  |  |   | 1,817,696   |   |  |  |  |   | 1,953,647   |   |
| Managementfees                                                                                                                         |  |  |                           |   | 387,878    |                         |  |  |      |   | 391,938    |      |  |  |  |   | 763,185     |   |  |  |  |   | 793,522     |   |
| Administrative fees                                                                                                                    |  |  |                           |   | 96,970     |                         |  |  |      |   | 97,984     |      |  |  |  |   | 190,797     |   |  |  |  |   | 198,380     |   |
| Other                                                                                                                                  |  |  |                           |   | 29,056     |                         |  |  |      |   | 33,602     |      |  |  |  |   | 63,229      |   |  |  |  |   | 69,857      |   |
|                                                                                                                                   |  |  |                           |   | 1,434,436  |                         |  |  |      |   | 1,486,085  |      |  |  |  |   | 2,834,907   |   |  |  |  |   | 3,015,406   |   |
| Net income(loss)                                                                                                                       |  |  |                           |   | (527,484   | )                       |  |  |      |   | (3,676,487 | )    |  |  |  |   | 1,190,984   |   |  |  |  |   | (11,884,177 | ) |
| Additions – LimitedPartners                                                                                                      |  |  |                           |   | 5,342,000  |                         |  |  |      |   | 5,981,000  |      |  |  |  |   | 7,978,000   |   |  |  |  |   | 15,021,000  |   |
| Redemptions – LimitedPartners                                                                                                    |  |  |                           |   | (4,774,782 | )                       |  |  |      |   | (2,855,529 | )    |  |  |  |   | (11,741,749 | ) |  |  |  |   | (5,596,476  | ) |
| Net increase (decrease) in Partners'Capital                                                                                            |  |  |                           |   | 39,734     |                         |  |  |      |   | (551,016   | )    |  |  |  |   | (2,572,765  | ) |  |  |  |   | (2,459,653  | ) |
| Partners' Capital, beginning ofperiod                                                                                                  |  |  |                           |   | 72,833,775 |                         |  |  |      |   | 79,800,415 |      |  |  |  |   | 75,446,274  |   |  |  |  |   | 81,709,052  |   |
| Partners'Capital, end of period                                                                                                        |  |  |                           | $ | 72,873,509 |                         |  |  |      | $ | 79,249,399 |      |  |  |  | $ | 72,873,509  |   |  |  |  | $ | 79,249,399  |   |
| Net asset value per Redeemable Unit (89,933.7176 and 100,896.8964 Redeemable Units outstanding at June 30, 2006 and 2005,respectively) |  |  |                           | $ | 810.30     |                         |  |  |      | $ | 785.45     |      |  |  |  | $ | 810.30      |   |  |  |  | $ | 785.45      |   |
| Net income (loss) per Redeemable Unitof Limited Partnership Interest and General Partner Unitequivalent                                |  |  |                           | $ | (6.51      | )                       |  |  |      | $ | (37.27     | )    |  |  |  | $ | 12.27       |   |  |  |  | $ | (122.19     | ) |
| Redemption Net asset value perunit                                                                                                     |  |  |                           | $ | 810.30     |                         |  |  |      | $ | 785.72     |      |  |  |  | $ | 810.30      |   |  |  |  | $ | 785.72      |   |
|                                                                                                                                        |

Seeaccompanying Notes to Financial Statements.

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Table of Contents

Citigroup Fairfield Futures Fund L.P.IIStatements of CashFlow(Unaudited)

|                                                                                                  |  |  |                   |   |             |                 |  |  |      |   |            |      |  |  |  |   |             |   |  |  |  |   |             |   |
|--------------------------------------------------------------------------------------------------|--|--|-------------------|---|-------------|-----------------|--|--|------|---|------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                             |  |  | ThreeMonths Ended |   |             | Six MonthsEnded |
|                                                                                             |  |  | June30,           |   |             | June30,         |
|                                                                                             |  |  | 2006              |   |             | 2005            |  |  | 2006 |   |            | 2005 |
| Cash flows from operatingactivities:                                                             |  |  |                   |   |        |                 |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Netincome(loss)                                                                                  |  |  |                   | $ | (527,484    | )               |  |  |      | $ | (3,676,487 | )    |  |  |  | $ | 1,190,984   |   |  |  |  | $ | (11,884,177 | ) |
| Adjustments toreconcile net income (loss) to net cash provided by (used in) operatingactivities: |  |  |                   |   |        |                 |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Interest Income allocated fromMaster                                                             |  |  |                   |   | (227,122    | )               |  |  |      |   | —    |      |  |  |  |   | (227,122    | ) |  |  |  |   | —     |   |
| Changes in operatingassets andliabilities:                                                       |  |  |                   |   |        |                 |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Purchaseof Investment in Master                                                                  |  |  |                   |   | (75,688,021 | )               |  |  |      |   | —    |      |  |  |  |   | (75,688,021 | ) |  |  |  |   | —     |   |
| Netunrealized (appreciation) depreciation on Investment inMaster                                 |  |  |                   |   | 1,177,984   |                 |  |  |      |   | —    |      |  |  |  |   | 1,177,984   |   |  |  |  |   | —     |   |
| (Increase) decrease in restrictedcash                                                            |  |  |                   |   | 9,088,209   |                 |  |  |      |   | (2,668,420 | )    |  |  |  |   | 4,363,860   |   |  |  |  |   | 907,505     |   |
| (Increase) decrease in netunrealized appreciation on open futurespositions                       |  |  |                   |   | 1,990,365   |                 |  |  |      |   | (1,096,765 | )    |  |  |  |   | —     |   |  |  |  |   | 311,486     |   |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                           |  |  |                   |   | 2,163,422   |                 |  |  |      |   | (1,039,779 | )    |  |  |  |   | 3,292,688   |   |  |  |  |   | 1,427,287   |   |
| (Increase) decrease ininterest receivable                                                        |  |  |                   |   | 78,690      |                 |  |  |      |   | 2,465      |      |  |  |  |   | 30,485      |   |  |  |  |   | (34,777     | ) |
| Increase(decrease) in net unrealized depreciation on open futurespositions                       |  |  |                   |   | —     |                 |  |  |      |   | (546,252   | )    |  |  |  |   | (78,814     | ) |  |  |  |   | —     |   |
| Increase (decrease) in unrealized depreciation on openforward contracts                          |  |  |                   |   | (2,029,726  | )               |  |  |      |   | 165,258    |      |  |  |  |   | (2,214,151  | ) |  |  |  |   | (373,003    | ) |
| Accruedexpenses:                                                                                 |  |  |                   |   |        |                 |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Increase(decrease) in brokeragecommissions                                                       |  |  |                   |   | (1,597      | )               |  |  |      |   | (11,978    | )    |  |  |  |   | (19,126     | ) |  |  |  |   | (21,246     | ) |
| Increase (decrease) in managementfees                                                            |  |  |                   |   | (593        | )               |  |  |      |   | (5,242     | )    |  |  |  |   | (8,400      | ) |  |  |  |   | (9,409      | ) |
| Increase (decrease) in administrativefees                                                        |  |  |                   |   | (148        | )               |  |  |      |   | (1,311     | )    |  |  |  |   | (2,100      | ) |  |  |  |   | (2,352      | ) |
| Increase (decrease) in due toCGM                                                                 |  |  |                   |   | (152        | )               |  |  |      |   |       |      |  |  |  |   | (10,451     | ) |  |  |  |   |        |   |
| Increase(decrease) inother                                                                       |  |  |                   |   | (68,358     | )               |  |  |      |   | (20,611    | )    |  |  |  |   | (34,254     | ) |  |  |  |   | 15,191      |   |
| Net cash provided by (used in) operatingactivities                                               |  |  |                   |   | (64,044,531 | )               |  |  |      |   | (8,899,122 | )    |  |  |  |   | (68,226,438 | ) |  |  |  |   | (9,663,495  | ) |
| Cash flows from financingactivities:                                                             |  |  |                   |   |        |                 |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Proceedsfrom additions – Limited Partners                                                  |  |  |                   |   | 5,342,000   |                 |  |  |      |   | 5,981,000  |      |  |  |  |   | 7,978,000   |   |  |  |  |   | 15,021,000  |   |
| Payments for offering costs                                                                      |  |  |                   |   | —     |                 |  |  |      |   | (9,691     | )    |  |  |  |   | —     |   |  |  |  |   | (18,131     | ) |
| Payments for redemptions – Limited Partners                                                |  |  |                   |   | (5,169,297  | )               |  |  |      |   | (2,782,993 | )    |  |  |  |   | (12,693,888 | ) |  |  |  |   | (6,282,418  | ) |
| Net cash provided by (used in)financing activities                                               |  |  |                   |   | 172,703     |                 |  |  |      |   | 3,188,316  |      |  |  |  |   | (4,715,888  | ) |  |  |  |   | 8,720,451   |   |
| Net change incash                                                                                |  |  |                   |   | (63,871,828 | )               |  |  |      |   | (5,710,806 | )    |  |  |  |   | (72,942,326 | ) |  |  |  |   | (943,044    | ) |
| Unrestricted cash, at beginning ofperiod                                                         |  |  |                   |   | 63,988,130  |                 |  |  |      |   | 75,566,764 |      |  |  |  |   | 73,058,628  |   |  |  |  |   | 70,799,002  |   |
| Unrestricted cash, at end ofperiod                                                               |  |  |                   | $ | 116,302     |                 |  |  |      | $ | 69,855,958 |      |  |  |  | $ | 116,302     |   |  |  |  | $ | 69,855,958  |   |
|                                                                                                  |

Seeaccompanying Notes to FinancialStatements.

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Table of Contents

Citigroup FairfieldFutures Fund L.P. II Notes to Financial Statements June 30,2006 (Unaudited)

1.    General:

CitigroupFairfield Futures Fund L.P. II (the‘‘Partnership’’) is a limited partnership whichwas organized on December 18, 2003 under the partnership laws of theState of New York to engage in the speculative trading of a diversifiedportfolio of commodity interests including futures contracts, optionsand forward contracts. The commodity interests that are traded by thePartnership are volatile and involve a high degree of market risk.

During the initial offering period (January 12, 2004 throughMarch  12, 2004), the Partnership sold 28,601 redeemable units ofLimited Partnership Interest (‘‘RedeemableUnits’’) and 285 Units of General Partnership Interest. ThePartnership commenced trading on March 15, 2004.

CitigroupManaged Futures LLC acts as the general partner (the‘‘General Partner’’) of the Partnership. ThePartnership's commodity broker is Citigroup Global Markets Inc.(‘‘CGM’’), CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. (‘‘CGMHI’’), which is thesole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.As of June 30, 2006, all trading decisions for the Partnership are madeby Graham Capital Management, L.P. (the‘‘Advisor’’).

Effective June 1, 2006,the Partnership allocated substantially all of its capital to CMFGraham Master Fund L.P. (the ‘‘Master’’), alimited partnership organized under the partnership laws of the Stateof New York. The partnership purchased 74,569.3761 Units of the Masterwith cash equal to $75,688,021. The Master was formed in order topermit accounts managed by Graham Capital Management L.P. (the‘‘Advisor’’) using the Global DiversifiedProgram, to invest together in one trading vehicle. The General Partnerof the Partnership is the general partner of the Master. Individual andpooled accounts currently managed by the Advisor, including thePartnership are permitted to be limited partners of the Master. TheGeneral Partner and the Advisor believe that trading through thismaster/feeder structure promotes efficiency and economy in the tradingprocess. Expenses to investors as a result of the investment in theMaster are approximately the same and redemption rights are notaffected.

As of June 30, 2006 the Partnership ownedapproximately 30.1% of the Master. It is the Partnership'sintention to continue to invest substantially all of its assets in theMaster. The performance of the Partnership is directly affected by theperformance of the Master. The Masters' Statement of FinancialCondition, Statement of Income and Expenses and Partner'sCapital, Condensed Schedule of Investments and Statement of Cash Flowsare included herein.

The accompanying financial statements areunaudited but, in the opinion of management, include all adjustments,consisting only of normal recurring adjustments, necessary for a fairpresentation of the Partnership's financial condition at June 30,2006 and December 31, 2005 and the results of its operations and cashflows for the three and six months ended June 30, 2006 and 2005. Thesefinancial statements present the results of interim periods and do notinclude all disclosures normally provided in annual financialstatements. You should read these financial statements together withthe financial statements and notes included in the Partnership'sAnnual Report for the year ended December 31, 2005.

Due to thenature of commodity trading, the results of operations for the interimperiods presented should not be considered indicative of the resultsthat may be expected for the entire year.

The Master'sStatement of Financial Condition and Condensed Schedule of Investmentsas of  June 30, 2006 and Statement of Income and Expenses andPartners' Capital and Statement of Cash Flows for the periodApril 1, 2006 (commencement of trading operations) to June 30, 2006 arepresented below.

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Citigroup Fairfield Futures Fund L.P.IINotes to Financial StatementsJune 30,2006(Unaudited)

CMF Graham Master Fund L.P.Statementof Financial Condition(Unaudited)

|                                                          |  |  |             |   |             |  |
|----------------------------------------------------------|--|--|-------------|---|-------------|--|
|                                                     |  |  | June30,2006 |
| Assets:                                                  |  |  |             |   |        |  |
| Equityin commodity futures trading account:              |  |  |             |   |        |  |
| Cash(restricted $15,777,906)                             |  |  |             | $ | 246,176,333 |  |
| Netunrealized appreciation on open futurespositions      |  |  |             |   | 1,415,207   |  |
| Unrealized appreciationon open forward contracts         |  |  |             |   | 2,905,434   |  |
| Interestreceivable                                       |  |  |             |   | 758,921     |  |
|                                                     |  |  |             | $ | 251,255,895 |  |
| Liabilities andPartners'Capital:                         |  |  |             |   |        |  |
| Liabilities:                                             |  |  |             |   |        |  |
| Unrealizeddepreciation on open forward contracts         |  |  |             | $ | 3,037,922   |  |
| Accruedexpenses:                                         |  |  |             |   |        |  |
| Other                                                    |  |  |             |   | 7,314       |  |
| Distributionpayable                                      |  |  |             |   | 758,921     |  |
|                                                     |  |  |             |   | 3,804,157   |  |
| Partners'Capital:                                        |  |  |             |   |        |  |
| Partners' Capital,247,648.8030 units outstanding in 2006 |  |  |             |   | 247,451,738 |  |
|                                                     |  |  |             | $ | 251,255,895 |  |
|                                                          |

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Citigroup Fairfield Futures Fund L.P.II Condensed Schedule of Investments June 30, 2006(Unaudited)

CMF Graham Master Fund L.P. CondensedSchedule of Investments June 30, 2006 (Unaudited)

|                                                  |  |  |           |   |            |                      |  |  |  |  |        |   |
|--------------------------------------------------|--|--|-----------|---|------------|----------------------|--|--|--|--|--------|---|
| FuturesContracts Purchased                       |  |  | FairValue |   |            | % ofPartners'Capital |
| Energy                                           |  |  |           | $ | 77,170     |                      |  |  |  |  | 0.03   | % |
| Grains                                           |  |  |           |   | 86,825     |                      |  |  |  |  | 0.04   |   |
| Indices                                          |  |  |           |   | 164,455    |                      |  |  |  |  | 0.07   |   |
| Totalfutures contractspurchased                  |  |  |           |   | 328,450    |                      |  |  |  |  | 0.14   |   |
|                                             |  |  |           |   |       |                      |  |  |  |  |   |   |
| FuturesContractsSold                             |  |  |           |   |       |                      |  |  |  |  |   |   |
| Energy                                           |  |  |           |   | 269,781    |                      |  |  |  |  | 0.11   |   |
| Grains                                           |  |  |           |   | 10,803     |                      |  |  |  |  | 0.00   | * |
| Indices                                          |  |  |           |   | 61,066     |                      |  |  |  |  | 0.03   |   |
| InterestRates U.S.                               |  |  |           |   | 276,739    |                      |  |  |  |  | 0.11   |   |
| InterestRatesNon-U.S.                            |  |  |           |   | 381,109    |                      |  |  |  |  | 0.15   |   |
| Softs                                            |  |  |           |   | 87,259     |                      |  |  |  |  | 0.04   |   |
| Totalfutures contractssold                       |  |  |           |   | 1,086,757  |                      |  |  |  |  | 0.44   |   |
|                                             |  |  |           |   |       |                      |  |  |  |  |   |   |
| UnrealizedAppreciation on ForwardContracts       |  |  |           |   |       |                      |  |  |  |  |   |   |
| Currencies                                       |  |  |           |   | 2,890,480  |                      |  |  |  |  | 1.16   |   |
| Metals                                           |  |  |           |   | 14,954     |                      |  |  |  |  | 0.01   |   |
| Totalunrealized appreciation on forwardcontracts |  |  |           |   | 2,905,434  |                      |  |  |  |  | 1.17   |   |
|                                             |  |  |           |   |       |                      |  |  |  |  |   |   |
| UnrealizedDepreciation on ForwardContracts       |  |  |           |   |       |                      |  |  |  |  |   |   |
| Currencies                                       |  |  |           |   | (2,975,107 | )                    |  |  |  |  | (1.20  | ) |
| Metals                                           |  |  |           |   | (62,815    | )                    |  |  |  |  | (0.03  | ) |
| Totalunrealized depreciation on forwardcontracts |  |  |           |   | (3,037,922 | )                    |  |  |  |  | (1.23  | ) |
|                                             |  |  |           |   |       |                      |  |  |  |  |   |   |
| Totalfairvalue                                   |  |  |           | $ | 1,282,719  |                      |  |  |  |  | 0.52   | % |
|                                                  |

Percentagesare based on Partners' Capital of the Master unless otherwiseindicated.

* Due torounding.

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements June 30, 2006(Unaudited)

CMF Graham Master Fund L.P. Statements ofIncome and Expenses and Partners' Capital(Unaudited)

|                                                                                               |  |  |                                                                            |   |             |   |
|-----------------------------------------------------------------------------------------------|--|--|----------------------------------------------------------------------------|---|-------------|---|
|                                                                                          |  |  | Forthe Period April 1, 2006 (commencement of tradingoperations) to June30, |
|                                                                                          |  |  | 2006                                                                       |
| Income:                                                                                       |  |  |                                                                            |   |        |   |
| Netgains (losses) on trading of commodityinterests:                                           |  |  |                                                                            |   |        |   |
| Realized gains (losses)on closedpositions                                                     |  |  |                                                                            | $ | (4,153,343  | ) |
| Change inunrealized gains (losses) on openpositions                                           |  |  |                                                                            |   | 1,282,719   |   |
|                                                                                          |  |  |                                                                            |   | (2,870,624  | ) |
| Interestincome                                                                                |  |  |                                                                            |   | 1,226,052   |   |
|                                                                                          |  |  |                                                                            |   | (1,644,572  | ) |
| Expenses:                                                                                     |  |  |                                                                            |   |        |   |
| Brokeragecommissions including clearing fees of $65,966respectively                           |  |  |                                                                            |   | 113,941     |   |
| Other                                                                                         |  |  |                                                                            |   | 7,500       |   |
|                                                                                          |  |  |                                                                            |   | 121,441     |   |
| Netloss                                                                                       |  |  |                                                                            |   | (1,766,013  | ) |
|                                                                                          |  |  |                                                                            |   |        |   |
| Additions– LimitedPartners                                                              |  |  |                                                                            |   | 258,835,073 |   |
| Redemptions– LimitedPartners                                                            |  |  |                                                                            |   | (8,391,270  | ) |
| Distribution ofInterest to feederfunds                                                        |  |  |                                                                            |   | (1,226,052  | ) |
| Netincrease (decrease) in Partners'Capital                                                    |  |  |                                                                            |   | 247,451,378 |   |
| Partners'Capital, beginning ofperiod                                                          |  |  |                                                                            |   | —     |   |
| Partners'Capital, end ofperiod                                                                |  |  |                                                                            | $ | 247,451,738 |   |
|                                                                                          |  |  |                                                                            |   |        |   |
| Netasset value per Redeemable Unit (247,648.8030 Redeemable Unitsoutstanding at June 30,2006) |  |  |                                                                            | $ | 999.20      |   |
|                                                                                          |  |  |                                                                            |   |        |   |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest                          |  |  |                                                                            | $ | 0.80        |   |
|                                                                                               |

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements June 30, 2006(Unaudited)

CMF Graham Master Fund L.P. Statement of CashFlows(Unaudited)

|                                                                                                 |  |  |                                                                            |   |             |   |
|-------------------------------------------------------------------------------------------------|--|--|----------------------------------------------------------------------------|---|-------------|---|
|                                                                                            |  |  | Forthe Period April 1, 2006 (commencement of tradingoperations) to June30, |
|                                                                                            |  |  | 2006                                                                       |
| Cashflows from operating activities:                                                            |  |  |                                                                            |   |        |   |
| Netincome(loss)                                                                                 |  |  |                                                                            | $ | (1,766,013  | ) |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |  |                                                                            |   |        |   |
| Changes inoperating assets andliabilities:                                                      |  |  |                                                                            |   |        |   |
| (Increase) decrease inrestrictedcash                                                            |  |  |                                                                            |   | (15,777,906 | ) |
| (Increase) decreasein net unrealized appreciation/depreciation on open futurespositions         |  |  |                                                                            |   | (1,415,207  | ) |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                          |  |  |                                                                            |   | (2,905,434  | ) |
| (Increase)decrease in interest receivable                                                       |  |  |                                                                            |   | (758,921    | ) |
| Increase (decrease) in unrealized depreciation on openforwardcontracts                          |  |  |                                                                            |   | 3,037,922   |   |
| Accruedexpenses:                                                                                |  |  |                                                                            |   |        |   |
| Increase (decrease) inother                                                                     |  |  |                                                                            |   | 7,314       |   |
| Net cashprovided by (used in) operatingactivities                                               |  |  |                                                                            |   | (19,578,245 | ) |
| Cashflows from financingactivities:                                                             |  |  |                                                                            |   |        |   |
| Proceeds from additions– LimitedPartners                                                  |  |  |                                                                            |   | 258,835,073 |   |
| Payments forredemptions – LimitedPartners                                                 |  |  |                                                                            |   | (8,391,270  | ) |
| Distribution ofinterest to feederfunds                                                          |  |  |                                                                            |   | (467,131    | ) |
| Net cashprovided by (used in) financingactivities                                               |  |  |                                                                            |   | 249,976,672 |   |
| Netchange incash                                                                                |  |  |                                                                            |   | 230,398,427 |   |
| Unrestricted cash,at beginning ofperiod                                                         |  |  |                                                                            |   | —     |   |
| Unrestrictedcash, at end ofperiod                                                               |  |  |                                                                            | $ | 230,398,427 |   |
|                                                                                                 |

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements June 30, 2006(Unaudited)

2.    Financial Highlights:

Changes inNet Asset Value per Redeemable Unit of Limited Partnership Interest forthe three and six months ended June 30, 2006 and 2005 were asfollows:

|                                                                                            |  |  |                           |   |         |                         |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |         |   |
|--------------------------------------------------------------------------------------------|--|--|---------------------------|---|---------|-------------------------|--|--|------|---|--------|------|--|--|--|---|---------|---|--|--|--|---|---------|---|
|                                                                                       |  |  | ThreeMonths EndedJune 30, |   |         | Six Months EndedJune30, |
|                                                                                       |  |  | 2006                      |   |         | 2005                    |  |  | 2006 |   |        | 2005 |
| Netrealized and unrealized gains(losses)*                                                  |  |  |                           | $ | (9.13   | )                       |  |  |      | $ | (36.58 | )    |  |  |  | $ | 8.09    |   |  |  |  | $ | (119.84 | ) |
| Interestincome                                                                             |  |  |                           |   | 8.13    |                         |  |  |      |   | 4.52   |      |  |  |  |   | 15.09   |   |  |  |  |   | 8.41    |   |
| Expenses**                                                                                 |  |  |                           |   | (5.51   | )                       |  |  |      |   | (5.21  | )    |  |  |  |   | (10.91  | ) |  |  |  |   | (10.76  | ) |
| Increase (decrease) forthe period                                                          |  |  |                           |   | (6.51   | )                       |  |  |      |   | (37.27 | )    |  |  |  |   | 12.27   |   |  |  |  |   | (122.19 | ) |
| Net Asset Value perRedeemable Unit, beginning ofperiod                                     |  |  |                           |   | 816.81  |                         |  |  |      |   | 822.72 |      |  |  |  |   | 798.03  |   |  |  |  |   | 907.64  |   |
| Net Asset Value perRedeemable Unit, end of period                                          |  |  |                           | $ | 810.30  |                         |  |  |      | $ | 785.45 |      |  |  |  | $ | 810.30  |   |  |  |  | $ | 785.45  |   |
| Redemption/subscriptionvalue per Redeemable Unit versus Net Asset value per RedeemableUnit |  |  |                           |   | — |                         |  |  |      |   | 0.27   |      |  |  |  |   | — |   |  |  |  |   | 0.27    |   |
| Redemption/subscriptionvalue per Redeemable Unit, end ofperiod***                          |  |  |                           | $ | 810.30  |                         |  |  |      | $ | 785.72 |      |  |  |  | $ | 810.30  |   |  |  |  | $ | 785.72  |   |
|                                                                                            |

|   |                                                                                               |
|---|-----------------------------------------------------------------------------------------------|
| * | IncludesPartnership brokerage commissions and brokerage commissions allocatedfrom the Master. |

|    |                                                                                               |
|----|-----------------------------------------------------------------------------------------------|
| ** | ExcludesPartnership brokerage commissions and brokerage commissions allocatedfrom the Master. |

|     |                                                                                                                                                                         |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| *** | For thepurpose of a redemption/subscription, any remaining accrued liabilityfor reimbursement of offering costs will not reduceredemption/subscription net asset value. |

|                                           |  |  |                            |  |        |                         |  |  |      |  |        |      |  |  |  |  |        |    |  |  |  |  |        |    |
|-------------------------------------------|--|--|----------------------------|--|--------|-------------------------|--|--|------|--|--------|------|--|--|--|--|--------|----|--|--|--|--|--------|----|
|                                      |  |  | ThreeMonths Ended June 30, |  |        | Six Months EndedJune30, |
|                                      |  |  | 2006                       |  |        | 2005                    |  |  | 2006 |  |        | 2005 |
| Ratioto average netassets:*               |  |  |                            |  |   |                         |  |  |      |  |   |      |  |  |  |  |   |    |  |  |  |  |   |    |
| Netinvestment loss before incentivefees** |  |  |                            |  | (3.7   | )%                      |  |  |      |  | (5.3   | )%   |  |  |  |  | (4.0   | )% |  |  |  |  | (5.4   | )% |
| Operatingexpenses                         |  |  |                            |  | 7.8    | %                       |  |  |      |  | 7.6    | %    |  |  |  |  | 7.8    | %  |  |  |  |  | 7.7    | %  |
| Total return                              |  |  |                            |  | (0.8   | )%                      |  |  |      |  | (4.5   | )%   |  |  |  |  | 1.5    | %  |  |  |  |  | (13.5  | )% |
|                                           |

|   |                                       |
|---|---------------------------------------|
| * | Annualized(other than incentive fees) |

|    |                                                                  |
|----|------------------------------------------------------------------|
| ** | Interest income less total expenses(exclusive of incentive fees) |

The aboveratios may vary for individual investors based on the timing of capitaltransactions during the period. Additionally, these ratios arecalculated for the Limited Partner class using the LimitedPartners' share of income, expenses and average net assets.

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements June 30, 2006(Unaudited)

2.    Financial Highlights (continued):

Financial Highlights of the Master:

|                                                        |  |  |                                                                            |   |          |   |
|--------------------------------------------------------|--|--|----------------------------------------------------------------------------|---|----------|---|
|                                                   |  |  | Forthe Period April 1, 2006 (commencement of tradingoperations) to June30, |
|                                                   |  |  | 2006                                                                       |
| Netrealized and unrealized gains(losses)*              |  |  |                                                                            | $ | (0.72    | ) |
| Interest income                                        |  |  |                                                                            |   | 9.50     |   |
| Expenses**                                             |  |  |                                                                            |   | (0.08    | ) |
| Increase (decrease) for period                         |  |  |                                                                            |   | 8.70     |   |
| Distributions                                          |  |  |                                                                            |   | (9.50    | ) |
| Net AssetValue per Unit, beginning ofperiod            |  |  |                                                                            |   | 1,000.00 |   |
| NetAsset Value per Unit, end ofperiod                  |  |  |                                                                            | $ | 999.20   |   |
| *    Includes brokeragecommissions |
| ** Excludes brokeragecommissions                       |
| Ratiosto average net assets:***                        |  |  |                                                                            |   |     |   |
| Net investment gainbefore incentive fees****           |  |  |                                                                            |   | 3.8      | % |
| Operatingexpenses                                      |  |  |                                                                            |   | 0.4      | % |
| Totalreturn                                            |  |  |                                                                            |   | 0.9      | % |
|                                                        |

|     |            |
|-----|------------|
| *** | Annualized |

|      |                                                                  |
|------|------------------------------------------------------------------|
| **** | Interest income less total expenses(exclusive of incentive fees) |

The aboveratios may vary for individual investors based on the timing of capitaltransactions during the period.

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements June 30, 2006(Unaudited)

3.    Offering Costs:

Offering andorganization costs of $75,000 relating to the issuance and marketing ofthe partnership's Redeemable Units offered were initially paid byCGM. These costs were recorded as due to CGM in the statement offinancial condition. These costs were reimbursed to CGM by thePartnership in 24 equal monthly installments (together with interest atthe prime rate quoted by the JP Morgan Chase & Co.). As of June 30,2006, CGM was reimbursed by the Partnership.

4.    TradingActivities:

The Partnership was formed for the purpose oftrading contracts in a variety of commodity interests, includingderivative financial instruments and derivative commodity instruments.The results of the Partnership's trading activities are shown inthe Statements of Income and Expenses and Partners' Capital andare discussed in Item 2, Management's Discussion and Analysis ofFinancial Condition and Results of Operations.

The CustomerAgreement between the Partnership and CGM and the Master gives thePartnership and the Master the legal right to net unrealized gains andlosses on open futures positions.

All of the commodity interestsowned by the Partnership are held for trading purposes. The averagefair values of these interests during the six and twelve months endedJune 30, 2006 and December 31, 2005, based on a monthly calculation,were $1,007,520 and $395,806, respectively. The fair values of thesecommodity interests, including options thereon, if applicable, at June30, 2006 and December 31, 2005, were $3,504 and $1,003,227,respectively. All of the commodity interest owned by the Master for theperiod April 1, 2006 (commencement of trading operations) to June 30,2006 are held for trading purposes. The average fair value during theperiod is $653,969. The fair values of these commodity interest,including options thereon, if applicable at June 30, 2006 is$1,282,719. Fair values for exchange traded commodity futures andoptions are based on quoted market prices for those futures andoptions. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

5.    Financial InstrumentRisks:

In the normal course of its business, the Partnershipeither directly or through its Investment in the Master, is party tofinancial instruments with off-balance sheet risk, including derivativefinancial instruments and derivative commodity instruments. Thesefinancial instruments may include forwards, futures and options, whosevalues are based upon an underlying asset, index, or reference rate,and generally represent future commitments to exchange currencies orcash flows, to purchase or sell other financial instruments at specificterms at specified future dates, or, in the case of derivativecommodity instruments, to have a reasonable possibility to be settledin cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter (‘‘OTC’’). Exchange tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards and certain options.

Each of these instrumentsis subject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements June 30, 2006(Unaudited)

Market risk is the potential for changes in thevalue of the financial instruments traded by the Partnership/Master dueto market changes, including interest and foreign exchange ratemovements and fluctuations in commodity or security prices. Market riskis directly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded.

Credit risk isthe possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Creditrisk with respect to exchange traded instruments is reduced to theextent that an exchange or clearing organization acts as a counterpartyto the transactions. The Partnership's/Master's risk ofloss in the event of counterparty default is typically limited to theamounts recognized as unrealized appreciation in the statements offinancial condition and not represented by the contract or notionalamounts of the instruments. The Partnership, directly and through itsinvestment in the Master, has credit risk and concentration riskbecause the sole counterparty or broker with respect to theMaster's assets is CGM.

The General Partner monitors andcontrols the Partnership's/Master's risk exposure on adaily basis through financial, credit and risk management monitoringsystems, and accordingly believes that it has effective procedures forevaluating and limiting the credit and market risks to which thePartnership/Master is subject. These monitoring systems allow theGeneral Partner to statistically analyze actual trading results withrisk-adjusted performance indicators and correlation statistics. Inaddition, on-line monitoring systems provide account analysis offutures, forward and option positions by sector, margin requirements,gain and loss transactions and collateral positions.

Themajority of these instruments mature within one year of June 30, 2006.However, due to the nature of the Partnership's/Master'sbusiness, these instruments may not be held tomaturity.

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Item2.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Liquidity andCapital Resources

The Partnership does not engage in thesale of goods or services. Its only assets are its investment in theMaster, unrealized appreciation (depreciation) in open forwardcontracts and cash. The Master does not engage in the sale of goods orservices. Because of the low margin deposits normally required incommodity futures trading, relatively small price movements may resultin substantial losses to the Partnership through its investment in theMaster. While substantial losses could lead to a substantial decreasein liquidity, no such losses occurred in the second quarter of2006.

The Partnership's capital consists of capitalcontributions, as increased or decreased by its investment in theMaster, realized and/or unrealized gains or losses on commodityforwards trading, expenses, interest income, redemptions of RedeemableUnits and distributions of profits, if any.

For the six monthsended June 30, 2006, Partnership capital decreased 3.4% from$75,446,274 to $72,873,509. This decrease was attributable to theredemption of 14,435.1946 Redeemable Units of Limited PartnershipInterest totaling $11,741,749, which was partially offset by a netincome from operations of $1,190,984 coupled with the addition of9,827.6900 Redeemable Units totalling $7,978,000, Future redemptionscan impact the amount of funds available for investment in commoditycontract positions in subsequent periods.

The Master'scapital consists of the capital contributions of the partners asincreased or decreased by the realized and/or unrealized gains orlosses on commodity futures trading, expenses, interest income,redemptions of units and distribution of profits, if any.

Forthe period April 1, 2006 (commencement of trading operations) to June30, 2006 the Master's capital increased 100% from $0 to$247,451,738. This increase was attributable to the sales of255,890.0809 units totaling $258,835,073 which was partially offset bya net loss from operations of $1,766,013 coupled with the redemptionsof 258,835,073 units resulting in an outflow of $8,391,270, anddistribution of interest totaling $1,226,052 to the limited partners ofthe Master. Future redemptions can impact the funds available forinvestments in commodity contract positions in subsequentperiods.

Critical Accounting Policies

Thepreparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America requiresmanagement to make estimates and assumptions that affect the reportedamounts of assets and liabilities, disclosures of contingent assets andliabilities at the date of the financial statements and reportedamounts of revenues and expenses during the reporting period. Actualresults could differ from these estimates.

All commodityinterests held by the Partnership and by the Master (includingderivative financial instruments and derivative commodity instruments)are used for trading purposes. The commodity interests are recorded ontrade date and open contracts are recorded in the statements offinancial condition at fair value on the last business day of theperiod, which represents market value for those commodity interests forwhich market quotations are readily available or other measures of fairvalue deemed appropriate by management of the General Partner for thosecommodity interests and foreign currencies for which market quotationsare not readily available. Investments in commodity interestsdenominated in foreign currencies are translated into U.S. dollars atthe exchange rates prevailing on the last business day of the period.Realized gains (losses) and changes in unrealized values on openpositions are recognized in the period in which the contract is closedor the changes occur and are included in net gains (losses) on tradingof commodity interests.

Foreign currency contracts are thosecontracts where the Partnership/Master agrees to receive or deliver afixed quantity of foreign currency for an agreed-upon price on anagreed future date. Foreign currency contracts are valued daily, andthe Partnership's/Master's net equity therein, representingunrealized gain or loss on the contracts as measured by the differencebetween the forward foreign exchange rates at the dates of entry intothe contracts and the forward rates at the reporting date, is includedin the statements of financial condition. Realized gains (losses) andchanges in unrealized values on foreign currency contracts arerecognized in the period in which the contract is closed or the changesoccur and are included in the statements of income and expenses andpartners' capital.

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Results of Operations

During the Partnership's second quarter of 2006, the Net AssetValue per Redeemable Unit decreased 0.8% from $816.81 to $810.30as compared to a decrease of 4.5% in the second quarter of 2005.The Partnership experienced a net trading gain before brokeragecommissions, related fees and net trading losses allocated from theMaster in the second quarter of $171,124. Gains were primarilyattributable to the trading of commodity futures in U.S. and non-U.S.interest rates, metals and softs and were partially offset by losses incurrencies, energy, grains, livestock and indices. The Partnershipexperienced a net trading loss before brokerage commissions and relatedfees in the second quarter of 2005 of $2,644,723. Losses were primarilyattributable to the trading of commodity futures in energy, grains,metals, softs and indices and were partially offset by gains incurrencies, U.S. and non-U.S. interest rates and livestock.

Thesecond quarter 2006 was challenging for the Partnership's Advisoras both financial and commodity markets entered a highly volatileperiod. Gains earned in interest rate, metals and softs trading offsetlosses in currency, stock index, grains and energy trading. The netresult was essentially a flat quarter.

The Partnership'strend-following Advisor was slightly unprofitable in the energy sectoras gains made in natural gas trading offset losses in crude oil andpetroleum products. Trends in the metals sector extended from the firstquarter and remained strong for the first half of the second quarter.The substantial gains accumulated from record gold, silver and basemetal price trends were more than enough to cover losses during themetals correction in May.

Trading in both U.S. and global fixedincome markets was profitable as central banks continued to raiseglobal rates to combat inflation pressure and the Advisors were able totake advantage of these trends.

The lack of direction in thecurrency sector was a result of speculation relating to U.S. interestrate policy coupled with global inflation concerns. Losses in theequity sector were attributable to a global economic slowdown as mostof the major equity indices experienced a material correction in Mayafter reaching multi-year highs. Trading in agricultural products wasmixed as sharp price reversals in grains translated into losses whilegains were made in cotton positions.

During thePartnership's six months ended June 30, 2006, the Net Asset Valueper Redeemable Unit increased 1.5% from $798.03 to $810.30 ascompared to a decrease of 13.5% for the six months ended June30, 2005. The Partnership experienced a net trading gain beforebrokerage commissions, related fees and net trading losses allocatedfrom the Master during the six months ended June 30, 2006 of$2,641,861. Gains were primarily attributable to the trading ofcommodity futures in U.S. and non-U.S. interest rates, metals, softsand indices and were partially offset by losses in currencies, grains,energy and livestock. The Partnership experienced a net trading lossbefore brokerage commissions and related fees during the six monthsended June 30, 2005 of $9,700,877. Losses were primarily attributableto the trading of commodity futures in currencies, energy, grains, U.S.interest rates, livestock, metals, softs and indices and were partiallyoffset by gains in non-U.S. interest rates.

Commodity futuresmarkets are highly volatile. The potential for broad and rapid pricefluctuations increases the risks involved in commodity trading, butalso increases the possibility of profit. The profitability of thePartnership depends on the existence of major price trends and theability of the Advisor to correctly identify those price trends. Pricetrends are influenced by, among other things, changing supply anddemand relationships, weather, governmental, agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. To the extent thatmarket trends exist and the Advisor is able to identify them, thePartnership/Master expects to increase capital throughoperations.

Interest income on 80% of thePartnership's daily average equity allocated to it by the Master,was earned at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average non-competitive yield on 3-month U.S. Treasurybills maturing in 30 days. CGM may continue to maintain theMaster's assets in cash and/or place all of the Master'sassets in 90-day Treasury bills and pay the Partnership 80% ofthe interest earned on the Treasury bills purchased. CGM will retain20% of any 

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interest earned on Treasury bills. Interestincome for the three and six months ended June 30, 2006 increased by$78,589 and $349,006, respectively, as compared to the correspondingperiods in 2005. The increase in interest income is primarily due tohigher interest rates during the three months and six months ended June30, 2006 as compared to the corresponding periods in 2005.

Brokerage commissions are calculated as a percentage of thePartnership's adjusted net asset value on the last day of eachmonth and are affected by trading performance, additions andredemptions. Accordingly, they must be analyzed in relation to thefluctuations in the monthly net asset values. Commissions and fees forthe three and six months ended June 30, 2006 decreased by $42,029 and$135,951, respectively, as compared to the corresponding periods in2005. The decrease in brokerage commissions is due to lower average netassets during the three and six months ended June 30, 2006 as comparedto the corresponding periods in 2005.

Management fees arecalculated as a percentage of the Partnership's net asset valueas of the end of each month and are affected by trading performance,additions and redemptions. Management fees for the three and six monthsended June 30, 2006 decreased by $4,060 and $30,337, respectively, ascompared to the corresponding periods in 2005. The decrease inmanagement fees is due to lower average net assets during the three andsix months ended June 30, 2006 as compared to the corresponding periodsin 2005.

Administrative fees are paid to the General Partner foradministering the business and affairs of the Partnership. These feesare calculated as a percentage of the Partnership's net assetvalue as of the end of each month and are affected by tradingperformance and redemptions. Administrative fees for the three and sixmonths ended June 30, 2006 decreased by $1,014 and $7,583,respectively, as compared to the corresponding periods in 2005. Thedecrease in administrative fees is due to lower average net assetsduring the three months and six months ended June 30, 2006 as comparedto the corresponding periods in 2005.

Special Limited Partnerprofit share allocations (incentive fees) are based on the new tradingprofits generated by the Advisor at the end of the quarter, as definedin the advisory agreement between the Partnership, the General Partnerand the Advisor. There were no profit share allocations earned for thethree and six months ended June 30, 2006 or 2005.

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

The Partnership is aspeculative commodity pool. The market sensitive instruments held by itare acquired for speculative trading purposes, and all or substantiallyall of the Partnership's assets are subject to the risk oftrading loss. Unlike an operating company, the risk of market sensitiveinstruments is integral, not incidental, to the Partnership'smain line of business.

Market movements result infrequent changes in the fair market value of the Partnership'sopen positions and, consequently, in its earnings and cash flow. ThePartnership's market risk is influenced by a wide variety offactors, including the level and volatility of interest rates, exchangerates, equity price levels, the market value of financial instrumentsand contracts, the diversification effects among thePartnership's open positions and the liquidity of the markets inwhich it trades.

The Partnership rapidly acquires andliquidates both long and short positions in a wide range of differentmarkets. Consequently, it is not possible to predict how a particularfuture market scenario will affect performance, and thePartnership's past performance is not necessarily indicative ofits future results.

Value at Risk is a measure of themaximum amount which the Partnership could reasonably be expected tolose in a given market sector. However, the inherent uncertainty of thePartnership's speculative trading and the recurrence in themarkets traded by the Partnership of market movements far exceedingexpectations could result in actual trading or non-trading losses farbeyond the indicated Value at Risk or the Partnership'sexperience to date (i.e., ‘‘risk of ruin’’). Inlight of the foregoing, as well as the risks and uncertaintiesintrinsic to all future projections, the inclusion of thequantification in this section should not be considered to constituteany assurance or representation that the Partnership's losses inany market sector will be limited to Value at Risk or by thePartnership's attempts to manage its market risk.

Exchange maintenance margin requirements have been used bythe Partnership as the measure of its Value at Risk. Maintenance marginrequirements are set by exchanges to equal or exceed the maximum lossesreasonably expected to be incurred in the fair value of any givencontract in 95%-99% of any one-day interval. Maintenancemargin has been used rather than the more generally available initialmargin, because initial margin includes a credit risk component, whichis not relevant to Value at Risk.

The following tableindicates the trading Value at Risk associated with thePartnership's open positions by market category as of June 30,2006, and the highest, lowest and average values during the threemonths ended June 30, 2006. All open position trading risk exposures ofthe Partnership have been included in calculating the figures set forthbelow. As of June 30, 2006, the Partnership's totalcapitalization was $72,873,509. There has been no material change inthe trading Value at Risk information previously disclosed in thePartnership's Annual Report on Form  10-K for the yearended December  31, 2005.

June 30,2006(Unaudited)

|                                 |  |  |              |   |        |                         |  |  |                                 |  |        |                  |  |  |                       |   |         |  |  |  |  |   |        |  |  |  |  |   |        |  |
|---------------------------------|--|--|--------------|---|--------|-------------------------|--|--|---------------------------------|--|--------|------------------|--|--|-----------------------|---|---------|--|--|--|--|---|--------|--|--|--|--|---|--------|--|
|                            |  |  |         |   |        |                    |  |  | ThreeMonths Ended June 30, 2006 |
| Market Sector                   |  |  | Value atRisk |   |        | % ofTotalCapitalization |  |  | HighValue atRisk                |  |        | LowValue at Risk |  |  | Average Value atRisk* |
| Metals                          |  |  |              |   |   |                         |  |  |                                 |  |   |                  |  |  |                       |   |    |  |  |  |  |   |   |  |  |  |  |   |   |  |
| –Exchange TradedContracts |  |  |              | $ | 3,504  |                         |  |  |                                 |  | 0.01   | %                |  |  |                       | $ | 289,720 |  |  |  |  | $ | 3,504  |  |  |  |  | $ | 73,470 |  |
| Total                           |  |  |              | $ | 3,504  |                         |  |  |                                 |  | 0.01   | %                |  |  |                       |   |    |  |  |  |  |   |   |  |  |  |  |   |   |  |
|                                 |

|   |                                    |
|---|------------------------------------|
| * | Averageof month-end Values at Risk |

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As of June 30, 2006, Graham Master'stotal capitalization was $247,451,738. The Partnership owned30.1% of Graham Master.

June 30,2006(Unaudited)

|                       |  |  |               |   |            |                         |  |  |                                |  |        |                  |  |  |                      |   |            |  |  |  |  |   |           |  |  |  |  |   |           |  |
|-----------------------|--|--|---------------|---|------------|-------------------------|--|--|--------------------------------|--|--------|------------------|--|--|----------------------|---|------------|--|--|--|--|---|-----------|--|--|--|--|---|-----------|--|
|                  |  |  |          |   |            |                    |  |  | ThreeMonths Ended June 30,2006 |
| MarketSector          |  |  | Value at Risk |   |            | % ofTotalCapitalization |  |  | High Value atRisk              |  |        | LowValue at Risk |  |  | Average ValueatRisk* |
| Currencies:           |  |  |               |   |       |                         |  |  |                                |  |   |                  |  |  |                      |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –ExchangeTraded |  |  |               | $ | 555,209    |                         |  |  |                                |  | 0.22   | %                |  |  |                      | $ | 1,433,009  |  |  |  |  | $ | 4,389     |  |  |  |  | $ | 261,146   |  |
| –OTC            |  |  |               |   | 6,657,340  |                         |  |  |                                |  | 2.69   | %                |  |  |                      |   | 10,032,744 |  |  |  |  |   | 358,137   |  |  |  |  |   | 2,955,785 |  |
| Energy                |  |  |               |   | 723,525    |                         |  |  |                                |  | 0.29   | %                |  |  |                      |   | 919,454    |  |  |  |  |   | 115,980   |  |  |  |  |   | 370,898   |  |
| Grains                |  |  |               |   | 341,797    |                         |  |  |                                |  | 0.14   | %                |  |  |                      |   | 2,340,603  |  |  |  |  |   | 52,279    |  |  |  |  |   | 516,740   |  |
| InterestRatesU.S.     |  |  |               |   | 1,549,109  |                         |  |  |                                |  | 0.63   | %                |  |  |                      |   | 7,281,127  |  |  |  |  |   | 1,549,109 |  |  |  |  |   | 2,304,747 |  |
| InterestRatesNon-U.S. |  |  |               |   | 3,623,282  |                         |  |  |                                |  | 1.46   | %                |  |  |                      |   | 8,653,251  |  |  |  |  |   | 2,859,855 |  |  |  |  |   | 3,790,563 |  |
| Metals                |  |  |               |   |       |                         |  |  |                                |  |   |                  |  |  |                      |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –OTC            |  |  |               |   | 67,950     |                         |  |  |                                |  | 0.03   | %                |  |  |                      |   | 523,391    |  |  |  |  |   | 10,350    |  |  |  |  |   | 121,262   |  |
| Softs                 |  |  |               |   | 1,413,743  |                         |  |  |                                |  | 0.57   | %                |  |  |                      |   | 1,698,688  |  |  |  |  |   | 148,926   |  |  |  |  |   | 697,213   |  |
| Indices               |  |  |               |   | 841,858    |                         |  |  |                                |  | 0.34   | %                |  |  |                      |   | 6,960,954  |  |  |  |  |   | 315,426   |  |  |  |  |   | 2,908,206 |  |
| Total                 |  |  |               | $ | 15,773,813 |                         |  |  |                                |  | 6.37   | %                |  |  |                      |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
|                       |

|   |                                    |
|---|------------------------------------|
| * | Averageof month-end Values at Risk |

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Item 4.    Controls and Procedures

The General Partner of the Partnership, with the participation ofthe General Partner's Chief Executive Officer and Chief FinancialOfficer, has evaluated the effectiveness of the design and operation ofits disclosure controls and procedures (as defined in Rules 13a-15(e)and 15d-15(e) of the Exchange Act) with respect to the Partnership asof the end of the period considered by the report, and, based on thisevaluation, has concluded that these disclosure controls and proceduresare effective. There was no change in the Partnership's internalcontrol over financial reporting during the period covered by thisreport that has materially affected, or is reasonably likely tomaterially affect, the Partnership's internal control overfinancial reporting.

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PART II. OTHERINFORMATION

Item 1.    Legal Proceedings

Thefollowing information supplements and amends our discussion set forthunder Part 1, Item 3 ‘‘Legal Proceedings’’ inthe Partnership's Annual Report on Form 10-K for the period endedDecember  31, 2005 and under Part II, Item I, ‘‘LegalProceedings’’ in the Partnership's Quarterly Reporton Form 10-Q for the quarter ended March 31, 2006.

EnronCorp.

 On May  24, 2006, the District Court gavefinal approval to Citigroup's settlement of the securities classaction (NEWBY, ET AL. V. ENRON CORP., ET AL.).

Research

 On May  12, 2006, the District Court preliminarilyapproved the class action settlements in IN RE SALOMON ANALYST LEVEL 3LITIGATION, IN RE SALOMON ANALYST XO LITIGATION, and IN RE SALOMONANALYST WILLIAMS LITIGATION.

 On May  18, 2006, theDistrict Court gave final approval to the settlement in NORMAN v.SALOMON SMITH BARNEY.

 On June  20, 2006, theDistrict Court certified the plaintiff class in IN RE SALOMON ANALYSTMETROMEDIA LITIGATION.

 On June  26, 2006, theUnited States Supreme Court granted plaintiffs' petition for awrit of certiorari, vacated the opinion of the United States Court ofAppeals for the Seventh Circuit in DISHER v. CITIGROUP GLOBALMARKETS  INC., and then remanded the case to the Seventh Circuitfor further proceedings in light of the Supreme Court's decisionin Kircher v. Putnam Funds Trust.

AdelphiaCommunications Corporation

 Without admitting anyliability, CGMI and numerous other financial institution defendantshave agreed to settle IN RE ADELPHIA COMMUNICATIONS CORPORATIONSECURITIES AND DERIVATIVE LITIGATION for a total of $250million, subject to final court approval. On June  15, 2006, thecourt granted its preliminary approval of the settlement and setNovember  10, 2006 for a final hearing. CGMI's share of thesettlement is covered by existing reserves.

Item 1A.    RiskFactors

There are no material changes from the risk factors setforth under Part I, Item 1A. ‘‘Risk Factors’’in our Annual Report on Form 10-K for the fiscal year ended December31, 2005.

Item 2.    Unregistered Sales of Equity Securitiesand Use of Proceeds

For the three months ended June 30, 2006there were additional sales of 6,523.8216 Redeemable Units of LimitedPartnership totaling $5,342,000. The Redeemable Units were issued inreliance upon applicable exemptions from registration under section4(2) of the Securities Act of 1933, as amended and section 506 ofRegulation D promulgated thereunder.

Proceeds from the sale ofadditional Redeemable Units are used in the trading of commodityinterests including futures contracts, options and forwardscontracts.

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The following chart sets forth thepurchases of Redeemable Units by thePartnership.

|                                    |  |  |                                     |  |            |                                 |  |  |                                                                                   |  |  |                                                                                                               |  |     |  |  |  |  |  |     |  |
|------------------------------------|--|--|-------------------------------------|--|------------|---------------------------------|--|--|-----------------------------------------------------------------------------------|--|--|---------------------------------------------------------------------------------------------------------------|--|-----|--|--|--|--|--|-----|--|
| Period                             |  |  | (a)Total Number of Units Purchased* |  |            | (b) Average PricePaid per Unit* |  |  | (c) Total Number of UnitsPurchased as Part of Publicly Announced Plans orPrograms |  |  | (d) Maximum Number (or Approximate DollarValue) of Units that May Yet Be Purchased Under thePlans or Programs |
| April 1, 2006– April 30,2006 |  |  |                                     |  | 2,122.1129 |                                 |  |  | $848.96                                                                           |  |  |                                                                                                               |  | N/A |  |  |  |  |  | N/A |  |
| May1, 2006 – May 31,2006     |  |  |                                     |  | 1,757.8117 |                                 |  |  | $825.27                                                                           |  |  |                                                                                                               |  | N/A |  |  |  |  |  | N/A |  |
| June1, 2006 – June 30,2006   |  |  |                                     |  | 1,878.9630 |                                 |  |  | $810.30                                                                           |  |  |                                                                                                               |  | N/A |  |  |  |  |  | N/A |  |
|                               |  |  |                                     |  | 5,758.8876 |                                 |  |  | $828.18                                                                           |  |  |                                                                                                               |  | N/A |  |  |  |  |  | N/A |  |
|                                    |

|  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|--|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | *Generally, Limited Partners are permitted to redeem their RedeemableUnits as of the end of each month on 10 days' notice to theGeneral Partner. Under certain circumstances, the General Partner cancompel redemption but to date the General Partner has not exercisedthis right. Purchases of Redeemable Units by the Partnership reflectedin the chart above were made in the ordinary course of thePartnership's business in connection with effecting redemptionsfor Limited Partners. |

|  |                                                                                                                                           |
|--|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | ** Redemptions of RedeemableUnits are effected as of the last day of each month at the Net AssetValue per Redeemable Unit as of that day. |

Item3.    Defaults Upon Senior Securities – None

Item4.    Submission of Matters to a Vote of Security Holders –None

Item 5.    Other Information – None

Item6.    Exhibits

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The exhibits required tobe filed by Item 601 of Regulation S-K are incorporated herein byreference to the exhibit index of the Partnership's Annual Reporton Form 10-K for the period ended December 31, 2005. |

|        |                                                                                                             |
|--------|-------------------------------------------------------------------------------------------------------------|
|   | Exhibit – 31.1 – Rule13a-14(a)/15d-14(a) Certification (Certification of President andDirector) |

|        |                                                                                                                           |
|--------|---------------------------------------------------------------------------------------------------------------------------|
|   | Exhibit – 31.2 – Rule13a-14(a)/15d-14(a) Certification (Certification of Chief FinancialOfficer and Director) |

|        |                                                                                                 |
|--------|-------------------------------------------------------------------------------------------------|
|   | Exhibit – 32.1– Section 1350 Certification (Certification of President andDirector) |

|        |                                                                                                               |
|--------|---------------------------------------------------------------------------------------------------------------|
|   | Exhibit – 32.2 –Section 1350 Certification (Certification of Chief Financial Officerand Director) |

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalfby the undersigned, thereunto duly authorized.

CITIGROUP FAIRFIELD FUTURES FUND L.P. II

|        |  |  |                                                                                                                                                                                                                                                                                             |  |  |        |
|--------|--|--|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--|--|--------|
| By:    |  |  | CitigroupManaged Futures LLC                                                                                                                                                                                |  |  |   |
|   |  |  | (General Partner)                                                                                                                                                                                                                                                                           |  |  |   |
| By:    |  |  | /s/ David J.Vogel                                             |  |  |   |
|   |  |  | David J. Vogel,Presidentand Director                                                                                                                                                                                                                                                        |  |  |   |
| Date:  |  |  | August 14,2006                                                                                                                                                                                                                                                                              |  |  |   |
| By:    |  |  | /s/Daniel R. McAuliffe,Jr.                                                                                                                           |  |  |   |
|   |  |  | DanielR. McAuliffe, Jr.Chief Financial Officer andDirector                                                                                                                                                                                                                                  |  |  |   |
| Date:  |  |  | August14, 2006                                                                                                                                                                                                                                                                              |  |  |   |
|        |

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