UNITEDSTATESSECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C.20549

FORM 10-Q

(X) QUARTERLY REPORT UNDER SECTION 13OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

OR ( )TRANSITION REPORT UNDER SECTION 13 OR 15(d) OF THE SECURITIESEXCHANGE ACT OF 1934

For theQuarter ended September 30, 2006

CommissionFile Number 000-51282

CITIGROUP FAIRFIELDFUTURES FUND L.P.II

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(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

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|--|
|  |  |
|  |

(Address and ZipCode of principal executive offices)

(212)559-2011

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(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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CITIGROUP FAIRFIELDFUTURES FUND L.P. II

FORM 10-Q

INDEX

|                               |  |  |                                                                                                                                 |  |  |                         |
|-------------------------------|--|--|---------------------------------------------------------------------------------------------------------------------------------|--|--|-------------------------|
| PARTI - FinancialInformation: |  |  | PageNumber                                                                                                                      |
| Item1.                        |  |  | FinancialStatements:                                                                                                            |  |  |                    |
|                          |  |  | Statements of FinancialConditionat September 30, 2006 and December 31,2005(unaudited).                                          |  |  | 3                       |
|                          |  |  | CondensedSchedule of Investments atDecember 31, 2005(unaudited).                                                                |  |  | 4                       |
|                          |  |  | Statementsof Income and Expensesand Partners' Capital for the three andnine months ended September 30, 2006 and 2005(unaudited) |  |  | 5                       |
|                          |  |  | Statementsof Cash Flows for the three and nine months ended September 30,2006 and2005(unaudited).                               |  |  | 6                       |
|                          |  |  | Notesto Financial Statements,including the Financial Statements ofCMF Graham Master Fund L.P.(unaudited)                        |  |  | 7 – 15  |
| Item2.                        |  |  | Management's Discussion andAnalysis of FinancialConditionand Results ofOperations.                                              |  |  | 16 – 18 |
| Item3.                        |  |  | Quantitative and QualitativeDisclosures about MarketRisk                                                                        |  |  | 19 – 20 |
| Item4.                        |  |  | Controls andProcedures.                                                                                                         |  |  | 21                      |
| PARTII - OtherInformation     |  |  | 22                                                                                                                              |
|                               |

2

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PART I

Item1.    Financial Statements

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

|                                                                                                                                        |  |  |                   |   |            |                 |  |  |  |   |            |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--|-------------------|---|------------|-----------------|--|--|--|---|------------|--|
|                                                                                                                                   |  |  | September30, 2006 |   |            | December31,2005 |
| Assets:                                                                                                                                |  |  |                   |   |       |                 |  |  |  |   |       |  |
| InvestmentinMaster                                                                                                                     |  |  |                   | $ | 67,705,789 |                 |  |  |  | $ | —    |  |
| Equityin commodity futures tradingaccount:                                                                                             |  |  |                   |   |       |                 |  |  |  |   |       |  |
| Cash (restricted$0 and $4,363,860 in 2006 and 2005,respectively)                                                                       |  |  |                   |   | 92,881     |                 |  |  |  |   | 77,422,488 |  |
| Unrealizedappreciation on open forwardcontracts                                                                                        |  |  |                   |   | —    |                 |  |  |  |   | 3,298,568  |  |
|                                                                                                                                   |  |  |                   |   | 67,798,670 |                 |  |  |  |   | 80,721,056 |  |
| Interestreceivable                                                                                                                     |  |  |                   |   | —    |                 |  |  |  |   | 30,485     |  |
|                                                                                                                                   |  |  |                   | $ | 67,798,670 |                 |  |  |  | $ | 80,751,541 |  |
| Liabilitiesand Partners'Capital:                                                                                                       |  |  |                   |   |       |                 |  |  |  |   |       |  |
| Liabilities:                                                                                                                           |  |  |                   |   |       |                 |  |  |  |   |       |  |
| Netunrealized depreciation on open futurespositions                                                                                    |  |  |                   | $ | —    |                 |  |  |  | $ | 78,814     |  |
| Unrealizeddepreciation on open forwardcontracts                                                                                        |  |  |                   |   | —    |                 |  |  |  |   | 2,216,527  |  |
| Accruedexpenses:                                                                                                                       |  |  |                   |   |       |                 |  |  |  |   |       |  |
| Brokeragecommissions                                                                                                                   |  |  |                   |   | 254,245    |                 |  |  |  |   | 299,840    |  |
| Managementfees                                                                                                                         |  |  |                   |   | 112,565    |                 |  |  |  |   | 132,652    |  |
| Administrativefees                                                                                                                     |  |  |                   |   | 28,141     |                 |  |  |  |   | 33,163     |  |
| Other                                                                                                                                  |  |  |                   |   | 5,549      |                 |  |  |  |   | 59,157     |  |
| Dueto CGM for offeringcosts                                                                                                            |  |  |                   |   | —    |                 |  |  |  |   | 10,451     |  |
| Redemptionspayable                                                                                                                     |  |  |                   |   | 603,148    |                 |  |  |  |   | 2,474,663  |  |
|                                                                                                                                   |  |  |                   |   | 1,003,648  |                 |  |  |  |   | 5,305,267  |  |
| Partners'Capital:                                                                                                                      |  |  |                   |   |       |                 |  |  |  |   |       |  |
| General Partner,724.0407 Unit equivalents outstanding in 2006 and2005                                                                  |  |  |                   |   | 561,790    |                 |  |  |  |   | 577,858    |  |
| SpecialLimited Partner, 100.0000 Redeemable Units of Limited PartnershipInterest Outstanding in 2006 and2005                           |  |  |                   |   | 77,591     |                 |  |  |  |   | 79,803     |  |
| LimitedPartners, 85,261.7511 and 93,717.1815 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005,respectively |  |  |                   |   | 66,155,641 |                 |  |  |  |   | 74,788,613 |  |
|                                                                                                                                   |  |  |                   |   | 66,795,022 |                 |  |  |  |   | 75,446,274 |  |
|                                                                                                                                   |  |  |                   | $ | 67,798,670 |                 |  |  |  | $ | 80,751,541 |  |
|                                                                                                                                        |

Seeaccompanying Notes to Financial Statements.

3

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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.

4

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

|                                                                                                                                           |  |  |                                |   |            |                               |  |  |      |   |            |      |  |  |  |   |             |   |  |  |  |   |             |   |
|-------------------------------------------------------------------------------------------------------------------------------------------|--|--|--------------------------------|---|------------|-------------------------------|--|--|------|---|------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                                                                      |  |  | ThreeMonths EndedSeptember 30, |   |            | Nine MonthsEndedSeptember 30, |
|                                                                                                                                      |  |  | 2006                           |   |            | 2005                          |  |  | 2006 |   |            | 2005 |
| Income:                                                                                                                                   |  |  |                                |   |       |                               |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Realizedgains (losses) on closed positions allocated from Master                                                                          |  |  |                                | $ | (2,985,464 | )                             |  |  |      | $ | —    |      |  |  |  | $ | (4,497,013  | ) |  |  |  | $ | —     |   |
| Change in unrealized gains (losses) on openpositions allocated from Master                                                                |  |  |                                |   | 502,838    |                               |  |  |      |   | —    |      |  |  |  |   | 860,608     |   |  |  |  |   | —     |   |
| Interest incomeallocated from Master                                                                                                      |  |  |                                |   | 687,594    |                               |  |  |      |   | —    |      |  |  |  |   | 914,716     |   |  |  |  |   | —     |   |
| Expenses allocatedfrom Master                                                                                                             |  |  |                                |   | (52,259    | )                             |  |  |      |   | —    |      |  |  |  |   | (76,463     | ) |  |  |  |   | —     |   |
| Net gains(losses) on trading of commodity futures:                                                                                        |  |  |                                |   |       |                               |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Realizedgains (losses) on closed positions                                                                                                |  |  |                                |   | 655        |                               |  |  |      |   | 2,930,058  |      |  |  |  |   | 4,796,018   |   |  |  |  |   | (5,405,049  | ) |
| Change inunrealized gains (losses) on openpositions                                                                                       |  |  |                                |   | (3,504     | )                             |  |  |      |   | 39,084     |      |  |  |  |   | (1,003,227  | ) |  |  |  |   | (1,326,686  | ) |
|                                                                                                                                      |  |  |                                |   | (1,850,140 | )                             |  |  |      |   | 2,969,142  |      |  |  |  |   | 994,639     |   |  |  |  |   | (6,731,735  | ) |
| Interestincome                                                                                                                            |  |  |                                |   | 2,372      |                               |  |  |      |   | 573,336    |      |  |  |  |   | 1,183,484   |   |  |  |  |   | 1,405,442   |   |
|                                                                                                                                      |  |  |                                |   | (1,847,768 | )                             |  |  |      |   | 3,542,478  |      |  |  |  |   | 2,178,123   |   |  |  |  |   | (5,326,293  | ) |
| Expenses:                                                                                                                                 |  |  |                                |   |       |                               |  |  |      |   |       |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Brokeragecommissions including clearing fees of $0, $18,592, $64,859 and$23,078, respectively                                             |  |  |                                |   | 789,217    |                               |  |  |      |   | 982,651    |      |  |  |  |   | 2,606,913   |   |  |  |  |   | 2,936,298   |   |
| Managementfees                                                                                                                            |  |  |                                |   | 346,334    |                               |  |  |      |   | 412,381    |      |  |  |  |   | 1,109,519   |   |  |  |  |   | 1,205,903   |   |
| Administrativefees                                                                                                                        |  |  |                                |   | 86,584     |                               |  |  |      |   | 103,094    |      |  |  |  |   | 277,381     |   |  |  |  |   | 301,474     |   |
| Other                                                                                                                                     |  |  |                                |   | 30,200     |                               |  |  |      |   | 25,833     |      |  |  |  |   | 93,429      |   |  |  |  |   | 95,690      |   |
|                                                                                                                                      |  |  |                                |   | 1,252,335  |                               |  |  |      |   | 1,523,959  |      |  |  |  |   | 4,087,242   |   |  |  |  |   | 4,539,365   |   |
| Net income(loss)                                                                                                                          |  |  |                                |   | (3,100,103 | )                             |  |  |      |   | 2,018,519  |      |  |  |  |   | (1,909,119  | ) |  |  |  |   | (9,865,658  | ) |
| Additions– Limited Partners                                                                                                         |  |  |                                |   | 2,269,000  |                               |  |  |      |   | 5,440,000  |      |  |  |  |   | 10,247,000  |   |  |  |  |   | 20,461,000  |   |
| Redemptions– LimitedPartners                                                                                                        |  |  |                                |   | (5,247,384 | )                             |  |  |      |   | (8,017,264 | )    |  |  |  |   | (16,989,133 | ) |  |  |  |   | (13,613,740 | ) |
| Net decrease in Partners'Capital                                                                                                          |  |  |                                |   | (6,078,487 | )                             |  |  |      |   | (558,745   | )    |  |  |  |   | (8,651,252  | ) |  |  |  |   | (3,018,398  | ) |
| Partners' Capital, beginning ofperiod                                                                                                     |  |  |                                |   | 72,873,509 |                               |  |  |      |   | 79,249,399 |      |  |  |  |   | 75,446,274  |   |  |  |  |   | 81,709,052  |   |
| Partners'Capital, end of period                                                                                                           |  |  |                                | $ | 66,795,022 |                               |  |  |      | $ | 78,690,654 |      |  |  |  | $ | 66,795,022  |   |  |  |  | $ | 78,690,654  |   |
| Net Asset Value per Redeemable Unit(86,085.7918 and 97,741.6918 Redeemable Units outstanding at September30, 2006 and 2005, respectively) |  |  |                                | $ | 775.91     |                               |  |  |      | $ | 805.09     |      |  |  |  | $ | 775.91      |   |  |  |  | $ | 805.09      |   |
| Net income (loss) per Redeemable Unit of Limited PartnershipPartnership Interest and General Partner Unitequivalent                       |  |  |                                | $ | (34.39     | )                             |  |  |      | $ | 19.64      |      |  |  |  | $ | (22.12      | ) |  |  |  | $ | (102.55     | ) |
| Redemption/subscription Value per RedeemableUnit                                                                                          |  |  |                                | $ | 775.91     |                               |  |  |      | $ | 805.26     |      |  |  |  | $ | 775.91      |   |  |  |  | $ | 805.26      |   |
|                                                                                                                                           |

Seeaccompanying Notes to Financial Statements.

5

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

|                                                                                                  |  |  |                   |   |            |                  |  |  |        |   |            |      |  |  |        |   |             |   |  |  |  |   |             |   |  |  |        |
|--------------------------------------------------------------------------------------------------|--|--|-------------------|---|------------|------------------|--|--|--------|---|------------|------|--|--|--------|---|-------------|---|--|--|--|---|-------------|---|--|--|--------|
|                                                                                             |  |  | ThreeMonths Ended |   |            | Nine MonthsEnded |  |  |   |
|                                                                                             |  |  | September30,      |   |            | September30,     |  |  |   |
|                                                                                             |  |  | 2006              |   |            | 2005             |  |  | 2006   |   |            | 2005 |  |  |   |
| Cash flows from operatingactivities:                                                             |  |  |                   |   |       |                  |  |  |        |   |       |      |  |  |        |   |        |   |  |  |  |   |        |   |  |  |   |
| Netincome (loss)                                                                                 |  |  |                   | $ | (3,100,103 | )                |  |  |        | $ | 2,018,519  |      |  |  |        | $ | (1,909,119  | ) |  |  |  | $ | (9,865,658  | ) |  |  |   |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |  |                   |   |       |                  |  |  |        |   |       |      |  |  |        |   |        |   |  |  |  |   |        |   |  |  |   |
| Changesin operating assets and liabilities:                                                      |  |  |                   |   |       |                  |  |  |        |   |       |      |  |  |        |   |        |   |  |  |  |   |        |   |  |  |   |
| Purchaseof investment in Master                                                                  |  |  |                   |   | (2,269,000 | )                |  |  |        |   | —    |      |  |  |        |   | (77,957,021 | ) |  |  |  |   | —     |   |  |  |   |
| Proceedsfrom sale of investment in Master                                                        |  |  |                   |   | 6,765,489  |                  |  |  |        |   | —    |      |  |  |        |   | 6,538,364   |   |  |  |  |   | —     |   |  |  |   |
| Net unrealized (appreciation) depreciation oninvestment in Master                                |  |  |                   |   | 2,534,881  |                  |  |  |        |   | —    |      |  |  |        |   | 3,712,868   |   |  |  |  |   | —     |   |  |  |   |
| (Increase)decrease in restricted cash                                                            |  |  |                   |   | —    |                  |  |  |        |   | 5,748,654  |      |  |  |        |   | 4,363,860   |   |  |  |  |   | 6,656,159   |   |  |  |   |
| (Increase)decrease in net unrealized appreciation on open futurespositions                       |  |  |                   |   | —    |                  |  |  |        |   | 500,557    |      |  |  |        |   | —     |   |  |  |  |   | 812,044     |   |  |  |   |
| (Increase) decrease inunrealized appreciation on open forward contracts                          |  |  |                   |   | 5,880      |                  |  |  |        |   | 444,960    |      |  |  |        |   | 3,298,568   |   |  |  |  |   | 1,872,247   |   |  |  |   |
| (Increase) decrease in interestreceivable                                                        |  |  |                   |   | —    |                  |  |  |        |   | (9,216     | )    |  |  |        |   | 30,485      |   |  |  |  |   | (43,993     | ) |  |  |   |
| (Increase) decrease in netunrealized depreciation on open futures positions                      |  |  |                   |   | —    |                  |  |  |        |   | —    |      |  |  |        |   | (78,814     | ) |  |  |  |   | —     |   |  |  |   |
| Increase (decrease) in unrealized depreciation on openforwardcontracts                           |  |  |                   |   | (2,376     | )                |  |  |        |   | (984,601   | )    |  |  |        |   | (2,216,527  | ) |  |  |  |   | (1,357,605  | ) |  |  |   |
| Accruedexpenses:                                                                                 |  |  |                   |   |       |                  |  |  |        |   |       |      |  |  |        |   |        |   |  |  |  |   |        |   |  |  |   |
| Increase(decrease) in brokerage commissions                                                      |  |  |                   |   | (26,469    | )                |  |  |        |   | 8,813      |      |  |  |        |   | (45,595     | ) |  |  |  |   | (12,433     | ) |  |  |   |
| Increase(decrease) in management fees                                                            |  |  |                   |   | (11,687    | )                |  |  |        |   | 4,093      |      |  |  |        |   | (20,087     | ) |  |  |  |   | (5,316      | ) |  |  |   |
| Increase(decrease) in administrative fees                                                        |  |  |                   |   | (2,922     | )                |  |  |        |   | 1,023      |      |  |  |        |   | (5,022      | ) |  |  |  |   | (1,329      | ) |  |  |   |
| Increase(decrease) in due to CGM                                                                 |  |  |                   |   | —    |                  |  |  |        |   | (9,891     | )    |  |  |        |   | (10,451     | ) |  |  |  |   | (28,022     | ) |  |  |   |
| Increase (decrease) inother                                                                      |  |  |                   |   | (19,354    | )                |  |  |        |   | (116,159   | )    |  |  |        |   | (53,608     | ) |  |  |  |   | (100,968    | ) |  |  |   |
| Net cash provided by (used in) operatingactivities                                               |  |  |                   |   | 3,874,339  |                  |  |  |        |   | 7,606,752  |      |  |  |        |   | (64,352,099 | ) |  |  |  |   | (2,074,874  | ) |  |  |   |
| Cash flows from financingactivities:                                                             |  |  |                   |   |       |                  |  |  |        |   |       |      |  |  |        |   |        |   |  |  |  |   |        |   |  |  |   |
| Proceeds from additions –Limited Partners                                                  |  |  |                   |   | 2,269,000  |                  |  |  |        |   | 5,440,000  |      |  |  |        |   | 10,247,000  |   |  |  |  |   | 20,461,000  |   |  |  |   |
| Paymentsfor redemptions – Limited Partners                                                 |  |  |                   |   | (6,166,760 | )                |  |  |        |   | (4,963,545 | )    |  |  |        |   | (18,860,648 | ) |  |  |  |   | (11,245,963 | ) |  |  |   |
| Net cash provided by (used in) financingactivities                                               |  |  |                   |   | (3,897,760 | )                |  |  |        |   | 476,455    |      |  |  |        |   | (8,613,648  | ) |  |  |  |   | 9,215,037   |   |  |  |   |
| Net change incash                                                                                |  |  |                   |   | (23,421    | )                |  |  |        |   | 8,083,207  |      |  |  |        |   | (72,965,747 | ) |  |  |  |   | 7,140,163   |   |  |  |   |
| Unrestricted cash, at beginning ofperiod                                                         |  |  |                   |   | 116,302    |                  |  |  |        |   | 69,855,958 |      |  |  |        |   | 73,058,628  |   |  |  |  |   | 70,799,002  |   |  |  |   |
| Unrestricted cash, at end of period                                                              |  |  |                   | $ | 92,881     |                  |  |  |        | $ | 77,939,165 |      |  |  |        | $ | 92,881      |   |  |  |  | $ | 77,939,165  |   |  |  |   |
|                                                                                                  |

Seeaccompanying Notes to FinancialStatements.

6

----

Citigroup FairfieldFutures Fund L.P. II Notes to Financial Statements September30, 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 CitigroupInc.

Effective June 1, 2006, the Partnership allocatedsubstantially all of its capital to the CMF Graham Master Fund L.P.(the ‘‘Master’’), a limited partnershiporganized under the partnership laws of the State of New York. Thepartnership purchased 74,569.3761 Units of the Master with cash equalto $75,688,021. The Master was formed in order to permit accountsmanaged by Graham Capital Management L.P. (the‘‘Advisor’’) using the Multi Trend Program at125% Leverage, to invest together in one trading vehicle. TheGeneral Partner of the Partnership is the general partner of theMaster. Individual and pooled accounts currently managed by theAdvisor, including the Partnership are permitted to be limited partnersof the Master. The General Partner and the Advisor believe that tradingthrough this master/feeder structure promotes efficiency and economy inthe trading process. Expenses to investors as a result of theinvestment in the Master are approximately the same and redemptionrights are not affected.

As of September 30, 2006, thePartnership owned approximately 29.4% of the Master. It is thePartnership's intention to continue to invest substantially allof its assets in the Master. The performance of the Partnership isdirectly affected by the performance of the Master. The Masters'Statement of Financial Condition, Statements of Income and Expenses andPartner's Capital, Condensed Schedule of Investments andStatements of Cash Flows are included herein.

The accompanyingfinancial statements are unaudited but, in the opinion of management,include all adjustments, consisting only of normal recurringadjustments, necessary for a fair presentation of thePartnership's financial condition at September 30, 2006 andDecember 31, 2005 and the results of its operations and cash flows forthe three and nine months ended September 30, 2006 and 2005. Thesefinancial statements present the results of interim periods and do notinclude all disclosures normally provided in annual financialstatements. These financial statements should be read together with thefinancial statements and notes included in the Partnership'sAnnual Report on Form 10-K filed with the Securities and ExchangeCommission 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'sStatements of Financial Condition and Condensed Schedule of Investmentsas of September  30, 2006 and Statements of Income and Expensesand Partners' Capital and Statements of Cash Flows for the threemonths ended September 30, 2006 and the period April 1, 2006(commencement of trading operations) to September 30, 2006 arepresented below.

7

----

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

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

|                                                     |  |  |                  |   |             |  |
|-----------------------------------------------------|--|--|------------------|---|-------------|--|
|                                                |  |  | September30,2006 |
| Assets:                                             |  |  |                  |   |        |  |
| Equityin commodity futures trading account:         |  |  |                  |   |        |  |
| Cash(restricted $31,937,859)                        |  |  |                  | $ | 226,862,885 |  |
| Netunrealized appreciation on open futurespositions |  |  |                  |   | 3,101,809   |  |
| Unrealized appreciationon open forwardcontracts     |  |  |                  |   | 2,829,640   |  |
|                                                |  |  |                  |   | 232,794,334 |  |
| Interestreceivable                                  |  |  |                  |   | 724,444     |  |
|                                                |  |  |                  | $ | 233,518,778 |  |
| Liabilities andPartners'Capital:                    |  |  |                  |   |        |  |
| Liabilities:                                        |  |  |                  |   |        |  |
| Unrealizeddepreciation on open forward contracts    |  |  |                  | $ | 2,795,203   |  |
| Accruedexpenses:                                    |  |  |                  |   |        |  |
| Other                                               |  |  |                  |   | 3,794       |  |
| Distributionpayable                                 |  |  |                  |   | 724,444     |  |
|                                                |  |  |                  |   | 3,523,441   |  |
| Partners'Capital:                                   |  |  |                  |   |        |  |
| Partners' Capital,238,436.8217 units outstanding    |  |  |                  |   | 229,995,337 |  |
|                                                |  |  |                  | $ | 233,518,778 |  |
|                                                     |

8

----

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

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

|                                                   |  |  |           |   |            |                      |  |  |  |  |        |    |
|---------------------------------------------------|--|--|-----------|---|------------|----------------------|--|--|--|--|--------|----|
| FuturesContracts Purchased                        |  |  | FairValue |   |            | % ofPartners'Capital |
| Grains                                            |  |  |           | $ | 2,633      |                      |  |  |  |  | 0.00   | %* |
| Indices                                           |  |  |           |   | 2,642,245  |                      |  |  |  |  | 1.15   |    |
| Interest Rates U.S.                               |  |  |           |   | 211,810    |                      |  |  |  |  | 0.09   |    |
| Interest RatesNon-U.S.                            |  |  |           |   | 166,350    |                      |  |  |  |  | 0.07   |    |
| Total futures contractspurchased                  |  |  |           |   | 3,023,038  |                      |  |  |  |  | 1.31   |    |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |    |
| FuturesContractsSold                              |  |  |           |   |       |                      |  |  |  |  |   |    |
| Energy                                            |  |  |           |   | 95,378     |                      |  |  |  |  | 0.04   |    |
| Grains                                            |  |  |           |   | (55,464    | )                    |  |  |  |  | (0.02  | )  |
| Indices                                           |  |  |           |   | (1,350     | )                    |  |  |  |  | (0.00  | )* |
| InterestRates Non-U.S.                            |  |  |           |   | (432,155   | )                    |  |  |  |  | (0.19  | )  |
| Metals                                            |  |  |           |   | (15,580    | )                    |  |  |  |  | (0.01  | )  |
| Softs                                             |  |  |           |   | 487,942    |                      |  |  |  |  | 0.21   |    |
| Total futures contractssold                       |  |  |           |   | 78,771     |                      |  |  |  |  | 0.03   |    |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |    |
| UnrealizedAppreciation on ForwardContracts        |  |  |           |   |       |                      |  |  |  |  |   |    |
| Currencies                                        |  |  |           |   | 2,086,295  |                      |  |  |  |  | 0.91   |    |
| Metals                                            |  |  |           |   | 743,345    |                      |  |  |  |  | 0.32   |    |
| Total unrealized appreciation on forwardcontracts |  |  |           |   | 2,829,640  |                      |  |  |  |  | 1.23   |    |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |    |
| UnrealizedDepreciation on ForwardContracts        |  |  |           |   |       |                      |  |  |  |  |   |    |
| Currencies                                        |  |  |           |   | (1,700,031 | )                    |  |  |  |  | (0.74  | )  |
| Metals                                            |  |  |           |   | (1,095,172 | )                    |  |  |  |  | (0.47  | )  |
| Total unrealized depreciation on forwardcontracts |  |  |           |   | (2,795,203 | )                    |  |  |  |  | (1.21  | )  |
|                                              |  |  |           |   |       |                      |  |  |  |  |   |    |
| Total FairValue                                   |  |  |           | $ | 3,136,246  |                      |  |  |  |  | 1.36   | %  |
|                                                   |

Percentages are based onPartners' Capital of the Master unless otherwiseindicated.

* Due torounding.

9

----

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

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

|                                                                                                         |  |  |                                |   |             |                                                                              |  |  |  |   |             |   |
|---------------------------------------------------------------------------------------------------------|--|--|--------------------------------|---|-------------|------------------------------------------------------------------------------|--|--|--|---|-------------|---|
|                                                                                                    |  |  | ThreeMonths EndedSeptember 30, |   |             | For the PeriodApril 1,2006(Commencement oftrading operations)to September30, |
|                                                                                                    |  |  | 2006                           |   |             | 2006                                                                         |
| Income:                                                                                                 |  |  |                                |   |        |                                                                              |  |  |  |   |        |   |
| Netgains (losses) on trading of commodityinterests:                                                     |  |  |                                |   |        |                                                                              |  |  |  |   |        |   |
| Realized gains(losses) on closed positions                                                              |  |  |                                | $ | (10,142,960 | )                                                                            |  |  |  | $ | (14,296,303 | ) |
| Change in unrealized gains(losses) on open positions                                                    |  |  |                                |   | 1,853,527   |                                                                              |  |  |  |   | 3,136,246   |   |
|                                                                                                    |  |  |                                |   | (8,289,433  | )                                                                            |  |  |  |   | (11,160,057 | ) |
| Interest income                                                                                         |  |  |                                |   | 2,329,476   |                                                                              |  |  |  |   | 3,555,528   |   |
|                                                                                                    |  |  |                                |   | (5,959,957  | )                                                                            |  |  |  |   | (7,604,529  | ) |
| Expenses:                                                                                               |  |  |                                |   |        |                                                                              |  |  |  |   |        |   |
| Brokeragecommissions including clearing fees of $65,356, and $131,322,respectively                      |  |  |                                |   | 161,124     |                                                                              |  |  |  |   | 275,065     |   |
| Other expenses                                                                                          |  |  |                                |   | 14,803      |                                                                              |  |  |  |   | 22,303      |   |
|                                                                                                    |  |  |                                |   | 175,927     |                                                                              |  |  |  |   | 297,368     |   |
|                                                                                                    |  |  |                                |   |        |                                                                              |  |  |  |   |        |   |
| Net income (loss)                                                                                       |  |  |                                |   | (6,135,884  | )                                                                            |  |  |  |   | (7,901,897  | ) |
| Additions– Limited Partners                                                                       |  |  |                                |   | 5,239,550   |                                                                              |  |  |  |   | 264,074,623 |   |
| Redemptions − LimitedPartners                                                                     |  |  |                                |   | (14,230,591 | )                                                                            |  |  |  |   | (22,621,861 | ) |
| Distribution of interest income to feeders funds                                                        |  |  |                                |   | (2,329,476  | )                                                                            |  |  |  |   | (3,555,528  | ) |
| Net increase (decrease) in Partners' Capital                                                            |  |  |                                |   | (17,456,401 | )                                                                            |  |  |  |   | 229,995,337 |   |
|                                                                                                    |  |  |                                |   |        |                                                                              |  |  |  |   |        |   |
| Partners' Capital,beginning of period                                                                   |  |  |                                |   | 247,451,738 |                                                                              |  |  |  |   | —     |   |
| Partners' Capital, end ofperiod                                                                         |  |  |                                | $ | 229,995,337 |                                                                              |  |  |  | $ | 229,995,337 |   |
|                                                                                                    |  |  |                                |   |        |                                                                              |  |  |  |   |        |   |
| Net Asset Value perRedeemable Unit (238,436.8217 Redeemable Units outstanding at September30, 2006)     |  |  |                                | $ | 964.60      |                                                                              |  |  |  | $ | 964.60      |   |
|                                                                                                    |  |  |                                |   |        |                                                                              |  |  |  |   |        |   |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unit equivalent |  |  |                                | $ | (24.96      | )                                                                            |  |  |  | $ | (16.26      | ) |
|                                                                                                         |

10

----

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

CMF Graham Master Fund L.P. Statements ofCash Flows(Unaudited)

|                                                                                                  |  |  |                                |   |             |                                                                                 |  |  |  |   |             |   |
|--------------------------------------------------------------------------------------------------|--|--|--------------------------------|---|-------------|---------------------------------------------------------------------------------|--|--|--|---|-------------|---|
|                                                                                             |  |  | ThreeMonths EndedSeptember 30, |   |             | For the Period April1, 2006 (commencement of trading operations) toSeptember30, |
|                                                                                             |  |  | 2006                           |   |             | 2006                                                                            |
| Cashflows from operating activities:                                                             |  |  |                                |   |        |                                                                                 |  |  |  |   |        |   |
| Netincome (loss)                                                                                 |  |  |                                | $ | (6,135,884  | )                                                                               |  |  |  | $ | (7,901,897  | ) |
| Adjustments to reconcile net income (loss) tonet cash provided by (used in) operatingactivities: |  |  |                                |   |        |                                                                                 |  |  |  |   |        |   |
| Changesin operating assets andliabilities:                                                       |  |  |                                |   |        |                                                                                 |  |  |  |   |        |   |
| (Increase)decrease in restrictedcash                                                             |  |  |                                |   | (16,159,953 | )                                                                               |  |  |  |   | (31,937,859 | ) |
| (Increase) decrease in net unrealized appreciation onopen futurespositions                       |  |  |                                |   | (1,686,602  | )                                                                               |  |  |  |   | (3,101,809  | ) |
| (Increase) decrease in unrealized appreciation on openforward contracts                          |  |  |                                |   | 75,794      |                                                                                 |  |  |  |   | (2,829,640  | ) |
| (Increase) decrease in interestreceivable                                                        |  |  |                                |   | 34,477      |                                                                                 |  |  |  |   | (724,444    | ) |
| Increase (decrease) in unrealized depreciation on openforward contracts                          |  |  |                                |   | (242,719    | )                                                                               |  |  |  |   | 2,795,203   |   |
| Accruedexpenses:                                                                                 |  |  |                                |   |        |                                                                                 |  |  |  |   |        |   |
| Increase(decrease) inother                                                                       |  |  |                                |   | (3,520      | )                                                                               |  |  |  |   | 3,794       |   |
| Net cash provided by (used in) operatingactivities                                               |  |  |                                |   | (24,118,407 | )                                                                               |  |  |  |   | (43,696,652 | ) |
| Cash flows from financingactivities:                                                             |  |  |                                |   |        |                                                                                 |  |  |  |   |        |   |
| Proceeds fromadditions – Limited Partners                                                  |  |  |                                |   | 5,239,550   |                                                                                 |  |  |  |   | 264,074,623 |   |
| Payments for redemptions− LimitedPartners                                                  |  |  |                                |   | (14,230,591 | )                                                                               |  |  |  |   | (22,621,861 | ) |
| Distribution of interest to feederfunds                                                          |  |  |                                |   | (2,363,953  | )                                                                               |  |  |  |   | (2,831,084  | ) |
| Net cash provided by (used in) financingactivities                                               |  |  |                                |   | (11,354,994 | )                                                                               |  |  |  |   | 238,621,678 |   |
| Net change incash                                                                                |  |  |                                |   | (35,473,401 | )                                                                               |  |  |  |   | 194,925,026 |   |
| Unrestricted cash, at beginning ofperiod                                                         |  |  |                                |   | 230,398,427 |                                                                                 |  |  |  |   | —     |   |
| Unrestricted cash, at end ofperiod                                                               |  |  |                                | $ | 194,925,026 |                                                                                 |  |  |  | $ | 194,925,026 |   |
|                                                                                                  |

11

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

2.    Financial Highlights:

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

|                                                                                            |  |  |                                |   |         |                              |  |  |      |   |        |      |  |  |  |   |         |   |  |  |  |   |         |   |
|--------------------------------------------------------------------------------------------|--|--|--------------------------------|---|---------|------------------------------|--|--|------|---|--------|------|--|--|--|---|---------|---|--|--|--|---|---------|---|
|                                                                                       |  |  | ThreeMonths EndedSeptember 30, |   |         | Nine MonthsEndedSeptember30, |
|                                                                                       |  |  | 2006                           |   |         | 2005                         |  |  | 2006 |   |        | 2005 |
| Netrealized and unrealized gains(losses)*                                                  |  |  |                                | $ | (36.89  | )                            |  |  |      | $ | 19.34  |      |  |  |  | $ | (28.80  | ) |  |  |  | $ | (100.50 | ) |
| Interestincome                                                                             |  |  |                                |   | 7.77    |                              |  |  |      |   | 5.58   |      |  |  |  |   | 22.86   |   |  |  |  |   | 13.99   |   |
| Expenses**                                                                                 |  |  |                                |   | (5.27   | )                            |  |  |      |   | (5.28  | )    |  |  |  |   | (16.18  | ) |  |  |  |   | (16.04  | ) |
| Increase (decrease) for theperiod                                                          |  |  |                                |   | (34.39  | )                            |  |  |      |   | 19.64  |      |  |  |  |   | (22.12  | ) |  |  |  |   | (102.55 | ) |
| Net Asset Value perRedeemable Unit, beginning ofperiod                                     |  |  |                                |   | 810.30  |                              |  |  |      |   | 785.45 |      |  |  |  |   | 798.03  |   |  |  |  |   | 907.64  |   |
| Net Asset Value perRedeemable Unit, end of period                                          |  |  |                                | $ | 775.91  |                              |  |  |      | $ | 805.09 |      |  |  |  | $ | 775.91  |   |  |  |  | $ | 805.09  |   |
| Redemption/subscription value per Redeemable Unit versus NetAsset Value per RedeemableUnit |  |  |                                |   | — |                              |  |  |      |   | 0.17   |      |  |  |  |   | — |   |  |  |  |   | 0.17    |   |
| Redemption/subscriptionvalue per Redeemable Unit, end ofperiod***                          |  |  |                                | $ | 775.91  |                              |  |  |      | $ | 805.26 |      |  |  |  | $ | 775.91  |   |  |  |  | $ | 805.26  |   |
|                                                                                            |

|   |                                                                                  |
|---|----------------------------------------------------------------------------------|
| * | IncludesPartnership brokerage commissions and expenses allocated from theMaster. |

|    |                                                                                   |
|----|-----------------------------------------------------------------------------------|
| ** | Excludes Partnershipbrokerage commissions and expenses allocated from the Master. |

|     |                                                                                                                                                                         |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| *** | For the purpose of aredemption/subscription, any remaining accrued liability forreimbursement of offering costs will not reduce redemption/subscriptionNet Asset Value. |

|                                              |  |  |  |  |        |    |  |  |  |  |        |    |  |  |  |  |        |    |  |  |  |  |        |    |
|----------------------------------------------|--|--|--|--|--------|----|--|--|--|--|--------|----|--|--|--|--|--------|----|--|--|--|--|--------|----|
| Ratiosto average netassets:****              |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |
| Netinvestment loss before incentivefees***** |  |  |  |  | (3.5   | )% |  |  |  |  | (4.8   | )% |  |  |  |  | (7.3   | )% |  |  |  |  | (5.3   | )% |
| Operatingexpenses                            |  |  |  |  | 7.5    | %  |  |  |  |  | 7.6    | %  |  |  |  |  | 7.7    | %  |  |  |  |  | 7.7    | %  |
| Total return                                 |  |  |  |  | (4.2   | )% |  |  |  |  | 2.5    | %  |  |  |  |  | (2.8   | )% |  |  |  |  | (11.3  | )% |
|                                              |

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

|       |                                    |
|-------|------------------------------------|
| ***** | Interest income less totalexpenses |

The above ratios may vary forindividual investors based on the timing of capital transactions duringthe period. Additionally, these ratios are calculated for the LimitedPartner class using the Limited Partners' share of income,expenses and average net assets.

12

----

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

2.    Financial Highlights (continued):

Financial Highlights of the Master:

|                                              |  |  |                               |   |        |                                                                                  |  |  |  |   |          |    |
|----------------------------------------------|--|--|-------------------------------|---|--------|----------------------------------------------------------------------------------|--|--|--|---|----------|----|
|                                         |  |  | ThreeMonthsEndedSeptember 30, |   |        | For the Period April 1,2006 (commencement of trading operations) to September30, |
|                                         |  |  | 2006                          |   |        | 2006                                                                             |
| Net realized and unrealized gains (losses)*  |  |  |                               | $ | (34.54 | )                                                                                |  |  |  | $ | (35.26   | )  |
| Interestincome                               |  |  |                               |   | 9.64   |                                                                                  |  |  |  |   | 19.14    |    |
| Expenses**                                   |  |  |                               |   | (0.06  | )                                                                                |  |  |  |   | (0.14    | )  |
| Increase (decrease) for theperiod            |  |  |                               |   | (24.96 | )                                                                                |  |  |  |   | (16.26   | )  |
| Distributions                                |  |  |                               |   | (9.64  | )                                                                                |  |  |  |   | (19.14   | )  |
| Net Asset Value per Unit, beginning ofperiod |  |  |                               |   | 999.20 |                                                                                  |  |  |  |   | 1,000.00 |    |
| Net Asset Value per Unit, end ofperiod       |  |  |                               | $ | 964.60 |                                                                                  |  |  |  | $ | 964.60   |    |
| *Includesbrokeragecommissions                |  |  |                               |   |   |                                                                                  |  |  |  |   |     |    |
| **Excludesbrokeragecommissions               |  |  |                               |   |   |                                                                                  |  |  |  |   |     |    |
|                                         |  |  |                               |   |   |                                                                                  |  |  |  |   |     |    |
| Ratiosto average netassets:***               |  |  |                               |   |   |                                                                                  |  |  |  |   |     |    |
| Net investmentgain****                       |  |  |                               |   | 3.6    | %                                                                                |  |  |  |   | 3.9      | %  |
| Operatingexpenses                            |  |  |                               |   | 0.3    | %                                                                                |  |  |  |   | 0.4      | %  |
| Totalreturn                                  |  |  |                               |   | (2.5   | )%                                                                               |  |  |  |   | (1.6     | )% |
|                                              |

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

|      |                                    |
|------|------------------------------------|
| **** | Interest income less totalexpenses |

The above ratios may vary forindividual investors based on the timing of capital transactions duringthe period.

13

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements September 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 JP Morgan Chase & Co.). As of September30, 2006, CGM was fully reimbursed by the Partnership.

4.    Trading Activities:

The Partnership was formed forthe purpose of trading contracts in a variety of commodity interests,including derivative financial instruments and derivative commodityinstruments. The Partnership invests the majority of its assets througha ‘‘Master Fund/Feeder Fund’’ structure. Theresults of the Partnership's investment in the Master are shownin the Statements of Income and Expenses and Partners' Capitaland are discussed in Item 2, Management's Discussion and Analysisof Financial Condition and Results of Operations.

The respectiveCustomer Agreements between the Partnership and CGM and the Master givethe Partnership and the Master the legal right to net unrealized gainsand losses on open futures positions.

All of the commodityinterests previously owned by the Partnership were held for tradingpurposes. The average fair values of these interests during the nineand twelve months ended September 30, 2006 and December  31,2005, based on a monthly calculation, were $672,458 and $395,806,respectively. The fair values of these commodity interests, includingoptions thereon, if applicable, at September 30, 2006 andDecember  31, 2005, were $0 and $1,003,227, respectively. All ofthe commodity interests owned by the Master for the period April 1,2006 (commencement of trading operations) to September 30, 2006 areheld for trading purposes. The average fair value during the period was$220,439. The fair values of these commodity interests, includingoptions thereon, if applicable at September 30, 2006 was $3,136,246.Fair values for exchange traded commodity futures and options are basedon quoted market prices for those futures and options. Fair values forall other financial instruments for which market quotations are notreadily available are based on calculations approved by the GeneralPartner.

5.    Financial Instrument Risks:

In thenormal course of its business, the Partnership either directly orthrough its investment in the Master, is party to financial instrumentswith off-balance sheet risk, including derivative financial instrumentsand derivative commodity instruments. These financial instruments mayinclude forwards, futures and options, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, to purchase orsell other financial instruments at specific terms at specified futuredates, or, in the case of derivative commodity instruments, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter (‘‘OTC’’).Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options.

Each of these instruments is subject to various risks similar tothose related to the underlying financial instruments including marketand credit risk. In general, the risks associated with OTC contractsare greater than those associated with exchange traded instrumentsbecause of the greater risk of default by the counterparty to an OTCcontract.

14

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Citigroup Fairfield Futures Fund L.P.II Notes to Financial Statements September 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 September 30,2006. However, due to the nature of thePartnership's/Master's business, these instruments may notbe held to maturity.

15

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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, 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 third quarter of 2006.

The Partnership's capital consists of capital contributions ofthe partners, as increased or decreased by income (loss) from itsinvestment in the Master, realized and/or unrealized gains or losses oncommodity forwards trading, expenses, interest income, redemptions ofRedeemable Units and distributions of profits, if any.

For thenine months ended September 30, 2006, Partnership capital decreased11.5% from $75,446,274 to $66,795,022. This decrease wasattributable to the redemption of 21,119.5229 Redeemable Units ofLimited Partnership Interest totaling $16,989,133, coupled with a netloss from operations of $1,909,119 which was partially offset by theaddition of 12,664.0922 Redeemable Units totalling $10,247,000, Futureredemptions can impact the amount of funds available for investment incommodity contract positions in subsequent periods.

TheMaster's capital consists of the capital contributions of thepartners as increased or decreased by the realized and/or unrealizedgains or losses on commodity futures trading, expenses, interestincome, redemptions of units and distribution of profits, if any.

For the period April 1, 2006 (commencement of trading operations) toSeptember 30, 2006 the Master's capital increased from $0 to$229,995,337. This increase was attributable to the sales of261,203.7179 units totaling $264,074,623 which was partially offset bya net loss from operations of $7,901,897, coupled with the redemptionof 22,766.8962 units resulting in an outflow of $22,621,861, anddistribution of interest totaling $3,555,528 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 U.S. generallyaccepted accounting principles requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, disclosures of contingent assets and liabilities at thedate of the financial statements and reported amounts of revenues andexpenses during the reporting period. Actual results could differ fromthese estimates.

All commodity interests held by the Master(including derivative financial instruments and derivative commodityinstruments) are used for trading purposes. The commodity interests arerecorded on trade date and open contracts are recorded in thestatements of financial condition at fair value on the last businessday of the period, which represents market value for those commodityinterests for which market quotations are readily available or othermeasures of fair value deemed appropriate by management of the GeneralPartner for those commodity interests and foreign currencies for whichmarket quotations are not readily available. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe period. Realized gains (losses) and changes in unrealized values onopen positions are recognized in the period in which the contract isclosed or the changes occur and are included in net gains (losses) ontrading of commodity interests.

Foreign currency contracts arethose contracts where the Master agrees to receive or deliver a fixedquantity of foreign currency for an agreed-upon price on an agreedfuture date. Foreign currency contracts are valued daily, and theMaster's net equity therein, representing unrealized gain or losson the contracts as measured by the difference between the forwardforeign exchange rates at the dates of entry into the contracts and theforward rates at the reporting date, is included in the statements offinancial condition. Realized gains (losses) and changes in unrealizedvalues on foreign currency contracts are recognized in the period inwhich the contract is closed or the changes occur and are included inthe statements of income and expenses and partners' capital.

16

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Results of Operations

During the Partnership's third quarter of 2006, the Net AssetValue per Redeemable Unit decreased 4.2% from $810.30 to $775.91as compared to an increase of 2.5% in the third quarter of 2005.The Partnership experienced a net trading loss before brokeragecommissions and related fees in the third quarter of 2006 of$2,485,475. Losses were primarily attributable to the Master'strading of commodity futures in currencies, energy, grains, U.S. andnon-U.S. interest rates and metals and were partially offset by gainsin softs and indices. The Partnership experienced a net trading gainbefore brokerage commissions and related fees in the third quarter of2005 of $2,969,142. Gains were primarily attributable to the trading ofcommodity futures by the Partnership in energy, metals, softs andindices and were partially offset by losses in currencies, grains, U.S.and non-U.S. interest rates and livestock.

The Master sustainedlosses during the third quarter in the currency, fixed income andenergy sectors due to economic uncertainty and declining energy priceswhile posting modest profits in the equity sector due to rallying stockmarkets.

Losses were made in the fixed-income sector during thethird quarter as the U. S. Treasury market continued to rally asinflation readings suggested a cooling economy. The Master alsosustained losses as European bonds moved higher amid European CentralBank's decision to hold its key rate steady. There were minorlosses in the metals sector primarily due to trading in copper andnickel as prices increased. The currency sector was mixed as losses inEuro positions were only partially offset by profitable trading in theJapanese Yen. In the energy sector, declining natural gas pricesrelated to weather and fluctuating demand for electricity also causedminor trading losses.

Trading in equity indices was profitableespecially in the European markets, as declining bond yields andfalling energy prices supported rallies.

During thePartnership's nine months ended September 30, 2006, the Net AssetValue per Redeemable Unit decreased 2.8% from $798.03 to $775.91as compared to a decrease of 11.3% for the nine months endedSeptember 30, 2005. The Partnership experienced a net trading gainbefore brokerage commissions and related fees during the nine monthsended September 30, 2006 of $156,386. Gains were primarily attributableto the trading of commodity futures by the Master and by thePartnership in U.S. and non-U.S. interest rates, metals, softs andindices 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 nine monthsended September 30, 2005 of $6,371,735. Losses were primarilyattributable to the trading of commodity futures by the Partnership incurrencies, grains, U.S. and non-U.S. interest rates, livestock, metalsand softs and were partially offset by gains in energy and indices.

Commodity futures markets are highly volatile. The potential forbroad and rapid price fluctuations increases the risks involved incommodity trading, but also increases the possibility of profit. Theprofitability of the Partnership depends on the existence of majorprice trends and the ability of the Advisor to correctly identify thoseprice trends. Price trends are influenced by, among other things,changing supply and demand relationships, weather, governmental,agricultural, commercial and trade programs and policies, national andinternational political and economic events and changes in interestrates. To the extent that market trends exist and the Advisor is ableto identify them, the Partnership/Master expects to increase capitalthrough operations.

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 interest earned on Treasury bills. Interest incomeallocated from the Master for the three and nine months ended September30, 2006 increased by $116,630 and $692,758, respectively, as comparedto the unallocated amount earned directly in the corresponding periodsin 2005. The increase in interest income is primarily due to higherinterest rates during the three months and nine months ended September30, 2006 as compared to the corresponding periods in 2005.

17

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Brokerage commissions are calculated as apercentage of the Partnership's adjusted net asset value on thelast day of each month and are affected by trading performance,additions and redemptions. Accordingly, they must be analyzed inrelation to the fluctuations in the monthly net asset values.Commissions and fees for the three and nine months ended September 30,2006 decreased by $193,434 and $329,385, respectively, as compared tothe corresponding periods in 2005. The decrease in brokeragecommissions is due to lower average net assets during the three andnine months ended September 30, 2006 as compared to the correspondingperiods in 2005.

Management fees are calculated as a percentageof the Partnership's net asset value as of the end of each monthand are affected by trading performance, additions and redemptions.Management fees for the three and nine months ended September 30, 2006decreased by $66,047 and $96,384, respectively, as compared to thecorresponding periods in 2005. The decrease in management fees is dueto lower average net assets during the three and nine months endedSeptember 30, 2006 as compared to the corresponding periods in2005.

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 ninemonths ended September 30, 2006 decreased by $16,510 and $24,093,respectively, as compared to the corresponding periods in 2005. Thedecrease in administrative fees is due to lower average net assetsduring the three months and nine months ended September 30, 2006 ascompared to the corresponding periods in 2005.

Special LimitedPartner profit share allocations are based on the new trading profitsgenerated by the Advisor at the end of the quarter, as defined in theadvisory agreement between the Partnership, the General Partner and theAdvisor. There were no profit share allocations earned for the threeand nine months ended September 30, 2006 or 2005.

18

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

All of thePartnership's assets are subject to the risk of trading lossthrough its investment in the Master. The Master is a speculativecommodity pool. The market sensitive instruments held by it areacquired for speculative trading purposes, and all or substantially allof the Master's assets are subject to the risk of trading loss.Unlike an operating company, the risk of market sensitive instrumentsis integral, not incidental, to the Master's main line ofbusiness.

Market movements result in frequent changes inthe fair market value of the Master's open positions and,consequently, its earnings and cash flow. The Master's marketrisk is influenced by a wide variety of factors, including the leveland volatility of interest rates, exchange rates, equity price levels,the market value of financial instruments and contracts, thediversification effects among the Master's open positions and theliquidity of the markets in which it trades.

The Masterrapidly acquires and liquidates both long and short positions in a widerange of different markets. Consequently, it is not possible to predicthow a particular future market scenario will affect performance, andthe Master's past performance is not necessarily indicative ofits future results.

Value at Risk is a measure of themaximum amount which the Master could reasonably be expected to lose ina given market sector. However, the inherent uncertainty of theMaster's speculative trading and the recurrence in the marketstraded by the Master of market movements far exceeding expectationscould result in actual trading or non-trading losses far beyond theindicated Value at Risk or the Master's experience to date (i.e.,‘‘risk of ruin’’). In light of the foregoing,as well as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification in this section shouldnot be considered to constitute any assurance or representation thatthe Master's losses in any market sector will be limited to Valueat Risk or by the Master's attempts to manage its marketrisk.

Exchange maintenance margin requirements have beenused by the Master as the measure of its Value at Risk. Maintenancemargin requirements are set by exchanges to equal or exceed the maximumlosses reasonably expected to be incurred in the fair value of anygiven contract in 95%-99% of any one-day interval.Maintenance margin has been used rather than the more generallyavailable initial margin, because initial margin includes a credit riskcomponent, which is not relevant to Value at Risk.

19

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The following table indicates thetrading Value at Risk associated with the Master's open positionsby market category as of September 30, 2006, and the highest, lowestand average values during the three months ended September 30, 2006.All open position trading risk exposures of the Master have beenincluded in calculating the figures set forth below. As of September30, 2006, the Master's total capitalization was $229,995,337. AtDecember 31, 2005, the table presented on the Partnership'sAnnual Report indicated the trading Value at Risk associated with thePartnership's open positions by market category.

September 30, 2006(Unaudited)

|                       |  |  |               |   |            |                         |  |  |                                     |  |        |                  |  |  |                       |   |           |  |  |  |  |   |           |  |  |  |  |   |           |  |
|-----------------------|--|--|---------------|---|------------|-------------------------|--|--|-------------------------------------|--|--------|------------------|--|--|-----------------------|---|-----------|--|--|--|--|---|-----------|--|--|--|--|---|-----------|--|
|                  |  |  |          |   |            |                    |  |  | Threemonths ended September 30,2006 |
| MarketSector          |  |  | Value at Risk |   |            | % ofTotalCapitalization |  |  | HighValue atRisk                    |  |        | LowValue at Risk |  |  | Average *Value atRisk |
| Currencies:           |  |  |               |   |       |                         |  |  |                                     |  |   |                  |  |  |                       |   |      |  |  |  |  |   |      |  |  |  |  |   |      |  |
| -OTC                  |  |  |               | $ | 5,750,924  |                         |  |  |                                     |  | 2.50   | %                |  |  |                       | $ | 6,566,306 |  |  |  |  | $ | 1,385,168 |  |  |  |  | $ | 3,938,103 |  |
| Energy                |  |  |               |   | 189,000    |                         |  |  |                                     |  | 0.08   | %                |  |  |                       |   | 775,300   |  |  |  |  |   | 91,000    |  |  |  |  |   | 346,433   |  |
| Grains                |  |  |               |   | 239,562    |                         |  |  |                                     |  | 0.10   | %                |  |  |                       |   | 689,600   |  |  |  |  |   | 239,562   |  |  |  |  |   | 500,419   |  |
| InterestRatesU.S.     |  |  |               |   | 1,990,800  |                         |  |  |                                     |  | 0.87   | %                |  |  |                       |   | 1,990,800 |  |  |  |  |   | 101,360   |  |  |  |  |   | 748,642   |  |
| InterestRatesNon-U.S. |  |  |               |   | 2,436,575  |                         |  |  |                                     |  | 1.06   | %                |  |  |                       |   | 4,572,318 |  |  |  |  |   | 1,300,259 |  |  |  |  |   | 2,338,322 |  |
| Metals:               |  |  |               |   |       |                         |  |  |                                     |  |   |                  |  |  |                       |   |      |  |  |  |  |   |      |  |  |  |  |   |      |  |
| -ExchangeTraded       |  |  |               |   | 37,500     |                         |  |  |                                     |  | 0.02   | %                |  |  |                       |   | 37,500    |  |  |  |  |   | 10,000    |  |  |  |  |   | 12,500    |  |
| -OTC                  |  |  |               |   | 265,386    |                         |  |  |                                     |  | 0.12   | %                |  |  |                       |   | 756,150   |  |  |  |  |   | 43,345    |  |  |  |  |   | 139,821   |  |
| Softs                 |  |  |               |   | 652,162    |                         |  |  |                                     |  | 0.28   | %                |  |  |                       |   | 657,569   |  |  |  |  |   | 396,182   |  |  |  |  |   | 544,994   |  |
| Indices               |  |  |               |   | 9,891,409  |                         |  |  |                                     |  | 4.30   | %                |  |  |                       |   | 9,891,409 |  |  |  |  |   | 918,882   |  |  |  |  |   | 5,472,919 |  |
| Total                 |  |  |               | $ | 21,453,318 |                         |  |  |                                     |  | 9.33   | %                |  |  |                       |   |      |  |  |  |  |   |      |  |  |  |  |   |      |  |
|                       |

|   |                                  |
|---|----------------------------------|
| * | Averagemonth end Values at Risk. |

20

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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 covered 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.

21

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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 quarters ended March 31, 2006 and June 30,2006.

Enron Corp.

In light of the settlement of thesecurities class action (Newby, et al. v. Enron Corp., et al.),the plaintiffs have agreed to dismiss the following lawsuits againstCitigroup and its affiliates: California Public Employees'Retirement System v. Banc of America Securities LLC, et al., HeadwatersCapital LLC v. Lay et al., and Variable Annuity Life Ins. Co. v.Credit Suisse First Boston Corp., et al. Plaintiffs in two othercases, which are not part of the Newby class, have alsovoluntarily dismissed their claims against Citigroup and itsaffiliates: Steiner v. Enron Corp., et al. and Town of NewHartford v. Lay, et al.

Research

On August 17,2006, the United States District Court for the Southern District of NewYork approved the class action settlement of Citigroup and itsaffiliates in In Re Salomon Analyst AT&T Litigation, and onSeptember 29, 2006 that same court approved the class actionsettlements in In Re Salomon Analyst Level 3 Litigation, In ReSalomon Analyst XO Litigation and In Re Salomon Analyst WilliamsLitigation. 

On September 14, 2006, Citigroup and itsaffiliates settled all claims in Sturm, et al. v. Citigroup, etal. The settlement was covered by existing reserves.

OnOctober 6, 2006, the United States Court of Appeals granted a review ofthe district court's decision certifying a plaintiff class inIn Re Salomon Analyst Metromedia Litigation.

AdelphiaCommunications Corporation

Defendant banks in In Re AdelphiaCommunications Corporation Securities and Derivative Litigation,including the Citigroup Parties, have entered into settlementagreements with the Los Angeles County Employees Retirement Associationand with The Division of Investment of the New Jersey Department ofTreasury. The Citigroup Parties' share of the settlement wascovered by existing reserves. 

Item 1A.    Risk Factors

There are no material changes from the risk factors set forth underPart I, Item 1A. ‘‘Risk Factors’’ in our AnnualReport on Form 10-K for the fiscal year ended December 31,2005.

Item 2.    Unregistered Sales of Equity Securities andUse of Proceeds

For the three months ended September 30, 2006there were additional sales of 2,836.4022 Redeemable Units of LimitedPartnership totaling $2,269,000. 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.

22

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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 |
| July 1, 2006– July 31,2006           |  |  |                                     |  | 4,704.4219 |                                 |  |  | $790.44                                                                           |  |  |                                                                                                               |  | N/A |  |  |  |  |  | N/A |  |
| August1, 2006 – August 31,2006       |  |  |                                     |  | 1,202.5638 |                                 |  |  | $769.75                                                                           |  |  |                                                                                                               |  | N/A |  |  |  |  |  | N/A |  |
| September1, 2006 – September 30,2006 |  |  |                                     |  | 777.3423   |                                 |  |  | $775.91                                                                           |  |  |                                                                                                               |  | N/A |  |  |  |  |  | N/A |  |
|                                       |  |  |                                     |  | 6,684.3280 |                                 |  |  | $778.70                                                                           |  |  |                                                                                                               |  | 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) |

23

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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:  |  |  | November 14,2006                                                                                                                                                                                                                                                                          |  |  |   |
| By:    |  |  | /s/JenniferMagro                                                                                                                                   |  |  |   |
|   |  |  | JenniferMagroChief Financial Officer andDirector                                                                                                                                                                                                                                          |  |  |   |
| Date:  |  |  | November14, 2006                                                                                                                                                                                                                                                                          |  |  |   |
|        |

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