FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the Quarter ended September 30, 2001
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Commission File Number 0-28336
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SMITH BARNEY MID-WEST FUTURES FUND L.P. II
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 13-3772374
- --------------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Smith Barney Futures Management LLC
388 Greenwich St. - 7th Fl.
New York, New York 10013
- --------------------------------------------------------------------------------
(Address and Zip Code of principal executive offices)
(212) 723-5424
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(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
Yes X No
----- ----
SMITH BARNEY MID-WEST FUTURES FUND L.P. II
FORM 10-Q
INDEX
Page
Number
PART I - Financial Information:
Item 1. Financial Statements:
Statement of Financial Condition at
September 30, 2001 and December 31,
2000 (unaudited). 3
Statement of Income and Expenses
and Partners' Capital for the three
and nine months ended September 30,
2001 and 2000 (unaudited). 4
Notes to Financial Statements
(unaudited) 5 - 12
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations 13 - 15
Item 3. Quantitative and Qualitative
Disclosures of Market Risk 16 - 17
PART II - Other Information 18
2
PART I
Item 1. Financial Statements
SMITH BARNEY MID-WEST FUTURES FUND L.P. II
STATEMENT OF FINANCIAL CONDITION
(Unaudited)
September 30, December 31,
2001 2000
------------ ------------
Assets:
Investment in Master $39,767,637 $ -
Cash, in commodity futures trading account 39,399 37,561,240
Net unrealized appreciation
on open positions, in commodity
futures trading account - 7,601,505
----------- -----------
39,807,036 45,162,745
Interest receivable 78,591 160,983
----------- -----------
$39,885,627 $45,323,728
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL:
Liabilities:
Accrued expenses:
Commissions $ 199,428 $ 226,619
Management fees 66,069 75,079
Administrative fees 33,034 37,539
Other 44,854 49,840
Redemptions payable 452,852 1,153,427
----------- -----------
796,237 1,542,504
----------- -----------
Partners' Capital:
General Partner, 608.9156 Unit equivalents
outstanding in 2001 and 2000 869,233 855,825
Limited Partners, 26,773.9273 and 30,541.2490 Units
of Limited Partnership Interest outstanding
in 2001 and 2000, respectively 38,220,157 42,925,399
----------- -----------
39,089,390 43,781,224
----------- -----------
$39,885,627 $45,323,728
=========== ===========
See Notes to Financial Statements.
3
SMITH BARNEY MID-WEST FUTURES FUND L.P. II
STATEMENT OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
THREE MONTHS ENDED NINE MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
------------------------------------ -----------------------------------
2001 2000 2001 2000
---------------- --------------- ---------------- --------------
Income:
Realized gains on closed positions from Master $ 825,034 $ - $ 5,148,929 $ -
Change in unrealized gains on open positions
from Master 1,497,386 - 3,693,006 -
Net gains (losses) on trading of commodity
interests (See Note 1)
Realized gains (losses) on closed positions (716,972) 1,517,732 (12,598,355)
Change in unrealized losses on open
positions (2,203,446) (7,601,505) (2,822,393)
---------------- --------------- ---------------- --------------
2,322,420 (2,920,418) 2,758,162 (15,420,748)
Less, brokerage commissions including clearing fees
of $12,246 (Allocated from the Master), $11,643,
$37,015 (Allocated from the Master) and $43,171,
respectively (615,209) (620,981) (1,966,011) (2,461,819)
---------------- --------------- ---------------- --------------
Net realized and unrealized gains (losses) 1,707,211 (3,541,399) 792,151 (17,882,567)
Interest income 256,381 488,287 970,639 1,733,143
---------------- --------------- ---------------- --------------
1,963,592 (3,053,112) 1,762,790 (16,149,424)
---------------- --------------- ---------------- --------------
Expenses:
Management fees 193,906 391,965 622,458 1,563,662
Administrative fees 96,953 97,991 311,228 390,915
Other expenses 16,880 18,685 50,387 64,356
---------------- --------------- ---------------- --------------
307,739 508,641 984,073 2,018,933
---------------- --------------- ---------------- --------------
Net income (loss) 1,655,853 (3,561,753) 778,717 (18,168,357)
Additions - - - 835,000
Redemptions (1,743,247) (6,269,007) (5,470,551) (21,186,476)
---------------- --------------- ---------------- --------------
Net decrease in Partners' capital (87,394) (9,830,760) (4,691,834) (38,519,833)
Partners' capital, beginning of period 39,176,784 44,018,109 43,781,224 72,707,182
---------------- --------------- ---------------- --------------
Partners' capital, end of period $ 39,089,390 $ 34,187,349 $ 39,089,390 $ 34,187,349
================ =============== ================ ==============
Net asset value per Unit
(27,382.8429 and 34,048.6615 Units outstanding
at September 30, 2001 and 2000, respectively) $ 1,427.51 $ 1,004.07 $ 1,427.51 $ 1,004.07
================ =============== ================ ==============
Net income (loss) per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 60.24 $ (97.51) $ 22.02 $ (407.44)
================ =============== ================ ==============
See Notes to Financial Statements.
4
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
September 30, 2001
(Unaudited)
1. General:
Smith Barney Mid-West Futures Fund L.P. II,(the "Partnership") is a limited
partnership which was organized on June 3, 1994 under the partnership laws of
the State of New York to engage directly or indirectly in the speculative
trading of a diversified portfolio of commodity interests including futures
contracts, options and forward contracts. The Partnership commenced trading
operations on September 1, 1994. From September 1, 1994 through January 25,
2001, the Partnership engaged directly in the trading of commodity interests.
Effective January 26, 2001, the Partnership transferred substantially all
of its assets to the JWH Strategic Allocation Master Fund LLC, a New York
limited liability company (the "Master"), as a non-managing member. The Master
was formed in order to permit commodity pools managed now or in the future by
John W. Henry & Company, Inc. (the "Advisor") using the Strategic Allocation
Program, the Advisor's proprietary trading program, to invest together in one
trading vehicle. Smith Barney Futures Management LLC (the "General Partner") is
the general partner of the Partnership and the managing member of the Master.
There is no material increase in expenses to investors as a result of investment
in the Master and redemption rights are not affected.
As of September 30, 2001, the Partnership owns approximately 40.8% of the
Master. It is the Partnership's intention to continue to invest substantially
all of its assets in the Master. The performance of the Partnership is directly
affected by the performance of the Master. The Master's Statement of Financial
Condition and the Statement of Income and Expenses and Members' Capital and
Financial Highlights are included herein.
The Partnership's commodity broker is Salomon Smith Barney Inc. ("SSB").
SSB is an affiliate of the General Partner. The General Partner is wholly owned
by Salomon Smith Barney Holdings Inc. ("SSBHI"), which is the sole owner of SSB.
SSBHI is a wholly owned subsidiary of Citigroup Inc. As of September 30, 2001,
all trading decisions for the Partnership are made by the Advisor.
The accompanying financial statements are unaudited but, in the opinion of
management, include all adjustments, consisting only of normal recurring
adjustments, necessary for a fair presentation of the Partnership's financial
condition at September 30, 2001 and December 31, 2000 and the results of its
5
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
September 30, 2001
(Unaudited)
(Continued)
operations for the three and nine months ended September 30, 2001 and 2000.
These financial statements present the results of interim periods and do not
include all disclosures normally provided in annual financial statements. You
should read these financial statements together with the financial statements
and notes included in the Partnership's annual report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2000.
Due to the nature of commodity trading, the results of operations for the
interim periods presented should not be considered indicative of the results
that may be expected for the entire year.
The Master's Statement of Financial Condition as of September 30, 2001, and
its Statement of Income and Expenses and members' Capital for the three months
ended September 30, 2001 and the period from January 26, 2001 (commencement of
trading operations) to September 30, 2001 were:
JWH Strategic Allocation Master Fund LLC
Statement of Financial Condition
(unaudited)
September 30,
2001
-----------
Assets:
Equity in commodity futures
trading account:
Cash $92,472,852
Net unrealized appreciation on
open futures positions 4,976,327
-----------
$97,449,179
===========
Members' Capital $97,449,179
===========
6
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
September 30, 2001
(Unaudited)
(Continued)
JWH Strategic Allocation Master Fund LLC
Statement of Income and Expenses and Members' Capital
For the period
from
January 26, 2001
(commencement of
For the three trading
months ended operations) to
September 30, September 30,
2001 2001
------------- --------------
Income:
Net gains (losses) on
trading of commodity
interests:
Realized gains on closed
positions $ 2,204,612 $ 11,944,318
Change in unrealized
gains (losses) on open
positions 3,425,143 (4,021,098)
------------ ------------
5,629,755 7,923,220
Less, clearing fees (68,305) (175,578)
------------ ------------
Net income 5,561,450 7,747,642
Additions 4,490,310 25,340,310
Redemptions (3,584,931) (10,539,999)
------------ ------------
Net increase in Members'
Capital 6,466,829 22,547,953
Members' Capital, beginning
of period 90,982,350 74,901,226
------------ ------------
Members' Capital,
end of period $ 97,449,179 $ 97,449,179
============ ============
7
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
September 30, 2001
(Unaudited)
(Continued)
2. Financial Highlights:
Changes in the Partnership's net asset value per Unit for the three and nine
months ended September 30, 2001 and 2000 were as follows:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
--------------------------- -------------------
2001 2000 2001 2000
-------- --------- -------- --------
Net realized and unrealized
gains (losses) $ 62.07 $ (96.97) $ 22.68 $ (401.23)
Interest income 9.08 13.15 32.77 39.52
Expenses (10.91) (13.69) (33.43) (45.73)
--------- --------- --------- ---------
Increase(decrease) for period 60.24 (97.51) 22.02 (407.44)
Net Asset Value per Unit,
beginning of period 1,367.27 1,101.58 1,405.49 1,411.51
--------- --------- --------- ---------
Net Asset Value per Unit,
end of period $ 1,427.51 $ 1,004.07 $ 1,427.51 $ 1,004.07
========= ========= ========= =========
Total Return 4.4% 1.6%
Ratio of expenses, including
brokerage commissions, to
average assets * 9.5% 9.6%
Ratio of net income to average
net assets * 17.1% 2.5%
- --------------------------------------------------------------------------------
Financial Highlights of the
Master:
Total Return 6.1% 10.3%
Ratio of expenses, including
clearing fees, to average net
assets * 0.3% 0.3% **
Ratio of net income to average
Net assets * 24.1% 11.4% **
* Annualized
** For the period from January 26,
2001 (commencement of trading
operations) to September 30, 2001
8
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
September 30, 2001
(Unaudited)
(Continued)
3. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a
variety of commodity interests, including derivative financial instruments and
derivative commodity instruments. The Partnership invests the majority of its
assets through a "master fund/feeder fund" structure. The results of the
Partnership's investment in the Master are shown in the statement of income and
expenses and are discussed in Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operation, herein.
The respective Customer Agreements between the Partnership and SSB and the
Master and SSB give the Partnership and the Master, respectively, the legal
right to net unrealized gains and losses.
All of the commodity interests owned by the Master are held for trading
purposes. The average fair value during the period from January 26, 2001 to
September 30, 2001, based on a monthly calculation, was $6,076,490. The fair
value of these commodity interests, including options thereon, if applicable, at
September 30, 2001 was $4,976,327, as detailed below.
Fair Value
September 30, 2001
Currency:
- Exchange Traded Contracts $ (41,325)
- OTC Contracts (777,630)
Energy 246,308
Grains 101,475
Interest Rates U.S. 2,058,937
Interest Rates Non-U.S. 318,760
Livestock 26,390
Metals:
- Exchange Traded Contracts 483,955
- OTC Contracts 400,812
Softs 1,060,167
Indices 1,098,478
-----------
Total $4,976,327
============
9
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
September 30, 2001
(Unaudited)
(Continued)
As of December 31, 2000, all of the commodity interests owned by the
Partnership are held for trading purposes. The average fair value during the
twelve months ended December 31, 2000, based on a monthly calculation, was
$1,479,528. The fair value of these commodity interests, including options
thereon, if applicable, at December 31, 2000, was $7,601,505, as detailed below.
Fair Value
December 31, 2000
Currency:
- - Exchange Traded Contracts $ 207,188
- - OTC Contracts 2,621,875
Energy 1,274,209
Grains 133,604
Interest Rates U.S. 1,617,516
Interest Rates Non-U.S. 1,330,610
Livestock 8,960
Metals:
- Exchange Traded Contracts (7,055)
- OTC Contracts (62,921)
Softs (133,324)
Indices 610,843
----------
Total $7,601,505
============
4. Financial Instrument Risk:
The Partnership is party to financial instruments with off-balance sheet
risk, including derivative financial instruments and derivative commodity
instruments, through its investment in the Master.
The Master is party to financial instruments with off-balance sheet risk,
including derivative financial instruments and derivative commodity instruments,
in the normal course of its business. These financial instruments may include
forwards, futures and options, whose value is based upon an underlying asset,
10
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
September 30, 2001
(Unaudited)
(Continued)
index, or reference rate, and generally represent future commitments to exchange
currencies or cash flows, to purchase or sell other financial instruments at
specific terms at specified future dates, or, in the case of derivative
commodity instruments, to have a reasonable possibility to be settled in cash,
through physical delivery or with another financial instrument. These
instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange
traded instruments are standardized and include futures and certain option
contracts. OTC contracts are negotiated between contracting parties and include
forwards and certain options. Each of these instruments is subject to various
risks similar to those related to the underlying financial instruments including
market and credit risk. In general, the risks associated with OTC contracts are
greater than those associated with exchange traded instruments because of the
greater risk of default by the counterparty to an OTC contract.
Market risk is the potential for changes in the value of the financial
instruments traded by the Master due to market changes, including interest and
foreign exchange rate movements and fluctuations in commodity or security
prices. Market risk is directly impacted by the volatility and liquidity in the
markets in which the related underlying assets are traded.
Credit risk is the possibility that a loss may occur due to the failure of
a counterparty to perform according to the terms of a contract. Credit risk with
respect to exchange traded instruments is reduced to the extent that an exchange
or clearing organization acts as a counterparty to the transactions. The
Master's risk of loss in the event of counterparty default is typically limited
to the amounts recognized as unrealized appreciation (depreciation) in the
statement of financial condition and not represented by the contract or notional
amount of the instruments. The Master has concentration risk because the sole
counterparty or broker with respect to the Master's assets is SSB.
The General Partner monitors and controls the Master's risk exposure on a
daily basis through financial, credit and risk management monitoring systems and
accordingly believes that it has effective procedures for evaluating and
limiting the credit and market risks to which the Master is subject. These
monitoring systems allow the General Partner to statistically analyze actual
11
trading results with risk adjusted performance indicators and correlation
statistics. In addition, on-line monitoring systems provide account analysis of
futures, forwards and options positions by sector, margin requirements, gain and
loss transactions and collateral positions.
The notional or contractual amounts of these instruments, while not
recorded in the financial statements, reflect the extent of the Master's
involvement in these instruments. The majority of these instruments mature
within one year of September 30, 2001. However, due to the nature of the
Master's business, these instruments may not be held to maturity.
12
Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. Its only
assets are its investment in the Master and interest receivable. The Master does
not engage in the sale of goods or services. Its only assets are its equity in
its commodity futures trading account, allocated net unrealized appreciation
(depreciation) on open futures and forward contracts, commodity options, if
applicable, and interest receivable. Because of the low margin deposits normally
required in commodity futures trading, relatively small price movements may
result in substantial losses to the Partnership. While substantial losses could
lead to a decrease in liquidity, no such losses occurred in the third quarter of
2001.
The Partnership's capital consists of the capital contributions of the
partners as increased or decreased by its investment in the Master, expenses,
interest income, redemptions of Units and distributions of profits, if any.
For the nine months ended September 30, 2001, Partnership capital decreased
10.7% from $43,781,224 to $39,089,390. This decrease was attributable to the
redemption of 3,767.3217 Units resulting in an outflow of $5,470,551 which was
partially offset by net income from operations of $778,717, for the nine months
ended September 30, 2001. Future redemptions can impact the amount of funds
available for investment in the Master in subsequent periods.
The Master's capital consists of the capital contributions of the members
as increased or decreased by gains or losses on commodity futures trading,
expenses, interest income, redemptions of Units and distributions of profits, if
any.
For the period from January 26, 2001 (commencement of trading operations)
to September 30, 2001, Master capital increased 30.1% from $74,901,226 to
$97,449,179. This increase was attributable to net income from operations of
$7,747,642 coupled with additions of $25,340,310, which was partially offset by
redemptions of $10,539,999, for the period from January 26, 2001 to September
30, 2001. Future redemptions can impact the amount of funds available for
investments in commodity contract positions in subsequent periods.
13
Results of Operations
During the third quarter of 2001, the Partnership's net asset value per
unit increased 4.4% from $1,367.27 to $1,427.51 as compared to a decrease of
8.9% in the third quarter of 2000. The Partnership experienced a net trading
gain before brokerage commissions and related fees in the third quarter of 2001
of $2,322,420. Gains were primarily attributable to the Master's trading of
commodity futures in U.S. interest rates livestock, metals, indices and softs
and were partially offset by losses in currencies, energy, non-U.S. interest
rates and grains. The Master experienced a net trading gain before brokerage
commissions and related fees in the third quarter of 2001 of $5,629,755. The
Partnership experienced a net trading loss before commissions and related fees
in the third quarter of 2000 of $2,920,418. Losses were primarily attributable
to the trading of commodity futures in currencies, livestock, non-U.S. interest
rates, softs, metals and indices and were partially offset by gains in energy,
grains and U.S. interest rates.
Commodity futures markets are highly volatile. Broad price fluctuations and
rapid inflation increase the risks involved in commodity trading, but also
increase the possibility of profit. The profitability of the Partnership (and
Master) depends on the existence of major price trends and the ability of the
Advisor to identify correctly those price trends. Price trends are influenced
by, among other things, changing supply and demand relationships, weather,
governmental, agricultural, commercial and trade programs and policies, national
and international political and economic events and changes in interest rates.
To the extent that market trends exist and the Advisor is able to identify them,
the Partnership (and Master) expects to increase capital through operations.
Interest income on 80% of the Partnership's average daily equity, allocated
to it by the Master, was earned at the monthly average 30 day U.S. Treasury bill
rate. Interest income for the three and nine months ended September 30, 2001
decreased by $231,906 and $762,504, respectively, as compared to the
corresponding periods in 2000. The decrease in interest income is primarily due
to a decrease in interest rates and the effect of redemptions on the
Partnership's equity maintained in cash during the nine month period ended
September 30, 2001.
Brokerage commissions are calculated on the adjusted net asset value on the
last day of each month and, therefore, vary according to trading performance,
additions and redemptions. Accordingly, they must be analyzed in relation to the
fluctuations in the monthly net asset values. Commissions and fees for the three
and nine months ended September 30, 2001 decreased by $5,772 and $495,808,
respectively, as compared to the corresponding periods in 2000.
14
Management fees are calculated as a percentage of the Partnership's net
asset value as of the end of each month and are affected by trading performance,
additions and redemptions. Management fees for the three and nine months ended
September 30, 2001 decreased by $198,059 and $941,204, respectively, as compared
to the corresponding periods in 2000 primarily due to a decrease in the
management fee rate during the fourth quarter of 2000.
Administrative fees are paid to the General Partner for administering the
business and affairs of the Partnership. These fees are calculated as a
percentage of the Partnership's net asset value as of the end of each month and
are affected by trading performance, additions and redemptions. Administrative
fees for the three and nine months ended September 30, 2001 decreased by $1,038
and $79,687, respectively, as compared to the corresponding periods in 2000.
Incentive fees are based on the new trading profits generated by the
Advisor as defined in the advisory agreement between the Partnership, the
General Partner and the Advisor. There were no incentive fees earned for the
three and nine months ended September 30, 2001 or 2000.
15
Item 3. Quantitative and Qualitative Disclosures of Market Risk
All of the Partnership's assets are subject to the risk of trading loss
through its investment in the Master.
The Master is a speculative commodity pool. The market sensitive
instruments held by it are acquired for speculative trading purposes, and all or
substantially all of the Master's assets are subject to the risk of trading
loss. Unlike an operating company, the risk of market sensitive instruments is
integral, not incidental, to the Master's main line of business.
Market movements result in frequent changes in the fair value of the
Master's open positions and, consequently, in its earnings and cash flow. The
Master's market risk is influenced by a wide variety of factors, including the
level and volatility of interest rates, exchange rates, equity price levels, the
value of financial instruments and contracts, the diversification effects of the
Master's open positions and the liquidity of the markets in which it trades.
The Master rapidly acquires and liquidates both long and short positions in
a wide range of different markets. Consequently, it is not possible to predict
how a particular future market scenario will affect performance, and the
Master's past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Master could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Master's speculative trading and the recurrence in the
markets traded by the Master or market movements far exceeding expectations
could result in actual trading or non-trading losses far beyond the indicated
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
future projections, the inclusion of the quantification included in this section
should not be considered to constitute any assurance or representation that the
Master's losses in any market sector will be limited to Value at Risk or by the
Master's attempts to manage its market risk.
Exchange maintenance margin requirements have been used by the Master as
the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. Maintenance margin has been used rather than the more generally
available initial margin, because initial margin includes a credit risk
components, which is not relevant to Value at Risk.
16
The following table indicates the trading Value at Risk associated with the
Master's open positions by market category as of September 30, 2001. All open
position trading risk exposures of the Master have been included in calculating
the figures set forth below. As of September 30, 2001, the Master's total
capitalization was $97,449,179.
September 30, 2001
(Unaudited)
Year to Date
% of Total High Low
Market Sector Value at Risk Capitalization Value at Risk Value at Risk
- ---------------------------------------------------------------------------------------
Currencies:
- Exchange Traded Contracts $ 479,650 0.49% $ 537,450 $182,149
- OTC Contracts 3,529,457 3.62% 5,090,588 1,955,574
Energy 1,830,000 1.88% 2,158,000 475,900
Grains 326,450 0.33% 382,750 135,000
Interest Rates U.S. 1,286,200 1.32% 1,505,450 406,740
Interest Rates Non-U.S. 2,577,639 2.64% 4,042,034 1,021,936
Livestock 8,500 0.01% 10,200 7,000
Metals:
- Exchange Traded Contracts 436,000 0.45% 479,000 122,000
- OTC Contracts 290,900 0.30% 292,900 77,500
Softs 406,580 0.42% 469,764 185,396
Indices 1,780,458 1.83% 1,883,559 965,339
----------- ------
Total $12,951,834 13.29%
=========== ======
17
PART II OTHER INFORMATION
Item 1. Legal Proceedings - None
Item 2. Changes in Securities and Use of Proceeds - None
Item 3. Defaults Upon Senior Securities - None
Item 4. Submission of Matters to a Vote of Security Holders - None
Item 5. Other Information - None
Item 6. (a) Exhibits - None
(b) Reports on Form 8-K - None
18
SIGNATURES
Pursuant to the requirements of Section 13 or 15 (d) of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
SMITH BARNEY MID-WEST FUTURES FUND L.P. II
By: Smith Barney Futures Management LLC
(General Partner)
By: /s/ David J. Vogel, President
David J. Vogel, President
Date: 11/8/01
Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By: Smith Barney Futures Management LLC
(General Partner)
By: /s/ David J. Vogel, President
-------------------------------
David J. Vogel, President
Date: 11/8/01
By: /s/ Daniel R. McAuliffe, Jr.
-----------------------------------
Daniel R. McAuliffe, Jr.
Chief Financial Officer and
Director
Date: 11/8/01
19