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 June 30, 2004
-------------
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 Citigroup Managed Futures LLC
399 Park Avenue. - 7th Fl.
New York, New York 10022
- --------------------------------------------------------------------------------
(Address and Zip Code of principal executive offices)
(212) 559-2011
- --------------------------------------------------------------------------------
(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____
Indicate by check mark whether the registrant is an accelerated filer (as
defined in Rule 12b-2 of the Exchange Act).
Yes____ No X
SMITH BARNEY MID-WEST FUTURES FUND L.P. II
FORM 10-Q
INDEX
Page
Number
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PART I - Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at
June 30, 2004 and December 31,
2003 (unaudited). 3
Statements of Income and Expenses
and Partners' Capital for the three and six
months ended June 30, 2004
and 2003 (unaudited). 4
Statements of Cash Flows for the three and six
months ended June 30, 2004 and 2003 5
(unaudited)
Notes to Financial Statements
including the Financial Statements
of JWH Strategic Allocation Master
Fund LLC (unaudited). 6 - 16
Item 2 Management's Discussion and Analysis
of Financial Condition and Results of
Operations 17 - 20
Item 3 Quantitative and Qualitative
Disclosures about Market Risk 21 - 22
Item 4 Controls and Procedures 23
PART II - Other Information 24
2
PART I
Item 1. Financial Statements
Smith Barney Mid-West Futures Fund L.P. II
Statements of Financial Condition
(Unaudited)
June 30, December 31,
2004 2003
----------- -------------
ASSETS:
Investment in Master, at fair value $19,613,206 $26,278,490
Cash 28,412 18,291
----------- -----------
$19,641,618 $26,296,781
=========== ===========
LIABILITIES AND PARTNERS' CAPITAL
Liabilities
Accrued expenses:
Commissions $ 98,208 $ 131,484
Management fees 32,520 43,570
Administrative fees 16,260 21,785
Other 31,530 23,126
Redemptions payable 80,377 222,481
----------- -----------
258,895 442,446
----------- -----------
Partners' capital:
General Partner, 401.3070 Unit equivalents outstanding
in 2004 and 2003 574,627 740,829
Limited Partners, 13,078.9855 and 13,603.9978 Redeemable
Units of Limited Partnership Interest outstanding in
2004 and 2003, respectively 18,808,096 25,113,506
----------- -----------
19,382,723 25,854,335
----------- -----------
$19,641,618 $26,296,781
=========== ===========
See Accompanying Notes to Unaudited Financial Statements
3
Smith Barney Mid-West Futures Fund L.P. II
Statements of Income and Expenses and Partners' Capital
(Unaudited)
Three Months Ended Six Months Ended
June 30, June 30,
---------------------------- ----------------------------
2004 2003 2004 2003
---------------------------- ----------------------------
Income:
Realized gains (losses) on closed positions from Master $(4,205,156) $54,322 $(512,367) $8,963,439
Change in unrealized gains (losses) on open positions
from Master (2,357,546) (392,054) (4,045,683) (4,298,785)
Expenses allocated from Master (22,993) (15,671) (44,778) (29,947)
----------- ------------ ------------ ------------
(6,585,695) (353,403) (4,602,828) 4,634,707
Interest income received from Master 47,997 69,671 94,275 138,249
----------- ------------ ------------ ------------
(6,537,698) (283,732) (4,508,553) 4,772,956
----------- ------------ ------------ ------------
Expenses:
Brokerage commissions 332,768 482,677 747,192 990,147
Management fees 110,012 155,438 247,316 320,434
Administrative fees 55,005 77,719 123,657 160,217
Incentive fees -- -- -- 178,139
Other expenses 9,351 9,814 20,549 19,626
--------- ------------ ------------ ------------
507,136 725,648 1,138,714 1,668,563
---------- ------------ ------------ ------------
Net income (loss) (7,044,834) (1,009,380) (5,647,267) 3,104,393
Redemptions - Limited Partners (432,516) (952,847) (824,345) (2,376,556)
- General Partner -- -- -- (102,821)
----------- ------------ ------------ ------------
Net increase (decrease) in Partners' capital (7,477,350) (1,962,227) (6,471,612) 625,016
Partners' capital, beginning of period 26,860,073 30,408,913 25,854,335 27,821,670
------------ ------------ ------------ ------------
Partners' capital, end of period $19,382,723 $28,446,686 $19,382,723 $28,446,686
============ ============ ============ ===========
Net asset value per Redeemable Unit
(13,536.4257 and 14,330.4280 Redeemable Units outstanding
at June 30, 2004 and 2003, respectively) $1,431.89 $1,985.05 $1,431.89 $1,985.05
============ ============ ============ ===========
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent $(514.05) $(71.37) $(414.15) $191.87
============ ============ ============ ===========
See Accompanying Notes to Unaudited Financial Statements.
4
Smith Barney Mid-West Futures Fund L.P. II
Statements of Cash Flows
(Unaudited)
Three Months Ended Six Months Ended
June 30, June 30,
---------------------------- -----------------------------
2004 2003 2004 2003
---------------------------- -----------------------------
Cash flows from operating activities:
Net Income (loss( $ (7,044,834) $ (1,009,380) $ (5,647,267) $ 3,104,393
Adjustments to reconcile net income (loss) to net cash
provided by (used in) operating activities:
Changes in operating assets and liabilities:
Investment in Master at Fair Value 7,591,490 2,753,618 6,665,284 (853,547)
Accrued expenses:
Increase (decrease) in commissions (37,961) (13,719) (33,276) 4,378
Increase (decrease) in management fees (12,588) (4,567) (11,050) 1,419
Increase (decrease) administrative fees (6,294) (2,283) (5,525) 710
Decrease in incentive fees -- (178,139) -- --
Increase (decrease) in other (1,394) 9,814 8,404 19,627
Increase (decrease) in redemptions payable (56,600) (592,683) (142,104) 224,369
------------- ---------- ------------ ----------
Net cash provided by (used in) operating activities 431,819 962,661 834,466 2,501,349
------------- ----------- ------------ ----------
Cash flows from financing activities:
Payments for redemptions (432,516) (952,847) (824,345) (2,479,377)
------------- ---------- ------------ ---------
Net change in cash (697) 9,814 10,121 21,972
Cash, at beginning of period 29,109 32,040 18,291 19,882
------------- ----------- ---------- ----------
Cash, at end of period $ 28,412 $ 41,854 $ 28,412 $ 41,854
============= =========== ========== ==========
See Accompanying Notes to Unaudited Financial Statements
5
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(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 allocated substantially all of
its capital to the JWH Strategic Allocation Master Fund LLC, a New York limited
liability company (the "Master"). With this cash, the Partnership purchased
42,510.5077 Redeemable Units of the Master with a fair value of $42,510,508. The
Master was formed in order to permit commodity pools managed by John W. Henry &
Company, Inc. (the "Advisor") using the Strategic Allocation Program, JWH's
proprietary trading program, to invest together in one trading vehicle.
Citigroup Managed Futures LLC, formerly Smith Barney Futures Management LLC,
acts as the general partner (the "General Partner") of the Partnership. The
General Partner is managing member of the Master. Individual and pooled accounts
currently managed by JWH, including the Partnership (collectively, the "Feeder
Funds"), are permitted to be a non-managing member of the Master. The General
Partner and JWH believe that trading through this master/feeder structure should
promote efficiency and economy in the trading process. Expenses to investors as
a result of the investment in the Master are approximately the same and
redemption rights are not affected.
As of June 30, 2004, the Partnership owns approximately 13.8% 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 Statements of Financial
Condition, Statements of Income and Expenses and Members' Capital, Statements of
Cash Flows and Condensed Schedules of Investments are included herein.
The Partnership's and Master's commodity broker is Citigroup Global Markets
Inc. ("CGM"), formerly Salomon Smith Barney Inc. CGM is an affiliate of the
General Partner. The General Partner is wholly owned by Citigroup Global Markets
Holdings Inc. ("CGMHI"), formerly Salomon Smith Barney Holdings Inc., which is
the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc.
As of June 30, 2004, all trading decisions for the Partnership are made by
the Advisor.
6
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
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 June 30, 2004 and December 31, 2003 and the results of its
operations and cash flows for the three and six months ended June 30, 2004 and
2003. 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, 2003.
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.
7
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
The Master's Statements of Financial Condition and Condensed Schedules of
Investments at June 30, 2004 and December 31, 2003 and its Statements of Income
and Expenses and Members' Capital and Statements of Cash Flows for the three and
six months ended June 30, 2004 and 2003 were:
June 30, December 31,
2004 2003
------------ ------------
Assets:
Equity in commodity futures trading account:
Cash (restricted $31,772,804 and $31,852,745 in 2004
and 2003, respectively) $155,073,201 $131,979,502
Net unrealized appreciation on open futures positions - 1,477,101
Unrealized appreciation on open forward contracts 2,938,642 13,496,013
Interest receivable 378,720 80,717
------------- ------------
$158,390,563 $147,033,333
============ ============
Liabilities and Members' Capital:
Liabilities:
Net unrealized depreciation on open futures positions $ 5,268,908 $ -
Unrealized depreciation on open forward contracts 10,323,944 1,799,594
Accrued Expenses:
Professional fees 86,405 76,405
Distribution payable 378,720 80,717
------------- ------------
16,057,977 1,956,716
------------- ------------
Members' Capital:
Members' capital, 104,820.3576 and 86,435.1829 Units
outstanding in 2004 and 2003, respectively 142,332,586 145,076,617
------------- ------------
$158,390,563 $147,033,333
============= ============
8
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
JWH Strategic Allocation
Master Fund LLC
Condensed Schedule of Investments
June 30, 2004
(Unaudited)
Sector Contract Fair Value
- ---------- ---------- -------------
Currencies
Unrealized depreciation on forward contracts (5.56)% $(7,914,586)
Unrealized appreciation on forward contracts 1.19% 1,696,081
Total Currencies (4.37)% ------------
(6,218,505)
------------
Total Energy (1.70)% Futures contracts sold (1.70)% (2,413,733)
------------
Total Grains 0.50% Futures contracts purchased 0.50% 705,481
------------
Interest Rates Non - U.S.
Futures contracts sold (1.95)% (2,769,592)
Futures contracts purchased (0.14)% (199,182)
------------
Total Interest Rates Non - U.S. (2.09)% (2,968,774)
------------
Total Interest Rates (0.53)% Futures contracts purchased (0.53)% (758,931)
-----------
Total Livestock (0.11)% Futures contracts purchased (0.11)% (161,440)
-----------
Metals
Futures contracts sold 0.00%* 7,900
Unrealized depreciation on forward contracts (1.69)% (2,409,358)
Unrealized appreciation on forward contracts 0.87% 1,242,561
-----------
Total forward contracts (0.82)% (1,166,797)
-----------
Total Metals (0.82)% (1,158,897)
-----------
Softs
Futures contracts sold 0.54% 769,730
Futures contracts purchased (0.28)% (406,069)
-----------
Total Softs 0.26% 363,661
-----------
Indices
Futures contracts sold (0.18)% (256,655)
Futures contracts purchased 0.15% 213,583
-----------
Total Indices (0.03)% (43,072)
-----------
Total Fair Value (8.89)% $(12,654,210)
===========
% of Investments at
Country Composition Investments at Fair Value Fair Value
- ------------------- ------------------------- ----------
Australia $ (143,167) (1.13)%
Canada (60,780) (0.48)
Germany (614,356) (4.86)
Japan (1,928,123) (15.24)
United Kingdom (1,824,035) (14.41)
United States (8,083,749) (63.88)
------------- -------
$ (12,654,210) (100.00)%
============= =======
Percentages are based on Masters' capital unless otherwise indicated
* Due to rounding
9
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
JWH Strategic Allocation
Master Fund LLC
Condensed Schedule of Investments
December 31, 2003
(Unaudited)
Sector Contract Fair Value
------ -------- ----------
Currencies Unrealized appreciation on forward contracts 7.66% $11,113,632
Unrealized depreciation on forward contracts (1.22)% (1,771,985)
----------
Total Currencies 6.44% 9,341,647
---------
Total Energy 0.90% Futures contracts sold 0.90% 1,299,873
---------
Total Grains 0.22% Futures contracts purchased 0.22% 318,552
---------
Interest Rates Non-U.S. Futures contracts sold (0.08)% (121,386)
Futures contracts purchased (0.01)% (8,299)
---------
Total Interest Rates Non-U.S. (0.09)% (129,685)
---------
Total Interest Rates 0.01% Futures contracts purchased 0.01% 19,950
---------
Livestock Futures contracts sold 0.02% 27,750
Futures contracts purchased (0.46)% (671,770)
---------
Total Livestock (0.44)% (644,020)
---------
Metals Futures contracts purchased 1.40% 2,028,135
Unrealized depreciation on forward contracts (0.02)% (27,609)
Unrealized appreciation on forward contracts 1.64% 2,382,381
---------
Total forward contracts 1.62% 2,354,772
---------
Total Metals 3.02% 4,382,907
---------
Softs Futures contracts sold (0.15)% (212,200)
Futures contracts purchased (0.59)% (854,280)
---------
Total Softs (0.74)% (1,066,480)
----------
Indices Futures contracts sold (0.85)% (1,230,359)
Futures contracts purchased 0.61% 881,135
---------
Total Indices (0.24)% (349,224)
---------
Total Fair Value 9.08% $13,173,520
===========
Investments % of Investments
Country Composition at Fair Value at Fair Value
- ------------------- --------------- ---------------
Australia $(106,707) (0.81)%
Canada 90,406 0.69
Germany 468,304 3.55
Japan (1,350,542) (10.25)
United Kingdom 2,351,597 17.85
United States 11,720,462 88.97
----------- ------
$13,173,520 100.00%
=========== ======
Percentages are based on Members' capital unless otherwise indicated.
10
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
JWH Strategic Allocation
Master Fund LLC
Statements of Income and Expenses and Members' Capital
(Unaudited)
Three Months Ended Six Months Ended
June 30, June 30,
------------------------------ ------------------------------
2004 2003 2004 2003
------------------------------ ------------------------------
Income:
Net gains (losses) on trading of commodity
interests:
Realized gains (losses) on closed positions
and foreign currencies $ (30,580,263) $ 1,863,361 $ (7,699,592) $ 31,202,079
Change in unrealized gains (losses) on open
positions (14,418,038) (8,596,738) (25,827,730) (21,771,283)
Interest income 378,720 324,300 696,095 575,839
------------- ------------- ------------- -------------
(44,619,581) (6,409,077) (32,831,227) 10,006,635
------------- ------------- ------------- -------------
Expenses:
Clearing fees 146,544 109,757 263,244 172,906
Other expenses 15,000 15,000 30,000 30,000
------------- ------------- ------------- -------------
161,544 124,757 293,244 202,906
------------- ------------- ------------- -------------
Net income (loss) (44,781,125) (6,533,834) (33,124,471) 9,803,729
Additions 20,545,500 53,282,545 37,442,000 54,982,545
Redemptions (2,874,512) (4,818,603) (6,365,465) (7,729,873)
Distribution of Interest to feeder funds (378,720) (324,300) (696,095) (575,839)
------------- ------------- ------------- -------------
Net (decrease) increase in Members' capital (27,488,857) 41,605,808 (2,744,031) 56,480,562
Members' capital, beginning of period 169,821,443 105,334,169 145,076,617 90,459,415
------------- ------------- ------------- -------------
Members' capital, end of period $ 142,332,586 $ 146,939,977 $ 142,332,586 $ 146,939,977
============= ============= ============= =============
Net asset value per Redeemable Unit
(104,820.3576 and 84,964.7936 Units
outstanding at June 30, 2004 and
2003, respectively) $ 1,357.87 $ 1,729.42 $ 1,357.87 $ 1,729.42
============= ============= ============= =============
Net income (loss) per Unit of Member Interest $ (445.69) $ (21.42) $ (313.33) $ 246.93
============= ============= ============= =============
11
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
JWH Strategic Allocation
Master Fund LLC
Statements of Cash Flows
(Unaudited)
Three Months ended Six Months Ended
June 30, June 30,
---------------------------- ----------------------------
2004 2003 2004 2003
--------------- ------------ ---------------------------
Cash flows from operating activities:
Net income (loss) $(44,781,125) $(6,533,834) $(33,124,471) $9,803,729
Adjustments to reconcile net income (loss) to net cash
provided by (used in) operating activities:
Changes in operating assets and liabilities:
Net unrealized appreciation on open futures
positions 19,573,481 4,815,978 6,746,009 10,096,495
Unrealized appreciation (depreciation) on open
forward contracts 7,294,771 (872,819) 10,557,371 3,676,940
(Increase) decrease in interest receivable (255,331) (324,300) (298,003) 637,785
Unrealized appreciation (depreciation) on open
forward contracts (12,450,213) 4,653,580 8,524,350 7,997,848
Accrued expenses:
Increase in professional fees 12,944 13,600 10,000 28,600
Increase (decrease) in distribution payable 255,331 324,300 298,003 (637,785)
------------- ------------- ------------- -------------
Net cash provided (used in) by operating
activities (30,350,142) 2,076,505 (7,286,741) 31,603,612
------------- ------------- ------------- -------------
Cash flows from financing activities:
Proceeds from additions 20,545,500 53,282,545 37,442,000 54,982,545
Payments for redemptions (2,874,512) (4,818,603) (6,365,465) (7,729,873)
Distribution of interest to feeder funds (378,720) (324,300) (696,095) (575,839)
------------- ------------- ------------- -------------
Net cash provided by (used in) by financing
activities 17,292,268 48,139,642 30,380,440 46,676,833
------------- ------------- ------------- -------------
Net change in cash (13,057,874) 50,216,147 23,093,699 78,280,445
Cash, at beginning of period 168,131,075 109,176,581 131,979,502 81,112,283
------------- ------------- ------------- -------------
Cash, at end of period $155,073,201 $159,392,728 $155,073,201 $159,392,728
============= ============= ============= =============
12
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
2. Financial Highlights:
Changes in Net Asset Value per Redeemable Unit of Limited Partnership
Interest for the three and six months ended June 30, 2004 and 2003 were as
follows:
Three Months Ended Six Months Ended
June 30, June 30,
------------- --------- ----------------------
2004 2003 2004 2003
--------- --------- --------- ---------
Net realized and unrealized
gains (losses)* $(504.67) $(59.77) $(392.33) $226.99
Interest income 3.50 4.74 6.82 9.18
Expenses** (12.88) (16.34) (28.64) (44.30)
--------- --------- --------- ---------
Increase (decrease) for the period (514.05) (71.37) (414.15) 191.87
Net Asset Value per Unit,
beginning of period 1,945.94 2,056.42 1,846.04 1,793.18
--------- --------- --------- ---------
Net Asset Value per Unit,
end of period $1,431.89 $1,985.05 $1,431.89 $1,985.05
========= ========= ========= =========
Ratio to average net assets: ***
Net investment loss before
incentive fees**** (8.1)% (8.9)% (8.4)% (9.1)%
==== === ==== ====
Operating expenses 9.6% 9.9% 9.2% 10.0%
Incentive fees -- -- -- 1.2%
---- --- ---- ----
Total expenses 9.6% 9.9% 9.2% 11.2%
==== === ==== ====
Total return:
Total return before incentive fees (26.4)% (3.5)% (22.4)% 11.4%
Incentive fees -- -- -- (0.7)%
---- --- ---- ----
Total return after incentive fees (26.4)% (3.5)% (22.4)% 10.7%
==== === ==== ====
* Includes brokerage commissions
** Excludes brokerage commissions
*** Annualized (other than incentive fees)
**** Interest income less total expenses (exclusive of incentive fees)
The above ratios may vary for individual investors based on the timing of
capital transactions during the period. Additionally, these ratios are
calculated for the Limited Partner class using the Limited Partners' share of
income, expenses and average net assets.
13
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
Financial Highlights of the Master:
Changes in Net Asset Value per Unit for the three and six months ended June
30, 2004 and 2003 were as follows:
Three Months Ended Six Months Ended
June 30, June 30,
---------------------- ----------------------
2004 2003 2004 2003
----------------------- ---------------------
Net realized and unrealized gains (losses)* $ (449.32) $ (25.68) $ (320.26) $ 238.76
Interest income 3.78 4.50 7.24 8.66
Expenses** (0.15) (0.24) (0.31) (0.49)
-------- ------- --------- ---------
Increase (decrease) for the period (445.69) (21.42) (313.33) 246.93
Distributions (3.78) (4.50) (7.24) (8.66)
Net Asset Value per Unit, beginning of period 1,807.34 1,755.34 1,678.44 1,491.15
-------- ------- --------- ---------
Net Asset Value per Unit, end of period $ 1,357.87 $ 1,729.42 $ 1,357.87 $ 1,729.42
========= ========= ======== =========
* Includes clearing fees.
** Excludes clearing fees.
Three Months ended Six Months Ended
June 30, June 30,
------------------- ----------------------
2004 2003 2004 2003
------------------- ---------------------
Ratio to average net assets:***
Net investment income 0.6% 0.6% 0.5% 0.6%
==== === ==== ====
Operating expenses **** 0.4% 0.1% 0.4% 0.1%
==== === ==== ====
Total return: (24.7)% (1.2)% (18.7)% 16.6%
==== === ==== ====
*** Annualized
**** Excludes clearing fees
The above ratios may vary for individual investors based on the timing of
capital transactions during the year.
14
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(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 Statements of Income and
Expenses and Members' Capital and are discussed in Item 2, Management's
Discussion and Analysis of Financial Condition and Results of Operations.
The respective Customer Agreements between the Partnership and CGM and the
Master and CGM give the Partnership and the Master, respectively, the legal
right to net unrealized gains and losses on open futures positions.
All of the commodity interests owned by the Master are held for trading
purposes. The average fair values during the six months ended June 30, 2004 and
the year ended December 31, 2003, based on a monthly calculation, were
$(330,542) and $7,057,885, respectively. The fair value of these commodity
interests, including options thereon, if applicable, at June 30, 2004 and
December 31, 2003, were $(12,654,210) and $13,173,520, respectively. Fair values
for exchange traded commodity futures and options are based on quoted market
prices for those futures and options. Fair values for all other financial
instruments for which market quotations are not readily available are based on
calculations approved by the General Partner.
4. Financial Instrument Risk:
In the normal course of its business, the Partnership, through the its
investment in the Master, is party to financial instruments with off-balance
sheet risk, including derivative financial instruments and derivative commodity
instruments. These financial instruments may include forwards, futures and
options whose values are based upon an underlying asset, 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.
15
Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
June 30, 2004
(Unaudited)
(Continued)
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
Partnership's/Master's risk of loss in the event of counterparty default is
typically limited to the amounts recognized as unrealized appreciation in the
statements of financial condition and not represented by the contract or
notional amount of the instruments. The Partnership, through the its investment
in the Master, has concentration risk because the sole counterparty or broker
with respect to the Master's assets is CGM.
The General Partner monitors and controls the Partnership's/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
Partnership/Master are subject. These monitoring systems allow the General
Partner to statistically analyze actual 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 majority of these instruments mature within one year of June 30, 2004.
However, due to the nature of the Partnership's/Master's business, these
instruments may not be held to maturity.
16
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 cash. The Master does not engage in
the sale of goods or services. Its only assets are its investments in commodity
futures and cash. Because of the low margin deposits normally required in
commodity futures trading, relatively small price movements may result in
substantial losses to the Master. While substantial losses could lead to a
decrease in liquidity, no such losses occurred in the second quarter of 2004.
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 Redeemable Units and distributions of profits,
if any.
For the six months ended June 30, 2004, Partnership capital decreased 25.0%
from $25,854,335 to $19,382,723. This decrease was attributable to net loss from
operations of $5,647,267, coupled with the redemption of 468.8800 Redeemable
Units of Limited Partnership Interest resulting in an outflow of $824,345.
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 its members
as increased or decreased by realized and/or unrealized gains or losses on
commodity futures trading, expenses, interest income, redemptions of Redeemable
Units and distributions of profits, if any.
For the six months ended June 30, 2004 the Master's capital decreased 1.9%
from $145,076,617 to $142,332,586. This decrease was attributable to net loss
from operations of $33,124,471, coupled with the redemption of 3,751.7998
Redeemable Units totaling $6,365,465,and the distribution of interest paid to
the feeders of $696,095 which was partially offset by the additional sales of
22,136.9745 Redeemable Units resulting in an inflow of $37,442,000. Future
redemptions can impact the amount of funds available for investments in
commodity contract positions in subsequent periods.
Critical Accounting Policies
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities, revenues and expenses, and related disclosures of
contingent assets and liabilities at the date of the financial statements and
accompanying notes. Actual results could differ from these estimates.
All commodity interests (including derivative financial instruments and
derivative commodity instruments) are used for trading purposes. The commodity
interests are recorded on trade date and open contracts are recorded in the
statements of financial condition at fair value on the last business day of the
period, which represents market value for those commodity interests for which
17
market quotations are readily available or other measures of fair value deemed
appropriate by management of the General Partner for those commodity interests
and foreign currencies for which market quotations are not readily available.
Investments in commodity interests denominated in foreign currencies are
translated into U.S. dollars at the exchange rates prevailing on the last
business day of the period. Realized gains (losses) and changes in unrealized
values on open positions are recognized in the period in which the contract is
closed or the changes occur and are included in net gains (losses) on trading of
commodity interests.
Foreign currency contracts are those contracts where the Partnership agrees
to receive or deliver a fixed quantity of foreign currency for an agreed-upon
price on an agreed future date. Foreign currency contracts are valued daily, and
the Partnership's net equity therein, representing unrealized gain or loss on
the contracts as measured by the difference between the forward foreign exchange
rates at the date of entry into the contracts and the forward rates at the
reporting dates, is included in the statement of financial condition. Realized
gains (losses) and changes in unrealized values on foreign currency contracts
are recognized in the period in which the contract is closed or the changes
occur and are included in the statements of income and expenses and partners'
capital.
Results of Operations
During the Partnership's second quarter of 2004, the net asset value per
unit decreased 26.4% from $1,945.94 to $1,431.89 as compared to a decrease of
3.5% in the second quarter of 2003. The Partnership experienced a net trading
loss before brokerage commissions and related fees in the second quarter of 2004
of $6,562,702. Losses were primarily attributable to the Master's trading of
commodity futures in currencies, non-U.S. interest rates, metals and indices and
were partially offset by gains in energy, grains, U.S. interest rates, livestock
and softs. The Partnership experienced a net trading loss before brokerage
commissions and related fees in the second quarter of 2003 of $337,732. Losses
were primarily attributable to the Master's trading of commodity futures in
currencies, energy, grains, non-U.S. interest rates, livestock, metals and softs
and were partially offset by gains in U.S. interest rates and indices.
During the Partnership's six months ended June 30, 2004 the net asset value
per Redeemable unit decreased 22.4% from $1,846.04 to $1,431.89 as compared to
an increase of 10.7% for the six months ended June 30, 2003. The Partnership
experienced a net trading loss before brokerage commissions and related fees
during the six months ended June 30, 2004 of $4,558,050. Losses were primarily
attributable to the trading of commodity futures in currencies non-U.S. interest
rates, metals and indices and were partially offset by gains energy, grains,
U.S. interest rates, livestock and softs. The Partnership experienced a net
trading gain before brokerage commissions and related fees for the six months
ended June 30, 2003 of $4,664,654. Gains were primarily attributable to the
trading of commodity futures in currencies, energy, U.S. and non-U.S. interest
rates, and indices, and were partially offset by losses in grains, livestock,
metals and softs.
The lack of persistent trends resulted in a difficult environment for the
Advisor, which began precisely as the second quarter of 2004 got underway.
Trends in both financial and commodity futures markets had been clear for the
previous three quarters. In the second quarter of 2004, however, substantially
opposing fundamental considerations along with benign short-term volatility
greatly reduced the opportunities for the Advisor resulting in a particularly
difficult trading environment.
The directionless behavior of so many markets can be explained in terms of
a perception that a significant change may be underway in the global economic
cycle. Some of the primary drivers of these conditions have been: softer than
18
expected U.S. economic data creating confusion with regard to forecasting the
pace of Federal Reserve tightening; U.S. and international bonds, equity and
currency markets coping with indications of rising inflation, but at the same
time, an apparent pause in growth; and a fragile Eurozone recovery keeping
European Central Bank monetary intervention on hold.
Trading in all market sectors was unprofitable for the Partnership except in the
energy sector, the softs and base metals markets. Positions in Japanese currency
and interest rate markets, the Euro and gold were the primary contributors to
the losses while trading in crude oil, cotton and copper provided some profits
for the Partnership.
Commodity futures markets are highly volatile. The potential for broad and
rapid price fluctuations increases the risks involved in commodity trading, but
also increases 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 correctly identify 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) expect 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. CGM may continue to maintain the Master's assets in cash and/or place all
of the Master's assets in 90-day Treasury bills and pay the Partnership its
allocated share of 80% of the interest earned on the Treasury bills purchased.
CGM will retain 20% of any interest earned on Treasury bills. Interest income
for the three and six months ended June 30, 2004 decreased by $21,674 and
$43,974, respectively, as compared to the corresponding periods in 2003. The
decrease in interest income is primarily due to a decrease in interest rates
during the three and six months ended June 30, 2004 as compared to the
corresponding periods in 2003.
Brokerage commissions are calculated on the Partnership's adjusted net
asset value on the last day of each month and are affected by trading
performance 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 six months ended June 30, 2004 decreased by $149,909 and $242,955,
respectively, as compared to the corresponding periods in 2003. The decrease in
brokerage commissions is due to average lower net assets during the three and
six months ended June 30, 2004 as compared to the corresponding periods in 2003.
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
and redemptions. Management fees for the three and six months ended June 30,
2004 decreased by $45,426 and $73,118, respectively, as compared to the
corresponding periods in 2003. The decrease in management fees is due to average
lower net assets during the three and six months ended June 30, 2004 as compared
to the corresponding periods in 2003.
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 and redemptions. Administrative fees for the
three and six months ended June 30, 2004 decreased by $22,714 and $36,560,
respectively, as compared to the corresponding periods in 2003. The decrease in
19
administrative fees is due to average lower net assets during the three and six
months ended June 30, 2004 as compared to the corresponding periods in 2003.
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. Trading performance for the three and six
months ended June 30, 2003 resulted in incentive fees of $ 0, and $178,139,
respectively. There were no incentive fees earned for the three and six months
ended June 30, 2004.
20
Item 3. Quantitative and Qualitative Disclosures about 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.
The risk to the limited partners that have purchased interests in the
Partnership is limited to the amount of their capital contributions to the
Partnership and their share of the Partnership assets and undistributed profits.
This limited liability is a consequence of the organization of the Partnership
as a limited partnership under applicable law.
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 of 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 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
interval. Maintenance margin has been used rather than the more generally
available initial margin, because initial margin includes a credit risk
component, which is not relevant to Value at Risk.
21
The following table indicates the trading Value at Risk associated with the
Master's open positions by market category as of June 30, 2004 and the highest,
lowest and average during the three months ended June 30, 2004. All open
position trading risk exposures of the Master have been included in calculating
the figures set forth below. As of June 30, 2004, the Master's total
capitalization was $142,332,586. There have been no material changes in the
trading Value at Risk information previously disclosed in the Partnership's
Annual Report on Form 10-K for the year ended December 31, 2003.
June 30, 2004
(Unaudited)
Three Months Ended June 30, 2004
--------------------------------------------
% of Total High Low
Market Sector Value at Risk Capitalization Value at Risk Value at Risk Average
- ------------- ------------- ------------- ------------- ------------- ---------
Currencies:
OTC $ 9,513,985 6.68% $ 11,417,143 $ 6,009,165 $ 9,552,812
Energy 4,489,970 3.16% 7,148,610 4,489,970 5,984,720
Grains 856,875 0.60% 1,167,650 348,320 902,792
Interest Rates U.S. 988,500 0.70% 2,599,900 562,510 1,948,992
Interest Rates Non -U.S. 5,711,981 4.01% 7,669,370 3,748,757 5,788,782
Livestock 186,400 0.13% 212,200 152,800 199,800
Metals
Exchange Traded Contracts 1,551,500 1.09% 2,107,500 694,500 1,825,333
OTC 1,214,505 0.85% 1,498,600 1,014,800 1,117,102
Softs 1,233,872 0.87% 1,735,047 970,486 1,267,861
Indices 2,771,568 1.95% 4,777,732 1,807,427 2,880,159
----------- -----
Total $ 28,519,156 20.04%
============ =====
22
Item 4. Controls and Procedures
Based on their evaluation of the Partnership's disclosure controls and
procedures as of June 30, 2004 the Chief Executive Officer and Chief Financial
Officer have concluded that such controls and procedures are effective.
During the Partnership's last fiscal quarter, no changes occurred in the
Partnership's internal control over financial reporting that have materially
affected, or are reasonably likely to materially affect, the Partnership's
internal control over financial reporting.
23
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
The following information supplements and amends our discussion set forth
under Part I, Item 3 "Legal Proceedings" in the Partnership's Annual Report on
Form 10-K for the fiscal year ended December 31, 2003 and under Part II, Item 1
"Legal Proceedings" in the Partnership's Quarterly Report on Form 10-Q for the
quarter ended March 31, 2004.
WorldCom, Inc.
On May 10, 2004, Citigroup announced that it had agreed to pay $2.65
billion to settle the WorldCom class action suits.
Item 2. Changes in Securities, Use of Proceeds and Issuer Purchases of Equity
Securities - None
The following chart sets forth the purchases of Redeemable Units by the
Partnership.
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
Period (a) Total Number of (b) Average Price (c) Total Number of (d) Maximum Number
Shares (or Units) Paid per Share (or Shares (or Units) (or Approximate
Purchased* Unit)** Purchased as Part of Dollar Value) of
Publicly Announced Shares (or Units)
Plans or Programs that May Yet Be
Purchased Under the
Plans or Programs
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
April 1, 2004 - April 30, 2004 81.3301 $1,739.71 N/A N/A
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
May 1, 2004 - May 31, 2004 129.2398 $1,620.90 N/A N/A
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
June 1, 2004 - June 30, 2004 56.1332 $1,431.89 N/A N/A
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
Total 266.7031 $1,597.50 N/A N/A
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
* Generally, Limited Partners are permitted to redeem their Redeemable Units as
of the end of each month on 10 days' notice to the General Partner. Under
certain circumstances, the General Partner can compel redemption but to date the
General Partner has not exercised this right. Purchases of Redeemable Units by
the Partnership reflected in the chart above were made in the ordinary course of
the Partnership's business in connection with effecting redemptions for Limited
Partners.
** Redemptions of Redeemable Units are effected as of the last day of each month
at the Net Asset Value per Redeemable Unit as of that day.
24
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. Exhibits and Reports on Form 8-K
(a) The exhibits required to be filed by Item 601 of Regulation S-K are
incorporated herein by reference to the exhibit index of the
Partnership's Annual Report on Form 10-K for the period ended December
31, 2003.
Exhibit - 31.1 - Rule 13a-14(a)/15d-14(a) Certifications
(Certifications of President and Director)
Exhibit - 31.2 - Rule 13a-14(a)/15d-14(a) Certifications
(Certifications of Chief Financial Officer and Director)
Exhibit - 32.1 - Section 1350 Certifications (Certification of
President and Director).
Exhibit - 32.2 - Section 1350 Certifications (Certification of Chief
Financial Officer and Director).
(b) Reports on Form 8-K - None (b)
25
SIGNATURES
Pursuant to the requirements 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: Citigroup Managed Futures LLC
(General Partner)
By: /s/ David J. Vogel
------------------
David J. Vogel
President and Director
Date: August 12, 2004
By: /s/ Daniel R. McAuliffe, Jr.
-----------------------------
Daniel R. McAuliffe, Jr.
Chief Financial Officer and
Director
Date: August 12, 2004
26
Exhibit 31.1
CERTIFICATIONS
I, David J. Vogel, certify that:
1. I have reviewed this quarterly report on Form 10-Q of Smith Barney Mid-West
Futures Fund L.P. II (the "registrant");
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition, results of operations and cash flows of the registrant as
of, and for, the periods presented in this report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period in
which this report is being prepared;
b) evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of the end
of the period covered by this report based on such evaluation; and
c) disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the registrant's
most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting; and
5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to
record, process, summarize and report financial information; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
control over financial reporting.
Date: August 12, 2004
/s/ David J. Vogel
--------------------------
David J. Vogel
Citigroup Managed Futures LLC
President and Director
27
Exhibit 31.2
CERTIFICATIONS
I, Daniel R. McAuliffe, Jr., certify that:
1. I have reviewed this quarterly report on Form 10-Q of Smith Barney Mid-West
Futures Fund L.P. II (the "registrant");
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition, results of operations and cash flows of the registrant as
of, and for, the periods presented in this report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period in
which this report is being prepared;
b) evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of the end
of the period covered by this report based on such evaluation; and
c) disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the registrant's
most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting; and
5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
a) all significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to
record, process, summarize and report financial information; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
control over financial reporting.
Date: August 12, 2004
/s/ Daniel R. McAuliffe, Jr.
-------------------------
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
28
Exhibit 32.1
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Smith Barney Mid-West Futures
Fund L.P. II (the "Partnership") on Form 10-Q for the period ending June 30,
2004 as filed with the Securities and Exchange Commission on the date hereof
(the "Report"), I, David J. Vogel, President and Director of Citigroup Managed
Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss.
906 of the Sarbanes-Oxley Act of 2002, that:
(1) The Report fully complies with the requirements of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the
Partnership.
/s/ David J. Vogel
- ------------------
David J. Vogel
Citigroup Managed Futures LLC
President and Director
Date: August 12, 2004
29
Exhibit 32.2
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Smith Barney Mid-West Futures
Fund L.P. II (the "Partnership") on Form 10-Q for the period ending June 30,
2004 as filed with the Securities and Exchange Commission on the date hereof
(the "Report"), I, Daniel R. McAuliffe, Jr., Chief Financial Officer and
Director of Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. ss.
1350, as adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:
(1) The Report fully complies with the requirements of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the
Partnership.
/s/ Daniel R. McAuliffe, Jr.
- ---------------------------
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
Date: August 12, 2004
30