10-Q

Table of Contents

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 March 31, 2006

Commission File Number 0-28336

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 incorporation or organization)				(I.R.S. Employer Identification No.)
c/o Citigroup Managed Futures LLC 731 Lexington Avenue. – 25th 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 a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of "accelerated filer and large accelerated filer" in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer          Accelerated filer         Non-accelerated filer X

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes          No X

Table of Contents

SMITH BARNEY MID-WEST FUTURES FUND L.P. II

FORM 10-Q

INDEX

Page Number

PART I — Financial Information:

Item 1.

Financial Statements:

Statements of Financial Condition at March 31, 2006 and December 31, 2005 (unaudited)

3

Statements of Income and Expenses and Partners' Capital for the three months ended March 31, 2006 and 2005 (unaudited)

4

Statements of Cash Flows for the three months ended March 31, 2006 and 2005 (unaudited)

5

Notes to Financial Statements including the Financial Statements of JWH Strategic Allocation Master Fund LLC (unaudited)

6 – 15

Item 2.

Management's Discussion and Analysis of Financial Condition and Results of Operations

16 – 18

Item 3.

Quantitative and Qualitative Disclosures about Market Risk

19

Item 4.

Controls and Procedures

20

PART II — Other Information

21

2

Table of Contents

PART I

Item 1. Financial Statements

Smith Barney Mid-West Futures Fund L.P. II
Statements of Financial Condition
(Unaudited)

				March 31, 2006				December 31, 2005
Assets:
Investment in Master, at fair value				$	15,999,031			$	18,019,796
Cash					56,457				36,720
				$	16,055,488			$	18,056,516
Liabilities and Partners' Capital:
Liabilities:
Accrued expenses:
Commissions				$	80,277			$	90,283
Management fees					26,520				29,869
Administrative fees					13,260				14,935
Other					63,054				44,541
Redemptions payable					436,711				139,248
					619,822				318,876
Partners' capital:
General Partner, 301.3070 Unit equivalents outstanding in 2006 and 2005					428,447				467,863
Limited Partners, 10,553.8982 and 11,121.8791 Redeemable Units of Limited Partnership Interest outstanding in 2006 and 2005, respectively					15,007,219				17,269,777
					15,435,666				17,737,640
				$	16,055,488			$	18,056,516

See Accompanying Notes to Financial Statements.

3

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Smith Barney Mid-West Futures Fund L.P. II
Statements of Income and Expenses and Partners' Capital
(Unaudited)

				Three Months Ended March 31,
				2006				2005
Income:
Realized losses on closed positions and foreign currencies allocated from Master				$	(2,306,652	)		$	(2,799,295	)
Change in unrealized gains (losses) on open positions allocated from Master					1,057,483				(2,330,912	)
Expenses allocated from Master					(10,388	)			(16,123	)
					(1,259,557	)			(5,146,330	)
Interest income received from Master					136,378				100,853
					(1,123,179	)			(5,045,477	)
Expenses:
Brokerage commissions					243,270				320,031
Management fees					80,401				105,890
Administrative fees					40,201				52,944
Other expenses					18,513				16,710
					382,385				495,575
Net loss					(1,505,564	)			(5,541,052	)
Redemptions - Limited Partners					(796,410	)			(644,320	)
Net decrease in Partners' capital					(2,301,974	)			(6,185,372	)
Partners' capital, beginning of period					17,737,640				26,380,884
Partners' capital, end of period				$	15,435,666			$	20,195,512
Net asset value per Redeemable Unit (10,855.2052 and 12,473.4033 Redeemable Units outstanding at March 31, 2006 and 2005, respectively)				$	1,421.96			$	1,619.09
Net loss per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent				$	(130.82	)		$	(432.67	)

See Accompanying Notes to Financial Statements.

4

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Smith Barney Mid-West Futures Fund L.P. II
Statements of Cash Flows
(Unaudited)

				Three Months Ended March 31,
				2006				2005
Cash flows from operating activities:
Net loss				$	(1,505,564	)		$	(5,541,052	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities
Proceeds from sale of investment in Partnership					761,208				1,270,515
Net unrealized appreciation (depreciation) on investment in Partnerships					1,259,557				5,146,330
Accrued expenses:
Increase (decrease) in commissions					(10,006	)			(31,916	)
Increase (decrease) in management fees					(3,349	)			(10,613	)
Increase (decrease) in administrative fees					(1,675	)			(5,307	)
Increase (decrease) in other					18,513				16,710
Net cash provided by (used in) operating activities					518,684				844,667
Cash flows from financing activities:
Payments for redemptions – Limited Partners					(498,947	)			(810,939	)
Net change in cash					19,737				33,728
Cash, at beginning of period					36,720				17,049
Cash, at end of period				$	56,457			$	50,777

See Accompanying Notes to Financial Statements.

5

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(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 speculative trading of a diversified portfolio 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 now or in the future 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, acts as the general partner (the "General Partner") of the Partnership. The General Partner is the managing member of the Master. Individual and pooled accounts managed by JWH, including the Partnership, are permitted to be a non-managing member of the Master. The General Partner and JWH believe that trading through this 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 March 31, 2006, the Partnership owned 10.9% 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"). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. ("Citigroup").

As of March 31, 2006, all trading decisions for the Partnership are being 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 March 31, 2006 and December 31, 2005 and the results of its operations and cash flows for the three months ended March 31, 2006 and 2005. 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, 2005.

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.

Certain prior period amounts have been reclassified to conform to current year presentation.

6

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(Unaudited)

The Master's Statements of Financial Condition and Condensed Schedules of Investments at March 31, 2006 and December 31, 2005 and its Statements of Income and Expenses and Members' Capital and Statements of Cash Flows for the three months ended March 31, 2006 and 2005 were:

JWH Strategic Allocation Master Fund LLC
Statements of Financial Condition
(Unaudited)

				March 31, 2006				December 31, 2005
Assets:
Equity in commodity futures trading account:
Cash (restricted $18,357,618 and $23,817,475 in 2006 and 2005, respectively)				$	137,078,099			$	163,966,877
Net unrealized appreciation on open futures positions					11,118,996				—
Unrealized appreciation on open forward contracts					4,387,247				7,440,156
					152,584,342				171,407,033
Interest receivable					509,212				485,811
				$	153,093,554			$	171,892,844
Liabilities and Members' Capital:
Liabilities:
Net unrealized depreciation on open futures positions				$	—			$	3,646,687
Unrealized depreciation on open forward contracts					5,663,758				3,896,303
Accrued expenses:
Professional fees					56,449				51,440
Distribution payable					509,212				485,811
					6,229,419				8,080,241
Members' Capital:
Members' capital, 95,878.5473 and 99,442.6187 Units outstanding in 2006 and 2005, respectively					146,864,135				163,812,603
				$	153,093,554			$	171,892,444

7

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(Unaudited)

JWH Strategic Allocation
Master Fund LLC
Condensed Schedule of Investments
March 31, 2006
(Unaudited)

				Fair Value				% of Members' Capital
Futures Contracts Purchased
Energy				$	47,213				0.03	%
Indices					1,963,026				1.34
Interest Rates Non-U.S.					(4,682	)			(0.00)	*
Metals					1,261,165				0.86
Softs					127,083				0.08
Total futures contracts purchased					3,393,805				2.31
Futures Contracts Sold
Energy					(27,120	)			(0.02	)
Grains					147,488				0.10
Interest Rates U.S.					2,784,636				1.90
Interest Rates Non-U.S.					4,706,356				3.20
Softs					113,831				0.08
Total futures contracts sold					7,725,191				5.26
Unrealized Appreciation on Forward Contracts
Currencies					1,622,657				1.11
Metals					2,764,590				1.88
Total unrealized appreciation on forward contracts					4,387,247				2.99
Unrealized Depreciation on Forward Contracts
Currencies					(4,162,201	)			(2.84	)
Metals					(1,501,557	)			(1.02	)
Total unrealized depreciation on forward contracts					(5,663,758	)			(3.86	)
Total Fair Value				$	9,842,485				6.70	%

Percentages are based on Members' capital unless otherwise indicated.

*	Due to rounding

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(Unaudited)

JWH Strategic Allocation
Master Fund LLC
Condensed Schedule of Investments
December 31, 2005
(Unaudited)

				Fair Value				% of Members' Capital
Futures Contracts Purchased
Energy				$	(5,388,180	)			(3.29	)%
Grains					4,425				0.00	*
Indices					887,362				0.54
Interest Rates Non-U.S.					2,450				0.00	*
Livestock					61,790				0.04
Metals					2,121,145				1.30
Softs					1,449,421				0.89
Total futures contracts purchased					(861,587	)			(0.52	)
Futures Contracts Sold
Energy					(406,499	)			(0.25	)
Grains					(198,697	)			(0.12	)
Interest Rates U.S.					(553,540	)			(0.34	)
Interest Rates Non-U.S.					(925,603	)			(0.56	)
Softs					(700,761	)			(0.43	)
Total futures contracts sold					(2,785,100	)			(1.70	)
Unrealized Appreciation on Forward Contracts
Currencies					4,917,155				3.00
Metals					2,523,001				1.54
Total unrealized appreciation on forward contracts					7,440,156				4.54
Unrealized Depreciation on Forward Contracts
Currencies					(3,172,504	)			(1.94	)
Metals					(723,799	)			(0.44	)
					(3,896,303	)			(2.38	)
Total Fair Value				$	(102,834	)			(0.06	)%

	Percentages are based on Members' capital unless otherwise indicated.

*	Due to rounding

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(Unaudited)

JWH Strategic Allocation Master Fund LLC
Statements of Income and Expenses and Members' Capital
(Unaudited)

				Three Months Ended March 31,
				2006				2005
Income:
Net losses on trading of commodity interests:
Realized losses on closed positions and foreign currencies				$	(21,283,278	)		$	(24,398,686	)
Change in unrealized gains (losses) on open positions					9,945,319				(19,586,540	)
Interest income					1,474,109				1,084,432
					(9,863,850	)			(42,900,794	)
Expenses:
Clearing fees					90,691				131,106
Other expenses					5,009				10,000
					95,700				141,106
Net loss					(9,959,550	)			(43,041,900	)
Additions					3,172,857				(15,835,292	)
Redemptions					(8,687,666	)			(15,972,608	)
Distribution of interest to feeder funds					(1,474,109	)			(1,084,432	)
Net decrease in Members' capital					(16,948,468	)			(44,263,648	)
Members' capital, beginning of period					163,812,603				227,330,049
Members' capital, end of period				$	146,864,135			$	183,066,401
Net asset value per Unit (95,878.5473 and 112,319.4953 Units outstanding at March 31, 2006 and 2005, respectively)				$	1,531.77			$	1,629.87
Net loss per Unit of Member Interest				$	(100.42	)		$	(387.77	)

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(Unaudited)

JWH Strategic Allocation Master Fund LLC
Statements of Cash Flows
(Unaudited)

				Three Months Ended March 31,
				2006				2005
Cash flows from operating activities:
Net loss				$	(9,959,550	)		$	(43,041,900	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
(Increase) decrease in restricted cash					5,459,857				7,908,588
(Increase) decrease in net unrealized appreciation on open futures positions					(11,118,996	)			(9,346,257	)
Increase (decrease) in unrealized appreciation on open forward contracts					3,052,909				18,345,343
(Increase) decrease in interest receivable					(23,401	)			(105,627	)
Increase (decrease) in net unrealized depreciation on open futures positions					(3,646,687	)			—
Increase (decrease) in unrealized depreciation on open forward contracts					1,767,455				10,587,454
Accrued expenses:
Increase (decrease) in professional fees					5,009				10,000
Net cash provided by (used in) operating activities					(14,463,404	)			(15,642,399	)
Cash flows from financing activities:
Proceeds from additions					3,172,857				15,835,292
Payments for redemptions					(8,687,666	)			(15,972,608	)
Distribution of interest to feeder funds					(1,450,708	)			(978,805	)
Net cash provided by (used in) by financing activities					(6,965,517	)			(1,116,121	)
Net change in cash					(21,428,921	)			(16,758,520	)
Unrestricted cash, at beginning of period					140,149,402				148,356,743
Unrestricted cash, at end of period				$	118,720,481			$	131,598,223

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(Unaudited)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of Limited Partnership Interest for the three months ended March 31, 2006 and 2005 were as follows:

				Three Months Ended March 31,
				2006				2005
Net realized and unrealized losses*				$	(130.54	)		$	(426.72	)
Interest income					12.06				7.95
Expenses**					(12.34	)			(13.90	)
Decrease for the period					(130.82	)			(432.67	)
Net Asset Value per Redeemable Unit, beginning of period					1,552.78				2,051.76
Net Asset Value per Redeemable Unit, end of period				$	1,421.96			$	1,619.09

*	Includes brokerage commissions and expenses allocated from Master

**	Excludes brokerage commissions and expenses allocated from Master

				Three Months Ended March 31,
				2006				2005
Ratio to average net assets: ***
Net investment loss before incentive fees****					(6.1	)%			(7.5	)%
Operating expenses					9.5	%			9.3	%
Incentive fees					—	%			—	%
Total expenses					9.5	%			9.3	%
Total return:
Total return before incentive fees					(8.4)	%			(21.1	)%
Incentive fees					—	%			—	%
Total return after incentive fees					(8.4)	%			(21.1	)%

***	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.

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(Unaudited)

Financial Highlights of the Master:

Changes in Net Asset Value per Unit for the three months ended March 31, 2006 and 2005 were as follows:

				Three Months Ended March 31,
				2006				2005
Net realized and unrealized losses*				$	(115.48	)		$	(397.39	)
Interest income					15.12				9.71
Expenses**					(0.06	)			(0.09	)
Decrease for the period					(100.42	)			(387.77	)
Distributions					(15.12	)			(9.71	)
Net Asset Value per Unit, beginning of period					1,647.31				2,027.35
Net Asset Value per Unit, end of period				$	1,531.77			$	1,629.87

*	Includes clearing fees.

**	Excludes clearing fees.

				Three Months Ended March 31,
				2006				2005
Ratio to average net assets:***
Net investment income****					3.7	%			2.0	%
Operating expenses					0.3	%			0.3	%
Total return					(6.1	)%			(19.1	)%

***    Annualized

****   Interest income less total expenses

The above ratios may vary for individual investors based on the timing of capital transactions during the period.

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(Unaudited)

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 three months ended March 31, 2006 and the year ended December 31, 2005, based on a monthly calculation, were $2,354,413 and $9,833,608, respectively. The fair values of these commodity interests, including options thereon, if applicable, at March 31, 2006 and December 31, 2005, were $9,842,485 and $(102,834), 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 Risks:

In the normal course of its business, the Partnership, through the Partnership's 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.

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 its investment in the Master, has credit risk and concentration risk because the sole counterparty or broker with respect to the Master's assets is CGM.

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Smith Barney Mid-West Futures Fund L.P. II
Notes to Financial Statements
March 31, 2006
(Unaudited)

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 March 31, 2006. However, due to the nature of the Partnership's/Master's business, these instruments may not be held to maturity.

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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 Partnership/Master. While substantial losses could lead to a decrease in liquidity, no such losses occurred in the first quarter of 2006.

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 three months ended March 31, 2006, Partnership capital decreased 13.0% from $17,737,640 to $15,435,666. This decrease was attributable to a net loss from operations of $1,505,564, coupled with the redemption of 567.9809 Redeemable Units of Limited Partnership Interest resulting in an outflow of $796,410. 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 three months ended March 31, 2006 the Master's capital decreased 10.3% from $163,812,603 to $146,864,135. This decrease was attributable to a net loss from operations of $9,959,550, coupled with redemptions of 5,575.2111 Units totaling $8,687,666 and the distribution of interest totaling $1,474,109 paid to the feeder funds, which was partially offset by the additional sales of 2,011.1397 Units resulting in an inflow of $3,172,857. 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 of the Master (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 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.

The value of the Partnership's investment in the Master reflects the Partnership's proportional interest in the members' capital of the Master. All of the income and expenses and unrealized and realized gains and losses from the commodity transactions of the Master are allocated pro rata among the investors at the time of such determination.

Foreign currency contracts are those contracts where the Master 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 Master's net equity therein, representing unrealized gain or loss on the

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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 first quarter of 2006 the net asset value per Redeemable Unit decreased 8.4% from $1,552.78 to $1,421.96 as compared to a decrease of 21.1% in the first quarter of 2005. The Partnership experienced a net trading loss before brokerage commissions and related fees allocated from the Master in the first quarter of 2006 of $1,249,169. Losses were primarily attributable to the Master's trading of commodity futures in energy, grains, currencies and livestock and were partially offset by gains in metals, softs, indices, U.S. and non-U.S. interest rates. The Partnership experienced a net trading loss before brokerage commissions and related fees allocated from the Master in the first quarter of 2005 of $5,130,207. Losses were primarily attributable to the Master's trading of commodity futures in currencies, grains, non-U.S. interest rates and metals and were partially offset by gains in energy, U.S. interest rates, indices, livestock, and softs.

The main drivers of performance in the first quarter of 2006 were volatile currency and energy markets which incurred substantial losses for the Partnership. Offsetting a portion of these losses were gains in metals, stock index and interest rate trading.

The U. S. dollar remained in a trading pattern for most of the quarter with its value versus both the euro and yen rising and falling within a range that resulted in losses for the Partnership's Advisor whose trading systems tend to be longer term in nature. Energy trading was likewise unprofitable with the losses in all sectors of the market.

Global political instability, rising energy prices and global interest rates fueled precious metals, notably gold and silver to over 20 year highs. Base metal, particularly copper and zinc, also reached prices not seen in over 25 years, also contributed positively. Rising commodity prices led to higher interest rates in the U.S., Europe and Asia, producing profits for the Advisor for the quarter. Counterintuitive to traditional market reaction to higher interest rates, global stock markets advanced as corporate earnings reports for full year 2005 met or exceeded expectations and consumer spending remained high despite increased energy prices and interest rates. The Partnership's Advisor was properly positioned to take advantage of these trends.

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 months ended March 31, 2006 increased by $35,525, as compared to the corresponding period in 2005. The increase in interest income is primarily due to higher interest rates during the three months ended March 31, 2006 as compared to the corresponding period in 2005.

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 months ended March 31, 2006 decreased by $76,761, as compared to the corresponding period in 2005.

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The decrease in brokerage commissions is due to lower average net assets during the three months ended March 31, 2006 as compared to the corresponding period in 2005.

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 months ended March 31, 2006 decreased by $25,489, as compared to the corresponding period in 2005. The decrease in management fees is due to lower average net assets during the three months ended March 31, 2006 as compared to the corresponding period in 2005.

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 months ended March 31, 2006 decreased by $12,743, as compared to the corresponding period in 2005. The decrease in administrative fees is due to lower average net assets during the three months ended March 31, 2006 as compared to the corresponding period in 2005.

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 months ended March 31, 2006 and 2005.

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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's 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.

The following table indicates the trading Value at Risk associated with the Master's open positions by market category as of March 31, 2006 and the highest, lowest and average values during the three months ended March 31, 2006. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. As of March 31, 2006, the Master's total capitalization was $146,864,135. 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, 2005.

March 31, 2006
(Unaudited)

												Three Months Ended March 31, 2006
Market Sector				Value at Risk				% of Total Capitalization				High Value at Risk				Low Value at Risk				Average* Value at Risk
Currencies:
– OTC Contracts				$	5,349,653				3.64	%		$	17,193,806			$	4,596,484			$	6,689,383
Energy					1,257,300				0.86	%			9,753,735				360,000				1,737,033
Grains					132,000				0.09	%			647,750				79,537				155,306
Indices					1,908,514				1.30	%			4,526,107				1,467,140				2,218,620
Interest Rates U.S.					1,707,700				1.16	%			2,373,400				104,793				1,135,973
Interest Rates Non-U.S.					5,025,161				3.42	%			8,280,125				1,855,853				3,234,159
Metals
– Exchange Traded Contracts					893,250				0.61	%			1,747,000				283,000				860,833
– OTC Contracts					206,850				0.14	%			2,260,564				203,900				403,966
Softs					608,375				0.41	%			1,580,442				390,335				510,842
Total				$	17,088,803				11.63	%

*   Average of the month-end Values at Risk

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Item 4.    Controls and Procedures

The General Partner of the Partnership, with the participation of the General Partner's Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) of the Exchange Act) with respect to the Partnership as of the end of the period covered by the report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. Additionally, there were no significant changes in the Partnership's internal controls or in other factors that could significantly affect these controls during the registrant's last fiscal quarter, including any corrective actions with regard to significant deficiencies and material weaknesses.

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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 year ended December 31, 2005.

WorldCom, Inc.

In March 2006, the class action settlement in IN RE WORLDCOM, INC. SECURITIES LITIGATION became final, and the settlement amount was paid pursuant to the terms of the settlement agreement.

Research

On March 29, 2006, the court preliminarily approved Citigroup's settlement of IN RE SALOMON ANALYST AT&T LITIGATION. A final hearing on the settlement is scheduled for August 11, 2006.

IPO Antitrust Litigation

The underwriter defendants' motion in the Second Circuit to stay the issuance of the mandate remanding the cases to the district court pending the filing of a petition for writ of certiorari to the United States Supreme Court was granted on March 9, 2006, after the writ of certiorari was filed on March 8, 2006.

Item 1A.    Risk Factors

There are no material changes from the risk factors set forth under Part I, Item 1A. "Risk Factors" in our Annual Report on Form 10-K for the fiscal year ended December 31, 2005.

Item 2.    Unregistered Sales of Equity Securities and Use of Proceeds

The following chart sets forth the purchases of Redeemable Units by the Partnership.

Period				(a) Total Number of Shares (or Units) Purchased*				(b) Average Price Paid per Share (or Unit)**				(c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs				(d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs
January 1, 2006 – January 31, 2006					59.8518			$	1,481.85				N/A				N/A
February 1, 2006 – February 28, 2006					201.0103			$	1,348.23				N/A				N/A
March 1, 2006 – March 31, 2006					307.1188			$	1,421.96				N/A				N/A
Total					567.9809			$	1,417.35				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.

Item 3.    Defaults Upon Senior Securities – None

Item 4.    Submission of Matters to a Vote of Security Holders – None

Item 5.    Other Information – None

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Item 6.    Exhibits

	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, 2005.

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)

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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 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:				May 12, 2006
By:				/s/ Daniel R. McAuliffe, Jr.
				Daniel R. McAuliffe, Jr. Chief Financial Officer and Director
Date:				May 12, 2006

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EX-31.1

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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)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) 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)	designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)	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

d)	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: May 12, 2006

                    /s/ David J. Vogel                    
                        David J. Vogel
           Citigroup Managed Futures LLC
                 President and Director

EX-31.2

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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)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) 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)	designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)	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

d)	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: May 12, 2006

                /s/ Daniel R. McAuliffe, Jr.            
                   Daniel R. McAuliffe, Jr.
         Citigroup Managed Futures LLC
       Chief Financial Officer and Director

EX-32.1

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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 March 31, 2006 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. § 1350, as adopted pursuant to § 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: May 12, 2006

EX-32.2

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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 March 31, 2006 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. § 1350, as adopted pursuant to § 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: May 12, 2006