-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, O0lCjVnaVbQ+6yZpgtAj2Y1Cpc7iY7/YHBkV2apvqTO2WEzlk2GvL6Dyp+8zcvPH 0PyxYLTrJdZOACejvintCA== 0001013167-01-500004.txt : 20020410 0001013167-01-500004.hdr.sgml : 20020410 ACCESSION NUMBER: 0001013167-01-500004 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010930 FILED AS OF DATE: 20011113 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SMITH BARNEY MID WEST FUTURES FUND LP II CENTRAL INDEX KEY: 0001013167 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 133772374 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-28336 FILM NUMBER: 1783279 BUSINESS ADDRESS: STREET 1: 390 GREENWICH ST STREET 2: FIRST FL CITY: NEW YORK STATE: NY ZIP: 10013 BUSINESS PHONE: 2127235424 MAIL ADDRESS: STREET 1: 390 GREENWICH ST STREET 2: FIRST FLOOR CITY: NEW YORK STATE: NY ZIP: 10013 10-Q 1 midwest2.txt SMITH BARNEY MID-WEST FUTURES FUND L.P. II FORM 10-Q SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 (X) QUARTERLY REPORT UNDER SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the Quarter ended September 30, 2001 ------------------ 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 (I.R.S. Employer incorporation or organization) Identification No.) c/o Smith Barney Futures Management LLC 388 Greenwich St. - 7th Fl. New York, New York 10013 - -------------------------------------------------------------------------------- (Address and Zip Code of principal executive offices) (212) 723-5424 - -------------------------------------------------------------------------------- (Registrant's telephone number, including area code) Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes X No ----- ---- SMITH BARNEY MID-WEST FUTURES FUND L.P. II FORM 10-Q INDEX Page Number PART I - Financial Information: Item 1. Financial Statements: Statement of Financial Condition at September 30, 2001 and December 31, 2000 (unaudited). 3 Statement of Income and Expenses and Partners' Capital for the three and nine months ended September 30, 2001 and 2000 (unaudited). 4 Notes to Financial Statements (unaudited) 5 - 12 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 13 - 15 Item 3. Quantitative and Qualitative Disclosures of Market Risk 16 - 17 PART II - Other Information 18 2 PART I Item 1. Financial Statements SMITH BARNEY MID-WEST FUTURES FUND L.P. II STATEMENT OF FINANCIAL CONDITION (Unaudited)
September 30, December 31, 2001 2000 ------------ ------------ Assets: Investment in Master $39,767,637 $ - Cash, in commodity futures trading account 39,399 37,561,240 Net unrealized appreciation on open positions, in commodity futures trading account - 7,601,505 ----------- ----------- 39,807,036 45,162,745 Interest receivable 78,591 160,983 ----------- ----------- $39,885,627 $45,323,728 =========== =========== LIABILITIES AND PARTNERS' CAPITAL: Liabilities: Accrued expenses: Commissions $ 199,428 $ 226,619 Management fees 66,069 75,079 Administrative fees 33,034 37,539 Other 44,854 49,840 Redemptions payable 452,852 1,153,427 ----------- ----------- 796,237 1,542,504 ----------- ----------- Partners' Capital: General Partner, 608.9156 Unit equivalents outstanding in 2001 and 2000 869,233 855,825 Limited Partners, 26,773.9273 and 30,541.2490 Units of Limited Partnership Interest outstanding in 2001 and 2000, respectively 38,220,157 42,925,399 ----------- ----------- 39,089,390 43,781,224 ----------- ----------- $39,885,627 $45,323,728 =========== ===========
See Notes to Financial Statements. 3 SMITH BARNEY MID-WEST FUTURES FUND L.P. II STATEMENT OF INCOME AND EXPENSES AND PARTNERS' CAPITAL (UNAUDITED)
THREE MONTHS ENDED NINE MONTHS ENDED SEPTEMBER 30, SEPTEMBER 30, ------------------------------------ ----------------------------------- 2001 2000 2001 2000 ---------------- --------------- ---------------- -------------- Income: Realized gains on closed positions from Master $ 825,034 $ - $ 5,148,929 $ - Change in unrealized gains on open positions from Master 1,497,386 - 3,693,006 - Net gains (losses) on trading of commodity interests (See Note 1) Realized gains (losses) on closed positions (716,972) 1,517,732 (12,598,355) Change in unrealized losses on open positions (2,203,446) (7,601,505) (2,822,393) ---------------- --------------- ---------------- -------------- 2,322,420 (2,920,418) 2,758,162 (15,420,748) Less, brokerage commissions including clearing fees of $12,246 (Allocated from the Master), $11,643, $37,015 (Allocated from the Master) and $43,171, respectively (615,209) (620,981) (1,966,011) (2,461,819) ---------------- --------------- ---------------- -------------- Net realized and unrealized gains (losses) 1,707,211 (3,541,399) 792,151 (17,882,567) Interest income 256,381 488,287 970,639 1,733,143 ---------------- --------------- ---------------- -------------- 1,963,592 (3,053,112) 1,762,790 (16,149,424) ---------------- --------------- ---------------- -------------- Expenses: Management fees 193,906 391,965 622,458 1,563,662 Administrative fees 96,953 97,991 311,228 390,915 Other expenses 16,880 18,685 50,387 64,356 ---------------- --------------- ---------------- -------------- 307,739 508,641 984,073 2,018,933 ---------------- --------------- ---------------- -------------- Net income (loss) 1,655,853 (3,561,753) 778,717 (18,168,357) Additions - - - 835,000 Redemptions (1,743,247) (6,269,007) (5,470,551) (21,186,476) ---------------- --------------- ---------------- -------------- Net decrease in Partners' capital (87,394) (9,830,760) (4,691,834) (38,519,833) Partners' capital, beginning of period 39,176,784 44,018,109 43,781,224 72,707,182 ---------------- --------------- ---------------- -------------- Partners' capital, end of period $ 39,089,390 $ 34,187,349 $ 39,089,390 $ 34,187,349 ================ =============== ================ ============== Net asset value per Unit (27,382.8429 and 34,048.6615 Units outstanding at September 30, 2001 and 2000, respectively) $ 1,427.51 $ 1,004.07 $ 1,427.51 $ 1,004.07 ================ =============== ================ ============== Net income (loss) per Unit of Limited Partnership Interest and General Partner Unit equivalent $ 60.24 $ (97.51) $ 22.02 $ (407.44) ================ =============== ================ ==============
See Notes to Financial Statements. 4 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements September 30, 2001 (Unaudited) 1. General: Smith Barney Mid-West Futures Fund L.P. II,(the "Partnership") is a limited partnership which was organized on June 3, 1994 under the partnership laws of the State of New York to engage directly or indirectly in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options and forward contracts. The Partnership commenced trading operations on September 1, 1994. From September 1, 1994 through January 25, 2001, the Partnership engaged directly in the trading of commodity interests. Effective January 26, 2001, the Partnership transferred substantially all of its assets to the JWH Strategic Allocation Master Fund LLC, a New York limited liability company (the "Master"), as a non-managing member. The Master was formed in order to permit commodity pools managed now or in the future by John W. Henry & Company, Inc. (the "Advisor") using the Strategic Allocation Program, the Advisor's proprietary trading program, to invest together in one trading vehicle. Smith Barney Futures Management LLC (the "General Partner") is the general partner of the Partnership and the managing member of the Master. There is no material increase in expenses to investors as a result of investment in the Master and redemption rights are not affected. As of September 30, 2001, the Partnership owns approximately 40.8% of the Master. It is the Partnership's intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master's Statement of Financial Condition and the Statement of Income and Expenses and Members' Capital and Financial Highlights are included herein. The Partnership's commodity broker is Salomon Smith Barney Inc. ("SSB"). SSB is an affiliate of the General Partner. The General Partner is wholly owned by Salomon Smith Barney Holdings Inc. ("SSBHI"), which is the sole owner of SSB. SSBHI is a wholly owned subsidiary of Citigroup Inc. As of September 30, 2001, all trading decisions for the Partnership are made by the Advisor. The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership's financial condition at September 30, 2001 and December 31, 2000 and the results of its 5 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements September 30, 2001 (Unaudited) (Continued) operations for the three and nine months ended September 30, 2001 and 2000. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2000. Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. The Master's Statement of Financial Condition as of September 30, 2001, and its Statement of Income and Expenses and members' Capital for the three months ended September 30, 2001 and the period from January 26, 2001 (commencement of trading operations) to September 30, 2001 were: JWH Strategic Allocation Master Fund LLC Statement of Financial Condition (unaudited) September 30, 2001 ----------- Assets: Equity in commodity futures trading account: Cash $92,472,852 Net unrealized appreciation on open futures positions 4,976,327 ----------- $97,449,179 =========== Members' Capital $97,449,179 =========== 6 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements September 30, 2001 (Unaudited) (Continued) JWH Strategic Allocation Master Fund LLC Statement of Income and Expenses and Members' Capital For the period from January 26, 2001 (commencement of For the three trading months ended operations) to September 30, September 30, 2001 2001 ------------- -------------- Income: Net gains (losses) on trading of commodity interests: Realized gains on closed positions $ 2,204,612 $ 11,944,318 Change in unrealized gains (losses) on open positions 3,425,143 (4,021,098) ------------ ------------ 5,629,755 7,923,220 Less, clearing fees (68,305) (175,578) ------------ ------------ Net income 5,561,450 7,747,642 Additions 4,490,310 25,340,310 Redemptions (3,584,931) (10,539,999) ------------ ------------ Net increase in Members' Capital 6,466,829 22,547,953 Members' Capital, beginning of period 90,982,350 74,901,226 ------------ ------------ Members' Capital, end of period $ 97,449,179 $ 97,449,179 ============ ============ 7 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements September 30, 2001 (Unaudited) (Continued) 2. Financial Highlights: Changes in the Partnership's net asset value per Unit for the three and nine months ended September 30, 2001 and 2000 were as follows:
THREE-MONTHS ENDED NINE-MONTHS ENDED SEPTEMBER 30, SEPTEMBER 30, --------------------------- ------------------- 2001 2000 2001 2000 -------- --------- -------- -------- Net realized and unrealized gains (losses) $ 62.07 $ (96.97) $ 22.68 $ (401.23) Interest income 9.08 13.15 32.77 39.52 Expenses (10.91) (13.69) (33.43) (45.73) --------- --------- --------- --------- Increase(decrease) for period 60.24 (97.51) 22.02 (407.44) Net Asset Value per Unit, beginning of period 1,367.27 1,101.58 1,405.49 1,411.51 --------- --------- --------- --------- Net Asset Value per Unit, end of period $ 1,427.51 $ 1,004.07 $ 1,427.51 $ 1,004.07 ========= ========= ========= ========= Total Return 4.4% 1.6% Ratio of expenses, including brokerage commissions, to average assets * 9.5% 9.6% Ratio of net income to average net assets * 17.1% 2.5% - -------------------------------------------------------------------------------- Financial Highlights of the Master: Total Return 6.1% 10.3% Ratio of expenses, including clearing fees, to average net assets * 0.3% 0.3% ** Ratio of net income to average Net assets * 24.1% 11.4% ** * Annualized ** For the period from January 26, 2001 (commencement of trading operations) to September 30, 2001
8 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements September 30, 2001 (Unaudited) (Continued) 3. Trading Activities: The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests the majority of its assets through a "master fund/feeder fund" structure. The results of the Partnership's investment in the Master are shown in the statement of income and expenses and are discussed in Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operation, herein. The respective Customer Agreements between the Partnership and SSB and the Master and SSB give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses. All of the commodity interests owned by the Master are held for trading purposes. The average fair value during the period from January 26, 2001 to September 30, 2001, based on a monthly calculation, was $6,076,490. The fair value of these commodity interests, including options thereon, if applicable, at September 30, 2001 was $4,976,327, as detailed below. Fair Value September 30, 2001 Currency: - Exchange Traded Contracts $ (41,325) - OTC Contracts (777,630) Energy 246,308 Grains 101,475 Interest Rates U.S. 2,058,937 Interest Rates Non-U.S. 318,760 Livestock 26,390 Metals: - Exchange Traded Contracts 483,955 - OTC Contracts 400,812 Softs 1,060,167 Indices 1,098,478 ----------- Total $4,976,327 ============ 9 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements September 30, 2001 (Unaudited) (Continued) As of December 31, 2000, all of the commodity interests owned by the Partnership are held for trading purposes. The average fair value during the twelve months ended December 31, 2000, based on a monthly calculation, was $1,479,528. The fair value of these commodity interests, including options thereon, if applicable, at December 31, 2000, was $7,601,505, as detailed below. Fair Value December 31, 2000 Currency: - - Exchange Traded Contracts $ 207,188 - - OTC Contracts 2,621,875 Energy 1,274,209 Grains 133,604 Interest Rates U.S. 1,617,516 Interest Rates Non-U.S. 1,330,610 Livestock 8,960 Metals: - Exchange Traded Contracts (7,055) - OTC Contracts (62,921) Softs (133,324) Indices 610,843 ---------- Total $7,601,505 ============ 4. Financial Instrument Risk: The Partnership is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments, through its investment in the Master. The Master is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments, in the normal course of its business. These financial instruments may include forwards, futures and options, whose value is based upon an underlying asset, 10 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements September 30, 2001 (Unaudited) (Continued) index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter ("OTC"). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Master's risk of loss in the event of counterparty default is typically limited to the amounts recognized as unrealized appreciation (depreciation) in the statement of financial condition and not represented by the contract or notional amount of the instruments. The Master has concentration risk because the sole counterparty or broker with respect to the Master's assets is SSB. The General Partner monitors and controls the Master's risk exposure on a daily basis through financial, credit and risk management monitoring systems and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Master is subject. These monitoring systems allow the General Partner to statistically analyze actual 11 trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. The notional or contractual amounts of these instruments, while not recorded in the financial statements, reflect the extent of the Master's involvement in these instruments. The majority of these instruments mature within one year of September 30, 2001. However, due to the nature of the Master's business, these instruments may not be held to maturity. 12 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations. Liquidity and Capital Resources The Partnership does not engage in the sale of goods or services. Its only assets are its investment in the Master and interest receivable. The Master does not engage in the sale of goods or services. Its only assets are its equity in its commodity futures trading account, allocated net unrealized appreciation (depreciation) on open futures and forward contracts, commodity options, if applicable, and interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a decrease in liquidity, no such losses occurred in the third quarter of 2001. The Partnership's capital consists of the capital contributions of the partners as increased or decreased by its investment in the Master, expenses, interest income, redemptions of Units and distributions of profits, if any. For the nine months ended September 30, 2001, Partnership capital decreased 10.7% from $43,781,224 to $39,089,390. This decrease was attributable to the redemption of 3,767.3217 Units resulting in an outflow of $5,470,551 which was partially offset by net income from operations of $778,717, for the nine months ended September 30, 2001. Future redemptions can impact the amount of funds available for investment in the Master in subsequent periods. The Master's capital consists of the capital contributions of the members as increased or decreased by gains or losses on commodity futures trading, expenses, interest income, redemptions of Units and distributions of profits, if any. For the period from January 26, 2001 (commencement of trading operations) to September 30, 2001, Master capital increased 30.1% from $74,901,226 to $97,449,179. This increase was attributable to net income from operations of $7,747,642 coupled with additions of $25,340,310, which was partially offset by redemptions of $10,539,999, for the period from January 26, 2001 to September 30, 2001. Future redemptions can impact the amount of funds available for investments in commodity contract positions in subsequent periods. 13 Results of Operations During the third quarter of 2001, the Partnership's net asset value per unit increased 4.4% from $1,367.27 to $1,427.51 as compared to a decrease of 8.9% in the third quarter of 2000. The Partnership experienced a net trading gain before brokerage commissions and related fees in the third quarter of 2001 of $2,322,420. Gains were primarily attributable to the Master's trading of commodity futures in U.S. interest rates livestock, metals, indices and softs and were partially offset by losses in currencies, energy, non-U.S. interest rates and grains. The Master experienced a net trading gain before brokerage commissions and related fees in the third quarter of 2001 of $5,629,755. The Partnership experienced a net trading loss before commissions and related fees in the third quarter of 2000 of $2,920,418. Losses were primarily attributable to the trading of commodity futures in currencies, livestock, non-U.S. interest rates, softs, metals and indices and were partially offset by gains in energy, grains and U.S. interest rates. Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership (and Master) depends on the existence of major price trends and the ability of the Advisor to identify correctly those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership (and Master) expects to increase capital through operations. Interest income on 80% of the Partnership's average daily equity, allocated to it by the Master, was earned at the monthly average 30 day U.S. Treasury bill rate. Interest income for the three and nine months ended September 30, 2001 decreased by $231,906 and $762,504, respectively, as compared to the corresponding periods in 2000. The decrease in interest income is primarily due to a decrease in interest rates and the effect of redemptions on the Partnership's equity maintained in cash during the nine month period ended September 30, 2001. Brokerage commissions are calculated on the adjusted net asset value on the last day of each month and, therefore, vary according to trading performance, additions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Commissions and fees for the three and nine months ended September 30, 2001 decreased by $5,772 and $495,808, respectively, as compared to the corresponding periods in 2000. 14 Management fees are calculated as a percentage of the Partnership's net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Management fees for the three and nine months ended September 30, 2001 decreased by $198,059 and $941,204, respectively, as compared to the corresponding periods in 2000 primarily due to a decrease in the management fee rate during the fourth quarter of 2000. Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the Partnership's net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Administrative fees for the three and nine months ended September 30, 2001 decreased by $1,038 and $79,687, respectively, as compared to the corresponding periods in 2000. Incentive fees are based on the new trading profits generated by the Advisor as defined in the advisory agreement between the Partnership, the General Partner and the Advisor. There were no incentive fees earned for the three and nine months ended September 30, 2001 or 2000. 15 Item 3. Quantitative and Qualitative Disclosures of Market Risk All of the Partnership's assets are subject to the risk of trading loss through its investment in the Master. The Master is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Master's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Master's main line of business. Market movements result in frequent changes in the fair value of the Master's open positions and, consequently, in its earnings and cash flow. The Master's market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the value of financial instruments and contracts, the diversification effects of the Master's open positions and the liquidity of the markets in which it trades. The Master rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Master's past performance is not necessarily indicative of its future results. Value at Risk is a measure of the maximum amount which the Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Master's speculative trading and the recurrence in the markets traded by the Master or market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Master's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Master's losses in any market sector will be limited to Value at Risk or by the Master's attempts to manage its market risk. Exchange maintenance margin requirements have been used by the Master as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day intervals. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk components, which is not relevant to Value at Risk. 16 The following table indicates the trading Value at Risk associated with the Master's open positions by market category as of September 30, 2001. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. As of September 30, 2001, the Master's total capitalization was $97,449,179. September 30, 2001 (Unaudited)
Year to Date % of Total High Low Market Sector Value at Risk Capitalization Value at Risk Value at Risk - --------------------------------------------------------------------------------------- Currencies: - Exchange Traded Contracts $ 479,650 0.49% $ 537,450 $182,149 - OTC Contracts 3,529,457 3.62% 5,090,588 1,955,574 Energy 1,830,000 1.88% 2,158,000 475,900 Grains 326,450 0.33% 382,750 135,000 Interest Rates U.S. 1,286,200 1.32% 1,505,450 406,740 Interest Rates Non-U.S. 2,577,639 2.64% 4,042,034 1,021,936 Livestock 8,500 0.01% 10,200 7,000 Metals: - Exchange Traded Contracts 436,000 0.45% 479,000 122,000 - OTC Contracts 290,900 0.30% 292,900 77,500 Softs 406,580 0.42% 469,764 185,396 Indices 1,780,458 1.83% 1,883,559 965,339 ----------- ------ Total $12,951,834 13.29% =========== ======
17 PART II OTHER INFORMATION Item 1. Legal Proceedings - None Item 2. Changes in Securities and Use of Proceeds - None Item 3. Defaults Upon Senior Securities - None Item 4. Submission of Matters to a Vote of Security Holders - None Item 5. Other Information - None Item 6. (a) Exhibits - None (b) Reports on Form 8-K - None 18 SIGNATURES Pursuant to the requirements of Section 13 or 15 (d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. SMITH BARNEY MID-WEST FUTURES FUND L.P. II By: Smith Barney Futures Management LLC (General Partner) By: /s/ David J. Vogel, President David J. Vogel, President Date: 11/8/01 Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: Smith Barney Futures Management LLC (General Partner) By: /s/ David J. Vogel, President ------------------------------- David J. Vogel, President Date: 11/8/01 By: /s/ Daniel R. McAuliffe, Jr. ----------------------------------- Daniel R. McAuliffe, Jr. Chief Financial Officer and Director Date: 11/8/01 19 -----END PRIVACY-ENHANCED MESSAGE-----