-----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, OKf619QK16iu4wK/CT0zkrWNX19LYA0M3G+FSba0mLwmW97xO5GfJpsJI0eSOqCQ pDdwpQB4rDeYriE4mjODJA== 0001013167-04-000004.txt : 20040510 0001013167-04-000004.hdr.sgml : 20040510 20040510141449 ACCESSION NUMBER: 0001013167-04-000004 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040331 FILED AS OF DATE: 20040510 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: 04792283 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 midwestii.txt SMITH BARNEY MID-WEST FUTURRES 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 March 31, 2004 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 13-4224248 - -------------------------------------------------------------------------------- (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 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: Statements of Financial Condition at March 31, 2004 and December 31, 2003 (unaudited). 3 Statements of Income and Expenses and Partners' Capital for the three months ended March 31, 2004 and 2003 (unaudited). 4 Statements of Cash Flows for the three months ended March 31, 2004 and 2003 (unaudited). 5 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 - 19 Item 3 Quantitative and Qualitative Disclosures about Market Risk 20 - 21 Item 4 Controls and Procedures 22 PART II - Other Information 23 2 PART I Item 1. Financial Statements Smith Barney Mid-West Futures Fund L.P. II Statements of Financial Condition (Unaudited)
March 31, December 31, 2004 2003 ----------------- ----------------- ASSETS: Investment in Master, at fair value $27,204,696 $ 26,278,490 Cash 29,109 18,291 ----------------- ----------------- $27,233,805 $ 26,296,781 ================= ================= LIABILITIES AND PARTNERS' CAPITAL Liabilities Accrued expenses: Commissions $ 136,169 $ 131,484 Management fees 45,108 43,570 Administrative fees 22,554 21,785 Other 32,924 23,126 Redemptions payable 136,977 222,481 ----------------- ----------------- 373,732 442,446 ----------------- ----------------- Partners' capital: General Partner, 401.3070 Unit equivalents outstanding in 2004 and 2003 780,919 740,829 Limited Partners, 13,401.8218 and 13,603.9978 Redeemable Units of Limited Partnership Interest outstanding in 2004 and 2003, respectively 26,079,154 25,113,506 ----------------- ----------------- 26,860,073 25,854,335 ----------------- ----------------- $27,233,805 $26,296,781 ================= =================
See Accompanying Notes to Unaudited Financial Statements 3 Smith Barney Mid-West Futures Fund L.P. II Statement of Income and Expenses and Partners' Capital (Unaudited)
Three Months Ended March 31, -------------------------------- 2004 2003 -------------- ------------- Income: Realized gains on closed positions from Master $ 3,692,789 $ 8,909,117 Change in unrealized gains/losses on open positions from Master (1,688,137) (3,906,731) Expenses allocated from Master (21,785) (14,285) Interest income allocated from Master 46,278 68,578 ------------ ------------ 2,029,145 5,056,679 ------------ ------------ Expenses: Brokerage commissions 414,424 507,461 Management fees 137,304 164,996 Administrative fees 68,652 82,498 Incentive fees -- 178,139 Other expenses 11,198 9,812 ------------ ------------ 631,578 942,906 ------------ ------------ Net income 1,397,567 4,113,773 Redemptions - Limited Partners (391,829) (1,423,709) General Partner -- (102,821) ------------ ------------ Net increase in Partners' capital 1,005,738 2,587,243 Partners' capital, beginning of period 25,854,335 27,821,670 ------------ ------------ Partners' capital, end of period $ 26,860,073 $ 30,408,913 ============ ============ Net asset value per Redeemable Unit (13,803.1288 and 14,837.3419 Redeemable Units outstanding at March 31, 2004 and 2003, respectively) $ 1,945.94 $ 2,056.42 ============ ============ Net income per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent $ 99.90 $ 263.24 ============ ============
See Accompanying Notes to Unaudited Financial Statements 4 Smith Barney Mid-West Futures Fund L.P. II Statements of Cash Flows March 31 2004 (Unaudited)
Three months ended March 31, ------------------------- 2004 2003 --------- ---------- Cash flows from operating activities: Net Income $ 1,397,567 $ 4,113,773 Adjustments to reconcile net income to net cash provided by operating activities: Changes in operating assets and liabilities: Investment in Master, at Fair Value (926,206) (3,607,165) Accrued expenses: Increase in commissions 4,685 18,097 Increase in management fees 1,538 5,986 Increase in administrative fees 769 2,993 Increase in incentive fees -- 178,139 Increase in other 9,798 9,813 Increase (decrease) in redemptions payable (85,504) 817,052 ----------- ----------- Net cash provided by operating activities 402,647 1,538,688 ----------- ----------- Cash flows from financing activities Payments for redemptions (391,829) (1,526,530) ----------- ----------- Net cash used in financing activities (391,829) (1,526,530) ----------- ----------- Net change in cash 10,818 12,158 Cash, at beginning of period 18,291 19,882 ----------- ----------- Cash, at end of period $ 29,109 $ 32,040 =========== ===========
See Accompanying Notes to Unaudited Financial Statements 5 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements March 31, 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 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, 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 March 31, 2004, the Partnership owns approximately 16.0% 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 March 31, 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 March 31, 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 March 31, 2004 and December 31, 2003 and the results of its operations and cash flows for the three months ended March 31, 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. Certain prior period amounts have been reclassified to conform to current period presentation. 7 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements March 31, 2004 (Unaudited) (Continued) The Master's Statements of Financial Condition as of March 31, 2004 and December 31, 2003, Condensed Schedules of Investments at March 31, 2004 and December 31, 2003, its Statements of Income and Expenses and Members' Capital for the three months ended March 31, 2004 and 2003 and its Statements of Cash Flows for the three months ended March 31, 2004 and 2003 were: JWH Strategic Allocation Master Fund LLC Statements of Financial Condition (Unaudited)
March 31, December 31, 2004 2003 ----------------- ----------------- Assets: Equity in commodity futures trading account: Cash (restricted $37,160,523 and $31,852,745 in 2004 and 2003, respectively) $168,131,075 $131,979,502 Net unrealized appreciation on open futures positions 14,304,573 1,477,101 Unrealized appreciation on open forward contracts 10,233,413 13,496,013 Interest receivable 123,389 80,717 ----------------- ----------------- $192,792,450 $147,033,333 ================= ================= Liabilities and Member's Capital: Liabilities: Unrealized depreciation on open forward contracts $22,774,157 $1,799,594 Accrued expenses: Professional fees 73,461 76,405 Distribution payable 123,389 80,717 ----------------- ----------------- 22,971,007 1,956,716 ----------------- ----------------- Members' capital: Members' capital 93,962.1391 and 86,435.1829 Units outstanding in 2004 and 2003, respectively 169,821,443 145,076,617 ----------------- ----------------- $192,792,450 $147,033,333 ================= =================
8 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements March 31, 2004 (Unaudited) (continued) JWH Strategic Allocation Master Fund LLC Condensed Schedule of Investments March 31, 2004 (Unaudited)
Number of Sector Contracts Contract Fair Value - ----------------------------------------------------------------------------------------------------------------------- Currencies Unrealized depreciation on forward contracts (12.94)% JPY (27,208,156,617) JPY/USD - (9.96)% June 16, 2004 $ (16,906,807) Other - (2.98)% (5,073,248) -------------- (21,980,055) Unrealized appreciation on forward contracts 5.68% 9,638,675 -------------- Total Currencies (7.26)% (12,341,380) -------------- Total Energy 1.03% Futures contracts sold 1.03% 1,747,388 -------------- Total Grains 2.26% Futures contracts purchased 2.26% 3,839,807 -------------- Total Interest Rates Non - U.S. 1.45% Futures contracts purchased 1.45% 2,461,567 -------------- Total Interest Rates 2.03% Futures contracts purchased 2.03% 3,451,804 -------------- Total Livestock 0.06% Futures contracts purchased 0.06% 96,510 ------------- Metals Futures contracts purchased 1.38% 2,342,255 Unrealized depreciation on forward contracts (0.47)% (794,102) Unrealized appreciation on forward contracts 0.35% 594,738 -------------- Total forward contracts (0.12)% (199,364) -------------- Total Metals 1.26% 2,142,891 -------------- Softs Futures contracts sold 0.26% 448,789 Futures contracts purchased (0.01)% (18,774) -------------- Total Softs 0.25% 430,015 -------------- Indices Futures contracts sold (0.43)% (722,612) Futures contracts purchased 0.39% 657,839 -------------- Total Indices (0.04)% (64,773) -------------- Total Fair Value 1.04% $ 1,763,829 ============== % of Investments at Fair Country Composition Investments at Fair Value Value - ------------------------------------ ------------------------------- ------------------------------ Australia $ (25,220) (1.43)% Canada 14,793 0.84 Germany 3,130,948 177.51 Japan (125,637) (7.12) United Kingdom (259,821) (14.73) United States (971,234) (55.07) ------------------------------- -------------------- $ 1,763,829 100.00% =============================== ====================
Percentages are based on Members' capital unless otherwise indicated. 9 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements March 31, 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 (Unaudited) (continued) JWH Strategic Allocation Master Fund LLC Statements of Income and Expenses and Members' Capital (Unaudited)
Three months ended March 31, -------------------------- 2004 2003 -------------------------- Income: Net gains (losses) on trading of commodity interests: Realized gains on closed positions and foreign currencies $ 22,880,670 $ 29,338,717 Change in unrealized losses on open positions (11,409,691) (13,174,544) Interest Income 317,375 251,539 ------------- ------------- 11,788,354 16,415,712 ------------- ------------- Expenses: Clearing fees 116,700 63,149 Other expenses 15,000 15,000 ------------- ------------- 131,700 78,149 ------------- ------------- Net income 11,656,654 16,337,563 Additions 16,896,500 1,700,000 Redemptions (3,490,953) (2,911,270) Distribution of interest to feeder funds (317,375) (251,539) ------------- ------------- Net increase in Members' capital 24,744,826 14,874,754 Members' capital, beginning of period 145,076,617 90,459,415 ------------- ------------- Members' capital, end of period $ 169,821,443 $ 105,334,169 ============= ============= Net asset value per Unit (93,962.1391 and 60,007.7063 Units outstanding in March 31, 2004 and 2003, respectively) $ 1,807.34 $ 1,755.34 ------------- ------------- Net income per Unit of Member Interest $ 132.36 $ 268.35 ------------- -------------
11 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements (Unaudited) (Continued) JWH Strategic Allocation Master Fund LLC. Statements of Cash Flows March 31, 2004 (Unaudited)
Three months ended March 31, -------------------------- 2004 2003 -------------------------- Cash flows from operating activities: Net Income $ 11,656,654 $ 16,337,563 Adjustments to reconcile net income to net cash provided by operating activities: Changes in operating assets and liabilities: Net unrealized appreciation (depreciation) on open futures positions (12,827,472) 5,280,517 Unrealized appreciation on open forward contracts 3,262,600 4,549,759 Increase in interest receivable (42,672) (15,135) Unrealized depreciation on open forward contracts 20,974,563 3,344,268 Accrued expenses: Increase (decrease) in professional fees (2,944) 15,000 Increase in distribution payable 42,672 15,135 ------------- ------------- Net cash provided by operating activities 23,063,401 29,527,107 ------------- ------------- Cash flows from financing activities: Proceeds from additions 16,896,500 1,700,000 Payments for redemptions (3,490,953) (2,911,270) Distribution of interest to feeder funds (317,375) (251,539) ------------- ------------- Net cash provided by (used in) financing activities 13,088,172 (1,462,809) ------------- ------------- Net change in cash 36,151,573 28,064,298 Cash, at beginning of period 131,979,502 81,112,283 ------------- ------------- Cash, at end of period $ 168,131,075 $ 109,176,581 ============= =============
12 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements March 31, 2004 (Unaudited) (Continued) 2. Financial Highlights: Changes in Net Asset Value per Redeemable Units of Partnership Interest for the three months ended March 31, 2004 and 2003 were as follows:
Three Months Ended March 31, ------------------------- 2004 2003 ------------------------- Net realized and unrealized gains* $ 112.34 $ 286.76 Interest income 3.32 4.44 Expenses** (15.76) (27.96) --------- --------- Increase for the period 99.90 263.24 Net Asset Value per Redeemable Unit, beginning of period 1,846.04 1,793.18 --------- --------- Net Asset Value per Redeemable Unit, end of period $ 1,945.94 $ 2,056.42 ========= ========= Ratio to average net assets: *** Net investment loss before incentive fees**** (9.1)% (9.3)% ========= ========= Operating expenses 9.8% 10.2% Incentive fees -- 2.3% --------- --------- Total expenses 9.8% 12.5% ========= ========= Total return: Total return before incentive fees 5.4% 15.3% Incentive fees -- (0.6)% --------- --------- Total return after incentive fees 5.4% 14.7% ========= =========
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, there ratios are calculated for the Limited Partner class using the Limited Partners' share of income, expenses and average net assets. * Includes brokerage commissions and expenses allocated from Master. ** Excludes brokerage commissions and expenses allocated from Master. *** Annualized (other than incentive fees) **** Interest income less total expenses (exclusive of incentive fees) 13 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements March 31, 2004 (Unaudited) (continued) Financial Highlights of the Master: Changes in Net Asset Value per Unit of Member Interest for the three months ended March 31, 2004 and 2003 were as follows:
Three Months Ended March 31, ------------------------ 2004 2003 ------------------------- Net realized and unrealized gains * $ 129.06 $ 264.44 Interest income 3.46 4.16 Expenses ** (0.16) (0.25) --------- --------- Increase for the period 132.36 268.35 Distributions (3.46) (4.16) Net Asset Value per Unit, beginning of period 1,678.44 1,491.15 --------- --------- Net Asset Value per Unit, end of period $ 1,807.34 $ 1,755.34 ========= ========= Ratio to average net assets: *** Net investment income**** 0.5% 0.7% Operating expenses 0.3% 0.3% Total return 7.7% 18.0% ========= =========
The above ratios may vary for individual investors based on the timing of capital transactions during the period. * Includes clearing fees ** Excludes clearing fees *** Annualized **** Interest income less total expenses 14 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements March 31, 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 three and twelve months ended March 31, 2004 and December 31, 2003, based on a monthly calculation, were $16,289,739 and $7,057,885, respectively. The fair value of these commodity interests, including options thereon, if applicable, at March 31, 2004 and December 31, 2003, were $1,763,829 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 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. 15 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements March 31, 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 Partnership's 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 March 31, 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 first 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 three months ended March 31, 2004, Partnership capital increased 3.9% from $25,854,335 to $26,860,073. This increase was attributable to net income from operations of $1,397,567, which was partially offset by the redemption of 202.1760 Redeemable Units of Limited Partnership Interest resulting in an outflow of $391,829. 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 it's 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, 2004 the Master's capital increased 17.1% from $145,076,617 to $169,821,443. This increase was attributable to net income from operations of $11,656,654, coupled with additional sales of 9,530.6470 Redeemable Units totaling $16,896,500, which was partially offset by the redemption of 2,003.6908 Redeemable Units resulting in an outflow of $3,490,953 and a distribution of interest of $317,375 paid to the feeders. 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 market quotations are readily available or other measures of fair value deemed 17 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 first quarter of 2004, the Net Asset Value per Redeemable Unit increased 5.4% from $1,846.04 to $1,945.94 as compared to an increase of 14.7% in the first quarter of 2003. The Partnership experienced a net trading gain before brokerage commissions and related fees in the first quarter of 2004 of $2,004,652. Gains were primarily attributable to the Master's trading of commodity futures in energy, grains, U.S. and non-U.S. interest rates, metals and indices and were partially offset by losses in currencies, livestock and softs. The Partnership experienced a net trading gain before brokerage commissions and related fees in the first quarter of 2003 of $5,002,386. Gains were primarily attributable to the Master's trading of commodity futures in currencies, energy, U.S. and non-U.S. interest rates, indices and softs and were partially offset by losses in grains, livestock and metals. The Partnership had a positive first quarter as many of the financial and commodity trends that had carried performance in 2003 continued into the first quarter providing profits for the Partnership's Advisor. The major contributors to performance were rising commodity prices, particularly for grains, energy and base metals and lower interest rates both in the U.S. and internationally. The commodity markets, particularly grains and related contracts, produced most of the Partnership's profits for the quarter. The demand for foodstocks from developing countries generated profits for positions in grains, specifically soybeans, corn and wheat. Increased global demand for the raw materials of economic development, namely base metals, like copper, nickel and aluminum, also produced profitable trading. Silver and gold also were profitable for the quarter. Energy trading was also highly profitable for the quarter as prices of crude oil moved to the high $30s range and natural gas prices followed their normal volatile seasonal patterns with mixed trading results for the Advisor. Additional profits were earned for positions in U.S. and international interest rate contracts throughout most of the quarter. Lower U.S. interest rates combined with rising fiscal and trade deficits pushed the U.S. dollar lower through mid-February producing profits for the Fund's advisor through mid-February. Mid-month, a sharp reversal began in the U.S. dollar that led to 18 losses in March as the dollar regained nearly 10% against the euro and other major currencies. Overall for the quarter, currency trading resulted in losses. Trading in stock market indices was slightly profitable as the U.S. and global stock markets were mostly directionless for the first quarter. 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 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, 2004 decreased by $22,300 as compared to the corresponding period in 2003. The decrease in interest income is primarily due to a decrease in interest rates during the three months ended March 31, 2004 as compared to 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 months ended March 31, 2004 decreased by $93,037 as compared to the corresponding period in 2003. The decrease in brokerage commissions is due to average lower net assets during the three months ended March 31, 2004 as compared to 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 months ended March 31, 2004 decreased by $27,692 as compared to the corresponding period in 2003. The decrease in management fees is due to average lower net assets during the three months ended March 31, 2004 as compared to 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 months ended March 31, 2004 decreased by $13,846 as compared to the corresponding period in 2003. The decrease in administrative fees is due to average lower net assets during the three months ended March 31, 2004 as compared to 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 months ended March 31, 2004 and 2003 resulted in incentive fees of $ 0, and $178,139, respectively. 19 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. 20 The following table indicates the trading Value at Risk associated with the Master's open positions by market category as of March 31, 2004 and the highest and lowest value at any point during the three months ended March 31, 2004. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. As of March 31, 2004, the Master's total capitalization was $169,821,443. There has been no material changes in the trading Value at Risk information previously disclosed in the Form 10-K for the year ended December 31, 2003. March 31, 2004 (Unaudited)
Year to Date ------------------------------------------------- % of Total High Low Market Sector Value at Risk Capitalization Value at Risk Value at Risk Average - ------------------------------------------------------------------- ------------------------------------------------- Currencies: -OTC Contracts $6,964,128 4.10% $10,928,609 $6,021,749 $8,364,425 Energy 5,877,270 3.46% 5,930,250 4,281,150 5,621,490 Grains 1,121,300 0.66% 1,121,300 638,300 977,442 Interest Rates U.S. 2,657,600 1.56% 2,728,400 1,641,350 2,668,533 Interest Rates Non-U.S. 6,483,768 3.82% 8,840,369 4,314,458 7,796,875 Livestock 152,800 0.09% 234,000 46,000 169,313 Metals -Exchange Traded Contracts 1,768,500 1.04% 1,768,500 445,500 1,506,667 -OTC Contracts 1,299,575 0.77% 1,391,375 995,290 1,245,192 Softs 1,330,474 0.78% 1,421,730 560,686 1,152,934 Indices 5,192,704 3.06% 5,192,704 3,311,279 4,464,783 ---------------------------------- Total $32,848,119 19.34% ==================================
21 Item 4. Controls and Procedures Based on their evaluation of the Partnership's disclosure controls and procedures as of March 31, 2004 the Chief Executive Officer and Chief Financial Officer have concluded that such controls and procedures are effective. There were no significant changes in the Partnership's internal controls or in other factors that could significantly affect such controls during the first quarter of 2004. 22 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. REGULATORY MATTERS. Both the Department of Labor and the IRS have advised CGM that they were or are reviewing transactions in which Ameritech Pension Trust purchased from CGM and certain affiliates approximately $20.9 million in participations in a portfolio of motels owned by Motels of America, Inc. and Best Inns, Inc. With respect to the IRS review, CGM and certain affiliated entities have consented to extensions of time for the assessment of excise taxes that may be claimed to be due with respect to the transactions for the years 1987, 1988 and 1989. ENRON CORP. In July 2002, Citigroup, CGM and certain officers were named as defendants in an alleged class action filed in the United States District Court for the Southern District of New York, brought on behalf of purchasers of Citigroup common stock between July 24, 1999 and July 23, 2002. The complaint seeks unspecified compensatory and punitive damages for alleged violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, and for common law fraud. Fourteen virtually identical complaints have been filed and consolidated. The complaints allege that Citigroup misstated the extent of its Enron-related exposure, and that Citigroup's stock price fell once the true extent of the company's Enron involvements became known. Plaintiffs filed an amended complaint on March 10, 2003, which incorporated the allegations in the 15 separate actions and added new material as well. The amended complaint focuses on certain transaction Citigroup did with Enron and alleged analyst conflicts of interest. The class period for the consolidated amended complaint is July 24, 1999 to December 11, 2002. On June 2, 2003, Citigroup filed a motion to dismiss the consolidated amended complaint. Plaintiffs' response was filed on July 30, and Citigroup's reply was filed on October 3, 2003. Oral argument before Judge Swain was held on November 20, 2003. MUTUAL FUNDS In 2003, several issues in the mutual fund industry have come under the scrutiny of federal and state regulators. The Company has received subpoenas and other requests for information from various government regulators regarding market timing, fees, sales practices and other mutual fund issues in connection with various investigations, including an investigation by the SEC and a United States Attorney into the arrangements under which CGMH became the transfer agent for many of the mutual funds in the Smith Barney fund complex. CGMH is cooperating fully with all such reviews. 23 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 - ------------------------------- ----------------------- ----------------------- ---------------------- ----------------------- January 1, 2004 - January 31, 92.4088 $1,872.10 N/A N/A 2004 - ------------------------------- ----------------------- ----------------------- ---------------------- ----------------------- February 1, 2004 - February 39.3761 $2,078.76 N/A N/A 29, 2004 - ------------------------------- ----------------------- ----------------------- ---------------------- ----------------------- March 1, 2004 - March 31, 2004 70.3911 $1,945.94 N/A N/A - ------------------------------- ----------------------- ----------------------- ---------------------- ----------------------- Total 202.1760 $1,965.60 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 24 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) Certification (Certification of President and Director) Exhibit - 31.2 - Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director) Exhibit - 32.1 - Section 1350 Certifications (Certification of President and Director). Exhibit - 32.2 - Section 1350 Certification (Certification of Chief Financial Officer and Director). (b) Reports on Form 8-K - None 25 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: Citigroup Managed Futures LLC (General Partner) By: /s/ David J. Vogel ------------------ David J. Vogel President and Director Date: May 10, 2004 ------------ 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: Citigroup Managed Futures LLC (General Partner) By: /s/ David J. Vogel ------------------ David J. Vogel President and Director Date: May 10, 2004 ------------ By: /s/ Daniel R. McAuliffe, Jr. ---------------------------- Daniel R. McAuliffe, Jr. Chief Financial Officer and Director Date: May 10, 2004 ------------ 26 Exhibit 31.1 CERTIFICATION 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 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: May 10, 2004 -------------- /s/ David J. Vogel ------------------ David J. Vogel Citigroup Managed Futures LLC President and Director 27 Exhibit 31.2 CERTIFICATION 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 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: May 10, 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 March 31, 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, results of operations and cash flows of the Partnership. /s/ David J. Vogel ------------------ David J. Vogel Citigroup Managed Futures LLC President and Director Date: May 10, 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 March 31, 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, results of operations and cash flows of the Partnership. /s/ Daniel R. McAuliffe, Jr. --------------------------- Daniel R. McAuliffe, Jr. Citigroup Managed Futures LLC Chief Financial Officer and Director Date: May 10, 2004 ------------- 30 -----END PRIVACY-ENHANCED MESSAGE-----