-----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, JrT5uXmb76fk0LU0GrfoxRzZm4SYJ6elzb8chF/+ZS5bMpdpXHnFWWu7Tt8EoQW0 wIP68RccjfqKWQCqs0kyrg== 0001013167-04-000006.txt : 20040901 0001013167-04-000006.hdr.sgml : 20040901 20040901092251 ACCESSION NUMBER: 0001013167-04-000006 CONFORMED SUBMISSION TYPE: 10-Q/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040630 FILED AS OF DATE: 20040901 DATE AS OF CHANGE: 20040901 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/A SEC ACT: 1934 Act SEC FILE NUMBER: 000-28336 FILM NUMBER: 041009720 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/A 1 midwest2.txt SMITH BARNEY MID-WEST FUTURES FUND L.P. II Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements June 30, 2004 (Unaudited) (Continued) The Master's Statements of Financial Condition and Condensed Schedules of Investments at June 30, 2004 and December 31, 2003 and its Statements of Income and Expenses and Members' Capital and Statements of Cash Flows for the three and six months ended June 30, 2004 and 2003 were: JWH Strategic Allocation Master Fund LLC Statements of Financial Condition (Unaudited)
June 30, December 31, 2004 2003 ------------ ------------ Assets: Equity in commodity futures trading account: Cash (restricted $31,772,804 and $31,852,745 in 2004 and 2003, respectively) $155,073,201 $131,979,502 Net unrealized appreciation on open futures positions -- 1,477,101 Unrealized appreciation on open forward contracts 2,938,642 13,496,013 Interest receivable 148,989 80,717 ------------ ------------ $158,160,832 $147,033,333 ============ ============ Liabilities and Members' Capital: Liabilities: Net unrealized depreciation on open futures positions $ 5,268,908 $ -- Unrealized depreciation on open forward contracts 10,323,944 1,799,594 Accrued Expenses: Professional fees 86,405 76,405 Distribution payable 148,989 80,717 ------------ ------------ 15,828,246 1,956,716 ------------ ------------ Members' Capital: Members' capital, 104,820.3576 and 86,435.1829 Units outstanding in 2004 and 2003, respectively 142,332,586 145,076,617 ------------ ------------ $158,160,832 $147,033,333 ============ ============
8 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements June 30, 2004 (Unaudited) (Continued) JWH Strategic Allocation Master Fund LLC Statements of Income and Expenses and Members' Capital (Unaudited)
Three Months Ended Six Months Ended June 30, JUNE 30, ------------------------------ ----------------------------- 2004 2003 2004 2003 ------------------------------ ----------------------------- Income: Net gains (losses) on trading of commodity interests: Realized gains (losses) on closed positions and foreign currencies $ (30,580,263) $ 1,863,361 $ (7,699,592) $ 31,202,079 Change in unrealized gains (losses) on open positions (14,418,038) (8,596,738) (25,827,730) (21,771,283) Interest income 402,630 324,300 726,794 575,839 ------------- ------------- ------------- ------------- (44,595,671) (6,409,077) (32,800,528) 10,006,635 ------------- ------------- ------------- ------------- Expenses: Clearing fees 146,544 109,757 263,244 172,906 Other expenses 15,000 15,000 30,000 30,000 ------------- ------------- ------------- ------------- 161,544 124,757 293,244 202,906 ------------- ------------- ------------- ------------- Net income (loss) (44,757,215) (6,533,834) (33,093,772) 9,803,729 Additions 20,545,500 53,282,545 37,442,000 54,982,545 Redemptions (2,874,512) (4,818,603) (6,365,465) (7,729,873) Distribution of Interest to feeder funds (402,630) (324,300) (726,794) (575,839) ------------- ------------- ------------- ------------- Net (decrease) increase in Members' capital (27,488,857) 41,605,808 (2,744,031) 56,480,562 Members' capital, beginning of period 169,821,443 105,334,169 145,076,617 90,459,415 ------------- ------------- ------------- ------------- Members' capital, end of period $ 142,332,586 $ 146,939,977 $ 142,332,586 $ 146,939,977 ============= ============= ============= ============= Net asset value per Redeemable Unit (104,820.3576 and 84,964.7936 Units outstanding at June 30, 2004 and 2003, respectively) $ 1,357.87 $ 1,729.42 $ 1,357.87 $ 1,729.42 ============= ============= ============= ============= Net income (loss) per Unit of Member Interest $ (449.47) $ (21.42) $ (320.57) $ 246.93 ============= ============= ============= =============
11 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements June 30, 2004 (Unaudited) (Continued) JWH Strategic Allocation Master Fund LLC Statements of Cash Flows June 30, 2004 (Unaudited)
Three Months Ended Six Months Ended June 30, June 30, ---------------------------- ---------------------------- 2004 2003 2004 2003 --------------- ------------ --------------------------- Cash flows from operating activities: Net income (loss) $(44,757,215) $ (6,533,834) $ (33,093,772) $ 9,803,729 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Changes in operating assets and liabilities: Net unrealized appreciation on open futures positions 19,573,481 4,815,978 6,746,009 10,096,495 Unrealized appreciation (depreciation) on open forward contracts 7,294,771 (872,819) 10,557,371 3,676,940 (Increase) decrease in interest receivable (272,452) (324,300) (321,913) 637,785 Unrealized appreciation (depreciation) on open forward contracts (12,450,213) 4,653,580 8,524,350 7,997,848 Accrued expenses: Increase in professional fees 12,944 13,600 10,000 28,600 Increase (decrease) in distribution payable 272,452 324,300 321,913 (637,785) ------------ ---------- ---------- ---------- Net cash provided (used in) by operating activities (30,326,232) 2,076,505 (7,256,042) 31,603,612 ------------ ---------- ----------- ---------- Cash flows from financing activities: Proceeds from additions 20,545,500 53,282,545 37,442,000 54,982,545 Payments for redemptions (2,874,512) (4,818,603) (6,365,465) (7,729,873) Distribution of Interest to Feeder Funds (402,630) (324,300) (726,794) (575,839) ------------ ------------ ----------- ----------- Net cash provided by (used in) by financing activities 17,268,358 48,139,642 30,349,741 46,676,833 ----------- ----------- ----------- ---------- Net change in cash (13,057,874) 50,216,147 23,093,699 78,280,445 Cash, at beginning of period 168,131,075 109,176,581 131,979,502 81,112,283 ----------- ----------- ----------- ----------- Cash, at end of period $ 155,073,201 $ 159,392,728 $ 155,073,201 $ 159,392,728 =========== =========== =========== ===========
12 Smith Barney Mid-West Futures Fund L.P. II Notes to Financial Statements June 30, 2004 (Unaudited) (Continued) Financial Highlights of the Master: Changes in net asset value per Unit for the three months and six months ended June 30, 2004 and 2003 were as follows:
Three Months Ended Six Months Ended June 30, June 30, ---------------------- ---------------------- 2004 2003 2004 2003 ----------------------- --------------------- Net realized and unrealized gains (losses)* $ (449.32) $ (25.68) $ (320.26) $ 238.76 Interest income 4.01 4.50 7.55 8.66 Expenses** (0.15) (0.24) (0.31) (0.49) -------- ------- --------- --------- Increase (decrease) for the period (445.46) (21.42) (313.02) 246.93 Distributions (4.01) (4.50) (7.55) (8.66) Net Asset Value per Unit, beginning of period 1,807.34 1,755.34 1,678.44 1,491.15 -------- ------- --------- --------- Net Asset Value per Unit, end of period $ 1,357.87 $ 1,729.42 $ 1,357.87 $ 1,729.42 ========= ========= ======== ========= * Includes clearing fees. ** Excludes clearing fees. Three Months Ended Six Months Ended June 30, June 30, ---------------------- ---------------------- 2004 2003 2004 2003 ----------------------- --------------------- Ratio to average net assets:*** Net investment income 0.6% 0.6% 0.5% 0.6% ======= ====== ======= ====== Operating expenses **** 0.4% 0.1% 0.4% 0.1% ======= ====== ======= ====== Total return: (24.7)% (1.2)% (18.7)% 16.6% ======= ====== ======= ======
*** Annualized **** Excludes clearing fees The above ratios may vary for individual investors based on the timing of capital transactions during the period. 14 Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations. Liquidity and Capital Resources The Partnership does not engage in the sale of goods or services. Its only assets are its investment in the Master and cash. The Master does not engage in the sale of goods or services. Its only assets are its investments in commodity futures and cash. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Master. While substantial losses could lead to a decrease in liquidity, no such losses occurred in the second quarter of 2004. The Partnership's capital consists of the capital contributions of the partners as increased or decreased by its investment in the Master, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. For the six months ended June 30, 2004, Partnership capital decreased 25.0% from $25,854,335 to $19,382,723. This decrease was attributable to net loss from operations of $5,647,267, coupled with the redemption of 468.8800 Redeemable Units of Limited Partnership Interest resulting in an outflow of $824,345. Future redemptions can impact the amount of funds available for investment in the Master in subsequent periods. The Master's capital consists of the capital contributions of its members as increased or decreased by realized and/or unrealized gains or losses on commodity futures trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. For the six months ended June 30, 2004 the Master's capital decreased 1.9% from $145,076,617 to $142,332,586. This decrease was attributable to net loss from operations of $33,093,772, coupled with the redemption of 3,751.7998 Redeemable Units totaling $6,365,465 and the distribution of interest paid to the feeders of $726,794 which was partially offset by the additional sales of 22,136.9745 Redeemable Units resulting in an inflow of $37,442,000. Future redemptions can impact the amount of funds available for investments in commodity contract positions in subsequent periods. Critical Accounting Policies The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities at the date of the financial statements and accompanying notes. Actual results could differ from these estimates. All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statements of financial condition at fair value on the last business day of the period, which represents market value for those commodity interests for which 17 -----END PRIVACY-ENHANCED MESSAGE-----