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FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

(X) QUARTERLY REPORT UNDER SECTION 13 or15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

OR ( )TRANSITION REPORT UNDER SECTION 13 OR 15(d)

OF THE SECURITIESEXCHANGE ACT OF 1934

For the Quarter endedJune 30, 2006

Commission File Number000-28336

|                                                                                                 |  |  |                                    |
|-------------------------------------------------------------------------------------------------|--|--|------------------------------------|
| SMITHBARNEY MID-WEST FUTURES FUND L.P. II                                                       |
| (Exactname of registrant as specified in its charter)                                           |
| NewYork                                                                                         |  |  | 13-3772374                         |
| (State or other jurisdictionofincorporation or organization)                                    |  |  | (I.R.S.EmployerIdentification No.) |
| c/oCitigroup Managed Futures LLC 731 Lexington Avenue. – 25thFl. New York, New York 10022 |
| (Address and Zip Code ofprincipal executiveoffices)                                             |
| (212)559-2011                                                                                   |
| (Registrant's telephonenumber, including area code)                                             |
|                                                                                                 |

Indicate bycheck mark whether the registrant (1) has filed all reports required tobe filed by Section 13 or 15(d) of the Securities Exchange Act of 1934during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subjectto such filing requirements for the past 90 days.

YesX     No     

Indicate bycheck mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of‘‘accelerated filer and large acceleratedfiler’’ in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer         Accelerated filer         Non-acceleratedfiler X

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

Yes          NoX

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SMITH BARNEYMID-WEST FUTURES FUND L.P. II

FORM 10-Q

INDEX

|                                      |  |  |         |  |  |                                                                                                                             |  |  |               |
|--------------------------------------|--|--|---------|--|--|-----------------------------------------------------------------------------------------------------------------------------|--|--|---------------|
|                                 |  |  |    |  |  |                                                                                                                        |  |  | PageNumber    |
| PART I — FinancialInformation: |  |  |    |
|                                 |  |  | Item1.  |  |  | FinancialStatements:                                                                                                        |  |  |          |
|                                 |  |  |    |  |  | Statements ofFinancial Condition at June 30, 2006 and December 31, 2005(unaudited)                                          |  |  | 3             |
|                                 |  |  |    |  |  | Statements of Income and Expenses andPartners' Capital for the three and six months ended June 30,2006 and 2005 (unaudited) |  |  | 4             |
|                                 |  |  |    |  |  | Statements of Cash Flows for the three andsix months ended June 30, 2006 and 2005 (unaudited)                               |  |  | 5             |
|                                 |  |  |    |  |  | Notes to FinancialStatements including the Financial Statements of JWH StrategicAllocation Master Fund LLC (unaudited)      |  |  | 6 – 15  |
|                                 |  |  | Item2.  |  |  | Management's Discussion and Analysis of FinancialCondition and Results of Operations                                        |  |  | 16 – 18 |
|                                 |  |  | Item3.  |  |  | Quantitative and Qualitative Disclosures about MarketRisk                                                                   |  |  | 19            |
|                                 |  |  | Item 4. |  |  | Controlsand Procedures                                                                                                      |  |  | 20            |
| PART II— OtherInformation      |  |  | 21      |
|                                      |

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PART I

Item 1.Financial Statements

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

|                                                                                                                                       |  |  |             |   |            |                  |  |  |  |   |            |  |
|---------------------------------------------------------------------------------------------------------------------------------------|--|--|-------------|---|------------|------------------|--|--|--|---|------------|--|
|                                                                                                                                  |  |  | June30,2006 |   |            | December 31,2005 |
| Assets:                                                                                                                               |  |  |             |   |       |                  |  |  |  |   |       |  |
| Investmentin Master, at fair value                                                                                                    |  |  |             | $ | 14,256,749 |                  |  |  |  | $ | 18,019,796 |  |
| Cash                                                                                                                                  |  |  |             |   | 48,476     |                  |  |  |  |   | 36,720     |  |
|                                                                                                                                  |  |  |             | $ | 14,305,225 |                  |  |  |  | $ | 18,056,516 |  |
| Liabilitiesand Partners'Capital:                                                                                                      |  |  |             |   |       |                  |  |  |  |   |       |  |
| Liabilities:                                                                                                                          |  |  |             |   |       |                  |  |  |  |   |       |  |
| Accruedexpenses:                                                                                                                      |  |  |             |   |       |                  |  |  |  |   |       |  |
| Brokeragecommissions                                                                                                                  |  |  |             | $ | 71,526     |                  |  |  |  | $ | 90,283     |  |
| Managementfees                                                                                                                        |  |  |             |   | 23,630     |                  |  |  |  |   | 29,869     |  |
| Administrativefees                                                                                                                    |  |  |             |   | 11,815     |                  |  |  |  |   | 14,935     |  |
| Other                                                                                                                                 |  |  |             |   | 55,412     |                  |  |  |  |   | 44,541     |  |
| Redemptionspayable                                                                                                                    |  |  |             |   | 150,449    |                  |  |  |  |   | 139,248    |  |
|                                                                                                                                  |  |  |             |   | 312,832    |                  |  |  |  |   | 318,876    |  |
| Partners'Capital:                                                                                                                     |  |  |             |   |       |                  |  |  |  |   |       |  |
| General Partner, 301.3070 Unitequivalents outstanding in 2006 and 2005                                                                |  |  |             |   | 416,723    |                  |  |  |  |   | 467,863    |  |
| Limited Partners, 9,815.7389 and11,121.8791 Redeemable Units of Limited Partnership Interestoutstanding in 2006 and 2005,respectively |  |  |             |   | 13,575,670 |                  |  |  |  |   | 17,269,777 |  |
|                                                                                                                                  |  |  |             |   | 13,992,393 |                  |  |  |  |   | 17,737,640 |  |
|                                                                                                                                  |  |  |             | $ | 14,305,225 |                  |  |  |  | $ | 18,056,516 |  |
|                                                                                                                                       |

See accompanying Notesto Financial Statements.

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

|                                                                                                                                      |  |  |                             |   |            |                           |  |  |      |   |            |      |  |  |  |   |            |   |  |  |  |   |            |   |
|--------------------------------------------------------------------------------------------------------------------------------------|--|--|-----------------------------|---|------------|---------------------------|--|--|------|---|------------|------|--|--|--|---|------------|---|--|--|--|---|------------|---|
|                                                                                                                                 |  |  | ThreeMonths Ended, June 30, |   |            | Six Months Ended, June30, |
|                                                                                                                                 |  |  | 2006                        |   |            | 2005                      |  |  | 2006 |   |            | 2005 |
| Income:                                                                                                                              |  |  |                             |   |       |                           |  |  |      |   |       |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Realizedgains (losses) on closed positions and foreign currencies fromMaster                                                         |  |  |                             | $ | 1,474,382  |                           |  |  |      | $ | (319,677   | )    |  |  |  | $ | (832,270   | ) |  |  |  | $ | (3,118,972 | ) |
| Change inunrealized gains (losses) on open positions allocated fromMaster                                                            |  |  |                             |   | (1,538,632 | )                         |  |  |      |   | 773,146    |      |  |  |  |   | (481,149   | ) |  |  |  |   | (1,557,766 | ) |
| Expensesallocated fromMaster                                                                                                         |  |  |                             |   | (6,429     | )                         |  |  |      |   | (13,710    | )    |  |  |  |   | (16,817    | ) |  |  |  |   | (29,834    | ) |
| Interest income received fromMaster                                                                                                  |  |  |                             |   | 144,920    |                           |  |  |      |   | 103,367    |      |  |  |  |   | 281,298    |   |  |  |  |   | 204,220    |   |
|                                                                                                                                 |  |  |                             |   | 74,241     |                           |  |  |      |   | 543,126    |      |  |  |  |   | (1,048,938 | ) |  |  |  |   | (4,502,352 | ) |
| Expenses:                                                                                                                            |  |  |                             |   |       |                           |  |  |      |   |       |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Brokeragecommissions                                                                                                                 |  |  |                             |   | 239,939    |                           |  |  |      |   | 291,353    |      |  |  |  |   | 483,209    |   |  |  |  |   | 611,383    |   |
| Management fees                                                                                                                      |  |  |                             |   | 79,241     |                           |  |  |      |   | 96,343     |      |  |  |  |   | 159,642    |   |  |  |  |   | 202,233    |   |
| Administrative fees                                                                                                                  |  |  |                             |   | 39,620     |                           |  |  |      |   | 48,171     |      |  |  |  |   | 79,821     |   |  |  |  |   | 101,115    |   |
| Other                                                                                                                                |  |  |                             |   | 21,267     |                           |  |  |      |   | 17,189     |      |  |  |  |   | 39,780     |   |  |  |  |   | 33,899     |   |
|                                                                                                                                 |  |  |                             |   | 380,067    |                           |  |  |      |   | 453,056    |      |  |  |  |   | 762,452    |   |  |  |  |   | 948,630    |   |
| Net income(loss)                                                                                                                     |  |  |                             |   | (305,826   | )                         |  |  |      |   | 90,070     |      |  |  |  |   | (1,811,390 | ) |  |  |  |   | (5,450,982 | ) |
| Redemptions– LimitedPartners                                                                                                   |  |  |                             |   | (1,137,447 | )                         |  |  |      |   | (322,790   | )    |  |  |  |   | (1,933,857 | ) |  |  |  |   | (967,110   | ) |
| Net decrease in Partners'Capital                                                                                                     |  |  |                             |   | (1,443,273 | )                         |  |  |      |   | (232,720   | )    |  |  |  |   | (3,745,247 | ) |  |  |  |   | (6,418,092 | ) |
| Partners' Capital, beginning ofperiod                                                                                                |  |  |                             |   | 15,435,666 |                           |  |  |      |   | 20,195,512 |      |  |  |  |   | 17,737,640 |   |  |  |  |   | 26,380,884 |   |
| Partners'Capital, end of period                                                                                                      |  |  |                             | $ | 13,992,393 |                           |  |  |      | $ | 19,962,792 |      |  |  |  | $ | 13,992,393 |   |  |  |  | $ | 19,962,792 |   |
| Net asset value per Redeemable Unit (10,117.0459 and12,264.9759 Redeemable Units outstanding at June 30, 2006 and 2005,respectively) |  |  |                             | $ | 1,383.05   |                           |  |  |      | $ | 1,627.63   |      |  |  |  | $ | 1,383.05   |   |  |  |  | $ | 1,627.63   |   |
| Net income (loss) per Redeemable Unit of Limited PartnershipInterest and General Partner Unitequivalent                              |  |  |                             | $ | (38.91     | )                         |  |  |      | $ | 8.54       |      |  |  |  | $ | (169.73    | ) |  |  |  | $ | (424.13    | ) |
|                                                                                                                                      |

Seeaccompanying Notes to Financial Statements.

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

|                                                                                                  |  |  |                             |   |            |                           |  |  |      |   |          |      |  |  |  |   |            |   |  |  |  |   |            |   |
|--------------------------------------------------------------------------------------------------|--|--|-----------------------------|---|------------|---------------------------|--|--|------|---|----------|------|--|--|--|---|------------|---|--|--|--|---|------------|---|
|                                                                                             |  |  | ThreeMonths Ended, June 30, |   |            | Six Months Ended, June30, |
|                                                                                             |  |  | 2006                        |   |            | 2005                      |  |  | 2006 |   |          | 2005 |
| Cash flows from operatingactivities:                                                             |  |  |                             |   |       |                           |  |  |      |   |     |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Netincome (loss)                                                                                 |  |  |                             | $ | (305,826   | )                         |  |  |      | $ | 90,070   |      |  |  |  | $ | (1,811,390 | ) |  |  |  | $ | (5,450,982 | ) |
| Adjustments to reconcile net income (loss) to netcash provided by (used in) operatingactivities: |  |  |                             |   |       |                           |  |  |      |   |     |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Changesin operating assets andliabilities                                                        |  |  |                             |   |       |                           |  |  |      |   |     |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Proceedsfrom sale of investment in Partnership                                                   |  |  |                             |   | 1,671,603  |                           |  |  |      |   | 673,431  |      |  |  |  |   | 2,432,811  |   |  |  |  |   | 1,943,946  |   |
| Net unrealized (appreciation) depreciation oninvestment in Partnerships                          |  |  |                             |   | 70,679     |                           |  |  |      |   | (439,758 | )    |  |  |  |   | 1,330,236  |   |  |  |  |   | 4,706,572  |   |
| Accruedexpenses:                                                                                 |  |  |                             |   |       |                           |  |  |      |   |     |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Increase(decrease) in brokeragecommissions                                                       |  |  |                             |   | (8,751     | )                         |  |  |      |   | (1,236   | )    |  |  |  |   | (18,757    | ) |  |  |  |   | (33,152    | ) |
| Increase (decrease) in managementfees                                                            |  |  |                             |   | (2,890     | )                         |  |  |      |   | (387     | )    |  |  |  |   | (6,239     | ) |  |  |  |   | (11,000    | ) |
| Increase (decrease) in administrativefees                                                        |  |  |                             |   | (1,445     | )                         |  |  |      |   | (193     | )    |  |  |  |   | (3,120     | ) |  |  |  |   | (5,500     | ) |
| Increase (decrease) inother                                                                      |  |  |                             |   | (7,642     | )                         |  |  |      |   | (13,756  | )    |  |  |  |   | 10,871     |   |  |  |  |   | 2,954      |   |
| Net cash provided by (used in)operating activities                                               |  |  |                             |   | 1,415,728  |                           |  |  |      |   | 308,171  |      |  |  |  |   | 1,934,412  |   |  |  |  |   | 1,152,838  |   |
| Cashflows from financingactivities:                                                              |  |  |                             |   |       |                           |  |  |      |   |     |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Paymentsfor redemptions — LimitedPartners                                                  |  |  |                             |   | (1,423,709 | )                         |  |  |      |   | (321,740 | )    |  |  |  |   | (1,922,656 | ) |  |  |  |   | (1,132,679 | ) |
| Net change incash                                                                                |  |  |                             |   | (7,981     | )                         |  |  |      |   | (13,569  | )    |  |  |  |   | 11,756     |   |  |  |  |   | 20,159     |   |
| Cash, at beginning ofperiod                                                                      |  |  |                             |   | 56,457     |                           |  |  |      |   | 50,777   |      |  |  |  |   | 36,720     |   |  |  |  |   | 17,049     |   |
| Cash, at end ofperiod                                                                            |  |  |                             | $ | 48,476     |                           |  |  |      | $ | 37,208   |      |  |  |  | $ | 48,476     |   |  |  |  | $ | 37,208     |   |
|                                                                                                  |

Seeaccompanying Notes to FinancialStatements.

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2006(Unaudited)

1.    General:

Smith Barney Mid-West Futures Fund L.P. II (the‘‘Partnership’’) is a limited partnership whichwas organized on June 3, 1994 under the partnership laws of the Stateof New York to engage directly or indirectly in the speculative tradingof a diversified portfolio of commodity interests including futurescontracts, options and forward contracts. The Partnership commencedtrading operations on September 1, 1994. From September 1, 1994 throughJanuary 25, 2001, the Partnership engaged directly in the speculativetrading of a diversified portfolio of commodity interests.

Effective January 26, 2001, the Partnership allocated substantiallyall of its capital to the JWH Strategic Allocation Master Fund LLC, aNew York limited liability company (the‘‘Master’’). With this cash, the Partnershippurchased 42,510.5077 Redeemable Units of the Master with a fair valueof $42,510,508. The Master was formed in order to permit commoditypools managed now or in the future by John W. Henry & Company, Inc.(the ‘‘Advisor’’) using the StrategicAllocation Program, JWH's proprietary trading program, to investtogether in one trading vehicle. Citigroup Managed Futures LLC, acts asthe general partner (the ‘‘General Partner’’)of the Partnership. The General Partner is the managing member of theMaster. Individual and pooled accounts managed by JWH, including thePartnership, are permitted to be non-managing members of the Master.The General Partner and JWH believe that trading through this structureshould promote efficiency and economy in the trading process. Expensesto investors as a result of the investment in the Master areapproximately the same and redemption rights are not affected.

As of June 30, 2006, the Partnership owned 10.8% of theMaster. It is the Partnership's intention to continue to investsubstantially all of its assets in the Master. The performance of thePartnership is directly affected by the performance of the Master. TheMaster's Statements of Financial Condition, Statements of Incomeand Expenses and Members' Capital, Statements of Cash Flows andCondensed Schedules of Investments are included herein.

ThePartnership's and Master's commodity broker is CitigroupGlobal Markets Inc. (‘‘CGM’’). CGM is anaffiliate of the General Partner. The General Partner is wholly ownedby Citigroup Global Markets Holdings Inc.(‘‘CGMHI’’), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.(‘‘Citigroup’’).

As of June 30, 2006,all trading decisions for the Partnership are being made by theAdvisor.

The accompanying financial statements are unauditedbut, in the opinion of management, include all adjustments, consistingonly of normal recurring adjustments, necessary for a fair presentationof the Partnership's financial condition at June 30, 2006 andDecember 31, 2005 and the results of its operations and cash flows forthe three and six months ended June 30, 2006 and 2005. These financialstatements present the results of interim periods and do not includeall disclosures normally provided in annual financial statements. Youshould read these financial statements together with the financialstatements and notes included in the Partnership's annual reporton Form 10-K filed with the Securities and Exchange Commission for theyear ended December 31, 2005.

Due to the nature of commoditytrading, the results of operations for the interim periods presentedshould not be considered indicative of the results that may be expectedfor the entire year.

Certain prior period amounts have beenreclassified to conform to current yearpresentation.

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2006(Unaudited)

The Master's Statements of FinancialCondition and Condensed Schedules of Investments at June 30, 2006 andDecember 31, 2005 and its Statements of Income and Expenses andMembers' Capital and Statements of Cash Flows for the three andsix months ended June 30, 2006 and 2005 were:

JWH StrategicAllocation Master Fund LLC Statements of Financial Condition(Unaudited)

|                                                                                             |  |  |              |   |             |                  |  |  |  |   |             |  |
|---------------------------------------------------------------------------------------------|--|--|--------------|---|-------------|------------------|--|--|--|---|-------------|--|
|                                                                                        |  |  | June30, 2006 |   |             | December 31,2005 |
| Assets:                                                                                     |  |  |              |   |        |                  |  |  |  |   |        |  |
| Equity incommodity futures trading account:                                                 |  |  |              |   |        |                  |  |  |  |   |        |  |
| Cash(restricted $12,218,853 and $23,817,475 in 2006 and 2005,respectively)                  |  |  |              | $ | 136,134,469 |                  |  |  |  | $ | 163,966,877 |  |
| Unrealizedappreciation on open forwardcontracts                                             |  |  |              |   | 1,573,003   |                  |  |  |  |   | 7,440,156   |  |
|                                                                                        |  |  |              |   | 137,707,472 |                  |  |  |  |   | 171,407,033 |  |
| Interestreceivable                                                                          |  |  |              |   | 495,054     |                  |  |  |  |   | 485,811     |  |
|                                                                                        |  |  |              | $ | 138,202,526 |                  |  |  |  | $ | 171,892,844 |  |
| Liabilitiesand Members'Capital:                                                             |  |  |              |   |        |                  |  |  |  |   |        |  |
| Liabilities:                                                                                |  |  |              |   |        |                  |  |  |  |   |        |  |
| Netunrealized depreciation on open futuresposition                                          |  |  |              | $ | 1,341,127   |                  |  |  |  | $ | 3,646,687   |  |
| Unrealizeddepreciation on open forwardcontracts                                             |  |  |              |   | 4,739,275   |                  |  |  |  |   | 3,896,303   |  |
| Accruedexpenses:                                                                            |  |  |              |   |        |                  |  |  |  |   |        |  |
| Other                                                                                       |  |  |              |   | 47,688      |                  |  |  |  |   | 51,440      |  |
| Distributionpayable                                                                         |  |  |              |   | 495,054     |                  |  |  |  |   | 485,811     |  |
|                                                                                        |  |  |              |   | 6,623,144   |                  |  |  |  |   | 8,080,241   |  |
| Members'Capital:                                                                            |  |  |              |   |        |                  |  |  |  |   |        |  |
| Members'Capital, 87,017.9709 and 99,442.6187 Units outstanding in 2006 and2005,respectively |  |  |              |   | 131,579,382 |                  |  |  |  |   | 163,812,603 |  |
|                                                                                        |  |  |              | $ | 138,202,526 |                  |  |  |  | $ | 171,892,844 |  |
|                                                                                             |

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2006(Unaudited)

JWH Strategic Allocation Master FundLLC Condensed Schedule of InvestmentsJune 30,2006(Unaudited)

|                                                   |  |  |           |   |            |                      |  |  |  |  |        |    |
|---------------------------------------------------|--|--|-----------|---|------------|----------------------|--|--|--|--|--------|----|
|                                              |  |  | FairValue |   |            | % of Members'Capital |
| Futures ContractsPurchased                        |  |  |           |   |       |                      |  |  |  |  |   |    |
| Energy                                            |  |  |           | $ | 136,015    |                      |  |  |  |  | 0.10   | %  |
| Grains                                            |  |  |           |   | 21,390     |                      |  |  |  |  | 0.02   |    |
| Interest RatesNon-U.S.                            |  |  |           |   | (433,891   | )                    |  |  |  |  | (0.33  | )  |
| Softs                                             |  |  |           |   | 7,525      |                      |  |  |  |  | 0.00   | *  |
| Total futures contractspurchased                  |  |  |           |   | (268,961   | )                    |  |  |  |  | (0.21  | )  |
| Futures ContractsSold                             |  |  |           |   |       |                      |  |  |  |  |   |    |
| Energy                                            |  |  |           |   | 234,240    |                      |  |  |  |  | 0.18   |    |
| Grains                                            |  |  |           |   | (153,225   | )                    |  |  |  |  | (0.12  | )  |
| Indices                                           |  |  |           |   | (589,742   | )                    |  |  |  |  | (0.45  | )  |
| Interest Rates U.S.                               |  |  |           |   | (83,285    | )                    |  |  |  |  | (0.06  | )  |
| Interest RatesNon-U.S.                            |  |  |           |   | (88,091    | )                    |  |  |  |  | (0.07  | )  |
| Metals                                            |  |  |           |   | (241,405   | )                    |  |  |  |  | (0.18  | )  |
| Softs                                             |  |  |           |   | (150,658   | )                    |  |  |  |  | (0.12  | )  |
| Total futures contractssold                       |  |  |           |   | (1,072,166 | )                    |  |  |  |  | (0.82  | )  |
| UnrealizedAppreciation on ForwardContracts        |  |  |           |   |       |                      |  |  |  |  |   |    |
| Currencies                                        |  |  |           |   | 1,287,670  |                      |  |  |  |  | 0.98   |    |
| Metals                                            |  |  |           |   | 285,333    |                      |  |  |  |  | 0.22   |    |
| Total unrealized appreciation on forwardcontracts |  |  |           |   | 1,573,003  |                      |  |  |  |  | 1.20   |    |
| UnrealizedDepreciation on ForwardContracts        |  |  |           |   |       |                      |  |  |  |  |   |    |
| Currencies                                        |  |  |           |   | (4,148,677 | )                    |  |  |  |  | (3.15  | )  |
| Metals                                            |  |  |           |   | (590,598   | )                    |  |  |  |  | (0.45  | )  |
| Total unrealized depreciation on forwardcontracts |  |  |           |   | (4,739,275 | )                    |  |  |  |  | (3.60  | )  |
| Total Fair Value                                  |  |  |           | $ | (4,507,399 | )                    |  |  |  |  | (3.43  | )% |
|                                                   |

Percentagesare based on Members' Capital unless otherwiseindicated.

|   |                |
|---|----------------|
| * | Due torounding |

8

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Table of Contents

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2006(Unaudited)

JWH Strategic Allocation Master FundLLC Condensed Schedule of InvestmentsDecember 31,2005(Unaudited)

|                                                   |  |  |           |   |            |                     |  |  |  |  |        |    |
|---------------------------------------------------|--|--|-----------|---|------------|---------------------|--|--|--|--|--------|----|
|                                              |  |  | FairValue |   |            | % ofMembers'Capital |
| FuturesContracts Purchased                        |  |  |           |   |       |                     |  |  |  |  |   |    |
| Energy                                            |  |  |           | $ | (5,388,180 | )                   |  |  |  |  | (3.29  | )% |
| Grains                                            |  |  |           |   | 4,425      |                     |  |  |  |  | 0.00   | *  |
| Indices                                           |  |  |           |   | 887,362    |                     |  |  |  |  | 0.54   |    |
| Interest Rates Non-U.S.                           |  |  |           |   | 2,450      |                     |  |  |  |  | 0.00   | *  |
| Livestock                                         |  |  |           |   | 61,790     |                     |  |  |  |  | 0.04   |    |
| Metals                                            |  |  |           |   | 2,121,145  |                     |  |  |  |  | 1.30   |    |
| Softs                                             |  |  |           |   | 1,449,421  |                     |  |  |  |  | 0.89   |    |
| Total futures contractspurchased                  |  |  |           |   | (861,587   | )                   |  |  |  |  | (0.52  | )  |
|                                              |  |  |           |   |       |                     |  |  |  |  |   |    |
|                                              |  |  |           |   |       |                     |  |  |  |  |   |    |
| FuturesContractsSold                              |  |  |           |   |       |                     |  |  |  |  |   |    |
| Energy                                            |  |  |           |   | (406,499   | )                   |  |  |  |  | (0.25  | )  |
| Grains                                            |  |  |           |   | (198,697   | )                   |  |  |  |  | (0.12  | )  |
| InterestRates U.S.                                |  |  |           |   | (553,540   | )                   |  |  |  |  | (0.34  | )  |
| InterestRatesNon-U.S.                             |  |  |           |   | (925,603   | )                   |  |  |  |  | (0.56  | )  |
| Softs                                             |  |  |           |   | (700,761   | )                   |  |  |  |  | (0.43  | )  |
| Totalfutures contractssold                        |  |  |           |   | (2,785,100 | )                   |  |  |  |  | (1.70  | )  |
|                                              |  |  |           |   |       |                     |  |  |  |  |   |    |
|                                              |  |  |           |   |       |                     |  |  |  |  |   |    |
| UnrealizedAppreciation on ForwardContracts        |  |  |           |   |       |                     |  |  |  |  |   |    |
| Currencies                                        |  |  |           |   | 4,917,155  |                     |  |  |  |  | 3.00   |    |
| Metals                                            |  |  |           |   | 2,523,001  |                     |  |  |  |  | 1.54   |    |
| Total unrealized appreciation on forwardcontracts |  |  |           |   | 7,440,156  |                     |  |  |  |  | 4.54   |    |
|                                              |  |  |           |   |       |                     |  |  |  |  |   |    |
|                                              |  |  |           |   |       |                     |  |  |  |  |   |    |
| UnrealizedDepreciation on ForwardContracts        |  |  |           |   |       |                     |  |  |  |  |   |    |
| Currencies                                        |  |  |           |   | (3,172,504 | )                   |  |  |  |  | (1.94  | )  |
| Metals                                            |  |  |           |   | (723,799   | )                   |  |  |  |  | (0.44  | )  |
| Totalunrealized depreciation on forwardcontracts  |  |  |           |   | (3,896,303 | )                   |  |  |  |  | (2.38  | )  |
| TotalFair Value                                   |  |  |           | $ | (102,834   | )                   |  |  |  |  | (0.06  | )% |
|                                                   |

|  |                                                                     |
|--|---------------------------------------------------------------------|
|  | Percentagesare based on Members' Capital unless otherwiseindicated. |

|   |                |
|---|----------------|
| * | Due torounding |

9

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Table of Contents

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2006(Unaudited)

JWH Strategic Allocation Master FundLLCStatements of Income and Expenses and Members'Capital (Unaudited)

|                                                                                                                 |  |  |                           |   |             |                         |  |  |      |   |             |      |  |  |  |   |             |   |  |  |  |   |             |   |
|-----------------------------------------------------------------------------------------------------------------|--|--|---------------------------|---|-------------|-------------------------|--|--|------|---|-------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                                            |  |  | ThreeMonths EndedJune 30, |   |             | Six Months EndedJune30, |
|                                                                                                            |  |  | 2006                      |   |             | 2005                    |  |  | 2006 |   |             | 2005 |
| Income:                                                                                                         |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Netgains (losses) on trading of commodityinterests:                                                             |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Realized gains(losses) on closed positions and foreigncurrencies                                                |  |  |                           | $ | 14,041,347  |                         |  |  |      | $ | (3,198,367  | )    |  |  |  | $ | (7,241,931  | ) |  |  |  | $ | (27,597,053 | ) |
| Changein unrealized gains (losses) on openpositions                                                             |  |  |                           |   | (14,349,884 | )                       |  |  |      |   | 7,810,807   |      |  |  |  |   | (4,404,565  | ) |  |  |  |   | (11,775,733 | ) |
| Interestincome                                                                                                  |  |  |                           |   | 1,568,637   |                         |  |  |      |   | 1,241,904   |      |  |  |  |   | 3,042,746   |   |  |  |  |   | 2,326,336   |   |
|                                                                                                            |  |  |                           |   | 1,260,100   |                         |  |  |      |   | 5,854,344   |      |  |  |  |   | (8,603,750  | ) |  |  |  |   | (37,046,450 | ) |
|                                                                                                            |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Expenses:                                                                                                       |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Clearingfees                                                                                                    |  |  |                           |   | 58,886      |                         |  |  |      |   | 125,361     |      |  |  |  |   | 149,577     |   |  |  |  |   | 256,467     |   |
| Otherexpenses                                                                                                   |  |  |                           |   | 1,433       |                         |  |  |      |   | 7,583       |      |  |  |  |   | 6,442       |   |  |  |  |   | 17,583      |   |
|                                                                                                            |  |  |                           |   | 60,319      |                         |  |  |      |   | 132,944     |      |  |  |  |   | 156,019     |   |  |  |  |   | 274,050     |   |
| Net income(loss)                                                                                                |  |  |                           |   | 1,199,781   |                         |  |  |      |   | 5,721,400   |      |  |  |  |   | (8,759,769  | ) |  |  |  |   | (37,320,500 | ) |
| Additions                                                                                                       |  |  |                           |   | 1,455,000   |                         |  |  |      |   | 25,704,000  |      |  |  |  |   | 4,627,857   |   |  |  |  |   | 41,539,292  |   |
| Redemptions                                                                                                     |  |  |                           |   | (16,370,897 | )                       |  |  |      |   | (23,673,249 | )    |  |  |  |   | (25,058,563 | ) |  |  |  |   | (39,645,857 | ) |
| Distribution of interest to feederfunds                                                                         |  |  |                           |   | (1,568,637  | )                       |  |  |      |   | (1,241,904  | )    |  |  |  |   | (3,042,746  | ) |  |  |  |   | (2,326,336  | ) |
|                                                                                                            |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Netincrease (decrease) in Members' Capital                                                                      |  |  |                           |   | (15,284,753 | )                       |  |  |      |   | 6,510,247   |      |  |  |  |   | (32,233,221 | ) |  |  |  |   | (37,753,401 | ) |
| Members' Capital, beginningof period                                                                            |  |  |                           |   | 146,864,135 |                         |  |  |      |   | 183,066,401 |      |  |  |  |   | 163,812,603 |   |  |  |  |   | 227,330,049 |   |
| Members' Capital, end ofperiod                                                                                  |  |  |                           | $ | 131,579,382 |                         |  |  |      | $ | 189,576,648 |      |  |  |  | $ | 131,579,382 |   |  |  |  | $ | 189,576,648 |   |
| Net asset value per Unit(87,017.9709 and 113,624.4150 Units outstanding in June 30, 2006 and2005, respectively) |  |  |                           | $ | 1,512.09    |                         |  |  |      | $ | 1,668.44    |      |  |  |  | $ | 1,512.09    |   |  |  |  | $ | 1,668.44    |   |
| Net income (loss) per Unit of MemberInterest                                                                    |  |  |                           | $ | (2.39       | )*                      |  |  |      | $ | 49.01       |      |  |  |  | $ | (102.81     | ) |  |  |  | $ | (338.76     | ) |
|                                                                                                                 |

|  |
|--|
|  |  |
|  |

|   |                                                                                                                                                                                                                          |
|---|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| * | The amountshown per Unit does not correspond with the income presented abovebecause of the timing of additions/redemptions of the Master'sUnits in relation to the fluctuating values of the Master'scommodity interest. |

10

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2006(Unaudited)

JWH Strategic Allocation Master FundLLCStatements of Cash Flows (Unaudited)

|                                                                                                  |  |  |                           |   |             |                         |  |  |      |   |             |      |  |  |  |   |             |   |  |  |  |   |             |   |
|--------------------------------------------------------------------------------------------------|--|--|---------------------------|---|-------------|-------------------------|--|--|------|---|-------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                             |  |  | ThreeMonths EndedJune 30, |   |             | Six Months EndedJune30, |
|                                                                                             |  |  | 2006                      |   |             | 2005                    |  |  | 2006 |   |             | 2005 |
| Cash flows from operatingactivities:                                                             |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Net income(loss)                                                                                 |  |  |                           | $ | 1,199,781   |                         |  |  |      | $ | 5,721,400   |      |  |  |  | $ | (8,759,769  | ) |  |  |  | $ | (37,320,500 | ) |
| Adjustments toreconcile net income (loss) to net cash provided by (used in) operatingactivities: |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Changesin operating assets andliabilities:                                                       |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| (Increase)decrease in restricted cash                                                            |  |  |                           |   | 6,138,765   |                         |  |  |      |   | 7,566,964   |      |  |  |  |   | 11,598,622  |   |  |  |  |   | 15,475,552  |   |
| (Increase)decrease in net unrealized appreciation on open futurespositions                       |  |  |                           |   | 11,118,996  |                         |  |  |      |   | 9,472,516   |      |  |  |  |   | —     |   |  |  |  |   | 126,259     |   |
| (Increase) decrease in unrealizedappreciation on open forward contracts                          |  |  |                           |   | 2,814,244   |                         |  |  |      |   | (7,421,225  | )    |  |  |  |   | 5,867,153   |   |  |  |  |   | 10,924,118  |   |
| (Increase) decrease ininterest receivable                                                        |  |  |                           |   | 14,158      |                         |  |  |      |   | 9,127       |      |  |  |  |   | (9,243      | ) |  |  |  |   | (96,500     | ) |
| Increase(decrease) in net unrealized depreciation on open futurespositions                       |  |  |                           |   | 1,341,127   |                         |  |  |      |   | —     |      |  |  |  |   | (2,305,560  | ) |  |  |  |   | —     |   |
| Increase (decrease) in unrealizeddepreciation on open forward contracts                          |  |  |                           |   | (924,483    | )                       |  |  |      |   | (9,862,098  | )    |  |  |  |   | 842,972     |   |  |  |  |   | 725,356     |   |
| Accruedexpenses:                                                                                 |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Increase(decrease) in other                                                                      |  |  |                           |   | (8,761      | )                       |  |  |      |   | 7,026       |      |  |  |  |   | (3,752      | ) |  |  |  |   | 17,026      |   |
| Net cash provided by (used in)operating activities                                               |  |  |                           |   | 21,693,827  |                         |  |  |      |   | 5,493,710   |      |  |  |  |   | 7,230,423   |   |  |  |  |   | (10,148,689 | ) |
| Cash flows from financingactivities:                                                             |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Proceeds fromadditions                                                                           |  |  |                           |   | 1,455,000   |                         |  |  |      |   | 25,704,000  |      |  |  |  |   | 4,627,857   |   |  |  |  |   | 41,539,292  |   |
| Payments forredemptions                                                                          |  |  |                           |   | (16,370,897 | )                       |  |  |      |   | (23,673,249 | )    |  |  |  |   | (25,058,563 | ) |  |  |  |   | (39,645,857 | ) |
| Distribution of interest tofeeder funds                                                          |  |  |                           |   | (1,582,795  | )                       |  |  |      |   | (1,251,031  | )    |  |  |  |   | (3,033,503  | ) |  |  |  |   | (2,229,836  | ) |
| Net cash provided by (usedin)by financingactivities                                              |  |  |                           |   | (16,498,692 | )                       |  |  |      |   | 779,720     |      |  |  |  |   | (23,464,209 | ) |  |  |  |   | (336,401    | ) |
| Net change incash                                                                                |  |  |                           |   | 5,195,135   |                         |  |  |      |   | 6,273,430   |      |  |  |  |   | (16,233,786 | ) |  |  |  |   | (10,485,090 | ) |
| Unrestricted cash, atbeginning of period                                                         |  |  |                           |   | 118,720,481 |                         |  |  |      |   | 131,598,223 |      |  |  |  |   | 140,149,402 |   |  |  |  |   | 148,356,743 |   |
| Unrestricted cash, at end ofperiod                                                               |  |  |                           | $ | 123,915,616 |                         |  |  |      | $ | 137,871,653 |      |  |  |  | $ | 123,915,616 |   |  |  |  | $ | 137,871,653 |   |
|                                                                                                  |

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2006(Unaudited)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of LimitedPartnership Interest for the three and six months ended June 30, 2006and 2005 were as follows:

|                                                        |  |  |                           |   |          |                         |  |  |      |   |          |      |  |  |  |   |          |   |  |  |  |   |          |   |
|--------------------------------------------------------|--|--|---------------------------|---|----------|-------------------------|--|--|------|---|----------|------|--|--|--|---|----------|---|--|--|--|---|----------|---|
|                                                   |  |  | ThreeMonths EndedJune 30, |   |          | Six Months EndedJune30, |
|                                                   |  |  | 2006                      |   |          | 2005                    |  |  | 2006 |   |          | 2005 |
| Netrealized and unrealized gains(losses)*              |  |  |                           | $ | (39.36   | )                       |  |  |      | $ | 13.31    |      |  |  |  | $ | (169.90  | ) |  |  |  | $ | (413.41  | ) |
| Interestincome                                         |  |  |                           |   | 13.84    |                         |  |  |      |   | 8.34     |      |  |  |  |   | 25.90    |   |  |  |  |   | 16.29    |   |
| Expenses**                                             |  |  |                           |   | (13.39   | )                       |  |  |      |   | (13.11   | )    |  |  |  |   | (25.73   | ) |  |  |  |   | (27.01   | ) |
| Increase(decrease) for theperiod                       |  |  |                           |   | (38.91   | )                       |  |  |      |   | 8.54     |      |  |  |  |   | (169.73  | ) |  |  |  |   | (424.13  | ) |
| NetAsset Value per Redeemable Unit, beginning ofperiod |  |  |                           |   | 1,421.96 |                         |  |  |      |   | 1,619.09 |      |  |  |  |   | 1,552.78 |   |  |  |  |   | 2,051.76 |   |
| NetAsset Value per Redeemable Unit, end ofperiod       |  |  |                           | $ | 1,383.05 |                         |  |  |      | $ | 1,627.63 |      |  |  |  | $ | 1,383.05 |   |  |  |  | $ | 1,627.63 |   |
|                                                        |

|         |                                                                  |
|---------|------------------------------------------------------------------|
| *  | Includes brokerage commissions and expensesallocated from Master |

|          |                                                                  |
|----------|------------------------------------------------------------------|
| **  | Excludesbrokerage commissions and expenses allocated from Master |

|                                             |  |  |                           |  |         |                         |  |  |      |  |         |      |  |  |  |  |         |    |  |  |  |  |         |    |
|---------------------------------------------|--|--|---------------------------|--|---------|-------------------------|--|--|------|--|---------|------|--|--|--|--|---------|----|--|--|--|--|---------|----|
|                                        |  |  | ThreeMonths EndedJune 30, |  |         | Six Months EndedJune30, |
|                                        |  |  | 2006                      |  |         | 2005                    |  |  | 2006 |  |         | 2005 |
| Ratioto average net assets: ***             |  |  |                           |  |    |                         |  |  |      |  |    |      |  |  |  |  |    |    |  |  |  |  |    |    |
| Net investmentloss before incentivefees**** |  |  |                           |  | (6.1    | )%                      |  |  |      |  | (7.3    | )%   |  |  |  |  | (6.1    | )% |  |  |  |  | (7.2    | )% |
| Operatingexpenses                           |  |  |                           |  | 9.9     | %                       |  |  |      |  | 9.4     | %    |  |  |  |  | 9.7     | %  |  |  |  |  | 9.2     | %  |
| Incentivefees                               |  |  |                           |  | — | %                       |  |  |      |  | — | %    |  |  |  |  | — | %  |  |  |  |  | — | %  |
| Totalexpenses                               |  |  |                           |  | 9.9     | %                       |  |  |      |  | 9.4     | %    |  |  |  |  | 9.7     | %  |  |  |  |  | 9.2     | %  |
| Totalreturn:                                |  |  |                           |  |    |                         |  |  |      |  |    |      |  |  |  |  |    |    |  |  |  |  |    |    |
| Total return before incentivefees           |  |  |                           |  | (2.7    | )%                      |  |  |      |  | 0.5     | %    |  |  |  |  | (10.9   | )% |  |  |  |  | (20.7   | )% |
| Incentivefees                               |  |  |                           |  | — | %                       |  |  |      |  | — | %    |  |  |  |  | — | %  |  |  |  |  | — | %  |
| Totalreturn after incentivefees             |  |  |                           |  | (2.7    | )%                      |  |  |      |  | 0.5     | %    |  |  |  |  | (10.9   | )% |  |  |  |  | (20.7   | )% |
|                                             |

|           |                                        |
|-----------|----------------------------------------|
| ***  | Annualized (other than incentive fees) |

|            |                                                                  |
|------------|------------------------------------------------------------------|
| ****  | Interest income less total expenses(exclusive of incentive fees) |

The above ratios may varyfor individual investors based on the timing of capital transactionsduring the period. Additionally, these ratios are calculated for theLimited Partner class using the Limited Partners' share ofincome, expenses and average net assets.

12

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements June 30,2006(Unaudited)

Financial Highlights of the Master:

Changes in Net Asset Value per Unit for the three and six monthsended June 30, 2006 and 2005 were asfollows:

|                                             |  |  |                           |   |          |                         |  |  |      |   |          |      |  |  |  |   |          |   |  |  |  |   |          |   |
|---------------------------------------------|--|--|---------------------------|---|----------|-------------------------|--|--|------|---|----------|------|--|--|--|---|----------|---|--|--|--|---|----------|---|
|                                        |  |  | ThreeMonths EndedJune 30, |   |          | Six Months EndedJune30, |
|                                        |  |  | 2006                      |   |          | 2005                    |  |  | 2006 |   |          | 2005 |
| Net realized and unrealized gains(losses)*  |  |  |                           | $ | (19.67   | )                       |  |  |      | $ | 38.64    |      |  |  |  | $ | (135.15  | ) |  |  |  | $ | (358.75  | ) |
| Interest income                             |  |  |                           |   | 17.29    |                         |  |  |      |   | 10.44    |      |  |  |  |   | 32.41    |   |  |  |  |   | 20.15    |   |
| Expenses**                                  |  |  |                           |   | (0.01    | )                       |  |  |      |   | (0.07    | )    |  |  |  |   | (0.07    | ) |  |  |  |   | (0.16    | ) |
| Increase(decrease) for the period           |  |  |                           |   | (2.39    | )                       |  |  |      |   | 49.01    |      |  |  |  |   | (102.81  | ) |  |  |  |   | (338.76  | ) |
| Distributions                               |  |  |                           |   | (17.29   | )                       |  |  |      |   | (10.44   | )    |  |  |  |   | (32.41   | ) |  |  |  |   | (20.15   | ) |
| NetAsset Value per Unit, beginning ofperiod |  |  |                           |   | 1,531.77 |                         |  |  |      |   | 1,629.87 |      |  |  |  |   | 1,647.31 |   |  |  |  |   | 2,027.35 |   |
| Net Asset Value perUnit, end of period      |  |  |                           | $ | 1,512.09 |                         |  |  |      | $ | 1,668.44 |      |  |  |  | $ | 1,512.09 |   |  |  |  | $ | 1,668.44 |   |
|                                             |

|   |                        |
|---|------------------------|
| * | Includes clearingfees. |

|    |                        |
|----|------------------------|
| ** | Excludes clearingfees. |

|                                |  |  |                           |  |        |                         |  |  |      |  |        |      |  |  |  |  |        |    |  |  |  |  |        |    |
|--------------------------------|--|--|---------------------------|--|--------|-------------------------|--|--|------|--|--------|------|--|--|--|--|--------|----|--|--|--|--|--------|----|
|                           |  |  | ThreeMonths EndedJune 30, |  |        | Six Months EndedJune30, |
|                           |  |  | 2006                      |  |        | 2005                    |  |  | 2006 |  |        | 2005 |
| Ratio to average netassets:*** |  |  |                           |  |   |                         |  |  |      |  |   |      |  |  |  |  |   |    |  |  |  |  |   |    |
| Net investmentincome****       |  |  |                           |  | 4.1    | %                       |  |  |      |  | 2.4    | %    |  |  |  |  | 3.9    | %  |  |  |  |  | 2.2    | %  |
| Operatingexpenses              |  |  |                           |  | 0.2    | %                       |  |  |      |  | 0.3    | %    |  |  |  |  | 0.2    | %  |  |  |  |  | 0.3    | %  |
| Totalreturn                    |  |  |                           |  | (0.2   | )%                      |  |  |      |  | 3.0    | %    |  |  |  |  | (6.2   | )% |  |  |  |  | (16.7  | )% |
|                                |

***    Annualized

****   Interest income less total expenses

The above ratios may vary for individual investors based onthe timing of capital transactions during theperiod.

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SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsJune 30, 2006 (Unaudited)

3.    Trading Activities:

The Partnership was formed forthe purpose of trading contracts in a variety of commodity interests,including derivative financial instruments and derivative commodityinstruments. The Partnership invests the majority of its assets througha ‘‘master fund/feeder fund’’ structure. Theresults of the Partnership's investment in the Master are shownin the Statements of Income and Expenses and Partners' Capitaland are discussed in Item 2, Management's Discussion and Analysisof Financial Condition and Results of Operations.

The respectiveCustomer Agreements between the Partnership and CGM and the Master andCGM give the Partnership and the Master, respectively, the legal rightto net unrealized gains and losses on open futures positions.

All of the commodity interests owned by the Master are held fortrading purposes. The average fair values during the six months endedJune 30, 2006 and the year ended December 31, 2005, based on a monthlycalculation, were $5,814,932 and $9,833,608, respectively. The fairvalues of these commodity interests, including options thereon, ifapplicable, at June 30, 2006 and December 31, 2005, were $(4,507,399)and $(102,834), respectively. Fair values for exchange traded commodityfutures and options are based on quoted market prices for those futuresand options. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

4.    Financial InstrumentRisks:

In the normal course of its business, the Partnership,through the Partnership's investment in the Master, is party tofinancial instruments with off-balance sheet risk, including derivativefinancial instruments and derivative commodity instruments. Thesefinancial instruments may include forwards, futures and options whosevalues are based upon an underlying asset, index, or reference rate,and generally represent future commitments to exchange currencies orcash flows, to purchase or sell other financial instruments at specificterms at specified future dates, or, in the case of derivativecommodity instruments, to have a reasonable possibility to be settledin cash, through physical delivery or with another financialinstrument. These instruments may be traded on an exchange orover-the-counter (‘‘OTC’’). Exchange-tradedinstruments are standardized and include futures and certain optioncontracts. OTC contracts are negotiated between contracting parties andinclude forwards and certain options. Each of these instruments issubject to various risks similar to those related to the underlyingfinancial instruments including market and credit risk. In general, therisks associated with OTC contracts are greater than those associatedwith exchange-traded instruments because of the greater risk of defaultby the counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Master due to market changes, including interest and foreignexchange rate movements and fluctuations in commodity or securityprices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange-traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. ThePartnership's/Master's risk of loss in the event ofcounterparty default is typically limited to the amounts recognized asunrealized appreciation in the statements of financial condition andnot represented by the contract or notional amount of the instruments.The Partnership, through its investment in the Master, has credit riskand concentration risk because the sole counterparty or broker withrespect to the Master's assets is CGM.

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SmithBarney Mid-West Futures Fund L.P. IINotes to FinancialStatementsJune 30, 2006 (Unaudited)

The General Partner monitors and controlsthe Partnership's/Master's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which thePartnership/Master are subject. These monitoring systems allow theGeneral Partner to statistically analyze actual trading results withrisk-adjusted performance indicators and correlation statistics. Inaddition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions.

Themajority of these instruments mature within one year of June 30, 2006.However, due to the nature of the Partnership's/Master'sbusiness, these instruments may not be held tomaturity.

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Item2.    Management's Discussion and Analysis of FinancialCondition and Results of Operations.

Liquidity andCapital Resources

The Partnership does not engage in thesale of goods or services. Its only assets are its investment in theMaster and cash. The Master does not engage in the sale of goods orservices. Its only assets are its investments in commodity futures andcash. Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Partnership/Master. While substantial lossescould lead to a decrease in liquidity, no such losses occurred in thesecond quarter of 2006.

The Partnership's capital consistsof the capital contributions of the partners as increased or decreasedby its investment in the Master, expenses, interest income, redemptionsof Redeemable Units and distributions of profits, if any.

Forthe six months ended June 30, 2006, Partnership capital decreased21.1% from $17,737,640 to $13,992,393. This decrease wasattributable to a net loss from operations of $1,811,390, coupled withthe redemption of 1,306.1402 Redeemable Units of Limited PartnershipInterest resulting in an outflow of $1,933,857. Future redemptions canimpact the amount of funds available for investment in the Master insubsequent periods.

The Master's capital consists of thecapital contributions of its members as increased or decreased byrealized and/or unrealized gains or losses on commodity futurestrading, expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

For the six months ended June30, 2006 the Master's capital decreased 19.7% from$163,812,603 to $131,579,382. This decrease was attributable to a netloss from operations of $8,759,769, coupled with redemptions of15,374.5912 Units totaling $25,058,563 and the distribution of interesttotaling $3,042,746 paid to the feeder funds, which was partiallyoffset by the additional sales of 2,949.9434 Units resulting in aninflow of $4,627,857. Future redemptions can impact the amount of fundsavailable for investments in commodity contract positions in subsequentperiods.

Critical Accounting Policies

Thepreparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America requiresmanagement to make estimates and assumptions that affect the reportedamounts of assets and liabilities, revenues and expenses, and relateddisclosures of contingent assets and liabilities at the date of thefinancial statements and accompanying notes. Actual results coulddiffer from these estimates.

All commodity interests of theMaster (including derivative financial instruments and derivativecommodity instruments) are used for trading purposes. The commodityinterests are recorded on trade date and open contracts are recorded inthe statements of financial condition at fair value on the lastbusiness day of the period, which represents market value for thosecommodity interests for which market quotations are readily availableor other measures of fair value deemed appropriate by management of theGeneral Partner for those commodity interests and foreign currenciesfor which market quotations are not readily available. Investments incommodity interests denominated in foreign currencies are translatedinto U.S. dollars at the exchange rates prevailing on the last businessday of the period. Realized gains (losses) and changes in unrealizedvalues on open positions of the Master are recognized in the period inwhich the contract is closed or the changes occur and are included innet gains (losses) on trading of commodity interests.

The valueof the Partnership's investment in the Master reflects thePartnership's proportional interest in the members' capitalof the Master. All of the income and expenses and unrealized andrealized gains and losses from the commodity transactions of the Masterare allocated pro rata among the investors at the time of suchdetermination.

Foreign currency contracts are those contractswhere the Master agrees to receive or deliver a fixed quantity offoreign currency for an agreed-upon price on an agreed future date.Foreign currency contracts are valued daily, and the Master's netequity therein, representing unrealized gain or loss on the

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contracts as measured by the differencebetween the forward foreign exchange rates at the date of entry intothe contracts and the forward rates at the reporting dates, is includedin the statement of financial condition. Realized gains (losses) andchanges in unrealized values on foreign currency contracts of theMaster are recognized in the period in which the contract is closed orthe changes occur and are included in the statements of income andexpenses and partners' capital.

Results ofOperations

During the Partnership's second quarter of2006 the Net Asset Value per Redeemable Unit decreased 2.7% from$1,421.96 to $1,383.05 as compared to a increase of 0.5% in thesecond quarter of 2005. The Partnership experienced a net trading lossbefore brokerage commissions and related fees allocated from the Masterin the second quarter of 2006 of $64,250. Losses were primarilyattributable to the Master's trading of commodity futures ingrains, currencies, softs and indices and were partially offset bygains in energy, metals, U.S. and non-U.S. interest rates. ThePartnership experienced a net trading gain before brokerage commissionsand related fees allocated from the Master in the second quarter of2005 of $453,469. Gains were primarily attributable to theMaster's trading of commodity futures in currencies, U.S. andnon-U.S. interest rates and livestock and were partially offset bylosses in energy, grains, metals, indices and softs.

The secondquarter of 2006 was challenging for the Partnership's Advisor asboth financial and commodity markets entered a highly volatile period.Gains earned in interest rate, energy and metals trading were offset bylosses in currency, agricultural and stock index trading.

Energytrading was profitable as long positions were helped by risingpetroleum prices supported by continuing geopolitical disturbance andshort positions benefited from deteriorating fundamentals in naturalgas. Trends in the metal sector extended from the first quarter andremained strong for the first half of the second quarter. Thesubstantial gains accumulated from record gold, silver and base metalprice trends were more than enough to cover losses during the metalscorrection in May.

Trading in U.S. and global fixed incomemarkets was profitable as central banks continued to raise global ratesto combat inflation pressure and Advisor's positions were able totake advantage of these trends.

The lack of direction in thecurrency sector was a result of speculation relating to U.S. interestrate policy coupled with global inflation concerns. Losses in theequity sector were attributable to a global economic slowdown as mostof the major equity indices experienced a material correction in Mayafter reaching multi-year highs. Sharp price reversals in grains andsofts translated into losses as alternating meteorological conditionsbetween drought and rainfall contributed to irregular pricedevelopments.

During the Partnership's six months endedJune 30, 2006, the Net Asset Value per Redeemable Unit decreased10.9% from $1,552.78 to $1,383.05 as compared to a decrease of20.7% during the six months ended June 30, 2005. The Partnershipexperience a net trading loss before brokerage commissions and relatedfees during the six months ended June 30, 2006 of $1,313,419. Losseswere primarily attributable to the Master's trading of commodityfutures in currencies, energy, grains and livestock and were partiallyoffset by gains in U.S. and non-U.S. interest rates, metals, softs andindices. The Partnership experience a net trading loss before brokeragecommissions and related fees during the six months ended June 30, 2005of $4,676,738. Losses were primarily attributable to the Master'strading of commodity futures in currencies, metals, grains, energy andindices and were partially offset by gains in U.S. and non-U.S.interest rates, livestock and softs.

Commodity futures marketsare highly volatile. The potential for broad and rapid pricefluctuations increases the risks involved in commodity trading, butalso increases the possibility of profit. The profitability of thePartnership (and Master) depends on the existence of major price trendsand the ability of the Advisor to correctly identify those pricetrends. Price trends are influenced by, among other things, changingsupply and demand relationships, weather, governmental, agricultural,commercial and trade programs and policies, national and internationalpolitical and economic events and changes in interest rates. To theextent that market trends exist and the Advisor is able to identifythem, the Partnership (and Master) expect to increase capital throughoperations.

Interest income on 80% of thePartnership's average daily equity, allocated to it by theMaster, was earned at the monthly average 30 day U.S. Treasury billrate. CGM may continue to maintain the Master's 

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assets in cash and/or place all of theMaster's assets in 90-day Treasury bills and pay the Partnershipits allocated share of 80% of the interest earned on theTreasury bills purchased. CGM will retain 20% of any interestearned on Treasury bills. Interest income for the three and six monthsended June 30, 2006 increased by $41,553 and $77,078, respectively, ascompared to the corresponding periods in 2005. The increase in interestincome is primarily due to higher interest rates during the three andsix months ended June 30, 2006 as compared to the corresponding periodsin 2005.

Brokerage commissions are calculated on thePartnership's adjusted net asset value on the last day of eachmonth and are affected by trading performance and redemptions.Accordingly, they must be analyzed in relation to the fluctuations inthe monthly net asset values. Commissions and fees for the three andsix months ended June 30, 2006 decreased by $51,414 and $128,174,respectively, as compared to the corresponding periods in 2005. Thedecrease in brokerage commissions is due to lower average net assetsduring the three and six months ended June 30, 2006 as compared to thecorresponding periods in 2005.

Management fees are calculated asa percentage of the Partnership's net asset value as of the endof each month and are affected by trading performance and redemptions.Management fees for the three and six months ended June 30, 2006decreased by $17,102 and $42,591, respectively, as compared to thecorresponding periods in 2005. The decrease in management fees is dueto lower average net assets during the three months ended June 30, 2006as compared to the corresponding periods in 2005.

Administrativefees are paid to the General Partner for administering the business andaffairs of the Partnership. These fees are calculated as a percentageof the Partnership's net asset value as of the end of each monthand are affected by trading performance and redemptions. Administrativefees for the three and six months ended June 30, 2006 decreased by$8,551 and $21,294, respectively, as compared to the correspondingperiods in 2005. The decrease in administrative fees is due to loweraverage net assets during the three and six months ended June 30, 2006as compared to the corresponding periods in 2005.

Incentive feesare based on the new trading profits generated by the Advisor asdefined in the advisory agreement between the Partnership, the GeneralPartner and the Advisor. There were no incentive fees earned for thethree and six months ended June 30, 2006 and 2005.

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

All of thePartnership's assets are subject to the risk of trading lossthrough its investment in the Master. The Master is a speculativecommodity pool. The market sensitive instruments held by it areacquired for speculative trading purposes, and all or substantially allof the Master's assets are subject to the risk of trading loss.Unlike an operating company, the risk of market sensitive instrumentsis integral, not incidental, to the Master's main line ofbusiness.

The risk to the limited partners that havepurchased interests in the Partnership is limited to the amount oftheir capital contributions to the Partnership and their share of thePartnership's assets and undistributed profits. This limitedliability is a consequence of the organization of the Partnership as alimited partnership under applicable law.

Marketmovements result in frequent changes in the fair value of theMaster's open positions and, consequently, in its earnings andcash flow. The Master's market risk is influenced by a widevariety of factors, including the level and volatility of interestrates, exchange rates, equity price levels, the value of financialinstruments and contracts, the diversification effects of theMaster's open positions and the liquidity of the markets in whichit trades.

The Master rapidly acquires and liquidatesboth long and short positions in a wide range of different markets.Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Master's pastperformance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which theMaster could reasonably be expected to lose in a given market sector.However, the inherent uncertainty of the Master's speculativetrading and the recurrence in the markets traded by the Master ofmarket movements far exceeding expectations could result in actualtrading or non-trading losses far beyond the indicated Value at Risk orthe Master's experience to date (i.e., ‘‘risk ofruin’’). In light of the foregoing as well as the risks anduncertainties intrinsic to all future projections, the inclusion of thequantification in this section should not be considered to constituteany assurance or representation that the Master's losses in anymarket sector will be limited to Value at Risk or by the Master'sattempts to manage its market risk.

Exchange maintenancemargin requirements have been used by the Master as the measure of itsValue at Risk. Maintenance margin requirements are set by exchanges toequal or exceed the maximum losses reasonably expected to be incurredin the fair value of any given contract in 95%-99% of anyone-day interval. Maintenance margin has been used rather than the moregenerally available initial margin, because initial margin includes acredit risk component, which is not relevant to Value at Risk.

The following table indicates the trading Value at Riskassociated with the Master's open positions by market category asof June 30, 2006 and the highest, lowest and average values during thethree months ended June 30, 2006. All open position trading riskexposures of the Master have been included in calculating the figuresset forth below. As of June 30, 2006, the Master's totalcapitalization was $131,579,382. There have been no material changes inthe trading Value at Risk information previously disclosed in thePartnership's Annual Report on Form 10-K for the year endedDecember 31, 2005.

June 30,2006(Unaudited)

|                                                                |  |  |               |   |            |                          |  |  |                                 |  |        |                  |  |  |                       |   |            |  |  |  |  |   |           |  |  |  |  |   |           |  |
|----------------------------------------------------------------|--|--|---------------|---|------------|--------------------------|--|--|---------------------------------|--|--------|------------------|--|--|-----------------------|---|------------|--|--|--|--|---|-----------|--|--|--|--|---|-----------|--|
|                                                           |  |  |          |   |            |                     |  |  | ThreeMonths Ended June 30, 2006 |
| MarketSector                                                   |  |  | Value at Risk |   |            | % of TotalCapitalization |  |  | High Value at Risk              |  |        | Low Valueat Risk |  |  | Average*Value at Risk |
| Currencies:                                                    |  |  |               |   |       |                          |  |  |                                 |  |   |                  |  |  |                       |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
|     – OTCContracts            |  |  |               | $ | 4,000,274  |                          |  |  |                                 |  | 3.04   | %                |  |  |                       | $ | 11,860,235 |  |  |  |  | $ | 3,226,776 |  |  |  |  | $ | 8,541,477 |  |
| Energy                                                         |  |  |               |   | 1,226,390  |                          |  |  |                                 |  | 0.93   | %                |  |  |                       |   | 1,834,000  |  |  |  |  |   | 452,790   |  |  |  |  |   | 1,363,902 |  |
| Grains                                                         |  |  |               |   | 177,876    |                          |  |  |                                 |  | 0.14   | %                |  |  |                       |   | 449,415    |  |  |  |  |   | 148,361   |  |  |  |  |   | 245,094   |  |
| Indices                                                        |  |  |               |   | 2,235,512  |                          |  |  |                                 |  | 1.70   | %                |  |  |                       |   | 2,557,090  |  |  |  |  |   | 1,489,524 |  |  |  |  |   | 2,149,314 |  |
| InterestRatesU.S.                                              |  |  |               |   | 1,728,068  |                          |  |  |                                 |  | 1.31   | %                |  |  |                       |   | 2,322,608  |  |  |  |  |   | 648,135   |  |  |  |  |   | 1,926,777 |  |
| InterestRatesNon-U.S.                                          |  |  |               |   | 1,842,273  |                          |  |  |                                 |  | 1.40   | %                |  |  |                       |   | 5,828,484  |  |  |  |  |   | 739,139   |  |  |  |  |   | 3,033,083 |  |
| Metals                                                         |  |  |               |   |       |                          |  |  |                                 |  |   |                  |  |  |                       |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
|     – ExchangeTradedContracts |  |  |               |   | 439,425    |                          |  |  |                                 |  | 0.33   | %                |  |  |                       |   | 2,353,050  |  |  |  |  |   | 198,450   |  |  |  |  |   | 1,174,050 |  |
|     – OTCContracts            |  |  |               |   | 127,500    |                          |  |  |                                 |  | 0.10   | %                |  |  |                       |   | 399,450    |  |  |  |  |   | 101,300   |  |  |  |  |   | 303,117   |  |
| Softs                                                          |  |  |               |   | 442,260    |                          |  |  |                                 |  | 0.34   | %                |  |  |                       |   | 956,805    |  |  |  |  |   | 420,805   |  |  |  |  |   | 610,285   |  |
| Total                                                          |  |  |               | $ | 12,219,578 |                          |  |  |                                 |  | 9.29   | %                |  |  |                       |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
|                                                                |

|  |
|--|
|  |  |
|  |

*   Averageof the month-end Values at Risk

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Item 4.    Controls andProcedures

The General Partner ofthe Partnership, with the participation of the General Partner'sChief Executive Officer and the Chief Financial Officer, has evaluatedthe effectiveness of the design and operation of its disclosurecontrols and procedures (as defined in Rules 13a-15(e) and 15d-15(e) ofthe Exchange Act) with respect to the Partnership as of the end of theperiod covered by the report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures are effective.There was no change in the Partnership's internal control overfinancial reporting during the period covered by this report that hasmaterially affected, or is reasonably likely to materially affect, thePartnership's internal control over financialreporting.

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PART II. OTHER INFORMATION

Item1.    Legal Proceedings

The following information supplementsand amends our discussion set forth under Part I, Item 3,‘‘Legal Proceedings’’ in thePartnership's Annual Report on Form 10-K for the year endedDecember 31, 2005 and under Part II, Item 1, ‘‘LegalProceedings’’ in the Partnerships Quarterly Report on Form10-Q for the quarter ended March 31, 2006.

Enron Corp.

 On May  24, 2006, the District Court gave finalapproval to Citigroup's settlement of the securities class action(NEWBY, ET AL. V. ENRON CORP., ET AL.).

Research

 On May  12, 2006, the District Court preliminarilyapproved the class action settlements in IN RE SALOMON ANALYST LEVEL 3LITIGATION, IN RE SALOMON ANALYST XO LITIGATION, and IN RE SALOMONANALYST WILLIAMS LITIGATION.

 On May  18, 2006, theDistrict Court gave final approval to the settlement in NORMAN v.SALOMON SMITH BARNEY.

 On June  20, 2006, theDistrict Court certified the plaintiff class in IN RE SALOMON ANALYSTMETROMEDIA LITIGATION.

 On June  26, 2006, theUnited States Supreme Court granted plaintiffs' petition for awrit of certiorari, vacated the opinion of the United States Court ofAppeals for the Seventh Circuit in DISHER v. CITIGROUP GLOBALMARKETS  INC., and then remanded the case to the Seventh Circuitfor further proceedings in light of the Supreme Court's decisionin Kircher v. Putnam Funds Trust.

AdelphiaCommunications Corporation

 Without admitting anyliability, CGMI and numerous other financial institution defendantshave agreed to settle IN RE ADELPHIA COMMUNICATIONS CORPORATIONSECURITIES AND DERIVATIVE LITIGATION for a total of $250million, subject to final court approval. On June  15, 2006, thecourt granted its preliminary approval of the settlement and setNovember  10, 2006 for a final hearing. CGMI's share of thesettlement is covered by existing reserves.

Item 1A.    RiskFactors

There are no material changes from the risk factors setforth under Part I, Item 1A. ‘‘Risk Factors’’in our Annual Report on Form 10-K for the fiscal year ended December31, 2005.

Item 2.    Unregistered Sales of Equity Securitiesand Use of Proceeds

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

|                                   |  |  |                                               |  |          |                                           |  |  |                                                                                           |   |          |                                                                                                                    |  |  |  |  |     |  |  |  |  |  |     |  |
|-----------------------------------|--|--|-----------------------------------------------|--|----------|-------------------------------------------|--|--|-------------------------------------------------------------------------------------------|---|----------|--------------------------------------------------------------------------------------------------------------------|--|--|--|--|-----|--|--|--|--|--|-----|--|
| Period                            |  |  | (a)Total Numberof Shares(or Units) Purchased* |  |          | (b)AveragePrice Paid perShare (or Unit)** |  |  | (c) TotalNumberof Shares (or Units)Purchased as Partof PubliclyAnnouncedPlans or Programs |   |          | (d) Maximum Number(orApproximateDollar Value) of Shares(or Units) thatMay YetBePurchased Under thePlans orPrograms |
| April 1, 2006–April 30,2006 |  |  |                                               |  | 536.7659 |                                           |  |  |                                                                                           | $ | 1,566.61 |                                                                                                                    |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
| May1, 2006 –May 31,2006     |  |  |                                               |  | 92.6126  |                                           |  |  |                                                                                           | $ | 1,577.48 |                                                                                                                    |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
| June1, 2006 –June 30,2006   |  |  |                                               |  | 108.7808 |                                           |  |  |                                                                                           | $ | 1,383.05 |                                                                                                                    |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
|                              |  |  |                                               |  | 738.1593 |                                           |  |  |                                                                                           | $ | 1,509.05 |                                                                                                                    |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
|                                   |

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|  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | * Generally, Limited Partnersare permitted to redeem their Redeemable Units as of the end of eachmonth on 10 days' notice to the General Partner. Under certaincircumstances, the General Partner can compel redemption but to datethe General Partner has not exercised this right. Purchases ofRedeemable Units by the Partnership reflected in the chart above weremade in the ordinary course of the Partnership's business inconnection with effecting redemptions for Limited Partners. |

|  |                                                                                                                                           |
|--|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | ** Redemptions of Redeemable Units are effected as ofthe last day of each month at the Net Asset Value per Redeemable Unitas of that day. |

Item 3.    Defaults Upon SeniorSecurities – None

Item 4.    Submission of Matters toa Vote of Security Holders – None

Item 5.    OtherInformation – None

Item 6.    Exhibits

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference to the exhibitindex of the Partnership's Annual Report on Form 10-K for theperiod ended December 31, 2005. |

Exhibit – 31.1– Rule 13a-14(a)/15d-14(a) Certifications (Certifications ofPresident and Director)

Exhibit – 31.2 –Rule 13a-14(a)/15d-14(a) Certifications (Certifications of ChiefFinancial Officer and Director)

Exhibit – 32.1– Section 1350 Certifications(Certification of President andDirector)

Exhibit – 32.2 – Section 1350Certifications(Certification of Chief Financial Officer andDirector)

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalfby the undersigned thereunto duly authorized.

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

|        |  |  |                                                              |
|--------|--|--|--------------------------------------------------------------|
| By:    |  |  | CitigroupManaged FuturesLLC                                  |
|   |  |  | (GeneralPartner)                                             |
| By:    |  |  | /s/David J. Vogel                                            |
|   |  |  | David J. Vogel Presidentand Director                         |
| Date:  |  |  | August 14,2006                                               |
| By:    |  |  | /s/Daniel R. McAuliffe, Jr.                                  |
|   |  |  | Daniel R. McAuliffe, Jr.Chief Financial Officer and Director |
| Date:  |  |  | August 14,2006                                               |
|        |

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