UNITEDSTATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT UNDER SECTION13 or 15(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 endedSeptember 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 September 30, 2006 and December 31, 2005(unaudited)                                           |  |  | 3             |
|                                 |  |  |    |  |  | Statements of Income and Expenses andPartners' Capital for the three and nine months ended September30, 2006 and 2005 (unaudited) |  |  | 4             |
|                                 |  |  |    |  |  | Statements of Cash Flows for the three andnine months ended September 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      |
|                                      |

2

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PART I

Item 1.Financial Statements

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

|                                                                                                                                       |  |  |                  |   |            |                  |  |  |  |   |            |  |
|---------------------------------------------------------------------------------------------------------------------------------------|--|--|------------------|---|------------|------------------|--|--|--|---|------------|--|
|                                                                                                                                  |  |  | September30,2006 |   |            | December 31,2005 |
| Assets:                                                                                                                               |  |  |                  |   |       |                  |  |  |  |   |       |  |
| Investmentin Master, at fair value                                                                                                    |  |  |                  | $ | 13,808,864 |                  |  |  |  | $ | 18,019,796 |  |
| Cash                                                                                                                                  |  |  |                  |   | 42,931     |                  |  |  |  |   | 36,720     |  |
|                                                                                                                                  |  |  |                  | $ | 13,851,795 |                  |  |  |  | $ | 18,056,516 |  |
| Liabilitiesand Partners'Capital:                                                                                                      |  |  |                  |   |       |                  |  |  |  |   |       |  |
| Liabilities:                                                                                                                          |  |  |                  |   |       |                  |  |  |  |   |       |  |
| Accruedexpenses:                                                                                                                      |  |  |                  |   |       |                  |  |  |  |   |       |  |
| Brokeragecommissions                                                                                                                  |  |  |                  | $ | 69,259     |                  |  |  |  | $ | 90,283     |  |
| Managementfees                                                                                                                        |  |  |                  |   | 22,889     |                  |  |  |  |   | 29,869     |  |
| Administrativefees                                                                                                                    |  |  |                  |   | 11,444     |                  |  |  |  |   | 14,935     |  |
| Other                                                                                                                                 |  |  |                  |   | 49,247     |                  |  |  |  |   | 44,541     |  |
| Redemptionspayable                                                                                                                    |  |  |                  |   | 210,103    |                  |  |  |  |   | 139,248    |  |
|                                                                                                                                  |  |  |                  |   | 362,942    |                  |  |  |  |   | 318,876    |  |
| Partners'Capital:                                                                                                                     |  |  |                  |   |       |                  |  |  |  |   |       |  |
| General Partner, 301.3070 Unitequivalents outstanding in 2006 and 2005                                                                |  |  |                  |   | 414,864    |                  |  |  |  |   | 467,863    |  |
| Limited Partners, 9,495.3728 and11,121.8791 Redeemable Units of Limited Partnership Interestoutstanding in 2006 and 2005,respectively |  |  |                  |   | 13,073,989 |                  |  |  |  |   | 17,269,777 |  |
|                                                                                                                                  |  |  |                  |   | 13,488,853 |                  |  |  |  |   | 17,737,640 |  |
|                                                                                                                                  |  |  |                  | $ | 13,851,795 |                  |  |  |  | $ | 18,056,516 |  |
|                                                                                                                                       |

See accompanying Notesto Financial Statements.

3

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

|                                                                                                                                          |  |  |                                  |   |            |                                |  |  |      |   |            |      |  |  |  |   |            |   |  |  |  |   |            |   |
|------------------------------------------------------------------------------------------------------------------------------------------|--|--|----------------------------------|---|------------|--------------------------------|--|--|------|---|------------|------|--|--|--|---|------------|---|--|--|--|---|------------|---|
|                                                                                                                                     |  |  | ThreeMonths Ended, September 30, |   |            | Nine Months Ended,September30, |
|                                                                                                                                     |  |  | 2006                             |   |            | 2005                           |  |  | 2006 |   |            | 2005 |
| Income:                                                                                                                                  |  |  |                                  |   |       |                                |  |  |      |   |       |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Realizedgains (losses) on closed positions and foreign currencies allocatedfrom Master                                                   |  |  |                                  | $ | (772,605   | )                              |  |  |      | $ | 1,053,143  |      |  |  |  | $ | (1,604,875 | ) |  |  |  | $ | (2,065,829 | ) |
| Change in unrealized gains (losses) on open positionsallocated from Master                                                               |  |  |                                  |   | 900,305    |                                |  |  |      |   | (666,398   | )    |  |  |  |   | 419,156    |   |  |  |  |   | (2,224,164 | ) |
| Expenses allocatedfromMaster                                                                                                             |  |  |                                  |   | (7,199     | )                              |  |  |      |   | (10,047    | )    |  |  |  |   | (24,016    | ) |  |  |  |   | (39,880    | ) |
| Interest income received fromMaster                                                                                                      |  |  |                                  |   | 136,752    |                                |  |  |      |   | 118,185    |      |  |  |  |   | 418,050    |   |  |  |  |   | 322,405    |   |
|                                                                                                                                     |  |  |                                  |   | 257,253    |                                |  |  |      |   | 494,883    |      |  |  |  |   | (791,685   | ) |  |  |  |   | (4,007,468 | ) |
| Expenses:                                                                                                                                |  |  |                                  |   |       |                                |  |  |      |   |       |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Brokeragecommissions                                                                                                                     |  |  |                                  |   | 205,446    |                                |  |  |      |   | 296,214    |      |  |  |  |   | 688,655    |   |  |  |  |   | 907,597    |   |
| Management fees                                                                                                                          |  |  |                                  |   | 67,837     |                                |  |  |      |   | 98,010     |      |  |  |  |   | 227,479    |   |  |  |  |   | 300,243    |   |
| Administrative fees                                                                                                                      |  |  |                                  |   | 33,918     |                                |  |  |      |   | 49,005     |      |  |  |  |   | 113,739    |   |  |  |  |   | 150,120    |   |
| Other                                                                                                                                    |  |  |                                  |   | 20,647     |                                |  |  |      |   | 21,395     |      |  |  |  |   | 60,427     |   |  |  |  |   | 55,295     |   |
|                                                                                                                                     |  |  |                                  |   | 327,848    |                                |  |  |      |   | 464,624    |      |  |  |  |   | 1,090,300  |   |  |  |  |   | 1,413,255  |   |
| Net income(loss)                                                                                                                         |  |  |                                  |   | (70,595    | )                              |  |  |      |   | 30,259     |      |  |  |  |   | (1,881,985 | ) |  |  |  |   | (5,420,723 | ) |
| Redemptions– LimitedPartners                                                                                                       |  |  |                                  |   | (432,945   | )                              |  |  |      |   | (866,290   | )    |  |  |  |   | (2,366,802 | ) |  |  |  |   | (1,833,400 | ) |
| Net decrease in Partners'Capital                                                                                                         |  |  |                                  |   | (503,540   | )                              |  |  |      |   | (836,031   | )    |  |  |  |   | (4,248,787 | ) |  |  |  |   | (7,254,123 | ) |
| Partners' Capital, beginning ofperiod                                                                                                    |  |  |                                  |   | 13,992,393 |                                |  |  |      |   | 19,962,792 |      |  |  |  |   | 17,737,640 |   |  |  |  |   | 26,380,884 |   |
| Partners'Capital, end of period                                                                                                          |  |  |                                  | $ | 13,488,853 |                                |  |  |      | $ | 19,126,761 |      |  |  |  | $ | 13,488,853 |   |  |  |  | $ | 19,126,761 |   |
| Net Asset Value per Redeemable Unit (9,796.6798 and11,735.2738 Redeemable Units outstanding at September 30, 2006 and2005, respectively) |  |  |                                  | $ | 1,376.88   |                                |  |  |      | $ | 1,629.85   |      |  |  |  | $ | 1,376.88   |   |  |  |  | $ | 1,629.85   |   |
| Net income (loss) per Redeemable Unit of Limited PartnershipInterest and General Partner Unitequivalent                                  |  |  |                                  | $ | (6.17      | )                              |  |  |      | $ | 2.22       |      |  |  |  | $ | (175.90    | ) |  |  |  | $ | (421.91    | ) |
|                                                                                                                                          |

Seeaccompanying Notes to Financial Statements.

4

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

|                                                                                                  |  |  |                                  |   |          |                                 |  |  |      |   |           |      |  |  |  |   |            |   |  |  |  |   |            |   |
|--------------------------------------------------------------------------------------------------|--|--|----------------------------------|---|----------|---------------------------------|--|--|------|---|-----------|------|--|--|--|---|------------|---|--|--|--|---|------------|---|
|                                                                                             |  |  | ThreeMonths Ended, September 30, |   |          | Nine Months Ended,September 30, |
|                                                                                             |  |  | 2006                             |   |          | 2005                            |  |  | 2006 |   |           | 2005 |
| Cash flows from operatingactivities:                                                             |  |  |                                  |   |     |                                 |  |  |      |   |      |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Netincome (loss)                                                                                 |  |  |                                  | $ | (70,595  | )                               |  |  |      | $ | 30,259    |      |  |  |  | $ | (1,881,985 | ) |  |  |  | $ | (5,420,723 | ) |
| Adjustments to reconcile net income (loss) to netcash provided by (used in) operatingactivities: |  |  |                                  |   |     |                                 |  |  |      |   |      |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Changesin operating assets andliabilities:                                                       |  |  |                                  |   |     |                                 |  |  |      |   |      |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Proceedsfrom sale of investment in Master                                                        |  |  |                                  |   | 568,386  |                                 |  |  |      |   | 1,259,344 |      |  |  |  |   | 3,001,197  |   |  |  |  |   | 3,203,289  |   |
| Unrealized (appreciation) depreciation on investment inMaster                                    |  |  |                                  |   | (120,501 | )                               |  |  |      |   | (376,698  | )    |  |  |  |   | 1,209,735  |   |  |  |  |   | 4,329,875  |   |
| Accruedexpenses:                                                                                 |  |  |                                  |   |     |                                 |  |  |      |   |      |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Increase(decrease) in brokeragecommissions                                                       |  |  |                                  |   | (2,267   | )                               |  |  |      |   | (4,465    | )    |  |  |  |   | (21,024    | ) |  |  |  |   | (37,617    | ) |
| Increase (decrease) in managementfees                                                            |  |  |                                  |   | (741     | )                               |  |  |      |   | (1,466    | )    |  |  |  |   | (6,980     | ) |  |  |  |   | (12,466    | ) |
| Increase (decrease) in administrativefees                                                        |  |  |                                  |   | (371     | )                               |  |  |      |   | (733      | )    |  |  |  |   | (3,491     | ) |  |  |  |   | (6,233     | ) |
| Increase (decrease) inother                                                                      |  |  |                                  |   | (6,165   | )                               |  |  |      |   | (9,085    | )    |  |  |  |   | 4,706      |   |  |  |  |   | (6,131     | ) |
| Net cash provided by (used in)operating activities                                               |  |  |                                  |   | 367,746  |                                 |  |  |      |   | 897,156   |      |  |  |  |   | 2,302,158  |   |  |  |  |   | 2,049,994  |   |
| Cashflows from financingactivities:                                                              |  |  |                                  |   |     |                                 |  |  |      |   |      |      |  |  |  |   |       |   |  |  |  |   |       |   |
| Paymentsfor redemptions — LimitedPartners                                                  |  |  |                                  |   | (373,291 | )                               |  |  |      |   | (907,612  | )    |  |  |  |   | (2,295,947 | ) |  |  |  |   | (2,040,291 | ) |
| Net change incash                                                                                |  |  |                                  |   | (5,545   | )                               |  |  |      |   | (10,456   | )    |  |  |  |   | 6,211      |   |  |  |  |   | 9,703      |   |
| Cash, at beginning ofperiod                                                                      |  |  |                                  |   | 48,476   |                                 |  |  |      |   | 37,208    |      |  |  |  |   | 36,720     |   |  |  |  |   | 17,049     |   |
| Cash, at end ofperiod                                                                            |  |  |                                  | $ | 42,931   |                                 |  |  |      | $ | 26,752    |      |  |  |  | $ | 42,931     |   |  |  |  | $ | 26,752     |   |
|                                                                                                  |

Seeaccompanying Notes to FinancialStatements.

5

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SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 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, the Advisor's proprietary trading program, toinvest together in one trading vehicle. Citigroup Managed Futures LLCacts as the general partner (the ‘‘GeneralPartner’’) of the Partnership. The General Partner is themanaging member of the Master. Individual and pooled accounts managedby the Advisor, including the Partnership, are permitted to benon-managing members of the Master. The General Partner and the Advisorbelieve that trading through this structure should promote efficiencyand economy in the trading process. Expenses to investors as a resultof the investment in the Master are approximately the same andredemption rights are not affected.

As of September 30, 2006,the Partnership owned 11.1% of the Master. It is thePartnership's intention to continue to invest substantially allof its assets in the Master. The performance of the Partnership isdirectly affected by the performance of the Master. The Master'sStatements of Financial Condition, Statements of Income and Expensesand Members' Capital, Statements of Cash Flows and CondensedSchedules 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 September 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 September 30, 2006and December 31, 2005 and the results of its operations and cash flowsfor the three and nine months ended September 30, 2006 and 2005. Thesefinancial statements present the results of interim periods and do notinclude all disclosures normally provided in annual financialstatements. You should read these financial statements together withthe financial statements and notes included in the Partnership'sannual report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2005.

Due to thenature of commodity trading, the results of operations for the interimperiods presented should not be considered indicative of the resultsthat may be expected for the entire year.

Certain prior periodamounts have been reclassified to conform to current yearpresentation.

6

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

The Master's Statements ofFinancial Condition and Condensed Schedules of Investments at September30, 2006 and December 31, 2005 and its Statements of Income andExpenses and Members' Capital and Statements of Cash Flows forthe three and nine months ended September 30, 2006 and 2005 were:

JWH Strategic Allocation Master Fund LLC Statements ofFinancial Condition(Unaudited)

|                                                                                             |  |  |                   |   |             |                  |  |  |  |   |             |  |
|---------------------------------------------------------------------------------------------|--|--|-------------------|---|-------------|------------------|--|--|--|---|-------------|--|
|                                                                                        |  |  | September30, 2006 |   |             | December 31,2005 |
| Assets:                                                                                     |  |  |                   |   |        |                  |  |  |  |   |        |  |
| Equity incommodity futures trading account:                                                 |  |  |                   |   |        |                  |  |  |  |   |        |  |
| Cash(restricted $16,987,329 and $23,817,475 in 2006 and 2005,respectively)                  |  |  |                   | $ | 120,888,130 |                  |  |  |  | $ | 163,966,877 |  |
| Netunrealized appreciation on open futurespositions                                         |  |  |                   |   | 4,917,447   |                  |  |  |  |   | —     |  |
| Unrealizedappreciation on open forwardcontracts                                             |  |  |                   |   | 1,755,796   |                  |  |  |  |   | 7,440,156   |  |
|                                                                                        |  |  |                   |   | 127,561,373 |                  |  |  |  |   | 171,407,033 |  |
| Interestreceivable                                                                          |  |  |                   |   | 462,088     |                  |  |  |  |   | 485,811     |  |
|                                                                                        |  |  |                   | $ | 128,023,461 |                  |  |  |  | $ | 171,892,844 |  |
| Liabilitiesand Members'Capital:                                                             |  |  |                   |   |        |                  |  |  |  |   |        |  |
| Liabilities:                                                                                |  |  |                   |   |        |                  |  |  |  |   |        |  |
| Netunrealized depreciation on open futuresposition                                          |  |  |                   | $ | —     |                  |  |  |  | $ | 3,646,687   |  |
| Unrealizeddepreciation on open forwardcontracts                                             |  |  |                   |   | 2,954,164   |                  |  |  |  |   | 3,896,303   |  |
| Accruedexpenses:                                                                            |  |  |                   |   |        |                  |  |  |  |   |        |  |
| Other                                                                                       |  |  |                   |   | 38,302      |                  |  |  |  |   | 51,440      |  |
| Distributionpayable                                                                         |  |  |                   |   | 462,088     |                  |  |  |  |   | 485,811     |  |
|                                                                                        |  |  |                   |   | 3,454,554   |                  |  |  |  |   | 8,080,241   |  |
| Members'Capital:                                                                            |  |  |                   |   |        |                  |  |  |  |   |        |  |
| Members'Capital, 81,593.8633 and 99,442.6187 Units outstanding in 2006 and2005,respectively |  |  |                   |   | 124,568,907 |                  |  |  |  |   | 163,812,603 |  |
|                                                                                        |  |  |                   | $ | 128,023,461 |                  |  |  |  | $ | 171,892,844 |  |
|                                                                                             |

7

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

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

|                                                   |  |  |           |   |            |                      |  |  |  |  |        |   |
|---------------------------------------------------|--|--|-----------|---|------------|----------------------|--|--|--|--|--------|---|
|                                              |  |  | FairValue |   |            | % of Members'Capital |
| Futures ContractsPurchased                        |  |  |           |   |       |                      |  |  |  |  |   |   |
| Grains                                            |  |  |           | $ | 35,675     |                      |  |  |  |  | 0.03   | % |
| Indices                                           |  |  |           |   | 450,653    |                      |  |  |  |  | 0.36   |   |
| Interest Rates U.S.                               |  |  |           |   | 1,960,855  |                      |  |  |  |  | 1.58   |   |
| Interest RatesNon-U.S.                            |  |  |           |   | 1,345,931  |                      |  |  |  |  | 1.08   |   |
| Softs                                             |  |  |           |   | 54,985     |                      |  |  |  |  | 0.04   |   |
| Total futures contractspurchased                  |  |  |           |   | 3,848,099  |                      |  |  |  |  | 3.09   |   |
| Futures ContractsSold                             |  |  |           |   |       |                      |  |  |  |  |   |   |
| Energy                                            |  |  |           |   | 961,088    |                      |  |  |  |  | 0.77   |   |
| Grains                                            |  |  |           |   | 373,441    |                      |  |  |  |  | 0.30   |   |
| Interest RatesNon-U.S.                            |  |  |           |   | (161,427   | )                    |  |  |  |  | (0.13  | ) |
| Metals                                            |  |  |           |   | (341,520   | )                    |  |  |  |  | (0.27  | ) |
| Softs                                             |  |  |           |   | 237,766    |                      |  |  |  |  | 0.19   |   |
| Total futures contractssold                       |  |  |           |   | 1,069,348  |                      |  |  |  |  | 0.86   |   |
| UnrealizedAppreciation on ForwardContracts        |  |  |           |   |       |                      |  |  |  |  |   |   |
| Currencies                                        |  |  |           |   | 1,754,296  |                      |  |  |  |  | 1.41   |   |
| Metals                                            |  |  |           |   | 1,500      |                      |  |  |  |  | 0.00   | * |
| Total unrealized appreciationon forward contracts |  |  |           |   | 1,755,796  |                      |  |  |  |  | 1.41   |   |
| UnrealizedDepreciation on ForwardContracts        |  |  |           |   |       |                      |  |  |  |  |   |   |
| Currencies                                        |  |  |           |   | (2,742,161 | )                    |  |  |  |  | (2.20  | ) |
| Metals                                            |  |  |           |   | (212,003   | )                    |  |  |  |  | (0.17  | ) |
| Totalunrealized depreciation on forwardcontracts  |  |  |           |   | (2,954,164 | )                    |  |  |  |  | (2.37  | ) |
| TotalFair Value                                   |  |  |           | $ | 3,719,079  |                      |  |  |  |  | 2.99   | % |
|                                                   |

Percentages are based onMembers' Capital unless otherwiseindicated.

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

8

----

SmithBarney Mid-West Futures Fund L.P. II Notes to FinancialStatements September 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

----

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

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

|                                                                                                                       |  |  |                                |   |             |                              |  |  |      |   |             |      |  |  |  |   |             |   |  |  |  |   |             |   |
|-----------------------------------------------------------------------------------------------------------------------|--|--|--------------------------------|---|-------------|------------------------------|--|--|------|---|-------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                                                  |  |  | ThreeMonths EndedSeptember 30, |   |             | Nine MonthsEndedSeptember30, |
|                                                                                                                  |  |  | 2006                           |   |             | 2005                         |  |  | 2006 |   |             | 2005 |
| Income:                                                                                                               |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Netgains (losses) on trading of commodityinterests:                                                                   |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Realized gains(losses) on closed positions and foreigncurrencies                                                      |  |  |                                | $ | (6,971,957  | )                            |  |  |      | $ | 10,472,884  |      |  |  |  | $ | (14,213,888 | ) |  |  |  | $ | (17,124,169 | ) |
| Change in unrealized gains(losses) on open positions                                                                  |  |  |                                |   | 8,226,478   |                              |  |  |      |   | (6,722,217  | )    |  |  |  |   | 3,821,913   |   |  |  |  |   | (18,497,950 | ) |
| Interestincome                                                                                                        |  |  |                                |   | 1,443,244   |                              |  |  |      |   | 1,394,345   |      |  |  |  |   | 4,485,990   |   |  |  |  |   | 3,720,681   |   |
|                                                                                                                  |  |  |                                |   | 2,697,765   |                              |  |  |      |   | 5,145,012   |      |  |  |  |   | (5,905,985  | ) |  |  |  |   | (31,901,438 | ) |
|                                                                                                                  |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Expenses:                                                                                                             |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Clearingfees                                                                                                          |  |  |                                |   | 63,725      |                              |  |  |      |   | 90,548      |      |  |  |  |   | 213,302     |   |  |  |  |   | 347,015     |   |
| Other                                                                                                                 |  |  |                                |   | 1,447       |                              |  |  |      |   | 7,666       |      |  |  |  |   | 7,889       |   |  |  |  |   | 25,249      |   |
|                                                                                                                  |  |  |                                |   | 65,172      |                              |  |  |      |   | 98,214      |      |  |  |  |   | 221,191     |   |  |  |  |   | 372,264     |   |
| Net income(loss)                                                                                                      |  |  |                                |   | 2,632,593   |                              |  |  |      |   | 5,046,798   |      |  |  |  |   | (6,127,176  | ) |  |  |  |   | (32,273,702 | ) |
| Additions                                                                                                             |  |  |                                |   | 2,217,000   |                              |  |  |      |   | 10,045,000  |      |  |  |  |   | 6,844,857   |   |  |  |  |   | 51,584,292  |   |
| Redemptions                                                                                                           |  |  |                                |   | (10,416,824 | )                            |  |  |      |   | (12,792,492 | )    |  |  |  |   | (35,475,387 | ) |  |  |  |   | (52,438,349 | ) |
| Distribution of interest to feederfunds                                                                               |  |  |                                |   | (1,443,244  | )                            |  |  |      |   | (1,394,345  | )    |  |  |  |   | (4,485,990  | ) |  |  |  |   | (3,720,681  | ) |
| Netincrease (decrease) in Members' Capital                                                                            |  |  |                                |   | (7,010,475  | )                            |  |  |      |   | 904,961     |      |  |  |  |   | (39,243,696 | ) |  |  |  |   | (36,848,440 | ) |
| Members' Capital, beginningof period                                                                                  |  |  |                                |   | 131,579,382 |                              |  |  |      |   | 189,576,648 |      |  |  |  |   | 163,812,603 |   |  |  |  |   | 227,330,049 |   |
| Members' Capital, end ofperiod                                                                                        |  |  |                                | $ | 124,568,907 |                              |  |  |      | $ | 190,481,609 |      |  |  |  | $ | 124,568,907 |   |  |  |  | $ | 190,481,609 |   |
| Net Asset Value per Unit(81,593.8633 and 112,015.0824 Units outstanding in September  30,2006 and 2005, respectively) |  |  |                                | $ | 1,526.69    |                              |  |  |      | $ | 1,700.50    |      |  |  |  | $ | 1,526.69    |   |  |  |  | $ | 1,700.50    |   |
| Net income (loss) per Unit of MemberInterest                                                                          |  |  |                                | $ | 32.04       |                              |  |  |      | $ | 44.39       |      |  |  |  | $ | (70.77      | ) |  |  |  | $ | (294,37     | ) |
|                                                                                                                       |

10

----

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

JWH Strategic Allocation Master FundLLCStatements of Cash Flows (Unaudited)

|                                                                                                  |  |  |                                |   |             |                              |  |  |      |   |             |      |  |  |  |   |             |   |  |  |  |   |             |   |
|--------------------------------------------------------------------------------------------------|--|--|--------------------------------|---|-------------|------------------------------|--|--|------|---|-------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                             |  |  | ThreeMonths EndedSeptember 30, |   |             | Nine MonthsEndedSeptember30, |
|                                                                                             |  |  | 2006                           |   |             | 2005                         |  |  | 2006 |   |             | 2005 |
| Cash flows from operatingactivities:                                                             |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Net income(loss)                                                                                 |  |  |                                | $ | 2,632,593   |                              |  |  |      | $ | 5,046,798   |      |  |  |  | $ | (6,127,176  | ) |  |  |  | $ | (32,273,702 | ) |
| Adjustments toreconcile net income (loss) to net cash provided by (used in) operatingactivities: |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Changesin operating assets andliabilities:                                                       |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| (Increase)decrease in restricted cash                                                            |  |  |                                |   | (4,768,476  | )                            |  |  |      |   | 7,693,939   |      |  |  |  |   | 6,830,146   |   |  |  |  |   | 23,169,491  |   |
| (Increase)decrease in unrealized appreciation on open futurespositions                           |  |  |                                |   | (4,917,447  | )                            |  |  |      |   | (7,056,037  | )    |  |  |  |   | (4,917,447  | ) |  |  |  |   | (6,929,778  | ) |
| (Increase) decrease inunrealized appreciation on open forwardcontracts                           |  |  |                                |   | (182,793    | )                            |  |  |      |   | 11,117,415  |      |  |  |  |   | 5,684,360   |   |  |  |  |   | 22,041,533  |   |
| (Increase) decrease ininterest receivable                                                        |  |  |                                |   | 32,966      |                              |  |  |      |   | (70,482     | )    |  |  |  |   | 23,723      |   |  |  |  |   | (166,982    | ) |
| Increase(decrease) in unrealized depreciation on open futurespositions                           |  |  |                                |   | (1,341,127  | )                            |  |  |      |   | —     |      |  |  |  |   | (3,646,687  | ) |  |  |  |   | —     |   |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                           |  |  |                                |   | (1,785,111  | )                            |  |  |      |   | 2,660,839   |      |  |  |  |   | (942,139    | ) |  |  |  |   | 3,386,195   |   |
| Accruedexpenses:                                                                                 |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Increase(decrease) in other                                                                      |  |  |                                |   | (9,386      | )                            |  |  |      |   | (1,815      | )    |  |  |  |   | (13,138     | ) |  |  |  |   | 15,211      |   |
| Net cash provided by (used in)operatingactivities                                                |  |  |                                |   | (10,338,781 | )                            |  |  |      |   | 19,390,657  |      |  |  |  |   | (3,108,358  | ) |  |  |  |   | 9,241,968   |   |
| Cash flows from financingactivities:                                                             |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Proceeds fromadditions                                                                           |  |  |                                |   | 2,217,000   |                              |  |  |      |   | 10,045,000  |      |  |  |  |   | 6,844,857   |   |  |  |  |   | 51,584,292  |   |
| Payments forredemptions                                                                          |  |  |                                |   | (10,416,824 | )                            |  |  |      |   | (12,792,492 | )    |  |  |  |   | (35,475,387 | ) |  |  |  |   | (52,438,349 | ) |
| Distribution of interest tofeeder funds                                                          |  |  |                                |   | (1,476,210  | )                            |  |  |      |   | (1,323,863  | )    |  |  |  |   | (4,509,713  | ) |  |  |  |   | (3,553,699  | ) |
| Net cash provided by (usedin)by financingactivities                                              |  |  |                                |   | (9,676,034  | )                            |  |  |      |   | (4,071,355  | )    |  |  |  |   | (33,140,243 | ) |  |  |  |   | (4,407,756  | ) |
| Net change incash                                                                                |  |  |                                |   | (20,014,815 | )                            |  |  |      |   | 15,319,302  |      |  |  |  |   | (36,248,601 | ) |  |  |  |   | 4,834,212   |   |
| Unrestricted cash, at beginningof period                                                         |  |  |                                |   | 123,915,616 |                              |  |  |      |   | 137,871,653 |      |  |  |  |   | 140,149,402 |   |  |  |  |   | 148,356,743 |   |
| Unrestricted cash, at end ofperiod                                                               |  |  |                                | $ | 103,900,801 |                              |  |  |      | $ | 153,190,955 |      |  |  |  | $ | 103,900,801 |   |  |  |  | $ | 153,190,955 |   |
|                                                                                                  |

11

----

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

2.    Financial Highlights:

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

|                                                        |  |  |                                |   |          |                              |  |  |      |   |          |      |  |  |  |   |          |   |  |  |  |   |          |   |
|--------------------------------------------------------|--|--|--------------------------------|---|----------|------------------------------|--|--|------|---|----------|------|--|--|--|---|----------|---|--|--|--|---|----------|---|
|                                                   |  |  | ThreeMonths EndedSeptember 30, |   |          | Nine MonthsEndedSeptember30, |
|                                                   |  |  | 2006                           |   |          | 2005                         |  |  | 2006 |   |          | 2005 |
| Netrealized and unrealized gains(losses)*              |  |  |                                | $ | (7.59    | )                            |  |  |      | $ | 6.49     |      |  |  |  | $ | (177.49  | ) |  |  |  | $ | (406.92  | ) |
| Interestincome                                         |  |  |                                |   | 13.64    |                              |  |  |      |   | 9.89     |      |  |  |  |   | 39.54    |   |  |  |  |   | 26.18    |   |
| Expenses**                                             |  |  |                                |   | (12.22   | )                            |  |  |      |   | (14.16   | )    |  |  |  |   | (37.95   | ) |  |  |  |   | (41.17   | ) |
| Increase(decrease) for theperiod                       |  |  |                                |   | (6.17    | )                            |  |  |      |   | 2.22     |      |  |  |  |   | (175.90  | ) |  |  |  |   | (421.91  | ) |
| NetAsset Value per Redeemable Unit, beginning ofperiod |  |  |                                |   | 1,383.05 |                              |  |  |      |   | 1,627.63 |      |  |  |  |   | 1,552.78 |   |  |  |  |   | 2,051.76 |   |
| NetAsset Value per Redeemable Unit, end ofperiod       |  |  |                                | $ | 1,376.88 |                              |  |  |      | $ | 1,629.85 |      |  |  |  | $ | 1,376.88 |   |  |  |  | $ | 1,629.85 |   |
|                                                        |

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

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

|                                             |  |  |                                |  |         |                              |  |  |      |  |         |      |  |  |  |  |         |    |  |  |  |  |         |    |
|---------------------------------------------|--|--|--------------------------------|--|---------|------------------------------|--|--|------|--|---------|------|--|--|--|--|---------|----|--|--|--|--|---------|----|
|                                        |  |  | ThreeMonths EndedSeptember 30, |  |         | Nine MonthsEndedSeptember30, |
|                                        |  |  | 2006                           |  |         | 2005                         |  |  | 2006 |  |         | 2005 |
| Ratioto average net assets: ***             |  |  |                                |  |    |                              |  |  |      |  |    |      |  |  |  |  |    |    |  |  |  |  |    |    |
| Net investmentloss before incentivefees**** |  |  |                                |  | (5.6    | )%                           |  |  |      |  | (7.0    | )%   |  |  |  |  | (5.8    | )% |  |  |  |  | (7.1    | )% |
| Operatingexpenses                           |  |  |                                |  | 9.6     | %                            |  |  |      |  | 9.4     | %    |  |  |  |  | 9.6     | %  |  |  |  |  | 9.2     | %  |
| Incentivefees                               |  |  |                                |  | — | %                            |  |  |      |  | — | %    |  |  |  |  | — | %  |  |  |  |  | — | %  |
| Totalexpenses                               |  |  |                                |  | 9.6     | %                            |  |  |      |  | 9.4     | %    |  |  |  |  | 9.6     | %  |  |  |  |  | 9.2     | %  |
| Totalreturn:                                |  |  |                                |  |    |                              |  |  |      |  |    |      |  |  |  |  |    |    |  |  |  |  |    |    |
| Total return before incentivefees           |  |  |                                |  | (0.4    | )%                           |  |  |      |  | 0.1     | %    |  |  |  |  | (11.3   | )% |  |  |  |  | (20.6   | )% |
| Incentivefees                               |  |  |                                |  | — | %                            |  |  |      |  | — | %    |  |  |  |  | — | %  |  |  |  |  | — | %  |
| Totalreturn after incentivefees             |  |  |                                |  | (0.4    | )%                           |  |  |      |  | 0.1     | %    |  |  |  |  | (11.3   | )% |  |  |  |  | (20.6   | )% |
|                                             |

|           |                                        |
|-----------|----------------------------------------|
| ***  | 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

----

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

Financial Highlights of the Master:

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

|                                             |  |  |                                |   |          |                              |  |  |      |   |          |      |  |  |  |   |          |   |  |  |  |   |          |   |
|---------------------------------------------|--|--|--------------------------------|---|----------|------------------------------|--|--|------|---|----------|------|--|--|--|---|----------|---|--|--|--|---|----------|---|
|                                        |  |  | ThreeMonths EndedSeptember 30, |   |          | Nine MonthsEndedSeptember30, |
|                                        |  |  | 2006                           |   |          | 2005                         |  |  | 2006 |   |          | 2005 |
| Net realized and unrealized gains(losses)*  |  |  |                                | $ | 14.62    |                              |  |  |      | $ | 32.14    |      |  |  |  | $ | (120.53  | ) |  |  |  | $ | (326.61  | ) |
| Interest income                             |  |  |                                |   | 17.44    |                              |  |  |      |   | 12.33    |      |  |  |  |   | 49.85    |   |  |  |  |   | 32.48    |   |
| Expenses**                                  |  |  |                                |   | (0.02    | )                            |  |  |      |   | (0.08    | )    |  |  |  |   | (0.09    | ) |  |  |  |   | (0.24    | ) |
| Increase(decrease) for the period           |  |  |                                |   | 32.04    |                              |  |  |      |   | 44.39    |      |  |  |  |   | (70.77   | ) |  |  |  |   | (294.37  | ) |
| Distributions                               |  |  |                                |   | (17.44   | )                            |  |  |      |   | (12.33   | )    |  |  |  |   | (49.85   | ) |  |  |  |   | (32.48   | ) |
| NetAsset Value per Unit, beginning ofperiod |  |  |                                |   | 1,512.09 |                              |  |  |      |   | 1,668.44 |      |  |  |  |   | 1,647.31 |   |  |  |  |   | 2,027.35 |   |
| Net Asset Value perUnit, end of period      |  |  |                                | $ | 1,526.69 |                              |  |  |      | $ | 1,700.50 |      |  |  |  | $ | 1,526.69 |   |  |  |  | $ | 1,700.50 |   |
|                                             |

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

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

|                                |  |  |                                |  |        |                              |  |  |      |  |        |      |  |  |  |  |        |    |  |  |  |  |        |    |
|--------------------------------|--|--|--------------------------------|--|--------|------------------------------|--|--|------|--|--------|------|--|--|--|--|--------|----|--|--|--|--|--------|----|
|                           |  |  | ThreeMonths EndedSeptember 30, |  |        | Nine MonthsEndedSeptember30, |
|                           |  |  | 2006                           |  |        | 2005                         |  |  | 2006 |  |        | 2005 |
| Ratio to average netassets:*** |  |  |                                |  |   |                              |  |  |      |  |   |      |  |  |  |  |   |    |  |  |  |  |   |    |
| Net investmentincome****       |  |  |                                |  | 4.4    | %                            |  |  |      |  | 2.7    | %    |  |  |  |  | 4.0    | %  |  |  |  |  | 2.3    | %  |
| Operatingexpenses              |  |  |                                |  | 0.2    | %                            |  |  |      |  | 0.2    | %    |  |  |  |  | 0.2    | %  |  |  |  |  | 0.3    | %  |
| Totalreturn                    |  |  |                                |  | 2.1    | %                            |  |  |      |  | 2.7    | %    |  |  |  |  | (4.3   | )% |  |  |  |  | (14.5  | )% |
|                                |

***    Annualized.

****   Interest income less total expenses.

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

13

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

3.    TradingActivities:

The Partnership was formed for the purpose oftrading contracts in a variety of commodity interests, includingderivative financial instruments and derivative commodity instruments.The Partnership invests the majority of its assets through a‘‘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 nine months endedSeptember 30, 2006 and the year ended December 31, 2005, based on amonthly calculation, were $4,016,769 and $9,833,608, respectively. Thefair values of these commodity interests, including options thereon, ifapplicable, at September 30, 2006 and December 31, 2005, were$3,719,079 and $(102,834), respectively. Fair values for exchangetraded commodity futures and options are based on quoted market pricesfor those futures and options. Fair values for all other financialinstruments for which market quotations are not readily available arebased on calculations approved by the General Partner.

4.    Financial Instrument Risks:

In the normal course ofits business, the Partnership, through the Partnership'sinvestment in the Master, is party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments. These financial instruments mayinclude forwards, futures and options whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, to purchase orsell other financial instruments at specific terms at specified futuredates, or, in the case of derivative commodity instruments, to have areasonable possibility to be settled in cash, through physical deliveryor with another financial instrument. These instruments may be tradedon an exchange or over-the-counter (‘‘OTC’’).Exchange-traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange-traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of thefinancial instruments traded by the Master due to market changes,including interest and foreign exchange rate movements and fluctuationsin commodity or security prices. Market risk is directly impacted bythe volatility and liquidity in the markets in which the relatedunderlying assets of the Master are traded.

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange-traded instruments is reduced to the extent that anexchange or clearing organization acts as a counterparty to thetransactions. The Partnership's/Master's risk of loss inthe event of counterparty default is typically limited to the amountsrecognized as unrealized appreciation in the statements of financialcondition and not represented by the contract or notional amount of theinstruments. The Partnership, through its investment in the Master, hascredit risk and concentration risk because the sole counterparty orbroker with respect to the Master's assets is CGM.

14

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

The General Partner monitors andcontrols the Partnership's/Master's risk exposure on adaily basis through financial, credit and risk management monitoringsystems, and accordingly believes that it has effective procedures forevaluating and 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 September 30,2006. However, due to the nature of thePartnership's/Master's business, these instruments may notbe held to maturity.

15

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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 thethird 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 nine months ended September 30, 2006, Partnership capital decreased24.0% from $17,737,640 to $13,488,853. This decrease wasattributable to a net loss from operations of $1,881,985, coupled withthe redemption of 1,626.5063 Redeemable Units of Limited PartnershipInterest resulting in an outflow of $2,366,802. 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 nine months endedSeptember 30, 2006 the Master's capital decreased 24.0%from $163,812,603 to $124,568,907. This decrease was attributable to anet loss from operations of $6,127,176, coupled with redemptions of22,258.2931 Units totaling $35,475,387 and the distribution of interesttotaling $4,485,990 paid to the feeder funds, which was partiallyoffset by the additional sales of 4,409.5377 Units resulting in aninflow of $6,844,857. 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.

16

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Foreign currency contracts are thosecontracts where the Master agrees to receive or deliver a fixedquantity of foreign currency for an agreed-upon price on an agreedfuture date. Foreign currency contracts are valued daily, and theMaster's net equity therein, representing unrealized gain or losson the contracts as measured by the difference between the forwardforeign exchange rates at the date of entry into the contracts and theforward rates at the reporting dates, is included in the statement offinancial condition. Realized gains (losses) and changes in unrealizedvalues on foreign currency contracts of the Master are recognized inthe period in which the contract is closed or the changes occur and areincluded in the statements of income and expenses and Members'capital.

Results of Operations

During thePartnership's third quarter of 2006 the Net Asset Value perRedeemable Unit decreased 0.4% from $1,383.05 to $1,376.88 ascompared to an increase of 0.1% in the third quarter of 2005.The Partnership experienced a net trading gain before brokeragecommissions and related fees allocated from the Master in the thirdquarter of 2006 of $127,700. Gains were primarily attributable to theMaster's trading of commodity futures in energy, softs and U.S.and non-U.S. interest rates and were partially offset by losses incurrencies, metals, grains and indices. The Partnership experienced anet trading gain before brokerage commissions and related feesallocated from the Master in the third quarter of 2005 of $386,745.Gains were primarily attributable to the Master's trading ofcommodity futures in energy, grains, metals, softs, indices andlivestock and were partially offset by losses in currencies, U.S. andnon-U.S. interest rates.

During the third quarter of 2006, theMaster weathered some unfavorable conditions for the long-term trendfollowing approach. Geopolitical events, extreme weather conditions,and speculation over U.S. interest rate policy caused unfavorable priceactivity within the sectors traded by the Fund.

In the energysector, profits were captured when natural gas and crude oil pricestumbled as tensions in the Middle East eased and mild weather in theU.S. allowed inventories to climb toward an all-time high. The Masterposted modest profits in the fixed income market as U.S. treasuries hadtheir biggest quarterly gains in four years and European 10-year bondsposted their first quarterly gain since June 2005. 

Losses forthe Master were accumulated in currencies, grains, metals, and equityindices. The Master posted gains from trading in Japanese Yen as thedollar strengthened on speculation that Japan's central bankwould refrain from raising interest rates again this year. Despitemodest gains in August driven by higher global demand estimates, theprecious metals sector was unprofitable for the period as prevailingtrends reversed. Losses were accumulated as prices in grain marketsremained in longstanding ranges throughout the quarter. The Master alsosuffered losses in equity indices, many of which reversed to the upsideon decreased fears of inflation.

During the Partnership'snine months ended September 30, 2006, the Net Asset Value perRedeemable Unit decreased 11.3% from $1,552.78 to $1,376.88 ascompared to a decrease of 20.6% during the nine months endedSeptember 30, 2005. The Partnership experienced a net trading lossbefore brokerage commissions and related fees during the nine monthsended September 30, 2006 of $1,185,719. Losses were primarilyattributable to the Master's trading of commodity futures incurrencies, energy, grains and livestock and were partially offset bygains in U.S. and non-U.S. interest rates, metals, softs and indices.The Partnership experienced a net trading loss before brokeragecommissions and related fees during the nine months ended September 30,2005 of $4,289,993. Losses were primarily attributable to theMaster's trading of commodity futures in currencies, grains,metals, U.S. and non-U.S. interest rates and were partially offset bygains in softs, energy, livestock and indices.

Commodity futuresmarkets are 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.

17

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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 assets in cashand/or place all of the Master's assets in 90-day Treasury billsand pay the Partnership its allocated share of 80% of theinterest earned on the Treasury bills purchased. CGM will retain20% of any interest earned on Treasury bills. Interest incomefor the three and nine months ended September 30, 2006 increased by$18,567 and $95,645, respectively, as compared to the correspondingperiods in 2005. The increase in interest income is primarily due tohigher interest rates during the three and nine months ended September30, 2006 as compared to the corresponding periods in 2005.

Brokerage commissions are calculated on the Partnership'sadjusted net asset value on the last day of each month and are affectedby trading performance and redemptions. Accordingly, they must beanalyzed in relation to the fluctuations in the monthly net assetvalues. Commissions and fees for the three and nine months endedSeptember 30, 2006 decreased by $90,768 and $218,942, respectively, ascompared to the corresponding periods in 2005. The decrease inbrokerage commissions is due to lower average net assets during thethree and nine months ended September 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 nine months ended September 30, 2006decreased by $30,173 and $72,764, respectively, as compared to thecorresponding periods in 2005. The decrease in management fees is dueto lower average net assets during the three and nine months endedSeptember 30, 2006 as compared to the corresponding periods in2005.

Administrative fees are paid to the General Partner foradministering the business and affairs of the Partnership. These feesare calculated as a percentage of the Partnership's net assetvalue as of the end of each month and are affected by tradingperformance and redemptions. Administrative fees for the three and ninemonths ended September 30, 2006 decreased by $15,087 and $36,381,respectively, as compared to the corresponding periods in 2005. Thedecrease in administrative fees is due to lower average net assetsduring the three and nine months ended September 30, 2006 as comparedto the corresponding periods in 2005.

Incentive fees are based onthe new trading profits generated by the Advisor as defined in theadvisory agreement between the Partnership, the General Partner and theAdvisor. There were no incentive fees earned for the three and ninemonths ended September 30, 2006 and 2005.

18

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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 September 30, 2006 and the highest, lowest and average values at anypoint during the three months ended September 30, 2006. All openposition trading risk exposures of the Master have been included incalculating the figures set forth below. As of September 30, 2006, theMaster's total capitalization was $124,568,907. There have beenno material changes in the trading Value at Risk information previouslydisclosed in the Partnership's Annual Report on Form 10-K for theyear ended December 31, 2005.

September 30,2006(Unaudited)

|                                 |  |  |               |   |            |                          |  |  |                                      |  |        |                  |  |  |                       |   |           |  |  |  |  |   |           |  |  |  |  |   |           |  |
|---------------------------------|--|--|---------------|---|------------|--------------------------|--|--|--------------------------------------|--|--------|------------------|--|--|-----------------------|---|-----------|--|--|--|--|---|-----------|--|--|--|--|---|-----------|--|
|                            |  |  |          |   |            |                     |  |  | ThreeMonths Ended September 30, 2006 |
| MarketSector                    |  |  | Value at Risk |   |            | % of TotalCapitalization |  |  | High Value at Risk                   |  |        | Low Valueat Risk |  |  | AverageValue at Risk* |
| Currencies:                     |  |  |               |   |       |                          |  |  |                                      |  |   |                  |  |  |                       |   |      |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –OTCContracts             |  |  |               | $ | 4,491,675  |                          |  |  |                                      |  | 3.61   | %                |  |  |                       | $ | 7,701,275 |  |  |  |  | $ | 3,092,251 |  |  |  |  | $ | 4,523,925 |  |
| Energy                          |  |  |               |   | 1,703,200  |                          |  |  |                                      |  | 1.37   | %                |  |  |                       |   | 2,105,600 |  |  |  |  |   | 323,900   |  |  |  |  |   | 1,006,433 |  |
| Grains                          |  |  |               |   | 280,712    |                          |  |  |                                      |  | 0.22   | %                |  |  |                       |   | 377,335   |  |  |  |  |   | 58,860    |  |  |  |  |   | 191,991   |  |
| InterestRatesU.S.               |  |  |               |   | 1,309,400  |                          |  |  |                                      |  | 1.05   | %                |  |  |                       |   | 1,506,050 |  |  |  |  |   | 52,500    |  |  |  |  |   | 888,067   |  |
| InterestRatesNon-U.S.           |  |  |               |   | 4,940,202  |                          |  |  |                                      |  | 3.97   | %                |  |  |                       |   | 5,741,166 |  |  |  |  |   | 936,331   |  |  |  |  |   | 3,647,866 |  |
| Metals                          |  |  |               |   |       |                          |  |  |                                      |  |   |                  |  |  |                       |   |      |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –Exchange TradedContracts |  |  |               |   | 819,500    |                          |  |  |                                      |  | 0.66   | %                |  |  |                       |   | 852,000   |  |  |  |  |   | 42,000    |  |  |  |  |   | 566,167   |  |
| –OTCContracts             |  |  |               |   | 227,194    |                          |  |  |                                      |  | 0.18   | %                |  |  |                       |   | 227,194   |  |  |  |  |   | 74,149    |  |  |  |  |   | 125,255   |  |
| Softs                           |  |  |               |   | 599,060    |                          |  |  |                                      |  | 0.48   | %                |  |  |                       |   | 612,550   |  |  |  |  |   | 308,160   |  |  |  |  |   | 561,680   |  |
| Indices                         |  |  |               |   | 1,187,102  |                          |  |  |                                      |  | 0.95   | %                |  |  |                       |   | 2,319,636 |  |  |  |  |   | 991,460   |  |  |  |  |   | 1,520,845 |  |
| Total                           |  |  |               | $ | 15,558,045 |                          |  |  |                                      |  | 12.49  | %                |  |  |                       |   |      |  |  |  |  |   |      |  |  |  |  |   |      |  |
|                                 |

|  |
|--|
|  |  |
|  |

*   Averageof the month-end Values at Risk

19

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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.

20

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PART II. OTHER INFORMATION

Item 1.    Legal Proceedings

The followinginformation supplements and amends our discussion set forth under PartI, 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 quarters ended March 31, 2006 and June 30, 2006.

Enron Corp.

In light of the settlement of the securitiesclass action (Newby, et al. v. Enron Corp., et al.), theplaintiffs have agreed to dismiss the following lawsuits againstCitigroup and its affiliates: California Public Employees'Retirement System v. Banc of America Securities LLC, et al., HeadwatersCapital LLC v. Lay et al., and Variable Annuity Life Ins. Co. v.Credit Suisse First Boston Corp., et al. Plaintiffs in two othercases, which are not part of the Newby class, have alsovoluntarily dismissed their claims against Citigroup and itsaffiliates: Steiner v. Enron Corp., et al. and Town of NewHartford v. Lay, et al.

Research

On August 17,2006, the United States District Court for the Southern District of NewYork approved the class action settlement of Citigroup and itsaffiliates in In Re Salomon Analyst AT&T Litigation, and onSeptember 29, 2006 that same court approved the class actionsettlements in In Re Salomon Analyst Level 3 Litigation, In ReSalomon Analyst XO Litigation and In Re Salomon Analyst WilliamsLitigation. 

On September 14, 2006, Citigroup and itsaffiliates settled all claims in Sturm, et al. v. Citigroup, etal. The settlement was covered by existing reserves.

OnOctober 6, 2006, the United States Court of Appeals granted a review ofthe district court's decision certifying a plaintiff class inIn Re Salomon Analyst Metromedia Litigation.

AdelphiaCommunications Corporation

Defendant banks in In Re AdelphiaCommunications Corporation Securities and Derivative Litigation,including the Citigroup Parties, have entered into settlementagreements with the Los Angeles County Employees Retirement Associationand with The Division of Investment of the New Jersey Department ofTreasury. The Citigroup Parties' share of the settlement wascovered 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 EquitySecurities and Use of Proceeds

The following chart sets forththe purchases 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 |
| July 1, 2006–July 31,2006           |  |  |                                               |  | 97.6947  |                                           |  |  |                                                                                           | $ | 1,287.86 |                                                                                                                    |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
| August1, 2006 –August 31,2006       |  |  |                                               |  | 70.0782  |                                           |  |  |                                                                                           | $ | 1,384.53 |                                                                                                                    |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
| September1, 2006 –September 30,2006 |  |  |                                               |  | 152.5932 |                                           |  |  |                                                                                           | $ | 1,376.88 |                                                                                                                    |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
|                                      |  |  |                                               |  | 320.3661 |                                           |  |  |                                                                                           | $ | 1,349.76 |                                                                                                                    |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
|                                           |

|  |                                                                                                                                                                                                       |
|--|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | *Generally, Limited Partners are permitted to redeem their RedeemableUnits as of the end of each month on 10 days' notice to theGeneral Partner. Under certain circumstances, the General Partner can |

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|  |                                                                                                                                                                                                                                                                                         |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | compel redemption but to date the GeneralPartner has not exercised this right. Purchases of Redeemable Units bythe Partnership reflected in the chart above were made in the ordinarycourse of the Partnership's business in connection with effectingredemptions for Limited Partners. |

|  |                                                                                                                                          |
|--|------------------------------------------------------------------------------------------------------------------------------------------|
|  | **Redemptions of Redeemable Units are effected as of the last day of eachmonth at the Net Asset Value per Redeemable Unit as of thatday. |

Item 3.    Defaults Upon Senior Securities– None

Item 4.    Submission of Matters to aVote of Security Holders – None

Item5.    Other Information – None

Item6.    Exhibits

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The exhibits required tobe filed by Item 601 of Regulation S-K are incorporated herein byreference to the exhibit index of the Partnership's Annual Reporton Form 10-K for the period ended December 31, 2005. |

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

Exhibit – 31.2 – Rule 13a-14(a)/15d-14(a)Certifications (Certifications of Chief Financial Officer andDirector)

Exhibit – 32.1 – Section 1350Certifications(Certification of President and Director)

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

22

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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:  |  |  | November 14,2006                                   |
| By:    |  |  | /s/Jennifer Magro                                  |
|   |  |  | Jennifer Magro ChiefFinancial Officer and Director |
| Date:  |  |  | November 14,2006                                   |
|        |

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