FORM 10-Q

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

                 (X) QUARTERLY REPORT UNDER SECTION 13 OR 15(d)

                     OF THE SECURITIES EXCHANGE ACT OF 1934

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

                     OF THE SECURITIES EXCHANGE ACT OF 1934



For The Quarter Ended March 31, 2004
                      --------------

Commission File Number 0-50271
                       -------

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
             (Exact name of registrant as specified in its charter)

              New York                                   22-3644546
  (State or other jurisdiction of                    (I.R.S. Employer
  incorporation or organization)                    Identification No.)

                        c/o Citigroup Managed Futures LLC
                           399 Park Avenue. - 7th Fl.
                            New York, New York 10022
              (Address and Zip Code of principal executive offices)

                                 (212) 559-2011
              (Registrant's telephone number, including area code)

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

                                    Yes X   No
                                       ---     -----

Indicate  by check mark  whether  the  registrant  is an  accelerated  filer (as
defined in Rule 12b-2 of the Exchange Act).

                                    Yes X    No
                                       ---     -----



<PAGE>




                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                                    FORM 10-Q
                                      INDEX

                                                                  Page
                                                                 Number

PART I - Financial Information:

     Item 1.  Financial Statements:

              Statements of Financial Condition at
              March 31, 2004  and December 31,
              2003 (unaudited).                                       3

              Condensed Schedules of Investments
              at March 31, 2004 and December 31,
              2003 (unaudited).                                     4 - 5

              Statements of Income and Expenses
              and Partners' Capital for the three
              months ended March 31, 2004
              and 2003 (unaudited).                                   6

              Statements of Cash Flows for the three months
              ended March 31, 2004 and 2003 (unaudited).              7

              Notes to Financial Statements,
              including the Financial Statements
              of SB AAA Master Fund LLC (unaudited).                8 - 18

     Item 2.  Management's Discussion and Analysis
              of Financial Condition and Results of
              Operations.                                          19 - 22

     Item 3.  Quantitative and Qualitative
              Disclosures about Market Risk                        23 - 25

     Item 4.  Controls and Procedures                                26

PART II - Other Information                                          27

                                       2
<PAGE>


                                     PART I
                          Item 1. Financial Statements

                  Salomon Smith Barney Orion Futures Fund L.P.
                        Statements of Financial Condition
                                   (Unaudited)

<TABLE>
<CAPTION>
<S>                                                                             <C>             <C>
                                                                             March 31,       December 31,
                                                                                2004             2003
                                                                           -------------    -----------
Assets:
Investment in Master, at fair value                                         $ 36,354,369   $ 33,531,892
Cash (restricted $14,156,536  and $13,779,146 in 2004 and 2003,
   respectively) in commodity futures trading account                         62,242,650     50,594,930
Net unrealized appreciation on open futures positions                          7,765,522      5,706,691
Unrealized appreciation on open forward contracts                                421,440      1,928,011
                                                                            ------------   ------------
                                                                             106,783,981     91,761,524
Interest receivable
                                                                                  55,716         40,059
                                                                            ------------   ------------
                                                                            $106,839,697   $ 91,801,583
                                                                             ===========    ============

Liabilities and Partners' Capital:
Liabilities:
Unrealized depreciation on open forward contracts                           $    140,500   $    638,809
 Accrued expenses:
  Commissions                                                                    194,868        160,866
  Management fees                                                                165,333        142,083
  Administrative fees                                                             45,061         38,612
  Incentive fees                                                               1,579,063        539,454
  Other                                                                          102,632         76,910
  Redemptions payable                                                          2,292,222      2,735,869
                                                                             -----------    ------------
                                                                               4,519,679      4,332,603
                                                                             -----------    ------------

Partners' capital:
General Partner, 725.6052 and 499.8084 Unit equivalents
  outstanding in 2004 and 2003, respectively                                     899,954        549,884
Limited Partners, 81,771.5860 and 79,003.6728 Redeemable Units of
  Limited Partnership Interest outstanding in 2004 and 2003, respectively    101,420,064     86,919,096
                                                                            ------------   ------------
                                                                             102,320,018     87,468,980
                                                                            ------------   ------------
                                                                            $106,839,697   $ 91,801,583
                                                                             ===========    ============
</TABLE>

See Accompanying Notes to Unaudited Financial Statements.


                                       3

<PAGE>



                  Salomon Smith Barney Orion Futures Fund L.P.
                        Condensed Schedule of Investments
                                 March 31, 2004
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                               <C>                                            <C>
Sector                                       Contract                                         Fair Value
-------------------------------------------- -----------------------------------             -----------
Currencies
                                         Futures contracts sold 0.05%                           $49,632
                                         Futures contracts purchased  0.07%                      75,054
                                                                                             ----------
   Total Currencies  0.12%                                                                      124,686
                                                                                             ----------

Total Energy  0.21%                      Futures contracts purchased  0.21%                     213,209
                                                                                             ----------

Total Grains  4.49%                      Futures contracts purchased  4.49%                   4,598,135
                                                                                             -----------

Total Interest Rates U.S. 0.46%          Futures contracts purchased  0.46%                     469,004
                                                                                             ----------
Interest Rates Non-U.S.
                                         Futures contracts sold  0.01%                            3,813
                                         Futures contracts purchased  1.03%                   1,057,838
                                                                                             ----------
   Total Interest Rates Non-U.S. 1.04%                                                        1,061,651
                                                                                             ----------


Total Lumber 0.01%                       Futures contracts purchased   0.01%                     10,021
                                                                                              ---------
Livestock
                                         Futures contracts sold (0.03)%                         (27,550)
                                         Futures contracts purchased   0.14%                    142,190
                                                                                              ---------
   Total Livestock 0.11%                                                                        114,640
                                                                                              ---------
Metals
                                         Futures contracts purchased  1.10%                   1,125,540

                                         Unrealized depreciation on forward contracts (0.14)%  (140,500)
                                         Unrealized appreciation on forward contracts 0.41%     421,440
                                                                                              ---------
                                           Total forward contracts  0.27%                       280,940
                                                                                            -----------
   Total Metals   1.37%                                                                       1,406,480
                                                                                            -----------
Softs
                                         Futures contracts sold  0.02%
                                                                                                 18,713
                                         Futures contracts purchased (0.13)%                   (135,709)
                                                                                             ----------
   Total Softs  (0.11)%                                                                        (116,996)
                                                                                             ----------
Total Indices  0.16%                     Futures contracts purchased  0.16%                     165,632
                                                                                             ----------
Total Fair Value  7.86%                                                                      $8,046,462
                                                                                            ===========

                       Investments        % of Investments
Country Composition   at Fair Value        at Fair Value
--------------------  -------------   -----------------
Australia            $   (39,601)         (0.49)%
Canada                   117,574           1.46
France                     8,148           0.10
Germany                  981,578          12.20
Hong Kong                  4,543           0.06
Italy                      5,143           0.06
Japan                     17,736           0.22
Spain                     16,160           0.20
United Kingdom           275,582           3.43
United States          6,659,599          82.76
                       ---------          -----
                   $   8,046,462         100.00 %
                     ===========         ======
</TABLE>

Percentages are based on Partners' Capital unless otherwise indicated
See Accompanying Notes to Unaudited Financial Statements

                                       4
<PAGE>

                           Salomon Smith Barney Orion
                                Futures Fund L.P.
                        Condensed Schedule of Investments
                                December 31, 2003
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                  <C>                                                  <C>
Sector                                             Contract                                          Fair Value
------                                             --------                                          ----------
Currencies                                     Futures contracts sold (0.04)%                         $(34,802)
                                               Futures contracts purchased 3.12%                     2,726,064
                                                                                                     ---------
   Total Currencies 3.08%                                                                            2,691,262
                                                                                                     ---------

Total Energy (0.05)%                           Futures contracts purchased (0.05)%                     (47,000)
                                                                                                      --------

Grains                                         Futures contracts sold (0.12)%                         (107,275)
                                               Futures contracts purchased 1.70%                     1,487,795
                                                                                                      ---------
   Total Grains 1.58%                                                                                1,380,520
                                                                                                      ---------

Total Interest Rates U.S. (0.15)%              Futures contracts purchased (0.15)%                    (129,958)
                                                                                                      --------
Interest Rates Non-U.S.
                                               Futures contracts sold (0.00)%*                            (343)
                                               Futures contracts purchased 0.70%                       617,411
                                                                                                      --------
   Total Interest Rates Non-U.S. 0.70%                                                                 617,068
                                                                                                      --------

Total Lumber 0.01%                             Futures contracts purchased 0.01%                         6,402
                                                                                                      --------

Livestock
                                               Futures contracts sold 0.01%                              5,570
                                               Futures contracts purchased (0.03)%                     (25,410)
                                                                                                      --------
   Total Livestock (0.02)%                                                                             (19,840)
                                                                                                      --------

Metals
                                               Futures contracts sold (0.00)%*                          (3,655)
                                               Futures contracts purchased 0.96%                       842,863
                                                                                                      --------
                                                  Total futures contracts 0.96%                        839,208

                                               Unrealized depreciation on forward contracts (0.73)%   (638,809)
                                               Unrealized appreciation on forward contracts 2.20%    1,928,011
                                                                                                      ---------
                                                  Total forward contracts 1.47%                      1,289,202
                                                                                                      ---------
   Total Metals 2.43%                                                                                2,128,410
                                                                                                      ---------

Softs                                          Futures contracts sold 0.06%                             56,990
                                               Futures contracts purchased (0.18)%                    (159,535)
                                                                                                      --------
   Total Softs (0.12)%                                                                                (102,545)
                                                                                                      --------

Total Indices 0.54%                            Futures contracts purchased 0.54%                       471,574
                                                                                                      --------

Total Fair Value 8.00%                                                                              $6,995,893
                                                                                                     =========

                                       Investments at Fair              % of Investments at Fair
Country Composition                           Value                               Value
------------------                      -----------------                 ----------------------
Australia                                    $141,159                               2.02%
Canada                                         83,342                               1.19
France                                         30,769                               0.44
Germany                                       309,378                               4.42
Hong Kong                                       7,903                               0.11
Italy                                         (20,955)                             (0.30)
Japan                                          44,926                               0.64
Spain                                          22,028                               0.32
United Kingdom                              1,802,208                              25.76
United States                               4,575,135                              65.40
                                            ---------                           --------
                                           $6,995,893                             100.00%
                                            =========                             ======
</TABLE>

Percentages are based on Partners' Capital unless otherwise indicated.
* Due to rounding.
See Accompanying Notes to Unaudited Financial  Statements.

                                       5
<PAGE>




                  Salomon Smith Barney Orion Futures Fund L.P.
             Statements of Income and Expenses and Partners' Capital
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                                <C>                     <C>
                                                                        Three Months Ended
                                                                              March 31,
                                                               ---------------------------------------
                                                                     2004                     2003
                                                               ---------------------------------------
Income:
  Realized gains (losses) on closed positions from Master     $   3,329,718             $ (11,896,724)
  Change in unrealized gains (losses) on open positions
   from Master                                                      (66,980)                2,244,096
  Interest income allocated from Master                              75,561                    81,802
  Expenses allocated from Master                                   (327,392)                 (619,832)
  Net gains (losses) on trading of commodity interests:
  Realized gains on closed positions                             10,331,814                10,629,570
  Change in unrealized gains (losses) on open positions           1,050,569                (6,566,406)
                                                               ------------             -------------
                                                                 14,393,290                (6,127,494)
  Interest income                                                   144,011                   142,912
                                                                ----------              -------------
                                                                 14,537,301                (5,984,582)
                                                                -----------             -------------
Expenses:
  Brokerage commissions including clearing fees
   of $72,360 and $118,128, respectively                            590,499                   384,495
  Management fees                                                   461,474                   371,280
  Administrative fees                                               125,844                    92,821
  Incentive fees                                                  1,579,063                   298,424
  Other expenses                                                     29,222                    25,412
                                                                -----------              -------------
                                                                  2,786,102                 1,172,432
                                                                ----------               -------------

Net income (loss)                                                11,751,199                (7,157,014)
Additions - General Partner                                         280,051                         -
          - Limited Partners                                      8,517,000                23,600,000
Redemptions                                                      (5,697,212)               (7,822,446)
                                                                -----------               -------------
  Net increase in Partners' capital                              14,851,038                 8,620,540

Partners' capital, beginning of period                           87,468,980                62,152,799
                                                                -----------              -------------

Partners' capital, end of period                              $ 102,320,018             $  70,773,339
                                                                ==========               =============
Net asset value per redeemable Unit
  (82,497.1912 and 66,121.3710 Redeemable Units
     outstanding at March 31, 2004 and 2003, respectively)    $    1,240.28             $    1,070.35
                                                                 ==========             =============

Net gain (loss)  per Redeemable Unit of Limited Partnership
  Interest and General Partner Unit equivalent                $      140.09             $      (90.47)
                                                                ===========              =============
</TABLE>

See Accompanying Notes to Unaudited Financial Statements


                                        6
<PAGE>

                  Salomon Smith Barney Orion Futures Fund L.P.
                            Statements of Cash Flows
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                                            <C>              <C>
                                                                                Three Months Ended
                                                                                     March 31,
                                                                           -----------------------------
                                                                               2004             2003
                                                                           ----------       ------------

Cash flows from operating activities:
 Net income (loss)                                                        $ 11,751,199    $ (7,157,014)
 Adjustments to reconcile net income (loss) to net cash
    provided by operating activities:
  Changes in operating assets and liabilities:
    Investment in Master Fund, at fair value                                (2,822,477)      2,611,819
    Net unrealized appreciation (depreciation) on open futures positions    (2,058,831)      6,566,406
    Unrealized appreciation on open forward contracts                        1,506,571               -
    Increase in interest receivable                                            (15,657)        (20,549)
    Unrealized depreciation on open forward contracts                         (498,309)              -
    Accrued Expenses:
     Increase in commissions                                                    34,002          21,347
     Increase in management fees                                                23,250          20,662
     Increase in administrative fees                                             6,449           5,166
     Increase in incentive fees                                              1,039,609          25,467
     Increase in other                                                          25,722          20,186
    Increase (decrease) redemptions payable                                   (443,647)      3,492,478
                                                                          ------------    ------------
    Net cash provided by operating activities                                8,547,881       5,585,968
                                                                          ------------     ------------
Cash flows from financing activities:
 Proceeds from additions                                                     8,797,051      23,600,000
 Payments for redemptions                                                   (5,697,212)     (7,822,446)
                                                                          ------------     ------------
    Net cash provided by  financing activities                               3,099,839      15,777,554
                                                                          ------------     ------------
    Net change in cash                                                      11,647,720      21,363,522
    Cash, at beginning of period                                            50,594,930      32,697,307
                                                                          ------------    ------------
    Cash, at end of period                                                $ 62,242,650    $ 54,060,829
                                                                           ===========     ============
</TABLE>

See Accompanying Notes to Unaudited Financial Statements


                                       7
<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)


1. General:

     Salomon  Smith Barney  Orion  Futures Fund L.P.  (the  "Partnership")  is a
limited  partnership  organized on March 22, 1999 under the partnership  laws of
the State of New York to  engage in the  speculative  trading  of a  diversified
portfolio of  commodity  interests,  including  options,  commodity  futures and
forward contracts on United States exchanges and certain foreign exchanges.  The
Partnership  may trade commodity  futures and options  contracts of any kind but
currently  trades solely energy and energy related  products.  In addition,  the
Partnership  may enter  into swap  contracts  on energy  related  products.  The
commodity  interests that are traded by the Partnership are volatile and involve
a high degree of market risk.

     Between March 31, 1999  (commencement  of the offering period) and June 10,
1999,  10,499  redeemable  units of Limited  Partnership  Interest  ("Redeemable
Units") and 106 Unit equivalents representing the general partner's contribution
were sold at $1,000 per Redeemable  Unit. The proceeds of the offering were held
in an escrow account until June 10, 1999, at which time they were turned over to
the  Partnership  for trading.  The  Partnership  continues to offer  Redeemable
Units.

     Citigroup  Managed  Futures LLC,  formerly Smith Barney Futures  Management
LLC, a Delaware limited liability company, is the Partnership's  general partner
and commodity pool operator ("the General Partner"). The  Partnership's/Master's
commodity  broker is Citigroup  Global Markets Inc.  ("CGM"),  formerly  Salomon
Smith  Barney  Inc.  CGM is an  affiliate  of the General  Partner.  The General
Partner is wholly owned by Citigroup  Global  Markets  Holdings Inc.  ("CGMHI"),
formerly Smith Barney Holdings Inc.,  which is the sole owner of CGM. CGMHI is a
wholly owned subsidiary of Citigroup Inc.  ("Citigroup").  As of March 31, 2004,
all trading  decisions are made by Willowbridge  Associates Inc., Winton Capital
Management and AAA Capital Management, Inc. (collectively, the "Advisors").

     Effective  September 1, 2001, the Partnership  allocated the portion of the
Partnership's capital that was allocated to AAA Capital Management, Inc. ("AAA")
for trading to the SB AAA Master Fund LLC, a New York Limited  Liability Company
(the "Master").  With this cash, the Partnership  purchased  5,173.4381 Units of
the  Master at a fair  value of  $5,173,438.  The  Master was formed in order to
permit commodity pools managed now or in the future by AAA using the Energy with
Swaps Program, to invest together in one trading vehicle. The General Partner is
the managing  member of the Master.  Individual  and pooled  accounts  currently
managed by AAA,  including the Partnership  (collectively,  the "Feeder Funds"),
are permitted to be non-managing  members of the Master. The General Partner and
AAA believe that trading  through this  master/feeder  structure  should promote
efficiency and economy in the trading process. Expenses to investors as a result
of the investment in the Master are approximately the same and redemption rights
are not affected.

                                       8
<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)


     As of March 31,  2004,  the  Partnership  owns  approximately  13.9% of the
Master.  The  performance  of  the  Partnership  is  directly  affected  by  the
performance  of the Master.  The  Master's  Statement  of  Financial  Condition,
Statement of Income and Expenses and  Members'  Capital,  Condensed  Schedule of
Investments and Statements of Cash Flows are included herein.

     The accompanying  financial statements are unaudited but, in the opinion of
management,  include  all  adjustments,  consisting  only  of  normal  recurring
adjustments,  necessary for a fair presentation of the  Partnership's  financial
condition  at March  31,  2004 and  December  31,  2003 and the  results  of its
operations  and cash flows for the three  months  ended March 31, 2004 and 2003.
These  financial  statements  present the results of interim  periods and do not
include all disclosures  normally provided in annual financial  statements.  You
should read these financial  statements  together with the financial  statements
and notes  included in the  Partnership's  Annual Report on Form 10-K filed with
the Securities and Exchange Commission for the year ended December 31, 2003.

     Due to the nature of commodity  trading,  the results of operations for the
interim  periods  presented  should not be considered  indicative of the results
that may be expected for the entire year.

     Certain prior period amounts have been  reclassified  to conform to current
period presentation.


                                       9
<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)


     The Master's  Statements  of  Financial  Condition as of March 31, 2004 and
December 31, 2003,  Condensed  Schedules of Investments as of March 31, 2004 and
December 31, 2003,  Statements  of Income and Expenses and Members'  Capital and
Statements  of Cash Flows for the three months ended March 31, 2004 and 2003 are
presented below:

                             SB AAA Master Fund LLC
                        Statements of Financial Condition
                                  (Unaudited)
<TABLE>
<CAPTION>
<S>                                                                     <C>           <C>
                                                                     March 31,    December 31,
                                                                      2004           2003
                                                                 ------------    --------------
Assets:
  Equity in commodity futures trading account:
   Cash (restricted $31,423,756 and  $48,471,997, respectively)   $250,595,531   $231,361,103
   Net unrealized appreciation on open futures positions             8,109,469      8,845,539
   Unrealized appreciation on open swaps positions                  40,162,655     50,093,912
   Commodity options owned, at fair value
    (cost $30,530,491 and $49,687,512, respectively)                36,117,993     42,630,230
                                                                  ------------   ------------
                                                                   334,985,648    332,930,784
   Due from brokers                                                  1,011,299      2,148,690
   Interest receivable                                                 170,348        159,050
                                                                  ------------   ------------

                                                                  $336,167,295   $335,238,524
                                                                  ============   ============
Liabilities and Members' Capital:
 Liabilities:
  Unrealized depreciation on open swap positions                  $ 27,993,038   $ 18,654,566
  Commodity options written, at market value
   (premium received $41,392,687 and $47,549,852, respectively)     45,325,611     57,804,597
  Accrued expenses:
    Commissions                                                      1,733,248      1,670,425
    Professional fees                                                   51,065         59,625
  Due to brokers                                                       336,875      1,815,015
  Due to CGM                                                            22,978         22,978
  Distribution payable                                                 167,702        153,681
                                                                  ------------   ------------
                                                                    75,630,517     80,180,887
                                                                  ------------   ------------
Members' Capital:
  Members' Capital, 198,036.9344 and 211,023.7320 Units
   outstanding in 2004 and 2003, respectively                      260,536,778    255,057,637
                                                                  ------------   ------------
                                                                  $336,167,295   $335,238,524
                                                                  ============   ============
</TABLE>


                                       10

<PAGE>

                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)

                             SB AAA Master Fund LLC
                        Condensed Schedule of Investments
                                 March 31, 2004
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>            <C>           <C>                                                     <C>
           Number of
Sector      Contracts   Contract                                                  Fair Value
-------   ----------    -----------------------------------                       ----------
Energy                  Futures contracts purchased 12.09%
             4,601      NYMEX Natural Gas Jun. 04 - Mar. 06 11.42%               $29,747,052
                        Other  0.67%                                               1,738,999

                        Futures contracts sold (8.97)%                           (23,376,582)
                                                                                 ------------
                          Total futures contracts 3.12%                            8,109,469

                        Options owned 13.86%
             6,318      NYMEX Natural Gas May 04 - Apr.05  9.37%                  24,408,789
                        Other  4.49%                                              11,709,204
                                                                                  ----------
                                                                                  36,117,993
                        Options written (17.40)%
             4,529      NYMEX Natural Gas May 04 - Dec. 04 (11.39)%              (29,673,208)
                        Other  (6.01)%                                           (15,652,403)
                                                                                 ------------
                                                                                 (45,325,611)
                        Unrealized appreciation on Swaps contracts 15.41%
                        NYMEX Gasoline Dec. 05 5.41%                              14,104,977
                        Other 10.00%                                              26,057,678
                                                                                  ----------
                                                                                  40,162,655
                        Unrealized depreciation on Swaps contracts  (10.74)%
                        NYMEX Gasoline Dec. 05 (7.47)%                           (19,457,370)
                        Other (3.27)%                                             (8,535,668)
                                                                                 ------------
                                                                                 (27,993,038)
                                                                                 ------------
Total Energy Fair Value 4.25%                                                    $11,071,468
                                                                                 ===========

                                               Investments at                  % of Investments at
Country Composition                             Fair Value                         Fair Value
--------------------                           -------------                     ------------
United Kingdom                                   $  (618,055)                        (5.58)%
United States                                     11,689,523                        105.58
                                                 -----------                        -------
                                                $ 11,071,468                        100.00%
                                                ============                        ======
</TABLE>




Percentages are based on Members' Capital unless otherwise indicated


                                       11

<PAGE>



                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)

                             SB AAA Master Fund LLC
                        Condensed Schedule of Investments
                                December 31, 2003
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                    <C>         <C>                                                                <C>
                    Number of
Sector              Contracts    Contract                                                         Fair Value
------              ---------    --------                                                        ------------
Energy                           Futures contracts purchased 5.35%                                $13,637,465
                                 Futures contracts sold (1.88)%                                    (4,791,926)
                                                                                                  -----------
                                   Total futures contracts 3.47%                                    8,845,539

                                 Options owned 16.71%
                    6,488        NYMEX Natural Gas Put Feb. 04 - Oct. 04  8.98%                    22,900,060
                                 Other 7.73%                                                       19,730,170
                                                                                                  -----------
                                                                                                   42,630,230
                                 Options written (22.66)%
                    7,335        NYMEX Natural Gas Call Feb. 04 - Dec. 04 (16.04)%                (40,916,710)
                                 Other (6.62)%                                                    (16,887,887)
                                                                                                  -----------
                                                                                                  (57,804,597)
                                 Unrealized appreciation on Swaps contracts 19.64%
                    1,000        HH Natural Gas Feb. 04  8.22%                                     20,967,521
                                 Other 11.42%                                                      29,126,391
                                                                                                  -----------
                                                                                                   50,093,912

                                 Unrealized depreciation on Swaps contracts (7.31)%               (18,654,566)
                                                                                                  -----------
Total Energy Fair Value 9.85%                                                                     $25,110,518
                                                                                                  ===========

                                                      Investments at      % of Investments at
        Country Composition                             Fair Value            Fair Value
        --------------------                          --------------         ---------------

        United Kingdom                                    $(113,943)            (0.45)%
        United States                                    25,224,461            100.45
                                                        -----------            ------
                                                        $25,110,518            100.00%
                                                         ==========            ======
</TABLE>
Percentages are based on Members' Capital unless otherwise indicated.

                                       12
<PAGE>





                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)


                             SB AAA MASTER FUND LLC
             Statements of Income and Expenses and Memebers' Capital
                                   (Unaudited)


<TABLE>
<CAPTION>
<S>                                                         <C>             <C>
                                                           Three Months Ended
                                                                March 31,
                                                     -------------------------------
                                                             2004          2003
                                                      ----------------------------

Income:
 Net gains (losses) on trading of commodity
   interests:
 Realized gains (losses) on closed positions         $  24,591,283    $(143,773,821)
 Change in unrealized gains (losses) on open
   positions                                            (1,039,194)      32,010,513
                                                     -------------    -------------
                                                        23,552,089     (111,763,308)
 Interest income                                           459,513          822,408
                                                     -------------    -------------
                                                        24,011,602     (110,940,900)
                                                     -------------    -------------
Expenses:
 Brokerage commissions including clearing fees
   of  $269,728 and $1,036,546, respectively             2,327,297        6,497,159
 Other expenses                                             11,740            9,194
                                                     -------------    -------------
                                                         2,339,037        6,506,353
                                                     -------------    -------------
 Net income (loss)                                      21,672,565     (117,447,253)

 Additions                                               1,539,508       32,986,186
 Redemptions                                           (17,282,974)     (21,494,026)
 Distribution of interest to feeder funds                 (449,958)        (780,227)
                                                     -------------    -------------
Net increase (decrease) in Members Interest              5,479,141     (106,735,320)

Members' capital, beginning of period                  255,057,637      350,283,453
                                                      ------------    -------------
Members' capital, end of period                      $ 260,536,778    $ 243,548,133
                                                     =============    =============
Net asset value per Unit
  (198,036.9344 and 224,062.2088 Units outstanding
  in March 31, 2004 and 2003, respectively)          $    1,315.61    $    1,086.49
                                                     =============    =============

Net income (loss) per Unit of Member Interest        $      109.18    $     (530.48)
                                                     =============    =============
</TABLE>



                                       13
<PAGE>

                   Salomon Smith Barney Orion Futures und L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)

                             SB AAA Master Fund LLC
                            Statements of Cash Flows
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                                  <C>                 <C>
                                                                       Three Months Ended
                                                                          March 31,
                                                              -------------------------------------
                                                                   2004                2003
                                                              ---------------     ----------------


Cash flows from operating activities:
     Net income (loss)                                           $21,672,565        $(117,447,253)
     Adjustments to reconcile net income (loss) to net cash
       provided by (used in) operating activities:
        Changes in operating assets and liabilities:
          Net unrealized appreciation on open futures positions      736,070           15,511,411
          Unrealized appreciation on open swaps positions          9,931,257           (7,200,789)
          Commodity options owned, at fair value                   6,512,237          (18,025,816)
          Due from brokers                                         1,137,391           (1,331,133)
          (Increase) decrease in interest receivable                 (11,298)              44,349

          Unrealized depreciation on open swaps positions          9,338,472          (17,803,498)
          Commodity options written, at fair value               (12,478,986)         (13,542,641)
          Accrued Expenses:
           Increase (decrease) in commissions                         62,823           (1,672,096)
           Increase (decrease) in professional fees                   (8,560)               9,193
           Due to brokers                                         (1,478,140)           7,163,242
          Increase (decrease)in distribution of
             interest to feeder funds                                 14,021              (42,499)
                                                              ---------------     ----------------
              Net cash provided by (used in) operating
               activities                                         35,427,852         (154,337,530)
                                                              ---------------     ----------------
Cash flows from financing activities:
     Proceeds from additions                                       1,539,508           32,986,186
     Payments for redemptions                                    (17,282,974)         (21,494,026)
     Distribution of interest to feeder funds                       (449,958)            (780,227)
                                                              ---------------     ----------------
              Net cash provided by (used in) financing
               activities                                        (16,193,424)          10,711,933
                                                              ---------------     ----------------
              Net change in cash                                  19,234,428         (143,625,597)
              Cash, at beginning of period                       231,361,103          330,218,077
                                                              ---------------     ----------------
              Cash, at end of period                            $250,595,531        $ 186,592,480
                                                              ===============     ================
</TABLE>




                                       14
<PAGE>

                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)


2.   Financial Highlights:

     Changes in Net Asset Value per Redeemable Unit of Partnership  Interest for
the three months ended March 31, 2004 and 2003 were as follows:


<TABLE>
<CAPTION>
<S>                                                                 <C>         <C>
                                                                  Three Months Ended
                                                                 2004          2003
                                                               ---------    ---------

Net realized  and unrealized gains (losses)*                  $  163.67     $ (78.40)
Interest income                                                    2.61         3.55
Expenses**                                                       (26.19)      (15.62)
                                                               ---------    ---------
Increase (decrease) for the period                               140.09       (90.47)

Net Asset Value per Redeemable Unit, beginning of period       1,100.19     1,160.82
                                                               ---------    ---------
Net Asset Value per Redeemable Unit, end of period           $ 1,240.28   $ 1,070.35
                                                               ========     =========

*    Includes  Partnership   brokerage  commissions  and  brokerage  commissions
     allocated from Master.

**   Excludes  Partnership   brokerage  commissions  and  brokerage  commissions
     allocation from Master.


Ratios to average net assets:***
  Net investment loss before incentive fees****     (5.6)%  (7.4)%
                                                    ====     ===

  Operating expenses                                 6.5%    8.7%
  Incentive fees                                     1.7%    0.4%
                                                     ----    ---
   Total expenses                                    8.2%    9.1%
                                                     ====    ===

Total return:
   Total return before incentive fees               14.5%   (7.4)%
   Incentive fees                                   (1.8)%  (0.4)%
                                                    ----     ---
   Total return after incentive fees                12.7%   (7.8)%
                                                    ====     ===

</TABLE>

***  Annualized (other than incentive fee)
**** Interest income less total expenses (exclusive of incentive fees)

The  above  ratios  may vary for  individual  investors  based on the  timing of
capital transactions during the year. Additionally,  these ratios are calculated
for the  Limited  Partner  class using the  Limited  Partners'  share of income,
expenses and average net assets.

                                       15

<PAGE>



                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)

Financial Highlights of the Master:
<TABLE>
<CAPTION>
<S>                                                    <C>          <C>
                                                     Three Months Ended
                                                   -------------------------
                                                        2004         2003
                                                   -----------  -----------
Net realized  and unrealized gains (losses)*         $ 106.95    $ (534.16)
Interest income                                          2.27         3.72
Expenses**                                              (0.04)       (0.04)
                                                   ----------   ----------
Increase (decrease) for the period                     109.18      (530.48)
Distributions                                           (2.23)       (3.52)
Net Asset Value per Unit, beginning of period        1,208.66     1,620.49
                                                   -----------  -----------

Net Asset Value per Unit, end of period            $ 1,315.61   $ 1,086.49
                                                   ==========   ===========

* Includes brokerage commissions
** Excludes brokerage commissions


Ratios to average net assets:***
  Net investment loss ****                               (3.0)%       (7.6)%
                                                   ===========  ===========

  Operating expenses                                      3.7%         8.7%
                                                   ===========  ===========

  Total return:                                           9.0%       (32.7)%
                                                   ===========  ===========
</TABLE>


*** Annualized
**** Interest income less total expenses


The  above  ratios  may vary for  individual  investors  based on the  timing of
capital transactions during the year.

                                       16


<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)


3.   Trading Activities:

     The  Partnership  was formed for the  purpose  of  trading  contracts  in a
variety of commodity interests,  including derivative financial  instruments and
derivative  commodity  instruments.  The  results of the  Partnership's/Master's
trading  activities  are shown in the  Statements  of Income  and  Expenses  and
Partners'  Capital and are  discussed  in Item 2,  Management's  Discussion  and
Analysis of Financial Condition and Results of Operations.

     The respective  Customer Agreements between the Partnership and CGM and the
Master and CGM give the  Partnership  and the  Master,  respectively,  the legal
right to net unrealized gains and losses.

     All of the  commodity  interests  owned  by the  Partnership  are  held for
trading  purposes.  The average fair values of these interests  during the three
and twelve months ended March 31, 2004 and December 31, 2003, based on a monthly
calculation,  were $7,799,192 and $4,553,850,  respectively.  The fair values of
these commodity  interests,  including options and swaps thereon, if applicable,
at March  31,  2004 and  December  31,  2003  were  $8,046,462  and  $6,995,893,
respectively.  Fair values for exchange traded commodity futures and options are
based on quoted market prices for those futures and options. Fair values for all
other  financial  instruments  for  which  market  quotations  are  not  readily
available are based on calculations approved by the General Partner.

4.   Financial Instrument Risk:

     In the normal course of its business the Partnership directly,  and through
its investment in the Master, is party to financial instruments with off-balance
sheet risk, including derivative financial  instruments and derivative commodity
instruments.  These financial instruments may include forwards, futures, options
and swaps, whose values are based upon an underlying asset,  index, or reference
rate, and generally  represent future commitments to exchange currencies or cash
flows, or to purchase or sell other  financial  instruments at specific terms at
specified future dates, or, in the case of derivative  commodity  instruments to
have a reasonable  possibility to be settled in cash,  through physical delivery
or with another  financial  instrument.  These  instruments  may be traded on an
exchange  or   over-the-counter   ("OTC").   Exchange  traded   instruments  are
standardized and include futures and certain option contracts. OTC contracts are
negotiated between contracting parties and include forwards and certain options.
Each of these  instruments  is subject to various risks similar to those related
to the underlying  financial  instruments  including  market and credit risk. In
general,  the  risks  associated  with OTC  contracts  are  greater  than  those


                                       17
<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                          Notes to Financial Statements
                                 March 31, 2004
                                   (Unaudited)
                                   (Continued)


associated  with  exchange  traded  instruments  because of the greater  risk of
default by the counterparty to an OTC contract.  The Master's swap contracts are
OTC contracts.

     Market  risk is the  potential  for  changes in the value of the  financial
instruments traded by the  Partnership/Master  due to market changes,  including
interest and foreign  exchange rate movements and  fluctuations  in commodity or
security  prices.  Market  risk  is  directly  impacted  by the  volatility  and
liquidity in the markets in which the related underlying assets are traded.

     Credit risk is the possibility  that a loss may occur due to the failure of
a counterparty to perform according to the terms of a contract. Credit risk with
respect to exchange traded instruments is reduced to the extent that an exchange
or  clearing  organization  acts  as a  counterparty  to the  transactions.  The
Partnership's/Master's  risk of loss in the  event of  counterparty  default  is
typically  limited to the amounts  recognized as unrealized  appreciation in the
statements  of  financial  condition  and not  represented  by the  contract  or
notional amounts of the instruments.  The  Partnership/Master  has concentration
risk   because   the  sole   counterparty   or  broker   with   respect  to  the
Partnership's/Master's assets is CGM.

     The General Partner monitors and controls the  Partnership's/Master's  risk
exposure  on a  daily  basis  through  financial,  credit  and  risk  management
monitoring systems,  and accordingly  believes that it has effective  procedures
for   evaluating  and  limiting  the  credit  and  market  risks  to  which  the
Partnership/Master  is  subject.  These  monitoring  systems  allow the  General
Partner to  statistically  analyze  actual  trading  results with risk  adjusted
performance  indicators  and  correlation  statistics.   In  addition,   on-line
monitoring  systems  provide account  analysis of futures,  forwards and options
positions  by  sector,  margin  requirements,  gain  and loss  transactions  and
collateral positions.

     The majority of these instruments mature within one year of March 31, 2004.
However,  due  to  the  nature  of the  Partnership's/Master's  business,  these
instruments may not be held to maturity.


                                       18


<PAGE>


Item 2. Management's  Discussion and Analysis of Financial Condition and Results
        of Operations.

Liquidity and Capital Resources

     The  Partnership/Master  does not engage in the sale of goods or  services.
The  Partnership's  only assets are its equity in its commodity  futures trading
account consisting of cash,  investment in Master,  net unrealized  appreciation
(depreciation)  on open futures and forward  contracts,  commodity  options,  if
applicable,  and interest receivable. The Master's only assets are its equity in
its  commodity  futures  trading  account  consisting  of cash,  net  unrealized
appreciation  (depreciation)  on open futures and forward  contracts,  commodity
options,  if  applicable,  and  interest  receivable.  Because of the low margin
deposits normally required in commodity futures trading,  relatively small price
movements  may result in  substantial  losses to the  Partnership/Master.  While
substantial  losses  could  lead to a  decrease  in  liquidity,  no such  losses
occurred in the first quarter of 2004.

     The  Partnership's  capital  consists of the capital  contributions  of the
partners as increased or decreased by realized and/or unrealized gains or losses
on commodity futures trading,  expenses,  interest income,  redemptions of Units
and distributions of profits, if any.

     For the three months ended March 31, 2004,  Partnership  capital  increased
17.0% from  $87,468,980 to  $102,320,018.  This increase was attributable to net
income  from  operations  of  $11,751,199   coupled  with  additional  sales  of
7,538.4208  Redeemable  Units of limited  partnership  totaling  $8,517,000  and
225.7968 General Partner unit equivalents totaling $280,051, which was partially
offset by redemption of 4,770.5076  Redeemable  Units resulting in an outflow of
$5,697,212.  Future  redemptions  can impact the amount of funds  available  for
investment in the Partnership/Master in subsequent periods.

     The Master's capital  consists of the capital  contributions of the members
as  increased  or decreased  by realized  and/or  unrealized  gains or losses on
commodity futures trading,  expenses,  interest income, redemptions of Units and
distributions of profits, if any.

     For the three months ended March 31, 2004, the Master's  capital  increased
2.1% from  $255,057,637 to  $260,536,778.  This increase was attributable to net
income from operations of $21,672,565 coupled with additions of 1,257.1846 Units
totaling   $1,539,508,   which  was  partially  offset  by  the  redemptions  of
14,243.9822 Units totaling $17,282,974 and distributions of interest of $449,958
to the  non-managing  members of the Master.  Future  redemptions can impact the
amount of funds  available for  investments in commodity  contract  positions in
subsequent periods.

Critical Accounting Policies

     The  preparation  of financial  statements  in conformity  with  accounting
principles   generally  accepted  in  the  United  States  of  America  requires
management to make estimates and assumptions that affect the reported amounts of
assets and liabilities,  and disclosures of contingent assets and liabilities at
the date of the financial  statements  and the reported  amounts of revenues and
expenses  during the reporting  period.  Actual  results could differ from these
estimates.

                                       19
<PAGE>


     All commodity interests  (including  derivative  financial  instruments and
derivative commodity  instruments) are used for trading purposes.  The commodity
interests  are  recorded on trade date and open  contracts  are  recorded in the
statement of financial  condition at fair value on the last  business day of the
period,  which represents  market value for those commodity  interests for which
market  quotations are readily  available or other measures of fair value deemed
appropriate by management of the General Partner for those  commodity  interests
and foreign  currencies for which market  quotations are not readily  available,
including dealer quotes for swaps and certain option  contracts.  Investments in
commodity  interests  denominated in foreign currencies are translated into U.S.
dollars at the exchange rates prevailing on the last business day of the period.
Realized gains (losses) and changes in unrealized values on commodity  interests
and foreign  currencies  are  recognized  in the period in which the contract is
closed or the changes occur and are included in net gains (losses) on trading of
commodity interests.

     Foreign currency contracts are those contracts where the Partnership agrees
to receive or deliver a fixed  quantity of foreign  currency for an  agreed-upon
price on an agreed future date. Foreign currency contracts are valued daily, and
the  Partnership's net equity therein,  representing  unrealized gain or loss on
the contracts as measured by the difference between the forward foreign exchange
rates at the dates of entry  into the  contracts  and the  forward  rates at the
reporting dates, is included in the statement of financial  condition.  Realized
gains (losses) and changes in unrealized  values on foreign  currency  contracts
are  recognized  in the period in which the  contract  is closed or the  changes
occur and are included in the  statements  of income and expenses and  partners'
capital.

Results of Operations

     During the  Partnership's  first  quarter of 2004,  the net asset value per
Redeemable  Unit  increased  12.7% from  $1,100.19 to $1,240.28 as compared to a
decrease of 7.8% in the first quarter of 2003. The Partnership experienced a net
trading gain before brokerage  commissions and related fees in the first quarter
of 2004 of $14,645,121.  Gains were primarily  attributable to the Partnership's
trading of commodity futures in currencies,  energy, livestock,  metals, grains,
indices and U.S. and non-U.S. interest rates and were partially offset by losses
in softs.  The  Partnership  experienced  a net trading  loss  before  brokerage
commissions and related fees in the first quarter of 2003 of $5,589,464.  Losses
were primarily attributable to the Partnership's trading of commodity futures in
softs, energy,  livestock,  U.S. and non-U.S.  interest rates and were partially
offset by gains in grains, metals, indices, currencies, and softs.

     The  Partnership  had a strong first quarter as the financial and commodity
trends that had carried  performance  in 2003  continued  into the first quarter
provided the primary basis for profits.  The major  contributors  to performance
were rising commodity  prices,  particularly for grains,  energy and base metals
and lower interest rates both in the U.S. and internationally.

     The commodity markets,  particularly grains and related contracts, produced
most of the Fund's  profits  for the  quarter.  The demand for  foodstocks  from
developing  countries  generated  profits for positions in grains,  specifically
soybeans,  corn and wheat.  Increased  global  demand for the raw  materials  of
economic development, namely base metals, like copper, nickel and aluminum, also
produced  profitable  trading.  Silver  and gold  also were  profitable  for the
quarter.  Energy trading was also highly profitable for the quarter as prices of
crude oil moved to the high $30s range and  natural  gas prices  followed  their
normal volatile seasonal patterns with mixed trading results for the Advisors.

                                       20
<PAGE>

     Additional  profits were earned for  positions  in U.S.  and  international
interest rate  contracts  throughout  most of the quarter.  Lower U.S.  interest
rates  combined with rising  fiscal and trade  deficits  pushed the U.S.  dollar
lower through  mid-February  producing  profits for the Fund's advisors but then
began a sharp  correction  that led to  losses in March as the  dollar  regained
nearly 10% against the euro and other major currencies. Overall for the quarter,
currency  trading  resulted  in losses.  Trading  in stock  market  indices  was
slightly   profitable   as  the  U.S.  and  global  stock  markets  were  mostly
directionless for the first quarter.

     Commodity futures markets are highly volatile.  The potential for broad and
rapid price fluctuations  increase the risks involved in commodity trading,  but
also   increase  the   possibility   of  profit.   The   profitability   of  the
Partnership/Master  depends  on the  existence  of major  price  trends  and the
ability of the Advisors to correctly  identify those price trends.  Price trends
are influenced by, among other things, changing supply and demand relationships,
weather, governmental, agricultural, commercial and trade programs and policies,
national and international political and economic events and changes in interest
rates.  To the extent  that market  trends  exist and the  Advisors  are able to
identify them, the Partnership  expects to increase capital through  operations.
AAA is aware of price  trends but does not trade upon  trends.  AAA often  makes
profits in positions  with  specific  trends even though that trend may still be
intact or perhaps even stronger. AAA occasionally establishes positions that are
counter-trend.

     Interest income is earned on 100% of the Partnership's average daily equity
maintained  in cash in its account  during each month at a 30-day U.S.  Treasury
bill rate determined weekly by CGM based on the average non-competitive yield on
3-month  U.S.  Treasury  bills  maturing  in 30 days from the date on which such
weekly rate is determined.  Interest income for the three months ended March 31,
2004  increased  by  $1,099 as  compared  to the  corresponding  period in 2003.
Interest income  allocated from Master for the three months ended March 31, 2004
decreased  by $6,241  as  compared  to the  corresponding  period  in 2003.  The
decrease  in  interest  income and  interest  income  allocated  from Master are
primarily  due to an decrease in net assets  during the three months ended March
31, 2004.

     Brokerage  commissions  are based on the number of trades  executed  by the
Advisor.  Brokerage  commissions  and fees for the three  months ended March 31,
2004 increased by $206,004 as compared to the corresponding  period in 2003. The
increase in  commissions  and fees is primarily due to an increase in the number
of trades during the three months ended March 31, 2004 as compared to 2003.

     Management  fees are  calculated as a percentage of the  Partnership's  net
asset value as of the end of each month and are affected by trading performance,
additions and redemptions.  Management fees for the three months ended March 31,
2004 increased by $90,194 as compared to the  corresponding  period in 2003. The
increase of management fees is due to an increase in net assets during the three
months ended March 31, 2004 as compared to 2003.

     Administrative  fees are paid to the General Partner for  administering the
business  and  affairs  of the  Partnership.  These  fees  are  calculated  as a
percentage of the  Partnership's net asset value as of the end of each month and
are affected by trading performance and redemptions. Administrative fees for the
three  months  ended  March 31,  2004  increased  by $33,023 as  compared to the
corresponding  period in 2003.  The  increase in  administrative  fees is due to
higher  average  net assets  during the three  months  ended  March 31,  2004 as
compared to 2003.


                                       21
<PAGE>

     Incentive fees paid by the Partnership are based on the new trading profits
generated  by  each  Advisor  at the  end  of the  quarter,  as  defined  in the
management  agreements  between the  Partnership,  the General  Partner and each
Advisor.  Trading performance for the three months ended March 31, 2004 and 2003
resulted in incentive fees of $1,579,063 and $298,424, respectively.


                                       22
<PAGE>





Item 3.  Quantitative and Qualitative Disclosures about Market Risk

     The   Partnership/Master   are  speculative  commodity  pools.  The  market
sensitive  instruments held by it are acquired for speculative trading purposes,
and all or substantially all of the Partnership's/Master's assets are subject to
the risk of  trading  loss.  Unlike  an  operating  company,  the risk of market
sensitive  instruments  is  integral,  not  incidental,  to  the  Partnership's/
Master's main line of business.

     Market  movements  result  in  frequent  changes  in the fair  value of the
Partnership's/Master's  open  positions and,  consequently,  in its earnings and
cash  flow.  The  Partnership's/Master's  market  risk is  influenced  by a wide
variety of  factors,  including  the level and  volatility  of  interest  rates,
exchange  rates,  equity price levels,  the value of financial  instruments  and
contracts,  the  diversification  effects  of  the  Partnership's/Master's  open
positions and the liquidity of the markets in which it trades.

     The Partnership/Master  rapidly acquires and liquidates both long and short
positions in a range of different markets.  Consequently,  it is not possible to
predict how a particular future market scenario will affect performance, and the
Partnership's/Master's  past  performance is not  necessarily  indicative of its
future results.

     Value  at  Risk  is  a   measure   of  the   maximum   amount   which   the
Partnership's/Master's  could  reasonably  be expected to lose in a given market
sector.   However,  the  inherent  uncertainty  of  the   Partnership's/Master's
speculative   trading  and  the   recurrence  in  the  markets   traded  by  the
Partnership/Master  of market movements far exceeding  expectations could result
in actual trading or non-trading  losses far beyond the indicated  Value at Risk
or the  Partnership's/Master's  experience  to date (i.e.,  "risk of ruin").  In
light of the foregoing as well as the risks and  uncertainties  intrinsic to all
future  projections,  the inclusion of the quantification in this section should
not be  considered  to  constitute  any  assurance  or  representation  that the
Partnership's/Master's  losses in any market  sector will be limited to Value at
Risk or by the Partnership's/Master's attempts to manage its market risk.

     Exchange   maintenance   margin   requirements   have   been  used  by  the
Partnership/Master  as the  measure  of its  Value at Risk.  Maintenance  margin
requirements  are set by  exchanges  to  equal  or  exceed  the  maximum  losses
reasonably  expected to be  incurred in the fair value of any given  contract in
95%-99% of any one-day  interval.  Maintenance  margin has been used rather than
the more generally  available initial margin,  because initial margin includes a
credit risk component, which is not relevant to Value at Risk.

                                       23

<PAGE>





     The following table indicates the trading Value at Risk associated with the
Partnership's  open  positions  by market  category as of March 31, 2004 and the
highest and lowest  value at any point  during the three  months ended March 31,
2004.  All open position  trading risk  exposures of the  Partnership  have been
included in calculating  the figures set forth below.  As of March 31, 2004, the
Partnership's total capitalization was $102,320,018.  There has been no material
change in the trading Value at Risk information previously disclosed in the Form
10-K for the year ended December 31, 2003.

<TABLE>
<CAPTION>
<S>                                        <C>                  <C>           <C>             <C>              <C>
                                             March 31, 2004
                                                                                        Year to Date
                                                                    ------------------------------------------------------
                                                    % of Total             High              Low         Average Value
Market Sector                       Value at Risk   Capitalization    Value at Risk     Value at Risk        at Risk
------------                        --------------------------------------------------------------------------------------
Currencies
   - Exchange Traded Contracts       $   1,108,528             1.08%  $     2,207,007   $     746,629    $     1,337,548
Energy                                   2,323,500             2.27%        3,377,350       1,184,950          2,142,017
Grains                                   1,166,951             1.14%        1,221,502         605,669          1,063,981
Interest Rates  U.S.                     1,399,850             1.37%        1,478,500         475,850          1,061,367
Interest Rates  Non-U.S.                 2,849,347             2.79%        3,854,204       1,871,923          3,019,024
Livestock                                  239,000             0.23%          239,000          60,420            165,823
Metals
   - Exchange Traded Contracts             860,400             0.84%          860,400         366,400            633,567
   - OTC Contracts                         243,725             0.24%          613,095         238,225            371,240
Softs                                      485,051             0.47%          697,544         132,078            456,159
Indices                                    937,287             0.92%        1,481,964         887,644          1,004,588
Lumber                                       6,600             0.01%            7,000           3,500              5,867
                                    ---------------         --------
Totals                                $ 11,620,239            11.36%
                                    ===============         =======

</TABLE>


                                       24

<PAGE>





     The following table indicates the trading Value at Risk associated with the
Master's open positions by market  category as of March 31, 2004 and the highest
and lowest value at any point during the three months ended March 31, 2004.  All
open  position  trading  risk  exposures  of the Master  have been  included  in
calculating  the figures set forth  below.  As of March 31,  2004,  the Master's
total capitalization was $260,536,778.  There has been no material change in the
trading Value at Risk information  previously disclosed in the Form 10-K for the
year ended December 31, 2003.



                        March 31, 2004

<TABLE>
<CAPTION>
<S>                       <C>              <C>            <C>                  <C>             <C>
                                                                 Year to Date
                                                      ------------------------------------------------------
                                       % of Total           High              Low         Average Value at
Market Sector        Value at Risk   Capitalization    Value at Risk     Value at Risk          Risk
--------------       ------------- ------------------- ----------------- ----------------- ----------------
Energy                 $18,998,850       7.29%         $29,837,388       $10,894,859        $16,381,705
Energy Swaps             1,988,189       0.76%          $6,027,189        $1,988,189         $3,188,189
                         ---------       -----
Total                  $20,987,039       8.05%
                       ===========      =====
</TABLE>



                                       25
<PAGE>



Item 4. Controls and Procedures

     Based on their  evaluation  of the  Partnership's  disclosure  controls and
procedures as of March 31, 2004, the Chief Executive Officer and Chief Financial
Officer have concluded that such controls and procedures are effective.

     There were no significant changes in the Partnership's internal controls or
in other factors that could significantly  affect such controls during the first
quarter of 2004.
                                       26
<PAGE>


                           PART II. OTHER INFORMATION


Item 1.   Legal Proceedings

     The following  information  supplements and amends our discussion set forth
under Item 3 "Legal  Proceedings" in the Partnership's  Annual Statement on Form
10-K for the period ended December 31, 2003.

Regulatory Matters.

     Both the Department of Labor and the IRS have advised CGM that they were or
are reviewing  transactions in which Ameritech  Pension Trust purchased from CGM
and  certain  affiliates  approximately  $20.9  million in  participations  in a
portfolio of motels owned by Motels of America,  Inc. and Best Inns,  Inc.  With
respect to the IRS review, CGM and certain affiliated entities have consented to
extensions of time for the  assessment of excise taxes that may be claimed to be
due with respect to the transactions for the years 1987, 1988 and 1989.

ENRON CORP.

     In July 2002, Citigroup,  CGM and certain officers were named as defendants
in an alleged  class action filed in the United  States  District  Court for the
Southern  District of New York,  brought on behalf of  purchasers  of  Citigroup
common  stock  between  July 24, 1999 and July 23,  2002.  The  complaint  seeks
unspecified compensatory and punitive damages for alleged violations of Sections
10(b) and 20(a) of the  Securities  Exchange  Act of 1934,  and for  common  law
fraud. Fourteen virtually identical complaints have been filed and consolidated.
The complaints  allege that Citigroup  misstated the extent of its Enron-related
exposure,  and that  Citigroup's  stock  price fell once the true  extent of the
company's Enron involvements became known. Plaintiffs filed an amended complaint
on March 10, 2003, which incorporated the allegations in the 15 separate actions
and added new  material  as well.  The  amended  complaint  focuses  on  certain
transaction  Citigroup did with Enron and alleged analyst conflicts of interest.
The class  period for the  consolidated  amended  complaint  is July 24, 1999 to
December  11,  2002.  On June 2, 2003,  Citigroup  filed a motion to dismiss the
consolidated  amended complaint.  Plaintiffs' response was filed on July 30, and
Citigroup's reply was filed on October 3, 2003. Oral argument before Judge Swain
was held on November 20, 2003.

Mutual Funds.

     In 2003,  several  issues in the mutual fund  industry  have come under the
scrutiny of federal and state regulators. The Company has received subpoenas and
other requests for  information  from various  government  regulators  regarding
market timing,  fees, sales practices and other mutual fund issues in connection
with various investigations,  including an investigation by the SEC and a United
States Attorney into the arrangements under which CGMH became the transfer agent
for  many  of the  mutual  funds  in the  Smith  Barney  fund  complex.  CGMH is
cooperating fully with all such reviews.

Item 2. Changes in  Securities,  Use of Proceeds and Issuer  Purchases of Equity
         Securities

          For the three months ended March 31, 2004 there were additional  sales
          of  7,538.4208   Redeemable  Units  of  limited  partnership  totaling
          $8,517,000  and  contributions  by the  General  Partner  representing
          225.7968 Units  equivalents  totaling  $280,051.  For the three months
          ended  March 31,  2003  there  were  additional  sales of  19,437.8764
          Redeemable Units totaling $23,600,000.

          Proceeds from the sale of additional  Redeemable Units are used in the
          trading of commodity interests  including futures contracts,  options,
          forwards and swap contracts.

                                       27
<PAGE>

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

<TABLE>
<CAPTION>
<S>                                      <C>                   <C>                    <C>                     <C>
-----------------------------------------------------------------------------------------------------------------------------
Period                          (a)  Total  Number  of  (b)   Average    Price  (c)  Total  Number of  (d)   Maximum   Number
                                Shares    (or   Units)  Paid  per   Share  (or  Shares   (or   Units)  (or        Approximate
                                Purchased*              Unit)**                 Purchased  as Part of  Dollar    Value)    of
                                                                                Publicly    Announced  Shares    (or   Units)
                                                                                Plans or Programs      that    May   Yet   Be
                                                                                                       Purchased   Under  the
                                                                                                       Plans or Programs
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
January 1, 2004 - January  31,      1,445.5510              $1,109.03               N/A                    N/A
2004
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
February  1,  2004 -  February      1,251.0113              $1,216.44               N/A                    N/A
29, 2004
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
March 1, 2004 - March 31, 2004      2,073.9453              $1,240.28               N/A                    N/A
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
Total                               4,770.5076              $1,188.58               N/A                    N/A
------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
</TABLE>

* Generally,  Limited Partners are permitted to redeem their Redeemable Units as
of the end of each  month on 10  days'  notice  to the  General  Partner.  Under
certain circumstances, the General Partner can compel redemption but to date the
General Partner has not exercised this right.  Purchases of Redeemable  Units by
the Partnership reflected in the chart above were made in the ordinary course of
the Partnership's  business in connection with effecting redemptions for Limited
Partners.

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

                                       28
<PAGE>

Item 3. Defaults Upon Senior Securities - None

Item 4. Submission of Matters to a Vote of Security Holders - None

Item 5. Other Information - None

Item 6. Exhibits and Reports on Form 8-K

          (a)  The exhibits  required to be filed by Item 601 of Regulation  S-K
               are incorporated  herein by reference to the exhibit index of the
               Partnership's  Annual  Report on Form 10-K for the  period  ended
               December 31, 2003.

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

               Exhibit   -  31.2  -   Rule   13a-14(a)/15d-14(a)   Certification
               (Certification of Chief Financial Officer and Director).

               Exhibit - 32.1 - Section  1350  Certification  (Certification  of
               President and Director).

               Exhibit - 32.2 - Section  1350  Certification  (Certification  of
               Chief Financial Officer and Director).

          (b)  Reports on Form 8-K - None

                                       29

<PAGE>



                                   SIGNATURES

     Pursuant  to the  requirements  of Section  13 or 15 (d) of the  Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.


SALOMON SMITH BARNEY ORION FUTURES FUND L.P.


By:  Citigroup Managed Futures LLC
     -----------------------------
     (General Partner)



By:  /s/ David J. Vogel
         --------------
         David J. Vogel
         President and Director


Date: May 10, 2004



     Pursuant to the  requirements of the Securities  Exchange Act of 1934, this
report  has  been  signed  below  by the  following  persons  on  behalf  of the
registrant and in the capacities and on the dates indicated.

By:  Citigroup Managed Futures LLC
     -----------------------------
     (General Partner)



By:  /s/ David J. Vogel
         --------------
         David J. Vogel
         President and Director


Date: May 10, 2004


By:  /s/ Daniel R. McAuliffe, Jr.
         -----------------------
         Daniel R. McAuliffe, Jr.
         Chief Financial Officer and Director


Date: May 10, 2004


                                       30
<PAGE>


                                                                    Exhibit 31.1
                                 CERTIFICATION

I, David J. Vogel, certify that:

1.   I have reviewed this quarterly  report on Form 10-Q of Salomon Smith Barney
     Orion Futures Fund L.P. (the "registrant");

2.   Based on my knowledge, this report does not contain any untrue statement of
     a material  fact or omit to state a  material  fact  necessary  to make the
     statements made, in light of the circumstances  under which such statements
     were made,  not  misleading  with  respect  to the  period  covered by this
     report;

3.   Based on my  knowledge,  the  financial  statements,  and  other  financial
     information  included  in  this  report,  fairly  present  in all  material
     respects the financial  condition,  results of operations and cash flows of
     the registrant as of, and for, the periods presented in this report;

4.   The  registrant's  other  certifying  officer  and  I are  responsible  for
     establishing and maintaining disclosure controls and procedures (as defined
     in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

     a)   designed  such  disclosure  controls  and  procedures,  or caused such
          disclosure   controls  and   procedures  to  be  designed   under  our
          supervision,  to ensure  that  material  information  relating  to the
          registrant,  is made  known to us by  others  within  those  entities,
          particularly during the period in which this report is being prepared;

     b)   evaluated the  effectiveness of the registrant's  disclosure  controls
          and procedures and presented in this report our conclusions  about the
          effectiveness of the disclosure controls and procedures, as of the end
          of the period covered by this report based on such evaluation; and

     c)   disclosed  in this  report  any  change in the  registrant's  internal
          control over financial reporting that occurred during the registrant's
          most  recent  fiscal  quarter  that  has  materially  affected,  or is
          reasonably  likely to materially  affect,  the  registrant's  internal
          control over financial reporting; and

5.   The registrant's  other certifying  officer and I have disclosed,  based on
     our most recent evaluation of internal control over financial reporting, to
     the registrant's auditors and the audit committee of the registrant's board
     of directors (or persons performing the equivalent functions):

     a)   all significant  deficiencies and material weaknesses in the design or
          operation  of internal  control  over  financial  reporting  which are
          reasonably  likely to  adversely  affect the  registrant's  ability to
          record, process, summarize and report financial information; and

     b)   any fraud, whether or not material,  that involves management or other
          employees who have a  significant  role in the  registrant's  internal
          control over financial reporting.



Date: May 10, 2004


                                              /s/  David J. Vogel
                                                   ---------------
                                                   David J. Vogel
                                                   Citigroup Managed Futures LLC
                                                   President and Director


                                       31
<PAGE>


                                                                    Exhibit 31.2
                                 CERTIFICATION

I, Daniel R. McAuliffe, Jr., certify that:

1.   I have reviewed this quarterly  report on Form 10-Q of Salomon Smith Barney
     Orion Futures Fund L.P. (the "registrant");

2.   Based on my knowledge, this report does not contain any untrue statement of
     a material  fact or omit to state a  material  fact  necessary  to make the
     statements made, in light of the circumstances  under which such statements
     were made,  not  misleading  with  respect  to the  period  covered by this
     report;

3.   Based on my  knowledge,  the  financial  statements,  and  other  financial
     information  included  in  this  report,  fairly  present  in all  material
     respects the financial  condition,  results of operations and cash flows of
     the registrant as of, and for, the periods presented in this report;

4.   The  registrant's  other  certifying  officer  and  I are  responsible  for
     establishing and maintaining disclosure controls and procedures (as defined
     in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

     a)   designed  such  disclosure  controls  and  procedures,  or caused such
          disclosure   controls  and   procedures  to  be  designed   under  our
          supervision,  to ensure  that  material  information  relating  to the
          registrant,  is made  known to us by  others  within  those  entities,
          particularly during the period in which this report is being prepared;

     b)   evaluated the  effectiveness of the registrant's  disclosure  controls
          and procedures and presented in this report our conclusions  about the
          effectiveness of the disclosure controls and procedures, as of the end
          of the period covered by this report based on such evaluation; and

     c)   disclosed  in this  report  any  change in the  registrant's  internal
          control over financial reporting that occurred during the registrant's
          most  recent  fiscal  quarter  that  has  materially  affected,  or is
          reasonably  likely to materially  affect,  the  registrant's  internal
          control over financial reporting; and

5.   The registrant's  other certifying  officer and I have disclosed,  based on
     our most recent evaluation of internal control over financial reporting, to
     the registrant's auditors and the audit committee of the registrant's board
     of directors (or persons performing the equivalent functions):

     a)   all significant  deficiencies and material weaknesses in the design or
          operation  of internal  control  over  financial  reporting  which are
          reasonably  likely to  adversely  affect the  registrant's  ability to
          record, process, summarize and report financial information; and

     b)   any fraud, whether or not material,  that involves management or other
          employees who have a  significant  role in the  registrant's  internal
          control over financial reporting.



Date: May 10, 2004


                                       /s/  Daniel R. McAuliffe, Jr.
                                            ------------------------
                                            Daniel R. McAuliffe, Jr.
                                            Citigroup Managed Futures LLC
                                            Chief Financial Officer and Director

                                       32
<PAGE>


Exhibit 32.1
                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002


     In  connection  with the  Quarterly  Report of Salomon  Smith  Barney Orion
Futures Fund L.P. (the  "Partnership")  on Form 10-Q for the period ending March
31, 2004 as filed with the Securities and Exchange Commission on the date hereof
(the "Report"),  I, David J. Vogel,  President and Director of Citigroup Managed
Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss.
906 of the Sarbanes-Oxley Act of 2002, that:

(1)  The Report fully complies with the  requirements  of section 13(a) or 15(d)
     of the Securities Exchange Act of 1934; and

(2)  The information contained in the Report fairly presents, in all material
     respects, the financial condition, results of operations and cash flows of
     the Partnership.


/s/ David J. Vogel
    --------------
    David J. Vogel
    Citigroup Managed Futures LLC
    President and Director

May 10, 2004


                                       33
<PAGE>




                                                                    Exhibit 32.2

                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002


     In  connection  with the  Quarterly  Report of Salomon  Smith  Barney Orion
Futures Fund L.P. (the  "Partnership")  on Form 10-Q for the period ending March
31, 2004 as filed with the Securities and Exchange Commission on the date hereof
(the  "Report"),  I,  Daniel R.  McAuliffe,  Jr.,  Chief  Financial  Officer and
Director of Citigroup  Managed Futures LLC,  certify,  pursuant to 18 U.S.C. ss.
1350, as adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:

(1)  The Report fully complies with the  requirements  of section 13(a) or 15(d)
     of the Securities Exchange Act of 1934; and

(2)  The information  contained in the Report fairly  presents,  in all material
     respects, the financial condition,  results of operations and cash flows of
     the Partnership.

/s/ Daniel R. McAuliffe, Jr.
    ------------------------
    Daniel R. McAuliffe, Jr.
    Citigroup Managed Futures LLC
    Chief Financial Officer and Director

May 10, 2004


                                      34