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 September 30, 2003

Commission File Number 0-50271

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

         New York                            22-33644546
 (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 _____ No __X___
<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
            September 30, 2003  and December 31,
            2002 (unaudited).                                       3

            Condensed Schedules of Investments
            at September 30, 2003 and December 31,
            2002 (unaudited).                                    4 - 5


            Statements of Income and Expenses
            and Partners' Capital for the three
            and nine months ended September 30,
            2003 and 2002 (unaudited).                             6

            Notes to Financial Statements,
            including the Financial Statements
            of SB AAA Master Fund LLC (unaudited).               7 - 19

    Item 2. Management's Discussion and Analysis
            of Financial Condition and Results of
            Operations.                                         20 - 23

    Item 3. Quantitative and Qualitative
            Disclosures about Market Risk                       24 - 26

    Item 4. Controls and Procedures                               27

PART II - Other Information                                       28

                                       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>
                                                                                September 30,  December 31,
                                                                                    2003          2002
                                                                              ---------------  ------------
Assets:
  Investment in Master, at fair value                                           $35,887,830   $25,446,740
  Cash (restricted $11,315,734 and $8,657,392 in 2003 and 2002, respectively)
  in commodity futures trading account                                           38,478,191    32,697,307
  Net unrealized appreciation on open futures positions                           7,449,533     5,057,217
  Unrealized appreciation on open forward positions                                  65,865            --
                                                                                -----------   -----------
                                                                                 81,881,419    63,201,264
Interest receivable                                                                  31,123        61,183
                                                                                -----------   -----------

                                                                                $81,912,542   $63,262,447
                                                                                ===========   ===========

Liabilities and Partners' Capital:

Liabilities:
  Unrealized depreciation on open forward positions                                 $42,833   $        --
 Accrued expenses:
  Commissions                                                                       133,992       115,201
  Management fees                                                                   126,761       107,113
  Administrative fees                                                                33,573        26,778
  Incentive Fees                                                                         --       272,957
  Other                                                                              41,717        88,996
  Redemptions                                                                     1,027,769       498,603
                                                                                -----------   -----------
                                                                                  1,406,645     1,109,648
                                                                                -----------   -----------

Partners' Capital:
General Partner,  499.8084 Unit equivalents
  outstanding in 2002 and 2001                                                      553,383       580,188
Limited Partners, 72,212.0170 and 53,042.3132 Redeemable Units of
  Limited Partnership Interest outstanding in 2003 and 2002, respectively        79,952,514    61,572,611
                                                                                -----------   -----------
                                                                                 80,505,897    62,152,799
                                                                                -----------   -----------
                                                                                $81,912,542   $63,262,447
                                                                                ===========   ===========
</TABLE>


See  Accompanying Notes to Unaudited Financial Statements.
                                        3

<PAGE>
                           Salomon Smith Barney Orion
                                Futures Fund L.P.
                        Condensed Schedule of Investments
                               September 30, 2003

<TABLE>
<CAPTION>
<S>                                         <C>                                                     <C>
Sector                                    Contract                                                Fair Value
-------------------------------------    ----------------------------------                     ---------------
Currencies
                                          Futures contracts sold (0.10)%                             $ (84,403)
                                          Futures contracts purchased  3.36%                         2,704,882
                                                                                                 ---------------
   Total Currencies  3.26%                                                                           2,620,479
                                                                                                ---------------

Energy
                                          Futures contracts sold  (0.16)%                             (125,372)
                                          Futures contracts purchased  0.02%                            13,178
                                                                                                ---------------
  Total Energy  (0.14)%                                                                               (112,194)
                                                                                                ---------------

Grains
                                          Futures contracts sold  0.00%*                                 3,007
                                          Futures contracts purchased  2.70%                         2,169,998
                                                                                                ---------------
   Total Grains   2.70%                                                                              2,173,005
                                                                                                ---------------

Total Interest Rates U.S. 2.27%           Futures contracts purchased  2.27%                         1,828,109
                                                                                                ---------------

Interest Rates Non-U.S.
                                          Futures contracts sold  (0.17)%                             (137,351)
                                          Futures contracts purchased  1.41%                         1,137,075
                                                                                                ---------------
  Total Interest Rates Non-U.S. 1.24%                                                                  999,724
                                                                                                ---------------

Total Lumber (0.01)%                      Futures contracts purchased   (0.01)%                         (8,580)
                                                                                                ---------------

Total Livestock 0.22%                     Futures contracts purchased   0.22%                          180,445
                                                                                                ---------------

Metals
                                          Futures contracts purchased  0.40%                           326,707
                                                                                                ---------------
                                            Total futures contracts  0.40%                             326,707

                                          Unrealized depreciation on forward contracts (0.05)%         (42,833)
                                          Unrealized appreciation on forward contracts 0.08%            65,865
                                                                                                ---------------
                                            Total forward contracts  0.03%                              23,032

                                                                                                ---------------
  Total Metals   0.43%                                                                                 349,739
                                                                                                ---------------

Softs
                                          Futures contracts sold  (0.03)%                              (21,696)
                                          Futures contracts purchased (0.05)%                          (42,855)
                                                                                                ---------------
  Total Softs  (0.08)%                                                                                 (64,551)
                                                                                                ---------------

Total Indices  (0.61)%                    Futures contracts purchased  (0.61)%                        (493,611)
                                                                                                ---------------

Total Fair Value  9.28%                                                                            $ 7,472,565
                                                                                                ===============
                                                                                % of Investments
Country Composition                       Investments at Fair Value              at  Fair Value
--------------------------------------------------------------------            -------------------
Australia                                                  $ (5,860)                         (0.08)
Canada                                                      101,108                           1.35
France                                                      (29,383)                         (0.39)
Germany                                                     503,419                           6.74
Hong Kong                                                   (23,135)                         (0.31)
Italy                                                       (19,984)                         (0.27)
Japan                                                       (49,415)                         (0.66)
Spain                                                       (40,185)                         (0.54)
United Kingdom                                              144,830                           1.94
United States                                             6,891,170                          92.22
                                         ---------------------------            -------------------
                                                        $ 7,472,565                         100.00
                                         ===========================            ===================
</TABLE>
Percentages are based on Partners' Capital unless otherwise indicated
* Due to rounding
See accompanying notes to unaudited financial statements
                                        4

<PAGE>

                           Salomon Smith Barney Orion
                                Futures Fund L.P.
                        Condensed Schedule of Investments
                                December 31, 2002
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                <C>                                      <C>
Sector                                    Contract                                      Fair Value
------------                              ----------------------------------      ------------------
Currencies
                                          Futures contracts sold (0.13)%                  $ (80,588)
                                          Futures contracts purchased  2.67%              1,657,233
                                                                                   -----------------
   Total Currencies  2.54%                                                                1,576,645
                                                                                   -----------------

Total Energy  1.48 %                      Futures contracts purchased  1.48%                919,154
                                                                                   -----------------

Grains
                                          Futures contracts sold  0.38%                     232,822
                                          Futures contracts purchased  (0.09)%              (55,021)
                                                                                   -----------------
   Total Grains   0.29%                                                                     177,801
                                                                                   -----------------

Total Interest Rates U.S. 1.42%           Futures contracts purchased  1.42%                884,285
                                                                                   -----------------

Total Interest Rates Non-U.S. 1.07%       Futures contracts purchased 1.07%                 666,065
                                                                                   -----------------

Total Livestock 0.25%                     Futures contracts purchased   0.25%               152,910
                                                                                   -----------------

Total Metals   0.90%                      Futures contracts purchased  0.90%                562,580

Softs
                                          Futures contracts sold  (0.01)%                    (9,135)
                                          Futures contracts purchased 0.31%                 195,779
                                                                                   -----------------
  Total Softs  0.30%                                                                        186,644
                                                                                   -----------------

Total Indices  (0.11)%                    Futures contracts purchased  (0.11)%              (68,867)
                                                                                   -----------------

Total Fair Value  8.14%                                                                 $ 5,057,217
                                                                                   =================

                                                     Investments at                % of Investments
Country Composition                                   Fair Value                    at Fair Value
----------------------                            -------------------              ----------------
Australia                                                $ 32,003                          0.63%
Canada                                                     79,115                          1.56%
France                                                       (273)                         0.00% *
Germany                                                   283,701                          5.61%
United Kingdom                                            244,964                          4.84%
United States                                           4,417,707                         87.36%
                                                  -------------------               --------------
                                                      $ 5,057,217                        100.00%
                                                  ===================               ==============
</TABLE>

Percentages are based on Partners' Capital unless otherwise indicated
* Due to rounding
See Accompanying Notes to 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>            <C>             <C>
                                                                      THREE MONTHS ENDED            NINE MONTHS ENDED
                                                                       SEPTEMBER 30,                 SEPTEMBER 30,
                                                                ---------------------------    ----------------------------
                                                                    2003           2002              2003           2002
                                                                ---------------------------    ----------------------------
Income:
   Realized gains (losses ) on closed postitions from Master     $1,450,569      $1,900,111     $(4,284,255)     $5,054,130
   Change in unrealized gains (losses) on open positions
      from Master                                                  (650,442)       (819,598)        643,183          58,341
   Interest income allocated from Master                             83,671          69,155         252,304         178,888
   Expenses allocated from Master                                  (251,695)       (256,444)     (1,130,690)       (806,435)
  Net gains (losses) on trading of commodity interests:
  Realized gains (losses) on closed positions                    (9,862,317)      6,738,568         227,840       6,990,097
  Change in unrealized gains (losses) on open positions           9,404,257      (1,511,300)      2,415,348       3,382,246
                                                               ------------    ------------    ------------    ------------

  Net realized and unrealized  gains (losses)                       174,043       6,120,492      (1,876,270)     14,857,267

  Interest income                                                    96,316         136,838         363,858         293,202
                                                               ------------    ------------    ------------    ------------

                                                                    270,359       6,257,330      (1,512,412)     15,150,469
                                                               ------------    ------------    ------------    ------------
Expenses:
  Brokerage commissions including clearing fees
   of $55,143, $57,678, $199,975 and $255,118                       479,654         268,661       1,569,873         958,798
  Management fees                                                   385,915         249,304       1,138,473         572,202
  Administrative fees                                               102,366          62,328         293,150         143,050
  Incentive fees                                                         --         852,827         298,424       2,174,113
  Other expenses                                                     30,334          41,426          80,197         119,862
                                                               ------------    ------------    ------------    ------------

                                                                    998,269       1,474,546       3,380,117       3,968,025
                                                               ------------    ------------    ------------    ------------

Net income (loss)                                                  (727,910)      4,782,784      (4,892,529)     11,182,444

Additions   - Limited Partner                                    13,309,000      10,434,000      45,269,000      27,456,000
            - General Partner                                            --          65,000              --         224,000
Redemptions - Limited Partner                                   (10,649,465)     (1,524,687)    (22,023,373)     (5,106,796)
                                                               ------------    ------------    ------------    ------------

Net increase in Partners' capital                                 1,931,625      13,757,097      18,353,098      33,755,648

Partners' capital, beginning of period                           78,574,272      40,752,367      62,152,799      20,753,816
                                                               ------------    ------------    ------------    ------------

Partners' capital, end of period                                $80,505,897     $54,509,464     $80,505,897     $54,509,464
                                                                ===========      ==========      ==========      ===========

Net asset value per Redeemable Unit
  (72,711.8254 and 37,182.8412 Redeemable Units outstanding
     at September 30, 2003 and 2002, respectively)                $1,107.19       $1,208.39       $1,107.19       $1,208.39
                                                               ============      ==========       =========        ========

Net income (loss) per Redeemable Unit of Limited Partnership
  Interest and General Partner Unit equivalent                       $(5.93)        $112.39         $(53.63)        $256.16
                                                               ============     ===========       ==========       =========
</TABLE>


See Accompanying Notes to Unaudited Financial Statements
                                        6
<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (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. The Partnership  commenced  trading on June 10, 1999. From June 10,
1999 to August 31, 2001, the  Partnership  engaged  directly in the  speculative
trading of a diversified portfolio of commodity interests.

Between March 31, 1999  (commencement of the offering period) and June 10, 1999,
10,499  Units  of  Limited   Partnership   Interest  and  106  Unit  equivalents
representing the general  partner's  contribution  were sold at $1,000 per 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 Units.

     Effective September 1, 2001, the Partnership transferred the portion of the
Partnership's assets that were allocated to AAA Capital Management, Inc. ("AAA")
for trading to the SB AAA Master Fund LLC, a New York Limited  Liability Company
(the "Master") for 5,173.4381 Units of the Master at a fair value of $5,173,438.
The  transfer was tax free.  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.


                                                                     (Continued)
                                       7
<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (Unaudited)
                                   (Continued)

     As of September 30, 2003, the Partnership owns  approximately  12.7% 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 and Condensed  Schedule of
Investments are included herein.

     On April 7, 2003,  Smith Barney Futures  Management LLC changed its name to
Citigroup  Managed Futures LLC. 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 September 30, 2003, all trading  decisions
are made by  Willowbridge  Associates  Inc.,  Winton Capital  Management and AAA
Capital Management, Inc. (collectively, the "Advisors").

     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  September  30, 2003 and  December 31, 2002 and the results of its
operations  for the three and nine  months  ended  September  30, 2003 and 2002.
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  registration  statement  on Form 10/A
filed with the Securities and Exchange Commission on November 5, 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
year presentation.


                                       8
<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (Unaudited)
                                   (Continued)

     The Master's Statements of Financial Condition as of September 30, 2003 and
December 31, 2002,  Condensed  Schedules of Investments as of September 30, 2003
and  December  31, 2002 and its  Statements  of Income and Expenses and Members'
Capital  for the three and nine  months  ended  September  30, 2003 and 2002 are
presented below:

<TABLE>
<CAPTION>
<S>                                         <C>            <C>
                                        September 30,    December 31,
                                            2003             2002
                                        ------------   -------------
Assets:
Equity in commodity futures trading
 account:
Cash (restricted $25,465,159 and
 $53,522,255, respectively)             $262,575,170   $330,218,077
Net unrealized appreciation
 on open  positions                        6,303,842      9,188,483
Unrealized appreciation on
 open swaps positions                     33,482,194     38,011,771
Commodity options owned, at fair
 value (cost $32,963,177 and
 $63,879,907, respectively)               33,691,360     83,252,102
                                         336,052,566    460,670,433
                                         -----------    -----------
Due from brokers                             489,055     12,595,792
Interest receivable                          180,564          6,712
                                         -----------    -----------
                                        $336,722,185   $473,272,937
                                         ===========    ===========
Liabilities and Members' Capital:
Liabilities:
 Unrealized depreciation on open
  swap positions                         $17,897,668    $48,470,222
 Commodity options written, at
    market value (premium $44,320,523
    and $59,666,185, respectively)        34,673,623     67,724,777
Accrued Expenses:
   Commissions                             1,904,325      5,210,167
   Professional fees                               4         20,117
   Due to brokers                            657,700      1,541,223
   Due to CGM                                 22,978         22,978
   Distribution Payable                      174,830              -
                                         -----------    -----------
                                          55,331,128    122,989,484
                                         -----------    ------------
Members' Capital:
 Members' Capital, 215,995.4878 and
  216,355.0521 Units outstanding
  in 2003 and 2002, respectively         281,391,057    350,283,453
                                         -----------    -----------
                                        $336,722,185   $473,272,937
                                         ===========    ===========
</TABLE>

                                       9
<PAGE>
                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          Notes to Financial Statements
                               September 30, 2003
                                   (Unaudited)

                             SB AAA Master Fund LLC
                        Condensed Schedule of Investments
                               September 30, 2003
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                           <C>                     <C>                                                            <C>
                           Number of
Sector                      Contracts               Contract                                                       Fair Value
--------------    ------------------------------    ----------------------------------                     -------------------
Energy                                              Futures contracts purchased 0.33%                                $ 917,999
                                                    Futures contracts sold 1.91%                                     5,385,843
                                                                                                           --------------------
                                                      Total futures contracts 2.24%                                  6,303,842

                                                    Options owned 11.97%
                              4,084                 NYMEX Natural Gas Put 7.73%  Nov. 03 - Oct 04                   21,740,320
                                                    Other 4.24%                                                     11,951,040
                                                                                                           --------------------
                                                                                                                    33,691,360


                                                    Options written (12.32)%
                              7,842                 NYMEX Natural Gas Call (7.79)% Aug 03 - Dec 04                 (21,926,650)
                                                    Other (4.53)%                                                  (12,746,973)
                                                                                                           --------------------
                                                                                                                   (34,673,623)


                                                    Unrealized appreciation on Swaps contracts 11.90%
                                                    HH Natural Gas  6.86%                                           19,305,725
                                                    Other 5.04%                                                     14,176,469
                                                                                                           ---------------------
                                                                                                                    33,482,194

                                                    Unrealized depreciation on Swaps contracts  (6.36)%
                                                    NYMEX Natural Gas                                              (17,897,668)
                                                                                                           --------------------
              Total Energy 7.43%                                                                                  $ 20,906,105
                                                                                                           ====================

Total Fair Value 7.43%

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

  United Kingdom                                       $ (1,532,097)                 (7.33)%
  United States                                          22,438,202                 107.33
                                                       -------------                -------
                                                       $ 20,906,105                 100.00 %
                                                      ==============                 =====
</TABLE>

Percentages are based on Members' Capital unless otherwise indicated


                                       10



<PAGE>
                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          Notes to Financial Statements
                               September 30, 2003
                                   (Unaudited)

                             SB AAA Master Fund LLC
                        Condensed Schedule of Investments
                                December 31, 2002

<TABLE>
<CAPTION>
<S>                                  <C>                          <C>                                                  <C>
                                 Number of                       Contract                                         Fair Value
Sector                           Contracts
Energy                                            Futures contracts purchased 17.92%
                                     6,228        IPE Gas Oil 5.45% Jan. - Feb. 2003                               $19,089,003
                                                  Other 12.47%                                                      43,677,214
                                                                                                                    ------------
                                                                                                                    62,766,217

                                                  Futures contracts sold (15.30)%
                                    13,454        NYMEX Light Sweet Crude Oil (7.22)% Feb. 03 - June 04            (25,271,391)
                                     7,578        NYMEX Natural Gas (6.05)% Feb. 03 - Feb. 04                      (21,203,640)
                                                  Other (2.03)%                                                     (7,102,703)
                                                                                                                   ------------
                                                                                                                   (53,577,734)

                                                  Options owned 23.77%
                                     7,293        NYMEX Natural Gas Call 10.40% Feb. 03 - June 03                   36,430,400
                                     5,325        NYMEX Natural Gas Put 5.37% Feb. 03 - June 03                     18,812,110
                                                  Other 8.00%                                                       28,009,592
                                                                                                                    ------------
                                                                                                                    83,252,102

                                                  Options written (19.33)%
                                    12,086        NYMEX Light Sweet Crude Call (6.90)% Feb. 03 - June 03           (24,193,640)
                                                  Other (12.43)%                                                   (43,531,137)
                                                                                                                   ------------
                                                                                                                   (67,724,777)

                                                  Unrealized appreciation on Swaps contracts 10.85%
                                     3,354        NYMEX Natural Gas 5.46%                                           19,130,237
                                                  Other 5.39%                                                       18,881,534
                                                                                                                    ------------
                                                                                                                    38,011,771

                                                  Unrealized depreciation on Swaps contracts (13.84)%
                                     1,809        NYMEX Natural Gas (5.17)%                                        (18,107,814)
                                                  Other (8.67)%                                                    (30,362,408)
                                                                                                                    ------------
                                                                                                                   (48,470,222)
                                                                                                                    ------------
    Total Energy 4.07%                                                                                              14,257,357
                                                                                                                    ------------
Total Fair Value 4.07%                                                                                             $14,257,357
                                                                                                                    ===========
                              Investments at   % of Investments at
   Country Composition         Fair Value         Fair Value
   --------------------        -----------      ---------------

   United Kingdom              $25,728,485         180.46%
   United States               (11,471,128)        (80.46)
                              ------------         ------
                               $14,257,357         100.00%
                              ============         =======
</TABLE>

Percentages are based on Members' Capital unless otherwise indicated.

See Accompanying Notes to Financial Statements.

                                       11
<PAGE>
                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (UNAUDITED)

                             SB AAA MASTER FUND LLC
             STATEMENTS OF INCOME AND EXPENSES AND MEMBERS' CAPITAL
                                   (UNAUDITED)


<TABLE>
<CAPTION>
<S>                                                                    <C>           <C>               <C>             <C>
                                                                       Three Months Ended             Nine Months Ended
                                                                          September 30,                 September 30,
                                                                     2003           2002             2003             2002
                                                                -----------------------------     -----------------------------

Income:
  Net gains (losses) on trading of commodity
   interests:
  Realized gains (losses) on closed positions                        $11,364,220      $32,530,758     $(81,204,492)     $75,347,319
  Change in unrealized gains (losses) on open
   positions                                                          (4,834,883)     (14,289,808)      22,219,816       (1,542,837)
                                                                   -------------    -------------    -------------    -------------
  Net realized and unrealized  gains (losses)                          6,529,337       18,240,950      (58,984,676)      73,804,482
  Interest income                                                        527,067          694,206        1,946,481        1,934,222
                                                                   -------------    -------------    -------------    -------------
                                                                       7,056,404       18,935,156      (57,038,195)      75,738,704
                                                                   -------------    -------------    -------------    -------------
Expenses:
  Brokerage commissions including clearing fees
  of $398,062, $606,653, $1,434,608 and $1,098,861, respectively       1,638,456        4,705,739       11,424,814       12,227,265
  Professional fees                                                      195,727            9,399          214,218           27,685
                                                                   -------------    -------------    -------------    -------------
                                                                       1,834,183        4,715,138       11,639,032       12,254,950
                                                                   -------------    -------------    -------------    -------------
  Net income  (loss)                                                   5,222,221       14,220,018      (68,677,227)      63,483,754
                                                                  -------------    -------------    -------------    -------------
   Additions                                                           6,258,158      122,115,230       51,437,472      133,277,647
   Redemptions                                                       (10,907,469)      (7,953,501)     (49,779,551)     (20,461,187)
   Distributions                                                        (511,012)        (673,613)      (1,873,090)      (1,890,174)
                                                                   -------------    -------------    -------------    -------------
  Net increase (decrease) in Members' Interest                            61,898      127,708,134      (68,892,396)     174,410,040
Members' capital, beginning of period                                281,329,159      198,916,629      350,283,453      152,214,723
                                                                   -------------    -------------    -------------    -------------
Members' capital, end of period                                     $281,391,057     $326,624,763     $281,391,057     $326,624,763
                                                                    ============      ===========      ===========       ===========
Net asset value per Unit
  (215,995.4878 and 214,373.0803 Units outstanding at
    September 30, 2003 and 2002, respectively)                         $1,302.76        $1,523.63        $1,302.76        $1,523.63
                                                                     ============      ===========      ===========       =========
Net income (loss) per Unit of Member Interest                             $24.07           $65.15         $(309.06)         $423.21
                                                                    ============      ===========      ===========       ===========
</TABLE>
                                       12
<PAGE>



                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (Unaudited)
                                   (Continued)

2.     Financial Highlights:

     Changes  in net  asset  value  per  Redeemable  Unit for the three and nine
months ended September 30, 2003 and 2002 were as follows:

<TABLE>
<CAPTION>
<S>                                   <C>         <C>            <C>         <C>
                                       THREE-MONTHS ENDED          NINE-MONTHS ENDED
                                            SEPTEMBER 30,            SEPTEMBER 30,
                                        2003        2002        2003           2002

Net realized and unrealized
  gains(losses) *                      $(1.07)     $135.93      $(32.43)     $322.01
Interest income                          2.40         4.92         8.93        12.90
Expenses **                             (7.26)      (28.46)      (30.13)      (78.75)
                                       ------      -------       ------      --------
Increase(decrease) for period           (5.93)      112.39       (53.63)      256.16

Net Asset Value per Redeemable
 Unit, beginning of period           1,113.12     1,096.00      1,160.82      952.23
                                    =========     ========     =========     ========
Net Asset Value per Redeemable
 Unit, end of period                $1,107.19    $1,208.39    $1,107.19    $1,208.39
                                    =========     ========     =========     ========
</TABLE>



*       Includes brokerage commissions and expenses allocated from Master.
**      Excludes brokerage commissions and expenses allocated from Master.
                                       13
<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (Unaudited)
                                   (Continued)

Financial Highlights continued:
<TABLE>
<CAPTION>
<S>                                   <C>      <C>       <C>      <C>
                                  THREE-MONTHS ENDED   NINE-MONTHS ENDED
                                      SEPTEMBER 30,       SEPTEMBER 30,
                                     2003      2002     2003      2002
                                    ----------------   ---------------
Ratio to average net assets: ***

   Net investment loss before
     incentive fees ****             (5.1)%   (5.7)%  (6.0)%   (8.0)%
                                     =====   ======   =====     =====

   Operating expenses                 6.2%     7.5%    7.0%     9.8%
   Incentive fees                     0.0%     7.3%    0.5%     8.2%
                                     -----    -----   ----      -----
   Total expenses                     6.2%    14.8%    7.5%    18.0%
                                     =====   ======   =====     =====

Total return:

   Total return before incentive
    fees                             (0.5)%   35.9%   (4.3)%   60.1%
   Incentive fees                     0.0%   (25.6)%  (0.3)%  (33.2)%
                                     -----    -----   ----      -----
Total return after incentive fees    (0.5)%   10.3%   (4.6)%   26.9%
                                     =====   ======   =====    =====

</TABLE>

***      Annualized
****     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 period.

                                       14
<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (Unaudited)
                                   (Continued)



Financial Highlights of the Master:

     Changes  in net asset  value per Unit for the three and nine  months  ended
September 30, 2003 and 2002 were as follows:

<TABLE>
<CAPTION>
<S>                                               <C>         <C>               <C>            <C>
                                                THREE-MONTHS ENDED              NINE-MONTHS ENDED
                                                 SEPTEMBER 30,                   SEPTEMBER 30,
                                                  2003          2002            2003          2002
                                              -----------------------        ------------------------


Net realized and unrealized
  gains(losses)*                                 $   22.68     $   61.95       $ (317.27)    $  414.30
Interest income                                       2.44          3.24            9.01          9.02
Expenses**                                           (1.05)        (0.04)          (0.80)        (0.11)
                                                    --------      -------      ---------       --------
Increase(decrease) for period                        24.07         65.15         (309.06)       423.21

Distributions                                        (2.37)        (3.14)          (8.67)        (8.82)

Net Asset Value per Unit,
 beginning of period                              1,281.06      1,461.62        1,620.49      1,109.24
                                                   ========     ========        ========      ========

Net Asset Value per Unit,
 end of period                                   $1,302.76     $1,523.63       $1,302.76     $1,523.63
                                                   ========     ========        ========      ========
</TABLE>



*  Includes brokerage commissions.
** Excludes brokerage commissions.
                                       15
<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (Unaudited)
                                   (Continued)


Financial Highlights of the Master:

<TABLE>
<CAPTION>
<S>                                               <C>         <C>               <C>            <C>
                                                THREE-MONTHS ENDED              NINE-MONTHS ENDED
                                                 SEPTEMBER 30,                   SEPTEMBER 30,
                                                  2003          2002            2003          2002
                                              -----------------------        ------------------------


Ratio to average net assets: *

  Net investment loss **                         (2.1)%        (6.6)%           (4.4)%       (6.4)%

  Operating expenses                              2.6%          6.7%             4.9%         7.7%



Total return                                      1.8%          4.5%           (19.3)%       38.1%

</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
                               September 30, 2003
                                   (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 on open futures positions.

     All of the  commodity  interests  owned  by the  Partnership  are  held for
trading  purposes.  The average  fair values  during the nine and twelve  months
ended September 30, 2003 and December 31, 2002, respectively, based on a monthly
calculation,  were assets of $3,495,179 and $2,689,879,  respectively.  The fair
values of these commodity  interests,  including  options and swaps thereon,  if
applicable,  at  September  30,  2003 and  December  31,  2002  were  assets  of
$7,472,565  and  $5,057,217,  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

                                       17

<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (Unaudited)
                                   (Continued)

exchange  or   over-the-counter   ("OTC").   Exchange  traded   instruments  are
standardized and include futures and certain option contracts. OTC contracts are
negotiated between contracting parties and include forwards and certain options.
Each of these  instruments  is subject to various risks similar to those related
to the underlying  financial  instruments  including  market and credit risk. In
general,  the  risks  associated  with OTC  contracts  are  greater  than  those
associated  with  exchange  traded  instruments  because of the greater  risk of
default by the counterparty to an OTC contract.  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
Partnerships's/Master's  risk of loss in the event of  counterparty  default  is
typically  limited to the amounts  recognized as unrealized  appreciation in the
statement 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.

                                       18
<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                               September 30, 2003
                                   (Unaudited)
                                   (Continued)

     The majority of these  instruments  mature within one year of September 30,
2003. However, due to the nature of the  Partnership's/Master's  business, these
instruments may not be held to maturity.


                                       19
<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 third quarter of 2003.

     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 nine months ended September 30, 2003, Partnership capital increased
29.5% from  $62,152,799  to  $80,505,897.  This  increase  was  attributable  to
additional sales of 39,236.3828  Redeemable Units totaling $45,269,000 which was
partially  offset by a net loss from operations of $4,892,529,  coupled with the
redemption  of  20,066.6790   Redeemable   Units  resulting  in  an  outflow  of
$22,023,373.  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  nine  months  ended  September  30,  2003,  the  Master's  capital
decreased   19.7%  from   $350,283,453  to   $281,391,057.   This  decrease  was
attributable  to  a  net  loss  from  operations  of  $68,677,227  coupled  with
redemptions  of  28,881.9927   Redeemable   Units   totaling   $49,779,551   and
distributions  of  interest of  $1,873,090  to the  non-managing  members of the
Master,  which was partially  offset by the additions of 37,191.8136  Redeemable
Units totaling  $51,437,472.  Future  redemptions can impact the amount of funds
available for investments in commodity contract positions in subsequent periods.


                                       20
<PAGE>

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.

     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 statement of income and expenses and partners' capital.

Results of Operations

     During the  Partnership's  third  quarter of 2003,  the net asset value per
Redeemable  Unit  decreased  0.5% from  $1,113.12 to $1,107.19 as compared to an
increase of 10.3% in the third quarter of 2002.  The  Partnership  experienced a


                                       21
<PAGE>

net trading gain in the third quarter of 2003 of $174,043.  Gains were primarily
attributable  to the  Partnership's  trading of commodity  futures in livestock,
metals, grains, indices and U.S. and non-U.S.  interest rates and were partially
offset by losses in currencies,  energy and softs. The Partnership experienced a
net  trading  gain  in the  third  quarter  of 2002 of  $6,120,492.  Gains  were
primarily  attributable  to the  Partnership's  trading of commodity  futures in
softs,  grains,  metals,  U.S. and non-U.S.  interest  rates and were  partially
offset by losses in energy, currencies, livestock and indices.

     During the nine months ended  September  30, 2003,  the  Partnership's  net
asset value per Unit  decreased  4.6% from $1,160.82 to $1,107.19 as compared to
an  increase  of  26.9%  in the  nine  months  ended  September  30,  2002.  The
Partnership  experienced  a net trading loss in the nine months ended  September
30, 2003 of  $1,876,270.  Losses were primarily  attributable  to the trading of
commodity  contracts in U.S. and non-U.S.  interest rates,  softs and metals and
were partially offset by gains in currencies,  energy,  grains and indices.  The
Partnership  experienced  a net trading gain in the nine months ended  September
30, 2002 of  $14,857,267.  Gains were primarily  attributable  to the trading of
commodity contracts in currencies,  livestock,  U.S. and non-U.S. interest rates
and grains and were  partially  offset by losses in indices,  softs,  energy and
metals.

     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
depends on the  existence  of major price trends and the ability of the Advisors
(other than AAA) 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  expect 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 and nine months ended

                                       22
<PAGE>

September 30, 2003 decreased by $40,522 and increased by $70,656,  respectively,
as compared to the corresponding periods in 2002. Interest income allocated from
Master for the three and nine  months  ended  September  30, 2003  increased  by
$14,516 and $73,416,  respectively,  as compared to the corresponding periods in
2002. The increase in interest income and interest income  allocated from Master
are  primarily due to an increase in net assets during the three and nine months
ended September 30, 2003.

     Brokerage  commissions  are based on the number of trades  executed  by the
Advisor.  Brokerage  commissions  and fees for the three and nine  months  ended
September 30, 2003 increased by $210,993 and $611,075, respectively, as compared
to the  corresponding  periods in 2002. The increase in commissions  and fees is
primarily  due to an increase in the number of trades  during the three and nine
months ended September 30, 2003 as compared to 2002.

     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 and nine months ended
September 30, 2003 increased by $136,611 and $566,271 respectively,  as compared
to the corresponding  periods in 2002. The increase of management fees is due to
an increase in assets during the three and nine months ended  September 30, 2003
as compared to 2002.

     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  additions and redemptions.  Administrative
fees for the three and nine months ended September 30, 2003 increased by $40,038
and $150,100,  respectively,  as compared to the corresponding  periods in 2002.
The increase in  administrative  fees is due to higher average net assets during
the three and nine months ended September 30, 2003 as compared to 2002.

     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 and nine months ended September 30,
2003  resulted  in  incentive  fees of $0 and  $298,424,  respectively.  Trading
performance  for the three and nine months ended  September 30, 2002 resulted in
incentive fees of $852,827 and $2,174,113, respectively.

                                       23
<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
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  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.

                                      24
<PAGE>

     The following table indicates the trading Value at Risk associated with the
Partnership's open positions by market category as of September 30, 2003 and the
highest and lowest  value at any point  during the three and nine  months  ended
September 30, 2003. All open position  trading risk exposures of the Partnership
have been included in calculating  the figures set forth below.  As of September
30, 2003, the Partnership's total capitalization was $80,505,897. 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, 2002.

<TABLE>
<CAPTION>
<S>                                  <C>         <C>              <C>               <C>            <C>
                               September 30, 2003
                                   (Unaudited)
                                                               Year     to     Date
                                                         -----------------------------------------
                                                % of Total        High            Low         Average
Market Sector                 Value at Risk   Capitalization  Value at Risk  Value at Risk  Value at Risk

Currencies:
-    Exchange Traded
     Contracts                   $ 1,883,832      2.34%        $1,955,710      $  444,732      $1,132,479
Energy                             1,133,615      1.41%         2,833,000         123,600       1,488,757
Grains                               612,771      0.76%         1,802,600         189,472         629,887
Interest Rates U.S.                1,059,890      1.32%         1,059,890         116,850         628,387
Interest Rates Non-U.S.            2,098,151      2.60%         3,261,061         148,412       1,229,174
Livestock                            153,500      0.19%           410,010          23,800         157,743
Metals:
-    Exchange Traded
     Contracts                       569,900      0.71%         1,137,100         100,500         541,289
 - OTC Contracts                     141,975      0.18%           283,375          33,175          86,025
Softs                                569,782      0.71%           937,100         123,581         540,973
Indices                            1,153,022      1.43%         1,453,025          95,480         658,888
Lumber                                 7,000      0.01%             7,000           1,650           1,694
                                   ---------      ------
Total                            $ 9,383,438     11.66%
                                   =========     ======
</TABLE>

                                       25
<PAGE>

     The following table indicates the trading Value at Risk associated with the
Master's  open  positions by market  category as of  September  30, 2003 and the
highest and lowest  value at any point  during the three and nine  months  ended
September 30, 2003. All open position  trading risk exposures of the Master have
been included in  calculating  the figures set forth below.  As of September 30,
2003 , the Master's total  capitalization  was  $281,391,057.  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, 2002.


                               September 30, 2003
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                         <C>             <C>              <C>                  <C>           <C>
                                                                     Year  to  Date
                                                          ------------------------------------------
                                        % of Total         High                Low           Average
Market Sector       Value at Risk   Capitalization      Value at Risk      Value at Risk  Value at Risk

Energy                 $18,415,548       6.54%           $131,820,411       $12,880,254     $39,599,399
Energy Swaps             5,727,000       2.04%             33,232,031           900,000       8,473,995
                      -----------       ------
Total                  $24,142,548       8.58%
                       ===========      ======
</TABLE>

                                       26
<PAGE>


Item 4. Controls and Procedures

     Based on their  evaluation  of the  Partnership's  disclosure  controls and
procedures as of September 30, 2003, the President and Chief  Financial  Officer
of the General  Partner have  concluded  that such controls and  procedures  are
effective.

     During the  Partnership's  last fiscal quarter,  no changes occurred in the
Partnership's  internal  control over financial  reporting that have  materially
affected,  or are  reasonably  likely to materially  affect,  the  Partnership's
internal control over financial reporting.

                                       27
<PAGE>

                           PART II. OTHER INFORMATION

Item 1.   LEGAL PROCEEDINGS

     The following  information  supplements and amends our discussion set forth
under Item 8 "Legal Proceedings" in the Partnership's  Registration Statement on
Form 10/A filed on November 5, 2003.

ENRON

TITTLE, ET AL. v. ENRON CORP., ET AL.

     On  September  30,  2003,  all of the  claims  against  Citigroup  in  this
litigation were dismissed.

Additional Actions

     Several additional actions,  previously identified,  have been consolidated
or  coordinated  with the Newby  action and are stayed,  except with  respect to
certain discovery,  until after the court's decision on class certification.  In
addition, on August 15, 2003, a purported class action was brought by purchasers
of Enron stock alleging state law claims of negligent misrepresentation,  fraud,
breach of fiduciary duty and aiding and abetting a breach of fiduciary  duty. On
August 29, 2003, an investment  company filed a lawsuit alleging that Citigroup,
CGM and several other  defendants  (including,  among others,  Enron's  auditor,
financial  institutions,  outside  law firms and rating  agencies)  engaged in a
conspiracy,  which purportedly caused plaintiff to lose credit (in the form of a
commodity  sales  contract)  it extended  to an Enron  subsidiary  in  purported
reliance on Enron's financial statements.  On September 24, 2003, Enron filed an
adversary proceeding in its chapter 11 bankruptcy proceedings to recover alleged
preferential  payments and fraudulent  transfers  involving  Citigroup,  CGM and
other  entities,  and to  disallow  or to  subordinate  bankruptcy  claims  that
Citigroup, CGM and other entities have filed against Enron.

Research

     In connection  with the global  research  settlement,  on October 31, 2003,
final  judgment  was entered  against CGM and nine other  investment  banks.  In
addition,  CGM has entered into  separate  settlement  agreements  with numerous
states and certain U.S. territories.


                                       28
<PAGE>

WORLDCOM

     Citigroup  and/or CGM are now named in  approximately  35 individual  state
court actions brought by pension funds and other  institutional  investors based
on underwriting of debt securities of WorldCom.  Most of these actions have been
removed to federal court and transferred to the United States District Court for
the Southern  District of New York for centralized  pretrial hearings with other
WorldCom actions.  On October 24, 2003, the court granted  plaintiffs' motion to
have this matter certified as a class action.

OTHER

     On November 3, 2003,  the United  States  District  Court for the  Southern
District of New York granted the  Company's  motion to dismiss the  consolidated
amended  complaint  asserting  violations of certain federal and state antitrust
laws by CGM and other  investment  banks in  connection  with the  allocation of
shares in initial public offerings underwritten by such parties.

Item 2. Changes in Securities and Use of Proceeds -

          This information relates to the Partnership's  registration  statement
          no. 22-3644546, which was declared effective by the SEC on November 5,
          2003.  For the  nine  months  ended  September  30,  2003  there  were
          additional sales of 39,236.3828 Redeemable Units totaling $45,269,000.
          For the nine months  ended  September  30, 2002 there were  additional
          sales  of  27,924.5415   Redeemable  Units  totaling  $27,456,000  and
          contributions  by  the  General  Partner  representing  231.6282  Unit
          equivalents totaling $224,000.

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

Item 3. Defaults Upon Senior Securities - None

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

Item 5. Other Information - None

                                       29
<PAGE>

Item 6. 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
     Registration Statement on Form 10/A filed on November 5, 2003.

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

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

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

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

          (b)  Reports on Form 8-K - None
                                       30
<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, President and Director
           David J. Vogel, President and Director


Date:        11/14/03

     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, President and Director
         David J. Vogel, President and Director


Date:        11/14/03



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


Date:        11/14/03
                                       31
<PAGE>

                                                                    Exhibit 31.1
                                 CERTIFICATIONS

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 and results of operations 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,  including its  consolidated
subsidiaries, 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 (the registrant's fourth fiscal quarter in the case of an annual report)
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):

                                       32
<PAGE>

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: November 14, 2003


                                             /s/  David J. Vogel
                                                  David J. Vogel
                                                  Citigroup Managed Futures LLC
                                                  President and Director
                                       33
<PAGE>


                                                                   Exhibit 31.2
                                 CERTIFICATIONS

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 and results of operations 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,  including its  consolidated
subsidiaries, 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 (the registrant's fourth fiscal quarter in the case of an annual report)
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):

                                       34
<PAGE>

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: November 14, 2003


                                       /s/ Daniel R. McAuliffe, Jr.
                                           Daniel R. McAuliffe, Jr.
                                           Citigroup Managed Futures LLC
                                           Chief Financial Officer and Director
                                       35
<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 September 30,
2003 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  and results of operations of the
Partnership.


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

November 14, 2003
                                       36
<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 September 30,
2003 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  and results of operations of the
Partnership.

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

November 14, 2003



                                       37