Table of Contents

FORM10-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 SECURITIESEXCHANGE ACT OF 1934

For The Quarter Ended March31, 2006

Commission File Number0-50271

SALOMON SMITH BARNEY ORION FUTURES FUNDL.P.

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(Exact name ofregistrant as specified in its charter)

|                                                              |  |                                     |  |  |  |  |
|--------------------------------------------------------------|--|-------------------------------------|--|--|--|--|
| New York                                                     |  | 22-3644546                          |
| (State orother jurisdiction ofincorporation or organization) |  | (I.R.S. EmployerIdentification No.) |
|                                                              |

c/oCitigroup Managed Futures LLC 731 Lexington Avenue. – 25thFl. New York, New York 10022

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|--|
|  |  |
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(Address and Zip Code ofprincipal executive offices)

(212) 559-2011

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|  |  |
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(Registrant'stelephone number, including area code)

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

Yes  X    No      

Indicate by check mark whether the registrant is a largeaccelerated filer, an accelerated filer, or a non-accelerated filer.See definition of "accelerated filer and large acceleratedfiler" in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer            Accelerated filer            Non-accelerated filer  X  

Indicate by check markwhether the registrant is a shell company (as defined in Rule 12b-2 ofthe ExchangeAct).

Yes         No  X

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Table of Contents

SALOMON SMITHBARNEY ORION FUTURES FUND L.P.

FORM 10-Q

INDEX

|                                 |  |                                                                                                                    |  |               |  |  |  |  |  |  |
|---------------------------------|--|--------------------------------------------------------------------------------------------------------------------|--|---------------|--|--|--|--|--|--|
|                            |  |                                                                                                               |  | PageNumber    |
| PART I - Financial Information: |  |                                                                                                               |
| Item1.                          |  | FinancialStatements:                                                                                               |  |          |
|                            |  | Statements ofFinancial Condition at March 31, 2006 and December 31, 2005(unaudited)                                |  | 3             |
|                            |  | Condensed Schedules of Investments at March 31,2006 and December 31, 2005 (unaudited)                              |  | 4 –5    |
|                            |  | Statements of Income and Expensesand Partners' Capital for the three monthsended March 31,2006 and 2005(unaudited) |  | 6             |
|                            |  | Statementsof Cash Flows for the three monthsended March 31, 2006 and 2005(unaudited)                               |  | 7             |
|                            |  | Notes toFinancial Statements (unaudited)                                                                           |  | 8 –13   |
| Item 2.                         |  | Management's Discussion andAnalysisof Financial Condition and Results ofOperations                                 |  | 14 – 16 |
| Item3.                          |  | Quantitative and QualitativeDisclosures about MarketRisk                                                           |  | 16 – 18 |
| Item4.                          |  | Controls andProcedures                                                                                             |  | 19            |
| PART II -OtherInformation       |  |                                                                                                               |  | 20            |
|                                 |

2

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Table of Contents

PART I

Item 1.Financial Statements

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

|                                                                                                                                          |  |              |             |                 |  |        |             |        |  |  |
|------------------------------------------------------------------------------------------------------------------------------------------|--|--------------|-------------|-----------------|--|--------|-------------|--------|--|--|
|                                                                                                                                     |  | March31,2006 |             | December31,2005 |
| Assets:                                                                                                                                  |  |         |        |            |  |   |        |   |
| Investmentin Partnerships, at fairvalue                                                                                                  |  | $            | 206,446,297 |            |  | $      | 164,526,199 |   |
| Equityin commodity futures trading account:                                                                                              |  |         |        |            |  |   |        |   |
| Cash(restricted $1,554,283 and $1,635,266 in 2006 and 2005, respectively)in commodity futures tradingaccount                             |  |         | 9,794,535   |            |  |   | 10,181,361  |   |
| Netunrealized appreciation on open futurespositions                                                                                      |  |         | 972,045     |            |  |   | 244,775     |   |
|                                                                                                                                     |  |         | 217,212,877 |            |  |   | 174,952,335 |   |
| Interestreceivable                                                                                                                       |  |         | 39,321      |            |  |   | 34,220      |   |
|                                                                                                                                     |  | $            | 217,252,198 |            |  | $      | 174,986,555 |   |
|                                                                                                                                     |  |         |        |            |  |   |        |   |
| Liabilitiesand Partners'Capital:                                                                                                         |  |         |        |            |  |   |        |   |
| Liabilities:                                                                                                                             |  |         |        |            |  |   |        |   |
| Accruedexpenses:                                                                                                                         |  |         |        |            |  |   |        |   |
| Commissions                                                                                                                              |  | $            | 549,258     |            |  | $      | 257,466     |   |
| Managementfees                                                                                                                           |  |         | 327,418     |            |  |   | 273,625     |   |
| Administrativefees                                                                                                                       |  |         | 90,211      |            |  |   | 74,149      |   |
| Incentivefees                                                                                                                            |  |         | 3,102,589   |            |  |   | 891,826     |   |
| Other                                                                                                                                    |  |         | 196,586     |            |  |   | 121,586     |   |
| Redemptionspayable                                                                                                                       |  |         | 1,011,235   |            |  |   | 925,581     |   |
|                                                                                                                                     |  |         | 5,277,297   |            |  |   | 2,544,233   |   |
|                                                                                                                                     |  |         |        |            |  |   |        |   |
| Partners'Capital:                                                                                                                        |  |         |        |            |  |   |        |   |
| General Partner,865.3542 Unit equivalents outstanding in 2006 and2005                                                                    |  |         | 1,479,193   |            |  |   | 1,394,371   |   |
| LimitedPartners, 123,143.8197 and 106,152.9612 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005,respectively |  |         | 210,495,708 |            |  |   | 171,047,951 |   |
|                                                                                                                                     |  |         | 211,974,901 |            |  |   | 172,442,322 |   |
|                                                                                                                                     |  | $            | 217,252,198 |            |  | $      | 174,986,555 |   |
|                                                                                                                                          |

SeeAccompanying Notes to Financial Statements.

3

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments March 31,2006 (Unaudited)

|                                    |  |           |             |                      |  |        |        |         |  |  |
|------------------------------------|--|-----------|-------------|----------------------|--|--------|--------|---------|--|--|
|                               |  | FairValue |             | % ofPartners'Capital |
| FuturesContractsPurchased          |  |      |        |                 |  |   |   |    |
| Currencies                         |  | $         | 37,800      |                 |  |   | 0.02   | %  |
| Energy                             |  |      | 166,423     |                 |  |   | 0.08   |    |
| Grains                             |  |      | (18,000     | )               |  |   | (0.01  | )  |
| Metals                             |  |      | 222,480     |                 |  |   | 0.10   |    |
| Softs                              |  |      | 2,822       |                 |  |   | 0.00   | *  |
| Totalfutures contractspurchased    |  |      | 411,525     |                 |  |   | 0.19   |    |
| FuturesContractsSold               |  |      |        |                 |  |   |   |    |
| Currencies                         |  |      | 30,870      |                 |  |   | 0.01   |    |
| Grains                             |  |      | 30,600      |                 |  |   | 0.01   |    |
| InterestRates U.S.                 |  |      | 100,406     |                 |  |   | 0.05   |    |
| InterestRatesNon-U.S.              |  |      | 294,735     |                 |  |   | 0.14   |    |
| Livestock                          |  |      | 98,640      |                 |  |   | 0.05   |    |
| Softs                              |  |      | 5,269       |                 |  |   | 0.00   | *  |
| Totalfutures contractssold         |  |      | 560,520     |                 |  |   | 0.26   |    |
| Investmentin Partnerships          |  |      |        |                 |  |   |   |    |
| SB AAA MasterFund LLC              |  |      | 86,950,072  |                 |  |   | 41.02  |    |
| CMFWillowbridge Argo Master FundLP |  |      | 39,102,041  |                 |  |   | 18.45  |    |
| CMF WintonMasterLP                 |  |      | 80,394,184  |                 |  |   | 37.93  |    |
| TotalInvestment inPartnerships     |  |      | 206,446,297 |                 |  |   | 97.40  |    |
| Totalfair value                    |  | $         | 207,418,342 |                 |  |   | 97.85  | %  |
|                                    |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentages are based onPartners' capital unless otherwise indicated |

|  |                   |
|--|-------------------|
|  | *Due to rounding. |

See Accompanying Notes to FinancialStatements.

4

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments December31, 2005 (Unaudited)

|                                     |  |            |             |                      |  |        |        |          |  |  |
|-------------------------------------|--|------------|-------------|----------------------|--|--------|--------|----------|--|--|
|                                |  | Fair Value |             | % ofPartners'Capital |
| FuturesContractsPurchased           |  |       |        |                 |  |   |   |     |
| Currencies                          |  | $          | (154,313    | )               |  |   | (0.09  | )%  |
| Grains                              |  |       | 30,420      |                 |  |   | 0.02   |     |
| Interest Rates U.S.                 |  |       | 11,025      |                 |  |   | 0.01   |     |
| Interest Rates Non-U.S.             |  |       | 74,289      |                 |  |   | 0.04   |     |
| Metals                              |  |       | 246,600     |                 |  |   | 0.14   |     |
| Softs                               |  |       | 209,755     |                 |  |   | 0.12   |     |
|                                |  |       |        |                 |  |   |   |     |
| Total futures contractspurchased    |  |       | 417,776     |                 |  |   | 0.24   |     |
|                                |  |       |        |                 |  |   |   |     |
| FuturesContractsSold                |  |       |        |                 |  |   |   |     |
| Currencies                          |  |       | (2,563      | )               |  |   | (0.00) | *   |
| Energy                              |  |       | (159,286    | )               |  |   | (0.09  | )   |
| Grains                              |  |       | (13,806     | )               |  |   | (0.01  | )   |
| Interest RatesNon-U.S.              |  |       | 2,654       |                 |  |   | 0.00   | *   |
|                                |  |       |        |                 |  |   |   |     |
| Total futures contractssold         |  |       | (173,001    | )               |  |   | (0.10  | )   |
|                                |  |       |        |                 |  |   |   |     |
|                                |  |       |        |                 |  |   |   |     |
| Investmentin Partnerships           |  |       |        |                 |  |   |   |     |
| SB AAA MasterFund LLC               |  |       | 66,336,443  |                 |  |   | 38.47  |     |
| CMFWillowbridge Argo Master Fund LP |  |       | 43,902,732  |                 |  |   | 25.46  |     |
| CMF Winton MasterLP                 |  |       | 54,287,024  |                 |  |   | 31.48  |     |
|                                |  |       |        |                 |  |   |   |     |
| Total Investment inPartnerships     |  |       | 164,526,199 |                 |  |   | 95.41  |     |
|                                |  |       |        |                 |  |   |   |     |
| Total fairvalue                     |  | $          | 164,770,974 |                 |  |   | 95.55  | %   |
|                                     |

|  |                                                                       |
|--|-----------------------------------------------------------------------|
|  | Percentages are based onPartners' capital unless otherwise indicated. |

|  |                   |
|--|-------------------|
|  | *Due to rounding. |

See Accompanying Notes to FinancialStatements.

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Salomon Smith Barney OrionFutures Fund L.P. Statements of Income and Expenses andPartners' Capital(Unaudited)

|                                                                                                                            |  |                           |             |         |  |        |             |         |  |  |
|----------------------------------------------------------------------------------------------------------------------------|--|---------------------------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                       |  | ThreeMonths EndedMarch31, |
|                                                                                                                       |  | 2006                      |             | 2005    |
| Income:                                                                                                                    |  |                      |        |    |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                                                                        |  |                      |        |    |  |   |        |    |
| Realized losseson closedpostitions                                                                                         |  | $                         | (382,185    | )  |  | $      | (2,528,116  | )  |
| Changein unrealized gains on open positions and investments inPartnerships                                                 |  |                      | 17,639,758  |    |  |   | 17,767,175  |    |
|                                                                                                                       |  |                      | 17,257,573  |    |  |   | 15,239,059  |    |
| Interestincome                                                                                                             |  |                      | 110,952     |    |  |   | 218,030     |    |
|                                                                                                                       |  |                      | 17,368,525  |    |  |   | 15,457,089  |    |
| Expenses:                                                                                                                  |  |                      |        |    |  |   |        |    |
| Brokeragecommissions including clearing fees of $10,426 and $25,393,respectively                                           |  |                      | 1,421,104   |    |  |   | 675,670     |    |
| Managementfees                                                                                                             |  |                      | 923,919     |    |  |   | 582,598     |    |
| Administrativefees                                                                                                         |  |                      | 253,829     |    |  |   | 158,338     |    |
| Incentivefees                                                                                                              |  |                      | 3,102,589   |    |  |   | 3,025,348   |    |
| Otherexpenses                                                                                                              |  |                      | 75,000      |    |  |   | 51,500      |    |
|                                                                                                                       |  |                      | 5,776,441   |    |  |   | 4,493,454   |    |
| Netincome                                                                                                                  |  |                      | 11,592,084  |    |  |   | 10,963,635  |    |
| Additions— LimitedPartners                                                                                           |  |                      | 31,509,000  |    |  |   | 7,491,000   |    |
| Redemptions— LimitedPartners                                                                                         |  |                      | (3,568,505  | )  |  |   | (3,121,367  | )  |
| Netincrease in Partners'capital                                                                                            |  |                      | 39,532,579  |    |  |   | 15,333,268  |    |
| Partners'capital, beginning ofperiod                                                                                       |  |                      | 172,442,322 |    |  |   | 118,783,824 |    |
| Partners'capital, end ofperiod                                                                                             |  | $                         | 211,974,901 |    |  | $      | 134,117,092 |    |
| Netasset value per Unit (124,009.1739 and 90,038.3954 Redeemable Unitsoutstanding at March 31, 2006 and 2005,respectively) |  | $                         | 1,709.35    |    |  | $      | 1,489.55    |    |
| Netincome per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unitequivalent                            |  | $                         | 98.02       |    |  | $      | 121.22      |    |
|                                                                                                                            |

SeeAccompanying Notes to Financial Statements.

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Table of Contents

Salomon Smith Barney OrionFutures Fund L.P. Statements of Cash Flows(Unaudited)

|                                                                                           |  |                           |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------|--|---------------------------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                      |  | ThreeMonths EndedMarch31, |
|                                                                                      |  | 2006                      |             | 2005    |
| Cashflows from operatingactivities:                                                       |  |                      |        |    |  |   |        |    |
| Net Income                                                                                |  | $                         | 11,592,084  |    |  | $      | 10,963,635  |    |
| Adjustmentsto reconcile net income to net cash provided by (used in) operatingactivities: |  |                      |        |    |  |   |        |    |
| Changesin operating assets andliabilities:                                                |  |                      |        |    |  |   |        |    |
| Purchase ofinvestment inPartnerships                                                      |  |                      | (31,509,000 | )  |  |   | (4,991,495  | )  |
| Proceedsfrom sale of investment inPartnerships                                            |  |                      | 4,523,734   |    |  |   | 7,567,171   |    |
| Netunrealized appreciation (depreciation) on investments inPartnerships                   |  |                      | (14,934,832 | )  |  |   | (16,098,755 | )  |
| (Increase)decrease in restrictedcash                                                      |  |                      | 80,983      |    |  |   | (5,104,350  | )  |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions   |  |                      | (727,270    | )  |  |   | (1,172,777  | )  |
| (Increase)decrease in interestreceivable                                                  |  |                      | (5,101      | )  |  |   | (26,342     | )  |
| Accruedexpenses:                                                                          |  |                      |        |    |  |   |        |    |
| Increase(decrease) incommissions                                                          |  |                      | 291,792     |    |  |   | 41,963      |    |
| Increase(decrease) in managementfees                                                      |  |                      | 53,793      |    |  |   | 24,000      |    |
| Increase(decrease) in administrativefees                                                  |  |                      | 16,062      |    |  |   | 6,609       |    |
| Increase(decrease) in incentivefees                                                       |  |                      | 2,210,763   |    |  |   | 2,175,475   |    |
| Increase(decrease) inother                                                                |  |                      | 75,000      |    |  |   | 51,500      |    |
| Netcash provided by (used in) operatingactivities                                         |  |                      | (28,331,992 | )  |  |   | (6,563,366  | )  |
| Cashflows from financingactivities:                                                       |  |                      |        |    |  |   |        |    |
| Proceeds fromadditions — LimitedPartners                                            |  |                      | 31,509,000  |    |  |   | 7,491,000   |    |
| Paymentsfor redemptions — LimitedPartners                                           |  |                      | (3,482,851  | )  |  |   | (5,432,713  | )  |
| Netcash provided by (used in) financingactivities                                         |  |                      | 28,026,149  |    |  |   | 2,058,287   |    |
| Netchange incash                                                                          |  |                      | (305,843    | )  |  |   | (4,505,079  | )  |
| Unrestrictedcash, at beginning ofperiod                                                   |  |                      | 8,546,095   |    |  |   | 30,813,822  |    |
| Unrestrictedcash, at end ofperiod                                                         |  | $                         | 8,240,252   |    |  | $      | 26,308,743  |    |
|                                                                                           |

SeeAccompanying Notes to FinancialStatements.

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2006(Unaudited)

1.    General:

Salomon Smith Barney Orion Futures Fund L.P. (the"Partnership") is a limited partnershiporganized on March 22, 1999 under the partnership laws of the State ofNew York to engage, directly or indirectly, in the speculative tradingof a diversified portfolio of commodity interests, including options,commodity futures and forward contracts on United States exchanges andcertain foreign exchanges. The Partnership may trade commodity futuresand options contracts of any kind. In addition, the Partnership mayenter into swap contracts on energy-related products. The commodityinterests that are traded by the Partnership are volatile and involve ahigh degree of market risk.

Between March 31, 1999 (commencementof the offering period) and June 10, 1999, 10,499 redeemable units ofLimited Partnership Interest ("RedeemableUnits") and 106 Unit equivalents representing the generalpartner's contribution were sold at $1,000 per Redeemable Unit.The proceeds of the offering were held in an escrow account until June10, 1999, at which time they were turned over to the Partnership fortrading. The Partnership continues to offer Redeemable Units.

Citigroup Managed Futures LLC a Delaware limited liability company,is the Partnership's general partner and commodity pool operator("the General Partner"). ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc.("Citigroup"). As of March 31, 2006, alltrading decisions are made by Willowbridge Associates Inc.("Willowbridge"), Winton Capital ManagementLimited ("Winton") and AAA CapitalManagement, Inc. ("AAA"), (collectively, the"Advisors"). Willowbridge Associates Inc.trades both the Willowbridge Argo and Willowbridge Vulcan tradingprograms for the Partnership.

The accompanying financialstatements are unaudited but, in the opinion of management, include alladjustments, consisting only of normal recurring adjustments, necessaryfor a fair presentation of the Partnership's financial conditionat March 31, 2006 and December 31, 2005 and the results of itsoperations and cash flows for the three months ended March 31, 2006 and2005. These financial statements present the results of interim periodsand do not include all disclosures normally provided in annualfinancial statements. You should read these financial statementstogether with the financial statements and notes included in thePartnership's Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the year ended December 31,2005.

Due to the nature of commodity trading, the results ofoperations for the interim periods presented should not be consideredindicative of the results that may be expected for the entireyear.

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

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2006(Unaudited)

2.    FinancialHighlights:

Changes in Net Asset Value per Redeemable Unit forthe three months ended March 31, 2006 and 2005 were asfollows:

|                                                        |  |                            |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|----------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | Three MonthsEndedMarch 31, |
|                                                   |  | 2006                       |          | 2005    |
| Net realized and unrealized gains*                     |  | $                          | 133.89   |    |  | $      | 161.17   |    |
| Interest income                                        |  |                       | 0.93     |    |  |   | 2.43     |    |
| Expenses**                                             |  |                       | (36.80   | )  |  |   | (42.38   | )  |
| Increase for the period                                |  |                       | 98.02    |    |  |   | 121.22   |    |
| Net Asset Value per RedeemableUnit,beginning of period |  |                       | 1,611.33 |    |  |   | 1,368.33 |    |
| Net Asset Value per Redeemable Unit,end of period      |  | $                          | 1,709.35 |    |  | $      | 1,489.55 |    |
|                                                        |

|   |                                            |
|---|--------------------------------------------|
| * | Includes Partnershipbrokerage commissions. |

|    |                                           |
|----|-------------------------------------------|
| ** | Excludes Partnershipbrokeragecommissions. |

|                                             |  |        |        |         |  |        |        |         |  |  |
|---------------------------------------------|--|--------|--------|---------|--|--------|--------|---------|--|--|
| Ratios to average netassets:***             |  |   |   |    |  |   |   |    |
| Net investment loss beforeincentivefees**** |  |   | (5.4)  | %  |  |   | (4.1)  | %  |
| Operatingexpense                            |  |   | 5.6    | %  |  |   | 4.8    | %  |
| Incentive fees                              |  |   | 1.6    | %  |  |   | 2.5    | %  |
| Totalexpenses                               |  |   | 7.2    | %  |  |   | 7.3    | %  |
| Total return:                               |  |   |   |    |  |   |   |    |
| Total returnbefore incentive fees           |  |   | 7.6    | %  |  |   | 11.3   | %  |
| Incentivefees                               |  |   | (1.5)  | %  |  |   | (2.4)  | %  |
| Total return after incentive fees           |  |   | 6.1    | %  |  |   | 8.9    | %  |
|                                             |

|     |                                      |
|-----|--------------------------------------|
| *** | Annualized(other than incentivefees) |

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

|  |                                                                                                                                                                                                                                                                   |
|--|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | The aboveratios may vary for individual investors based on the timing of capitaltransactions during the year. Additionally, these ratios are calculatedfor the Limited Partner class using the Limited Partners' shareof income, expenses and average net assets. |

3.    TradingActivities:

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

The CustomerAgreement between the Partnership and CGM gives the Partnership thelegal right to net unrealized gains and losses on open futurespositions.

All of the commodity interests owned by thePartnership are held for trading purposes. The average fair values ofthese interests during the three and twelve months ended March 31, 2006and December 31, 

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2006(Unaudited)

2005, based on a monthly calculation, were$820,644 and $2,057,458, respectively. The fair values of thesecommodity interests, including options and swaps thereon, ifapplicable, at March 31, 2006 and December 31, 2005 were $972,045and $244,775, respectively. Fair values for exchange traded commodityfutures and options are based on quoted market prices for those futuresand options. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

4.    Investment inPartnerships:

Effective September 1, 2001, the Partnershipallocated the portion of the Partnership's capital that wasallocated to AAA for trading to the SB AAA Master Fund LLC, a New YorkLimited Liability Company ("AAA Master").With this cash, the Partnership purchased 5,173.4381 Units of AAAMaster at a fair value of $5,173,438. AAA Master was formed in order topermit accounts managed now or in the future by AAA using the EnergyProgram – Futures and Swaps, to invest together in one tradingvehicle. The general partner is the managing member of AAA Master.Individual and pooled accounts currently managed by AAA, including thePartnership, are permitted to be non-managing members of AAA Master.The General Partner and AAA believe that trading through this structureshould promote efficiency and economy in the trading process. Expensesto investors as a result of the investment in AAA Master areapproximately the same and redemption rights are not affected.

On November 1, 2004, the cash allocated to Winton for trading wasallocated to the CMF Winton Master L.P. ("WintonMaster"), a limited partnership organized under thepartnership laws of the State of New York. The Partnership purchased35,389.8399 Units of Winton Master with cash equal to $33,594,083 and acontribution of open commodity futures and forward positions with afair value of $1,795,757. Winton Master was formed in order to permitaccounts managed now or in the future by Winton using the DiversifiedProgram, to invest together in one trading vehicle. The General Partnerof the Partnership is the general partner of Winton Master. Individualand pooled accounts currently managed by Winton, including thePartnership are permitted to be limited partners of Winton Master. TheGeneral Partner and Winton believe that trading through this structureshould promote efficiency and economy in the trading process. Expensesto investors as a result of investment in Winton Master areapproximately the same and redemption rights are not affected.

On July 1, 2005, the cash allocated to Willowbridge Argo for tradingwas allocated to the CMF Willowbridge Argo Master Fund L.P.("Willowbridge Master"), a limitedpartnership organized under the partnership laws of the State of NewYork. The Partnership purchased 33,529.1186 Units of WillowbridgeMaster with cash equal to $29,866,194 and a contribution of opencommodity futures and forward positions with a fair vale of $3,662,925.Willowbridge Master was formed in order to permit accounts managed nowor in the future by Willowbridge using the Argo Program, to investtogether in one trading vehicle. The General Partner of the Partnershipis the general partner of Willowbridge Master. Individual and pooledaccounts currently managed by Willowbridge, including the Partnershipare permitted to be limited partners of Willowbridge Master. TheGeneral Partner and Willowbridge believe that trading through thisstructure should promote efficiency and economy in the trading process.Expenses to investors as a result of investment in Willowbridge Masterare approximately the same and redemption rights are notaffected.

AAA Master's, Willowbridge Master's andWinton Master's (the "Funds") commoditybroker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the ManagingMember/General Partner. The Managing Member/General Partner is whollyowned by Citigroup Global Markets Holdings Inc.("CGMHI"), which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2006(Unaudited)

AAA Master's, WillowbridgeMaster's and Winton Master's trading of futures, forwardsand options contracts, if applicable, on commodities is done primarilyon United States of America commodity exchanges and foreign commodityexchanges. All engage in such trading through commodity brokerageaccounts maintained with CGM.

A non-managing member/limitedpartner may withdraw all or part of its capital contribution andundistributed profits, if any, from AAA Master, Willowbridge Master orWinton Master in multiples of the net asset value per unit of limitedpartnership interest as of the last day of a month after a request forredemption has been made to the Managing Member/General Partner atleast 3 days in advance of month-end.

All exchange, clearing,user, give-up, floor brokerage and National Futures Association feesare borne by AAA Master, Willowbridge Master and Winton Master. Allother fees including CGM's direct brokerage commission shall beborne by the Partnership.

At March 31, 2006 and December 31, 2005the Partnership owns 7.8% and 6.9%, respectively of AAAMaster. At March 31, 2006 and December 31, 2005 the Partnership owns26.0% and 25.9% of Willowbridge Master. At March 31, 2006and December 31, 2005 the Partnership owns 35.5% and30.5%, respectively of Winton Master. It is AAA's,Willowbridge's and Winton's intention to continue to investthe assets allocated to each by the Partnership in AAA Master,Willowbridge Master and Winton Master, respectively. The performance ofthe Partnership is directly affected by the performance of AAA Master,Willowbridge Master and Winton Master.

Summarized informationreflecting the total assets, liabilities and capital for the Funds areshown in the followingtable.

|                    |  |                         |               |                              |  |                          |             |                     |  |                      |               |        |  |                    |  |        |         |        |  |  |  |  |
|--------------------|--|-------------------------|---------------|------------------------------|--|--------------------------|-------------|---------------------|--|----------------------|---------------|--------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|               |  | March31,2006            |               |                         |  |                     |
|               |  | Investments'TotalAssets |               | Investments'TotalLiabilities |  | Investments'TotalCapital |             | InvestmentObjective |  | RedemptionsPermitted |
| AAAMaster          |  | $                       | 1,459,130,385 |                         |  | $                        | 336,735,450 |                |  | $                    | 1,122,394,935 |   |  | EnergyMarkets      |  |   | Monthly |   |
| WillowbridgeMaster |  |                    | 150,673,236   |                         |  |                     | 473,479     |                |  |                 | 150,199,757   |   |  | CommodityPortfolio |  |   | Monthly |   |
| WintonMaster       |  |                    | 227,769,911   |                         |  |                     | 1,119,396   |                |  |                 | 226,650,515   |   |  | CommodityPortfolio |  |   | Monthly |   |
| Total              |  | $                       | 1,837,573,532 |                         |  | $                        | 338,328,325 |                |  | $                    | 1,499,245,207 |   |  |               |  |   |    |   |
|                    |

|                    |  |                         |               |                              |  |                          |             |                     |  |                      |               |        |  |                    |  |        |         |        |  |  |  |  |
|--------------------|--|-------------------------|---------------|------------------------------|--|--------------------------|-------------|---------------------|--|----------------------|---------------|--------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|               |  | December31,2005         |               |                         |  |                     |
|               |  | Investments'TotalAssets |               | Investments'TotalLiabilities |  | Investments'TotalCapital |             | InvestmentObjective |  | RedemptionsPermitted |
| AAAMaster          |  | $                       | 1,253,296,106 |                         |  | $                        | 299,213,954 |                |  | $                    | 954,082,152   |   |  | EnergyMarkets      |  |   | Monthly |   |
| WillowbridgeMaster |  |                    | 170,157,028   |                         |  |                     | 474,977     |                |  |                 | 169,682,051   |   |  | CommodityPortfolio |  |   | Monthly |   |
| WintonMaster       |  |                    | 182,130,723   |                         |  |                     | 3,524,134   |                |  |                 | 178,606,589   |   |  | CommodityPortfolio |  |   | Monthly |   |
| Total              |  | $                       | 1,605,583,857 |                         |  | $                        | 303,213,065 |                |  | $                    | 1,302,370,792 |   |  |               |  |   |    |   |
|                    |

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2006(Unaudited)

Summarized information reflecting thePartnership's investments in, and the operations of, the Fundsare as shown in the following table.

|                                     |  |                             |        |                                          |  |              |             |             |  |        |            |                  |  |                     |         |                     |  |        |        |        |  |        |            |         |  |                    |  |        |         |        |  |  |  |  |
|-------------------------------------|--|-----------------------------|--------|------------------------------------------|--|--------------|-------------|-------------|--|--------|------------|------------------|--|---------------------|---------|---------------------|--|--------|--------|--------|--|--------|------------|---------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|                                |  | March31, 2006               |        | For the three months ended March 31,2006 |  |         |             |        |
|                                |  |                        |        |                                     |  |         |             | Expenses    |  |   |            |             |  |                |
| Investment                          |  | %of Partnership'sNet Assets |        | FairValue                                |  | Income(Loss) |             | Commissions |  | Other  |            | Net Income(loss) |  | InvestmentObjective |         | RedemptionPermitted |
| SB AAAMaster FundLLC                |  |                        | 41.02  | %                                   |  | $            | 86,950,072  |        |  | $      | 17,158,316 |             |  | $                   | 88,542  |                |  | $      | 7,828  |   |  | $      | 17,061,946 |    |  | EnergyMarkets      |  |   | Monthly |   |
| CMFWillowbridge Argo Master Fund LP |  |                        | 18.45  | %                                   |  |         | 39,102,041  |        |  |   | (4,291,391 | )           |  |                | 40,574  |                |  |   | 2,192  |   |  |   | (4,334,157 | )  |  | CommodityPortfolio |  |   | Monthly |   |
| CMFWinton MasterLP                  |  |                        | 37.93  | %                                   |  |         | 80,394,184  |        |  |   | 4,119,642  |             |  |                | 109,241 |                |  |   | 511    |   |  |   | 4,009,890  |    |  | CommodityPortfolio |  |   | Monthly |   |
| Total                               |  |                        |   |                                     |  | $            | 206,446,297 |        |  | $      | 16,986,567 |             |  | $                   | 238,357 |                |  | $      | 10,531 |   |  | $      | 16,737,679 |    |  |               |  |   |    |   |
|                                     |

|                                    |  |                            |        |                                          |  |              |             |             |  |        |            |                  |  |                     |         |                     |  |        |         |        |  |        |            |        |  |                    |  |        |         |        |  |  |  |  |
|------------------------------------|--|----------------------------|--------|------------------------------------------|--|--------------|-------------|-------------|--|--------|------------|------------------|--|---------------------|---------|---------------------|--|--------|---------|--------|--|--------|------------|--------|--|--------------------|--|--------|---------|--------|--|--|--|--|
|                               |  | December31, 2005           |        | For the three months ended March 31,2005 |  |         |             |        |
|                               |  |                       |        |                                     |  |         |             | Expenses    |  |   |            |             |  |                |
| Investment                         |  | %ofPartnership'sNet Assets |        | FairValue                                |  | Income(Loss) |             | Commissions |  | Other  |            | Net Income(loss) |  | InvestmentObjective |         | RedemptionPermitted |
| SB AAAMaster FundLLC               |  |                       | 38.47  | %                                   |  | $            | 66,336,443  |        |  | $      | 13,959,559 |             |  | $                   | 336,449 |                |  | $      | 6,260   |   |  | $      | 13,616,850 |   |  | EnergyMarkets      |  |   | Monthly |   |
| CMFWillowbridge Argo Master FundLP |  |                       | 25.46  | %                                   |  |         | 43,902,732  |        |  |   | —    |             |  |                | — |                |  |   | — |   |  |   | —    |   |  | CommodityPortfolio |  |   | Monthly |   |
| CMFWinton MasterLP                 |  |                       | 31.48  | %                                   |  |         | 54,287,024  |        |  |   | 3,051,930  |             |  |                | 69,164  |                |  |   | 5,220   |   |  |   | 2,977,546  |   |  | CommodityPortfolio |  |   | Monthly |   |
| Total                              |  |                       |   |                                     |  | $            | 164,526,199 |        |  | $      | 17,011,489 |             |  | $                   | 405,613 |                |  | $      | 11,480  |   |  | $      | 16,594,396 |   |  |               |  |   |    |   |
|                                    |

5.    FinancialInstrument Risks:

In the normal course of its business, thePartnership and the Funds are party to financial instruments withoff-balance sheet risk, including derivative financial instruments andderivative commodity instruments. These financial instruments mayinclude forwards, futures, options and swaps, whose values are basedupon an underlying asset, index, or reference rate, and generallyrepresent future commitments to exchange currencies or cash flows, orto purchase or sell other financial instruments at specific terms atspecified future dates, or, in the case of derivative commodityinstruments to have a reasonable possibility to be settled in cash,through physical delivery or with another financial instrument. Theseinstruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract.

Market risk is thepotential for changes in the value of the financial instruments tradedby the Partnership/Funds due to market changes, including interest andforeign exchange rate movements and fluctuations in commodity orsecurity prices. Market risk is directly impacted by the volatility andliquidity in the markets in which the related underlying assets aretraded.

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange-traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. ThePartnership's/Funds' risk of loss in the event ofcounterparty default is typically limited to the amounts recognized asunrealized appreciation in the statements of financial condition andnot represented by the 

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2006(Unaudited)

contract or notional amounts of theinstruments. The Partnership/Funds have concentration risk because thesole counterparty or broker with respect to thePartnership's/Funds' assets is CGM.

The GeneralPartner monitors and controls the Partnership's/Funds' riskexposure on a daily basis through financial, credit and risk managementmonitoring systems, and accordingly believes that it has effectiveprocedures for evaluating and limiting the credit and market risks towhich the Partnership/Funds are subject. These monitoring systems allowthe General Partner to statistically analyze actual trading resultswith risk-adjusted performance indicators and correlation statistics.In addition, on-line monitoring systems provide account analysis offutures, forwards and options positions by sector, margin requirements,gain and loss transactions and collateral positions.

Themajority of these instruments mature within one year of March 31, 2006.However, due to the nature of the Partnership's/Funds'businesses, these instruments may not be held tomaturity.

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

Liquidity and CapitalResources

The Partnership does not engage in the sale of goodsor services. The Partnership's only assets are its equity in itscommodity futures trading account consisting of cash, investment inPartnerships, net unrealized appreciation on open futures and forwardcontracts, commodity options, if applicable, and interest receivable.Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Partnership. While substantial losses couldlead to a decrease in liquidity, no such losses occurred in the firstquarter of 2006.

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

For the three months endedMarch 31, 2006, Partnership capital increased 22.9% from$172,442,322 to $211,974,901. This increase was attributable to netincome from operations of $11,592,084 coupled with additional sales of19,118.3559 Redeemable Units of Limited Partnership totaling$31,509,000, which was partially offset by the redemption of 2,127.4974Redeemable Units resulting in an outflow of $3,568,505. Futureredemptions can impact the amount of funds available for investment inthe Partnership in subsequent periods.

Critical AccountingPolicies

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States ofAmerica requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities, and disclosuresof contingent assets and liabilities at the date of the financialstatements and the reported amounts of revenues and expenses during thereporting period. Actual results could differ from these estimates.

All commodity interests (including derivative financial instrumentsand derivative commodity instruments) held by Partnership are used fortrading purposes. The commodity interests are recorded on trade dateand open contracts are recorded in the statement of financial conditionat fair value on the last business day of the period, which representsmarket value for those commodity interests for which market quotationsare readily available or other measures of fair value deemedappropriate by management of the General Partner for those commodityinterests and foreign currencies for which market quotations are notreadily available, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values on commodity interests andforeign currencies are recognized in the period in which the contractis closed or the changes occur and are included in net gains (losses)on trading of commodity interests. The investment in AAA Master,Willowbridge Master and Winton Master are recorded at fair value, basedupon the Partnership's proportionate interest held.

Foreign currency contracts are those contracts where the Partnershipagrees to receive or deliver a fixed quantity of foreign currency foran agreed-upon price on an agreed future date. Foreign currencycontracts are valued daily, and the Partnership's net equitytherein, representing unrealized gain or loss on the contracts asmeasured by the difference between the forward foreign exchange ratesat the dates of entry into the contracts and the forward rates at thereporting dates, is included in the statement of financial condition.Realized gains (losses) and changes in unrealized values on foreigncurrency contracts are recognized in the period in which the contractis closed or the changes occur and are included in the statements ofincome and expenses and partners' capital.

Results ofOperations

During the Partnership's first quarter of2006, the net asset value per Redeemable Unit increased 6.1%from $1,611.33 to $1,709.35 as compared to an increase of 8.9%in the first quarter of 2005. The Partnership experienced a net tradinggain before brokerage commissions and related fees in the first

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quarter of 2006 of $17,257,573. Gains wereprimarily attributable to the Partnership's trading of energy,metals, indices and U.S. interest rates and were partially offset bylosses in currencies, grains, livestock, non-U.S. interest rates andsofts. The Partnership experienced a net trading gain before brokeragecommissions and related fees in the first quarter of 2005 of$15,239,059. Gains were primarily attributable to thePartnership's trading of commodity futures in energy, grains,U.S. interest rates, softs and indices and were partially offset bylosses in currencies, non-U.S. interest rates, livestock andmetals.

The main drivers of performance in the first quarter 2006were strongly trending energy, metals and stock index markets. Adepttrading in complex natural gas markets produced the greatest profitsfor the partnership.

With crude oil prices spurred byspeculation and global political instability in oil-producing regions,expectations for higher interest rates fueled prices for gold andsilver to over 20 year highs. Base metal, notably copper and zinc,which reached prices not seen in over 25 years, also contributedpositively. While strongly trending markets in energy and metalsproduced profits, interest rates went through an adjustment period fromprior trends which resulted in small profits for the Partnership. TheU.S. dollar remained in a trading range for most of the quarter withits value versus both the euro and yen rising and falling within arange that resulted in losses for those Advisors whose trading systemstend to be longer term in nature. Foreign exchange trading generatedthe greatest losses for the quarter.

Counterintuitive totraditional market reactions to higher interest rates, global stockmarkets advanced as corporate earnings reports for full year 2005 metor exceeded expectations and consumer spending remained high despiteincreased energy prices and interest rates. The Partnership'sAdvisors were properly positioned to take advantage of these trends.Despite additional losses in grains, the Partnership had asubstantially profitable quarter.

Commodity futures markets arehighly volatile. The potential for broad and rapid price fluctuationsincreases the risks involved in commodity trading, but also increasesthe possibility of profit. The profitability of the Partnership dependson the existence of major price trends and the ability of the Advisorsto correctly identify those price trends. Price trends are influencedby, among other things, changing supply and demand relationships,weather, governmental, agricultural, commercial and trade programs andpolicies, national and international political and economic events andchanges in interest rates. To the extent that market trends exist andthe Advisors are able to identify them, the Partnership expects toincrease capital through operations. AAA is aware of price trends butdoes not trade upon trends. AAA often takes profits in positions withspecific trends even though that trend may still be intact or perhapseven stronger. AAA occasionally establishes positions that arecounter-trend.

Interest income is earned on 100% of thePartnership's average daily equity maintained in cash in itsaccount during each month at a 30-day U.S. Treasury bill ratedetermined weekly by CGM based on the average non-competitive yield on3-month U.S. Treasury bills maturing in 30 days from the date on whichsuch weekly rate is determined. CGM may continue to maintain thePartnership's assets in cash and/or place all of thePartnership's assets in 90-day Treasury bills and pay thePartnership 100% of the interest earned on Treasury billspurchased. Interest income for the three months ended March 31, 2006decreased by $107,078 as compared to the corresponding period in 2005.The decrease is due to the Partnership's use of cash to fundadditional investments in other partnerships. The interest earned atthe Investment in Partnerships level is included in thePartnership's share of overall net income (loss) of the otherpartnerships in 2006 as compared to 2005.

Brokerage commissionsare based on the number of trades executed by the Advisors. Brokeragecommissions and fees for the three months ended March 31, 2006increased by $745,434, as compared to the corresponding period in 2005.The increase in commissions and fees is primarily due to an increase inthe number of trades during the three months ended March 31, 2006 ascompared to the corresponding period in 2005.

Management feesare calculated as a percentage of the Partnership's net assetvalue as of the end of each month and are affected by tradingperformance, additions and redemptions. Management fees for the threemonths ended March 31, 2006 increased by $341,321, as compared to thecorresponding period in 2005. The increase of management fees is due toan increase in net assets during the three months ended March 31, 2006as compared to the corresponding period in 2005.

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Administrative fees are paid to theGeneral Partner for administering the business and affairs of thePartnership. These fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance and redemptions. Administrative feesfor the three months ended March 31, 2006 increased by $95,491, ascompared to the corresponding period in 2005. The increase inadministrative fees is due to an increase in net assets during thethree months ended March 31, 2006 as compared to the correspondingperiod in 2005.

Incentive fees paid by the Partnership are basedon the new trading profits generated by each Advisor at the end of thequarter, as defined in the management agreements between thePartnership, the General Partner and each Advisor. Trading performancefor the three months ended March 31, 2006 and 2005 resulted inincentive fees of $3,102,589 and $3,025,348, respectively.

Item3.    Quantitative and Qualitative Disclosures about Market Risk

The Partnership is a speculative commodity pool. The marketsensitive instruments held by it are acquired for speculative tradingpurposes, and all or substantially all of the Partnership'sassets are subject to the risk of trading loss. Unlike an operatingcompany, the risk of market sensitive instruments is integral, notincidental, to the Partnership's main line of business.

Market movements result in frequent changes in the fair value of thePartnership's open positions and, consequently, in its earningsand cash flow. The Partnership's market risk is influenced by awide variety of factors, including the level and volatility of interestrates, exchange rates, equity price levels, the value of financialinstruments and contracts, the diversification effects of thePartnership's open positions and the liquidity of the markets inwhich it trades.

The Partnership rapidly acquires and liquidatesboth long and short positions in a range of different markets.Consequently, it is not possible to predict how a particular futuremarket scenario will affect performance, and the Partnership'spast performance is not necessarily indicative of its futureresults.

Value at Risk is a measure of the maximum amount whichthe Partnership could reasonably be expected to lose in a given marketsector. However, the inherent uncertainty of the Partnership'sspeculative trading and the recurrence in the markets traded by thePartnership of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Valueat Risk or the Partnership's experience to date (i.e.,"risk of ruin"). In light of the foregoing,as well as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification in this section shouldnot be considered to constitute any assurance or representation thatthe Partnership's losses in any market sector will be limited toValue at Risk or by the Partnership's attempts to manage itsmarket risk.

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

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The following table indicates the tradingValue at Risk associated with the Partnership's investments andinvestments in other Partnerships by market category as of March 31,2006 and the highest, lowest and average value during the three monthsended March 31, 2006. All open position trading risk exposures of thePartnership have been included in calculating the figures set forthbelow. As of March 31, 2006, the Partnership's totalcapitalization was $211,974,901. There has been no material change inthe trading Value at Risk information previously disclosed in thePartnership's Annual Report on Form 10-K for the year endedDecember 31, 2005.

March 31, 2006(Unaudited)

|                                 |  |               |           |                         |  |                                 |        |                  |  |                      |           |        |  |        |         |        |  |        |         |        |  |  |
|---------------------------------|--|---------------|-----------|-------------------------|--|---------------------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|---------|--------|--|--|
|                            |  |          |           |                    |  | ThreeMonths Ended March 31,2006 |
| MarketSector                    |  | Value at Risk |           | % ofTotalCapitalization |  | High Value atRisk               |        | LowValue at Risk |  | Average ValueatRisk* |
| Currencies:                     |  |          |      |                    |  |                            |   |             |  |                 |      |   |  |   |    |   |  |   |    |   |
| —Exchange TradedContracts |  | $             | 116,880   |                    |  |                            | 0.05   | %           |  | $                    | 1,331,865 |   |  | $      | 66,780  |   |  | $      | 228,081 |   |
| Energy                          |  |          | 468,000   |                    |  |                            | 0.22   | %           |  |                 | 3,649,000 |   |  |   | 62,400  |   |  |   | 447,000 |   |
| Grains                          |  |          | 36,900    |                    |  |                            | 0.02   | %           |  |                 | 1,036,350 |   |  |   | 9,000   |   |  |   | 52,500  |   |
| InterestRatesU.S.               |  |          | 99,000    |                    |  |                            | 0.05   | %           |  |                 | 729,000   |   |  |   | 32,256  |   |  |   | 88,800  |   |
| InterestRatesNon-U.S.           |  |          | 259,764   |                    |  |                            | 0.12   | %           |  |                 | 1,160,322 |   |  |   | 106,326 |   |  |   | 244,103 |   |
| Livestock                       |  |          | 12,600    |                    |  |                            | 0.01   | %           |  |                 | 159,400   |   |  |   | 7,200   |   |  |   | 22,200  |   |
| Metals                          |  |          |      |                    |  |                            |   |             |  |                 |      |   |  |   |    |   |  |   |    |   |
| —Exchange TradedContracts |  |          | 153,000   |                    |  |                            | 0.07   | %           |  |                 | 715,000   |   |  |   | 37,500  |   |  |   | 105,000 |   |
| Softs                           |  |          | 75,600    |                    |  |                            | 0.04   | %           |  |                 | 930,500   |   |  |   | 6,300   |   |  |   | 53,400  |   |
| Totals                          |  | $             | 1,221,744 |                    |  |                            | 0.58   | %           |  |                 |      |   |  |   |    |   |  |   |    |   |
|                                 |

|  |                                   |
|--|-----------------------------------|
|  | *Average month-end Values at Risk |

As of March 31, 2006, AAAMaster's total capitalization was $1,122,394,935. The partnershipowns 7.8% of AAA Master.

March 31,2006(Unaudited)

|              |  |               |             |                         |  |                                 |      |                   |  |                      |             |        |  |        |            |        |  |        |             |        |  |  |
|--------------|--|---------------|-------------|-------------------------|--|---------------------------------|------|-------------------|--|----------------------|-------------|--------|--|--------|------------|--------|--|--------|-------------|--------|--|--|
|         |  |          |             |                    |  | ThreeMonths Ended March 31,2006 |
| MarketSector |  | Value at Risk |             | % ofTotalCapitalization |  | High Value atRisk               |      | Low Value at Risk |  | Average ValueatRisk* |
| Energy       |  | $             | 105,050,577 |                    |  |                            | 9.36 | %            |  | $                    | 167,028,944 |   |  | $      | 20,895,649 |   |  | $      | 110,517,564 |   |
| EnergySwaps  |  |          | 4,130,046   |                    |  |                            | 0.37 | %            |  | $                    | 4,130,046   |   |  | $      | 4,130,046  |   |  | $      | 4,130,046   |   |
| Total        |  | $             | 109,180,623 |                    |  |                            | 9.73 | %            |  |                 |        |   |  |   |       |   |  |   |        |   |
|              |

|  |                                 |
|--|---------------------------------|
|  | *Average monthly Values at Risk |

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As of March 31, 2006, WillowbridgeMaster's total capitalization was $150,199,757. The Partnershipowns 26.0% of Willowbridge Master.

March 31,2006(Unaudited)

|                                  |  |               |            |                         |  |                                 |        |                  |  |                       |           |        |  |        |           |        |  |        |           |        |  |  |
|----------------------------------|--|---------------|------------|-------------------------|--|---------------------------------|--------|------------------|--|-----------------------|-----------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                             |  |          |            |                    |  | ThreeMonths Ended March 31,2006 |
| MarketSector                     |  | Value at Risk |            | % ofTotalCapitalization |  | HighValue atRisk                |        | LowValue at Risk |  | AverageValue at Risk* |
| Currencies:                      |  |          |       |                    |  |                            |   |             |  |                  |      |   |  |   |      |   |  |   |      |   |
|     Exchange |  | $             | 1,435,000  |                    |  |                            | 0.95   | %           |  | $                     | 9,129,000 |   |  | $      | 31,341    |   |  | $      | 3,756,000 |   |
| Energy                           |  |          | 1,137,500  |                    |  |                            | 0.76   | %           |  |                  | 8,624,000 |   |  |   | 1,137,500 |   |  |   | 4,757,433 |   |
| Grains                           |  |          | 822,500    |                    |  |                            | 0.55   | %           |  |                  | 1,619,200 |   |  |   | 176,000   |   |  |   | 873,567   |   |
| InterestRatesNon-U.S.            |  |          | 7,829,628  |                    |  |                            | 5.21   | %           |  |                  | 7,829,628 |   |  |   | 1,287,932 |   |  |   | 3,691,616 |   |
| InterestRatesU.S.                |  |          | 3,465,000  |                    |  |                            | 2.31   | %           |  |                  | 3,465,000 |   |  |   | 250,600   |   |  |   | 1,801,733 |   |
| Metals                           |  |          |       |                    |  |                            |   |             |  |                  |      |   |  |   |      |   |  |   |      |   |
|     Exchange |  |          | 2,100,000  |                    |  |                            | 1.40   | %           |  |                  | 3,222,000 |   |  |   | 787,500   |   |  |   | 2,302,000 |   |
| Softs                            |  |          | 560,000    |                    |  |                            | 0.37   | %           |  |                  | 1,432,000 |   |  |   | 385,000   |   |  |   | 664,000   |   |
| Total                            |  | $             | 17,349,628 |                    |  |                            | 11.55  | %           |  |                  |      |   |  |   |      |   |  |   |      |   |
|                                  |

|  |                                   |
|--|-----------------------------------|
|  | *Average month-end Values at Risk |

As of March 31, 2006,Winton Master's total capitalization was $226,650,515. ThePartnership owns 35.5% of Winton Master.

March 31,2006(Unaudited)

|                                 |  |               |            |                          |  |                                 |        |                 |  |                      |            |        |  |        |           |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|------------|--------------------------|--|---------------------------------|--------|-----------------|--|----------------------|------------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                            |  |          |            |                     |  | ThreeMonths Ended March 31,2006 |
| MarketSector                    |  | Value at Risk |            | % of TotalCapitalization |  | HighValue at Risk               |        | LowValue atRisk |  | AverageValue atRisk* |
| Currencies                      |  |          |       |                     |  |                            |   |            |  |                 |       |   |  |   |      |   |  |   |      |   |
| —Exchange TradedContracts |  | $             | 2,226,384  |                     |  |                            | 0.98   | %          |  | $                    | 4,857,646  |   |  | $      | 1,539,516 |   |  | $      | 3,439,961 |   |
| Energy                          |  |          | 1,587,650  |                     |  |                            | 0.70   | %          |  |                 | 3,860,300  |   |  |   | 329,912   |   |  |   | 1,066,950 |   |
| Grains                          |  |          | 139,754    |                     |  |                            | 0.06   | %          |  |                 | 1,167,837  |   |  |   | 104,145   |   |  |   | 286,904   |   |
| InterestRatesU.S.               |  |          | 4,300,400  |                     |  |                            | 1.90   | %          |  |                 | 11,203,400 |   |  |   | 411,608   |   |  |   | 6,720,150 |   |
| InterestRatesNon-U.S.           |  |          | 6,137,431  |                     |  |                            | 2.71   | %          |  |                 | 10,080,717 |   |  |   | 3,425,384 |   |  |   | 5,312,835 |   |
| Livestock                       |  |          | 190,600    |                     |  |                            | 0.08   | %          |  |                 | 414,000    |   |  |   | 33,735    |   |  |   | 194,847   |   |
| Metals                          |  |          |       |                     |  |                            |   |            |  |                 |       |   |  |   |      |   |  |   |      |   |
| —Exchange TradedContracts |  |          | 486,700    |                     |  |                            | 0.21   | %          |  |                 | 1,309,150  |   |  |   | 369,000   |   |  |   | 826,650   |   |
| —OTCContracts             |  |          | 695,834    |                     |  |                            | 0.31   | %          |  |                 | 1,818,927  |   |  |   | 618,696   |   |  |   | 890,742   |   |
| Softs                           |  |          | 362,939    |                     |  |                            | 0.16   | %          |  |                 | 532,269    |   |  |   | 141,201   |   |  |   | 263,011   |   |
| Indices                         |  |          | 8,903,457  |                     |  |                            | 3.93   | %          |  |                 | 12,111,237 |   |  |   | 2,827,591 |   |  |   | 8,101,596 |   |
| Lumber                          |  |          | 1,100      |                     |  |                            | 0.00   | %          |  |                 | 1,100      |   |  |   | 1,100     |   |  |   | 1,100     |   |
| Total                           |  | $             | 25,032,249 |                     |  |                            | 11.04  | %          |  |                 |       |   |  |   |      |   |  |   |      |   |
|                                 |

|  |                                   |
|--|-----------------------------------|
|  | *Average month-end Values at Risk |

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Item 4.    Controls and Procedures

The General Partner of the Partnership, with the participation ofthe General Partner's Chief Executive Officer and the ChiefFinancial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures (as defined inRules 13a-15(e) and 15d-15(e) of the Exchange Act) with respect to thePartnership as of the end of the period covered by the report, and,based on this evaluation, has concluded that these disclosure controlsand procedures are effective. Additionally, there were no significantchanges in the Partnership's internal controls or in otherfactors that could significantly affect these controls during theregistrant's last fiscal quarter, including any correctiveactions with regard to significant deficiencies and materialweaknesses.

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PART II. OTHERINFORMATION

Item 1.    Legal Proceedings

Thefollowing information supplements and amends our discussion set forthunder Item, 3 "Legal Proceedings" in thePartnership's Annual Report on Form 10-K for the year endedDecember 31, 2005.

WorldCom, Inc.

InMarch 2006, the class action settlement in IN RE WORLDCOM, INC.SECURITIES LITIGATION became final, and the settlement amount was paidpursuant to the terms of the settlement agreement.

Research

On March 29, 2006, the courtpreliminarily approved Citigroup's settlement of IN RE SALOMONANALYST AT&T LITIGATION. A final hearing on the settlement isscheduled for August 11, 2006.

IPO AntitrustLitigation

The underwriter defendants' motion in theSecond Circuit to stay the issuance of the mandate remanding the casesto the district court pending the filing of a petition for writ ofcertiorari to the United States Supreme Court was granted on March 9,2006, after the writ of certiorari was filed on March 8, 2006.

Item 1A.    Risk Factors

There are no material changesfrom the risk factors set forth under Part I, Item 1A."Risk Factors" in our Annual Report on Form10-K for the fiscal year ended December 31, 2005.

Item2.    Unregistered Sales of Equity Securities and Use ofProceeds

For the three months ended March 31, 2006there were additional sales of 19,118.3559 Redeemable Units of LimitedPartnership totaling $31,509,000. The Redeemable Units were issued inreliance upon applicable exemptions from registration underSection  4(2) of the Securities Act of 1933, as amended, andSection 506 of Regulation D promulgated there under.

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

The following chart setsforth the purchases of Redeemable Units by thePartnership.

|                                          |  |                                     |            |                                 |  |                                                                                 |          |                                                                                                            |  |        |     |        |  |        |     |        |  |  |
|------------------------------------------|--|-------------------------------------|------------|---------------------------------|--|---------------------------------------------------------------------------------|----------|------------------------------------------------------------------------------------------------------------|--|--------|-----|--------|--|--------|-----|--------|--|--|
| Period                                   |  | (a)Total Number of Units Purchased* |            | (b) AveragePricePaid per Unit** |  | (c) Total Numberof UnitsPurchased as Part of Publicly AnnouncedPlans orPrograms |          | (d) Maximum Number(or ApproximateDollarValue) of Units that May Yet Be Purchased Under thePlansor Programs |
| January 1, 2006− January 31,2006   |  |                                | 1,059.4207 |                            |  | $                                                                               | 1,675.42 |                                                                                                       |  |   | N/A |   |  |   | N/A |   |
| February1, 2006 − February 28,2006 |  |                                | 476.4863   |                            |  | $                                                                               | 1,641.80 |                                                                                                       |  |   | N/A |   |  |   | N/A |   |
| March1, 2006 − March 31,2006       |  |                                | 591.5904   |                            |  | $                                                                               | 1,709.35 |                                                                                                       |  |   | N/A |   |  |   | N/A |   |
| Total                                    |  |                                | 2,127.4974 |                            |  | $                                                                               | 1,675.52 |                                                                                                       |  |   | N/A |   |  |   | N/A |   |
|                                          |

|  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|--|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|  | *Generally, Limited Partners are permitted to redeem their RedeemableUnits as of the end of each month on 10 days' notice to theGeneral Partner. Under certain circumstances, the General Partner cancompel redemption but to date the General Partner has not exercisedthis right. Purchases of Redeemable Units by the Partnership reflectedin the chart above were made in the ordinary course of thePartnership's business in connection with effecting redemptionsfor Limited Partners. |

|  |                                                                                                                                           |
|--|-------------------------------------------------------------------------------------------------------------------------------------------|
|  | ** Redemptions of RedeemableUnits are effected as of the last day of each month at the Net AssetValue per Redeemable Unit as of that day. |

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Item 3.    Defaults Upon SeniorSecurities – None

Item 4.    Submission ofMatters to a Vote of Security Holders – None

Item 5.    Other Information –None

Item 6.    Exhibits

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

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

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

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

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

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SIGNATURES

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

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

|        |  |                                                              |  |  |  |  |
|--------|--|--------------------------------------------------------------|--|--|--|--|
| By:    |  | CitigroupManaged Futures LLC                                 |
|   |  | (General Partner)                                            |
| By:    |  | /s/David J. Vogel                                            |
|   |  | DavidJ. Vogel President and Director                         |
| Date:  |  | May 12,2006                                                  |
| By:    |  | /s/Daniel R. McAuliffe,Jr.                                   |
|   |  | Daniel R.McAuliffe, Jr. Chief Financial Officer and Director |
| Date:  |  | May 12,2006                                                  |
|        |

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