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 June 30,2006

Commission File Number 0-50271

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

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|--|
|  |  |
|  |

(Exact name of registrantas 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

|  |
|--|
|  |  |
|  |

(Address and Zip Code ofprincipal executive offices)

(212) 559-2011

|  |
|--|
|  |  |
|  |

(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 June 30, 2006 and December 31, 2005(unaudited)                                        |  |  | 3             |
|                            |  |  | Condensed Schedules of Investments at June 30,2006 and December 31, 2005 (unaudited)                                      |  |  | 4 –5    |
|                            |  |  | Statements of Income and Expensesand Partners' Capital for the three and six monthsended June30, 2006 and 2005(unaudited) |  |  | 6             |
|                            |  |  | Statementsof Cash Flows for the three and six monthsended June 30, 2006 and2005 (unaudited)                               |  |  | 7             |
|                            |  |  | Notesto Financial 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)

|                                                                                                                                          |  |  |             |   |             |                 |  |  |  |   |             |  |
|------------------------------------------------------------------------------------------------------------------------------------------|--|--|-------------|---|-------------|-----------------|--|--|--|---|-------------|--|
|                                                                                                                                     |  |  | June30,2006 |   |             | December31,2005 |
| Assets:                                                                                                                                  |  |  |             |   |        |                 |  |  |  |   |        |  |
| Investmentin Partnerships, at fairvalue                                                                                                  |  |  |             | $ | 235,072,032 |                 |  |  |  | $ | 164,526,199 |  |
| Equityin commodity futures trading account:                                                                                              |  |  |             |   |        |                 |  |  |  |   |        |  |
| Cash(restricted $1,198,189 and $1,635,266 in 2006 and 2005, respectively)in commodity futures tradingaccount                             |  |  |             |   | 12,135,077  |                 |  |  |  |   | 10,181,361  |  |
| Netunrealized appreciation on open futurespositions                                                                                      |  |  |             |   | 271,608     |                 |  |  |  |   | 244,775     |  |
|                                                                                                                                     |  |  |             |   | 247,478,717 |                 |  |  |  |   | 174,952,335 |  |
| Interestreceivable                                                                                                                       |  |  |             |   | 48,494      |                 |  |  |  |   | 34,220      |  |
|                                                                                                                                     |  |  |             | $ | 247,527,211 |                 |  |  |  | $ | 174,986,555 |  |
|                                                                                                                                     |  |  |             |   |        |                 |  |  |  |   |        |  |
| Liabilitiesand Partners'Capital:                                                                                                         |  |  |             |   |        |                 |  |  |  |   |        |  |
| Liabilities:                                                                                                                             |  |  |             |   |        |                 |  |  |  |   |        |  |
| Accruedexpenses:                                                                                                                         |  |  |             |   |        |                 |  |  |  |   |        |  |
| Brokeragecommissions                                                                                                                     |  |  |             | $ | 559,708     |                 |  |  |  | $ | 257,466     |  |
| Managementfees                                                                                                                           |  |  |             |   | 373,746     |                 |  |  |  |   | 273,625     |  |
| Administrativefees                                                                                                                       |  |  |             |   | 102,824     |                 |  |  |  |   | 74,149      |  |
| Incentivefees                                                                                                                            |  |  |             |   | 633,539     |                 |  |  |  |   | 891,826     |  |
| Other                                                                                                                                    |  |  |             |   | 189,731     |                 |  |  |  |   | 121,586     |  |
| Redemptionspayable                                                                                                                       |  |  |             |   | 3,252,115   |                 |  |  |  |   | 925,581     |  |
|                                                                                                                                     |  |  |             |   | 5,111,663   |                 |  |  |  |   | 2,544,233   |  |
|                                                                                                                                     |  |  |             |   |        |                 |  |  |  |   |        |  |
| Partners'Capital:                                                                                                                        |  |  |             |   |        |                 |  |  |  |   |        |  |
| General Partner,865.3542 Unit equivalents outstanding in 2006 and2005                                                                    |  |  |             |   | 1,565,142   |                 |  |  |  |   | 1,394,371   |  |
| LimitedPartners, 133,164.2967 and 106,152.9612 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005,respectively |  |  |             |   | 240,850,406 |                 |  |  |  |   | 171,047,951 |  |
|                                                                                                                                     |  |  |             |   | 242,415,548 |                 |  |  |  |   | 172,442,322 |  |
|                                                                                                                                     |  |  |             | $ | 247,527,211 |                 |  |  |  | $ | 174,986,555 |  |
|                                                                                                                                          |

SeeAccompanying Notes to Financial Statements.

3

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Table of Contents

Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments June 30,2006 (Unaudited)

|                                     |  |  |           |   |             |                       |  |  |  |  |        |    |
|-------------------------------------|--|--|-----------|---|-------------|-----------------------|--|--|--|--|--------|----|
|                                |  |  | FairValue |   |             | % of Partners'Capital |
| Futures ContractsPurchased          |  |  |           |   |        |                       |  |  |  |  |   |    |
| Currencies                          |  |  |           | $ | 26,469      |                       |  |  |  |  | 0.01   | %  |
| Energy                              |  |  |           |   | 41,491      |                       |  |  |  |  | 0.02   |    |
| Grains                              |  |  |           |   | 21,816      |                       |  |  |  |  | 0.01   |    |
| Softs                               |  |  |           |   | 38,646      |                       |  |  |  |  | 0.01   |    |
|                                |  |  |           |   |        |                       |  |  |  |  |   |    |
| Total futurescontracts purchased    |  |  |           |   | 128,422     |                       |  |  |  |  | 0.05   |    |
|                                |  |  |           |   |        |                       |  |  |  |  |   |    |
| FuturesContracts Sold               |  |  |           |   |        |                       |  |  |  |  |   |    |
| Currencies                          |  |  |           |   | 27,400      |                       |  |  |  |  | 0.01   |    |
| Energy                              |  |  |           |   | 55,080      |                       |  |  |  |  | 0.02   |    |
| Grains                              |  |  |           |   | (5,265      | )                     |  |  |  |  | (0.00  | )* |
| Interest Rates U.S.                 |  |  |           |   | (22,781     | )                     |  |  |  |  | (0.01  | )  |
| Interest Rates Non-U.S.             |  |  |           |   | 88,572      |                       |  |  |  |  | 0.04   |    |
| Softs                               |  |  |           |   | 180         |                       |  |  |  |  | 0.00   | *  |
|                                |  |  |           |   |        |                       |  |  |  |  |   |    |
| Totalfutures contracts sold         |  |  |           |   | 143,186     |                       |  |  |  |  | 0.06   |    |
|                                |  |  |           |   |        |                       |  |  |  |  |   |    |
| Investment in Partnerships          |  |  |           |   |        |                       |  |  |  |  |   |    |
| SB AAA Master Fund LLC              |  |  |           |   | 92,856,335  |                       |  |  |  |  | 38.30  |    |
| CMF Willowbridge Argo Master FundLP |  |  |           |   | 51,944,549  |                       |  |  |  |  | 21.43  |    |
| CMF WintonMaster LP                 |  |  |           |   | 90,271,148  |                       |  |  |  |  | 37.24  |    |
|                                |  |  |           |   |        |                       |  |  |  |  |   |    |
| TotalInvestment in Partnerships     |  |  |           |   | 235,072,032 |                       |  |  |  |  | 96.97  |    |
|                                |  |  |           |   |        |                       |  |  |  |  |   |    |
| Total fairvalue                     |  |  |           | $ | 235,343,640 |                       |  |  |  |  | 97.08  | %  |
|                                     |

|  |                                                                      |
|--|----------------------------------------------------------------------|
|  | Percentages arebased on Partners' Capital unless otherwise indicated |

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

See Accompanying Notes toFinancial Statements.

4

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Table of Contents

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

|                                     |  |  |            |   |             |                      |  |  |  |  |        |    |
|-------------------------------------|--|--|------------|---|-------------|----------------------|--|--|--|--|--------|----|
|                                |  |  | Fair Value |   |             | % ofPartners'Capital |
| FuturesContracts Purchased          |  |  |            |   |        |                      |  |  |  |  |   |    |
| 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 futurescontracts purchased    |  |  |            |   | 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 Master FundLLC               |  |  |            |   | 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.

5

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Table of Contents

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

|                                                                                                                                      |  |  |                           |   |             |                         |  |  |      |   |             |      |  |  |  |   |             |   |  |  |  |   |             |   |
|--------------------------------------------------------------------------------------------------------------------------------------|--|--|---------------------------|---|-------------|-------------------------|--|--|------|---|-------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                                                                 |  |  | ThreeMonths EndedJune 30, |   |             | Six Months EndedJune30, |
|                                                                                                                                 |  |  | 2006                      |   |             | 2005                    |  |  | 2006 |   |             | 2005 |
| Income:                                                                                                                              |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Netgains (losses) on trading of commodityinterests:                                                                                  |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Realized gains (losses) on closedpostitions                                                                                          |  |  |                           | $ | 1,791,425   |                         |  |  |      | $ | (7,621,348  | )    |  |  |  | $ | 1,409,240   |   |  |  |  | $ | (10,149,464 | ) |
| Changein unrealized gains on open positions and investments inPartnerships                                                           |  |  |                           |   | 13,925,306  |                         |  |  |      |   | 13,664,176  |      |  |  |  |   | 31,565,064  |   |  |  |  |   | 31,431,351  |   |
|                                                                                                                                 |  |  |                           |   | 15,716,731  |                         |  |  |      |   | 6,042,828   |      |  |  |  |   | 32,974,304  |   |  |  |  |   | 21,281,887  |   |
| Interestincome                                                                                                                       |  |  |                           |   | 148,568     |                         |  |  |      |   | 278,841     |      |  |  |  |   | 259,520     |   |  |  |  |   | 496,871     |   |
|                                                                                                                                 |  |  |                           |   | 15,865,299  |                         |  |  |      |   | 6,321,669   |      |  |  |  |   | 33,233,824  |   |  |  |  |   | 21,778,758  |   |
| Expenses:                                                                                                                            |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Brokeragecommissions including clearing fees of $10,548, $46,869, $20,974 and$72,262,respectively                                    |  |  |                           |   | 1,125,375   |                         |  |  |      |   | 1,009,021   |      |  |  |  |   | 2,546,479   |   |  |  |  |   | 1,684,691   |   |
| Managementfees                                                                                                                       |  |  |                           |   | 1,117,893   |                         |  |  |      |   | 636,931     |      |  |  |  |   | 2,041,812   |   |  |  |  |   | 1,219,529   |   |
| Administrativefees                                                                                                                   |  |  |                           |   | 307,113     |                         |  |  |      |   | 173,723     |      |  |  |  |   | 560,942     |   |  |  |  |   | 332,061     |   |
| Incentivefees                                                                                                                        |  |  |                           |   | 633,539     |                         |  |  |      |   | 2,304,369   |      |  |  |  |   | 3,736,128   |   |  |  |  |   | 5,329,717   |   |
| Other                                                                                                                                |  |  |                           |   | 75,001      |                         |  |  |      |   | 59,929      |      |  |  |  |   | 150,001     |   |  |  |  |   | 111,429     |   |
|                                                                                                                                 |  |  |                           |   | 3,258,921   |                         |  |  |      |   | 4,183,973   |      |  |  |  |   | 9,035,362   |   |  |  |  |   | 8,677,427   |   |
| Netincome                                                                                                                            |  |  |                           |   | 12,606,378  |                         |  |  |      |   | 2,137,696   |      |  |  |  |   | 24,198,462  |   |  |  |  |   | 13,101,331  |   |
| Additions— LimitedPartners                                                                                                     |  |  |                           |   | 24,641,000  |                         |  |  |      |   | 12,973,000  |      |  |  |  |   | 56,150,000  |   |  |  |  |   | 20,464,000  |   |
| Redemptions— LimitedPartners                                                                                                   |  |  |                           |   | (6,806,731  | )                       |  |  |      |   | (6,178,079  | )    |  |  |  |   | (10,375,236 | ) |  |  |  |   | (9,299,446  | ) |
| Netincrease in Partners'Capital                                                                                                      |  |  |                           |   | 30,440,647  |                         |  |  |      |   | 8,932,617   |      |  |  |  |   | 69,973,226  |   |  |  |  |   | 24,265,885  |   |
| Partners'Capital, beginning ofperiod                                                                                                 |  |  |                           |   | 211,974,901 |                         |  |  |      |   | 134,117,092 |      |  |  |  |   | 172,442,322 |   |  |  |  |   | 118,783,824 |   |
| Partners'Capital, end ofperiod                                                                                                       |  |  |                           | $ | 242,415,548 |                         |  |  |      | $ | 143,049,709 |      |  |  |  | $ | 242,415,548 |   |  |  |  | $ | 143,049,709 |   |
| Netasset value per Redeemable Unit (134,029.6509 and 94,756.0830Redeemable Units outstanding at June 30, 2006 and 2005,respectively) |  |  |                           | $ | 1,808.67    |                         |  |  |      | $ | 1,509.66    |      |  |  |  | $ | 1,808.67    |   |  |  |  | $ | 1,509.66    |   |
| Netincome per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unitequivalent                                      |  |  |                           | $ | 99.32       |                         |  |  |      | $ | 20.11       |      |  |  |  | $ | 197.34      |   |  |  |  | $ | 141.33      |   |
|                                                                                                                                      |

SeeAccompanying Notes to Financial Statements.

6

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Table of Contents

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

|                                                                                           |  |  |                           |   |             |                         |  |  |      |   |             |      |  |  |  |   |             |   |  |  |  |   |             |   |
|-------------------------------------------------------------------------------------------|--|--|---------------------------|---|-------------|-------------------------|--|--|------|---|-------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                      |  |  | ThreeMonths EndedJune 30, |   |             | Six Months EndedJune30, |
|                                                                                      |  |  | 2006                      |   |             | 2005                    |  |  | 2006 |   |             | 2005 |
| Cashflows from operating activities:                                                      |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Net Income                                                                                |  |  |                           | $ | 12,606,378  |                         |  |  |      | $ | 2,137,696   |      |  |  |  | $ | 24,198,462  |   |  |  |  | $ | 13,101,331  |   |
| Adjustmentsto reconcile net income to net cash provided by (used in) operatingactivities: |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Changes in operatingassets and liabilities:                                               |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Purchase ofinvestment inPartnerships                                                      |  |  |                           |   | (23,891,250 | )                       |  |  |      |   | (8,044,000  | )    |  |  |  |   | (55,400,250 | ) |  |  |  |   | (13,035,495 | ) |
| Proceedsfrom sale of investment inPartnerships                                            |  |  |                           |   | 7,438,248   |                         |  |  |      |   | 15,429,162  |      |  |  |  |   | 11,961,982  |   |  |  |  |   | 22,996,333  |   |
| Netunrealized (appreciation) depreciation on investments inPartnerships                   |  |  |                           |   | (12,172,733 | )                       |  |  |      |   | (12,678,372 | )    |  |  |  |   | (27,107,565 | ) |  |  |  |   | (28,777,127 | ) |
| (Increase)decrease in restrictedcash                                                      |  |  |                           |   | 356,094     |                         |  |  |      |   | (1,481,894  | )    |  |  |  |   | 437,077     |   |  |  |  |   | (6,586,244  | ) |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions   |  |  |                           |   | 700,437     |                         |  |  |      |   | (358,378    | )    |  |  |  |   | (26,833     | ) |  |  |  |   | (1,531,155  | ) |
| (Increase)decrease in interestreceivable                                                  |  |  |                           |   | (9,173      | )                       |  |  |      |   | (18,652     | )    |  |  |  |   | (14,274     | ) |  |  |  |   | (44,994     | ) |
| Accruedexpenses:                                                                          |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Increase (decrease) in brokeragecommissions                                               |  |  |                           |   | 10,450      |                         |  |  |      |   | 140,203     |      |  |  |  |   | 302,242     |   |  |  |  |   | 182,166     |   |
| Increase(decrease) in managementfees                                                      |  |  |                           |   | 46,328      |                         |  |  |      |   | 7,312       |      |  |  |  |   | 100,121     |   |  |  |  |   | 31,312      |   |
| Increase(decrease) in administrativefees                                                  |  |  |                           |   | 12,613      |                         |  |  |      |   | 2,229       |      |  |  |  |   | 28,675      |   |  |  |  |   | 8,838       |   |
| Increase(decrease) in incentivefees                                                       |  |  |                           |   | (2,469,050  | )                       |  |  |      |   | (720,980    | )    |  |  |  |   | (258,287    | ) |  |  |  |   | 1,454,495   |   |
| Increase(decrease) inother                                                                |  |  |                           |   | (6,855      | )                       |  |  |      |   | (42,416     | )    |  |  |  |   | 68,145      |   |  |  |  |   | 9,084       |   |
| Netcash provided by (used in) operatingactivities                                         |  |  |                           |   | (17,378,513 | )                       |  |  |      |   | (5,628,090  | )    |  |  |  |   | (45,710,505 | ) |  |  |  |   | (12,191,456 | ) |
| Cashflows from financing activities:                                                      |  |  |                           |   |        |                         |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Proceedsfrom additions — LimitedPartners                                            |  |  |                           |   | 24,641,000  |                         |  |  |      |   | 12,973,000  |      |  |  |  |   | 56,150,000  |   |  |  |  |   | 20,464,000  |   |
| Paymentsfor redemptions — LimitedPartners                                           |  |  |                           |   | (4,565,851  | )                       |  |  |      |   | (4,369,182  | )    |  |  |  |   | (8,048,702  | ) |  |  |  |   | (9,801,895  | ) |
| Netcash provided by (used in) financingactivities                                         |  |  |                           |   | 20,075,149  |                         |  |  |      |   | 8,603,818   |      |  |  |  |   | 48,101,298  |   |  |  |  |   | 10,662,105  |   |
| Netchange incash                                                                          |  |  |                           |   | 2,696,636   |                         |  |  |      |   | 2,975,728   |      |  |  |  |   | 2,390,793   |   |  |  |  |   | (1,529,351  | ) |
| Unrestrictedcash, at beginning ofperiod                                                   |  |  |                           |   | 8,240,252   |                         |  |  |      |   | 26,308,743  |      |  |  |  |   | 8,546,095   |   |  |  |  |   | 30,813,822  |   |
| Unrestrictedcash, at end ofperiod                                                         |  |  |                           | $ | 10,936,888  |                         |  |  |      | $ | 29,284,471  |      |  |  |  | $ | 10,936,888  |   |  |  |  | $ | 29,284,471  |   |
|                                                                                           |

SeeAccompanying Notes to FinancialStatements.

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Table of Contents

SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements June 30, 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 June 30, 2006, alltrading decisions are made by Willowbridge Associates Inc.(‘‘Willowbridge’’), Winton Capital ManagementLimited (‘‘Winton’’) and AAA CapitalManagement, Advisors, Ltd. (successor to AAA Capital Management Inc.)(‘‘AAA’’), (collectively, the‘‘Advisors’’). Willowbridge trades both theWillowbridge Argo and Willowbridge Vulcan trading programs for thePartnership.

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

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

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

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements June 30, 2006(Unaudited)

2.    FinancialHighlights:

Changes in Net Asset Value per Redeemable Unit forthe three and six months ended June 30, 2006 and 2005 were asfollows:

|                                                          |  |  |                           |   |          |                         |  |  |      |   |          |      |  |  |  |   |          |   |  |  |  |   |          |   |
|----------------------------------------------------------|--|--|---------------------------|---|----------|-------------------------|--|--|------|---|----------|------|--|--|--|---|----------|---|--|--|--|---|----------|---|
|                                                     |  |  | Three MonthsEndedJune 30, |   |          | Six Months EndedJune30, |
|                                                     |  |  | 2006                      |   |          | 2005                    |  |  | 2006 |   |          | 2005 |
| Net realized and unrealized gains*                       |  |  |                           | $ | 114.56   |                         |  |  |      | $ | 50.51    |      |  |  |  | $ | 248.45   |   |  |  |  | $ | 211.68   |   |
| Interestincome                                           |  |  |                           |   | 1.13     |                         |  |  |      |   | 2.94     |      |  |  |  |   | 2.06     |   |  |  |  |   | 5.37     |   |
| Expenses**                                               |  |  |                           |   | (16.37   | )                       |  |  |      |   | (33.34   | )    |  |  |  |   | (53.17   | ) |  |  |  |   | (75.72   | ) |
| Increase for the period                                  |  |  |                           |   | 99.32    |                         |  |  |      |   | 20.11    |      |  |  |  |   | 197.34   |   |  |  |  |   | 141.33   |   |
| Net Asset Value per Redeemable Unit, beginning of period |  |  |                           |   | 1,709.35 |                         |  |  |      |   | 1,489.55 |      |  |  |  |   | 1,611.33 |   |  |  |  |   | 1,368.33 |   |
| Net Asset Value perRedeemable Unit, end of period        |  |  |                           | $ | 1,808.67 |                         |  |  |      | $ | 1,509.66 |      |  |  |  | $ | 1,808.67 |   |  |  |  | $ | 1,509.66 |   |
|                                                          |

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

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

|                                              |  |  |  |  |        |    |  |  |  |  |        |    |  |  |  |  |        |    |  |  |  |  |        |    |
|----------------------------------------------|--|--|--|--|--------|----|--|--|--|--|--------|----|--|--|--|--|--------|----|--|--|--|--|--------|----|
| Ratios to average netassets:***              |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |
| Net investment loss beforeincentive fees**** |  |  |  |  | (4.2   | )% |  |  |  |  | (4.7   | )% |  |  |  |  | (4.8   | )% |  |  |  |  | (4.5   | )% |
| Operatingexpense                             |  |  |  |  | 4.5    | %  |  |  |  |  | 5.6    | %  |  |  |  |  | 5.0    | %  |  |  |  |  | 5.2    | %  |
| Incentivefees                                |  |  |  |  | 0.3    | %  |  |  |  |  | 1.7    | %  |  |  |  |  | 1.7    | %  |  |  |  |  | 4.1    | %  |
| Total expenses                               |  |  |  |  | 4.8    | %  |  |  |  |  | 7.3    | %  |  |  |  |  | 6.7    | %  |  |  |  |  | 9.3    | %  |
| Total return:                                |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |
| Total returnbefore incentive fees            |  |  |  |  | 6.1    | %  |  |  |  |  | 3.0    | %  |  |  |  |  | 14.0   | %  |  |  |  |  | 14.4   | %  |
| Incentivefees                                |  |  |  |  | (0.3   | )% |  |  |  |  | (1.6   | )% |  |  |  |  | (1.8   | )% |  |  |  |  | (4.1   | )% |
| Total return after incentive fees            |  |  |  |  | 5.8    | %  |  |  |  |  | 1.4    | %  |  |  |  |  | 12.2   | %  |  |  |  |  | 10.3   | %  |
|                                              |

|     |                                      |
|-----|--------------------------------------|
| *** | 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.

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements June 30, 2006(Unaudited)

All of the commodity interests owned bythe Partnership are held for trading purposes. The average fair valuesof these interests during the six and twelve months ended June 30, 2006and December 31, 2005, based on a monthly calculation, were $853,314and $2,057,458, respectively. The fair values of these commodityinterests, including options and swaps thereon, if applicable, at June30, 2006 and December 31, 2005 were $271,608 and $244,775,respectively. Fair values for exchange traded commodity futures andoptions are based on quoted market prices for those futures andoptions. 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 Trading System, toinvest together in one trading vehicle. The General Partner of thePartnership is the general partner of Willowbridge Master. Individualand pooled accounts currently managed by Willowbridge, including thePartnership are permitted to be limited partners of WillowbridgeMaster. The General Partner and Willowbridge believe that tradingthrough this structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of investment inWillowbridge Master are approximately the same and redemption rightsare not affected.

AAA Master's, Willowbridge Master'sand Winton Master's (the ‘‘Funds’’)commodity broker 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 June 30, 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 June 30, 2006 and December 31, 2005the Partnership owns 8.3% and 6.9%, respectively of AAAMaster. At June 30, 2006 and December 31, 2005 the Partnership owns28.3% and 25.9% of Willowbridge Master. At June 30, 2006and December 31, 2005 the Partnership owns 36.3% 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.

|                    |  |  |                         |   |               |                              |  |  |                          |   |             |                     |  |  |                      |   |               |  |  |  |                    |  |  |  |  |         |  |
|--------------------|--|--|-------------------------|---|---------------|------------------------------|--|--|--------------------------|---|-------------|---------------------|--|--|----------------------|---|---------------|--|--|--|--------------------|--|--|--|--|---------|--|
|               |  |  | June30,2006             |   |               |                         |  |  |                     |
|               |  |  | Investments'TotalAssets |   |               | Investments'TotalLiabilities |  |  | Investments'TotalCapital |   |             | InvestmentObjective |  |  | RedemptionsPermitted |
| AAAMaster          |  |  |                         | $ | 1,430,640,756 |                              |  |  |                          | $ | 315,777,781 |                     |  |  |                      | $ | 1,114,862,975 |  |  |  | EnergyMarkets      |  |  |  |  | Monthly |  |
| WillowbridgeMaster |  |  |                         |   | 184,091,051   |                              |  |  |                          |   | 593,903     |                     |  |  |                      |   | 183,497,148   |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| WintonMaster       |  |  |                         |   | 251,307,086   |                              |  |  |                          |   | 2,693,182   |                     |  |  |                      |   | 248,613,904   |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| Total              |  |  |                         | $ | 1,866,038,893 |                              |  |  |                          | $ | 319,064,866 |                     |  |  |                      | $ | 1,546,974,027 |  |  |  |               |  |  |  |  |    |  |
|                    |

|                    |  |  |                         |   |               |                              |  |  |                          |   |             |                     |  |  |                      |   |               |  |  |  |                    |  |  |  |  |         |  |
|--------------------|--|--|-------------------------|---|---------------|------------------------------|--|--|--------------------------|---|-------------|---------------------|--|--|----------------------|---|---------------|--|--|--|--------------------|--|--|--|--|---------|--|
|               |  |  | 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 June 30, 2006(Unaudited)

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

|                                     |  |  |                             |  |        |                                         |  |  |              |   |             |             |  |  |        |   |            |                  |  |  |                     |   |         |                     |  |  |  |   |         |  |  |  |  |   |            |  |  |  |                    |  |  |  |  |         |  |
|-------------------------------------|--|--|-----------------------------|--|--------|-----------------------------------------|--|--|--------------|---|-------------|-------------|--|--|--------|---|------------|------------------|--|--|---------------------|---|---------|---------------------|--|--|--|---|---------|--|--|--|--|---|------------|--|--|--|--------------------|--|--|--|--|---------|--|
|                                |  |  | June30, 2006                |  |        | For the three months ended June 30,2006 |  |  |         |   |             |        |
|                                |  |  |                        |  |        |                                    |  |  |         |   |             | Expenses    |  |  |   |   |            |             |  |  |                |
| Investment                          |  |  | %of Partnership'sNet Assets |  |        | FairValue                               |  |  | Income(Loss) |   |             | Commissions |  |  | Other  |   |            | Net Income(loss) |  |  | InvestmentObjective |   |         | RedemptionPermitted |
| SB AAAMaster FundLLC                |  |  |                             |  | 38.30  | %                                       |  |  |              | $ | 92,856,335  |             |  |  |        | $ | 5,160,026  |                  |  |  |                     | $ | 94,913  |                     |  |  |  | $ | 8,625   |  |  |  |  | $ | 5,056,488  |  |  |  | EnergyMarkets      |  |  |  |  | Monthly |  |
| CMFWillowbridge Argo Master Fund LP |  |  |                             |  | 21.43  | %                                       |  |  |              |   | 51,944,549  |             |  |  |        |   | 8,266,939  |                  |  |  |                     |   | 51,038  |                     |  |  |  |   | 2,345   |  |  |  |  |   | 8,213,556  |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| CMFWinton MasterLP                  |  |  |                             |  | 37.24  | %                                       |  |  |              |   | 90,271,148  |             |  |  |        |   | 1,433,722  |                  |  |  |                     |   | 78,027  |                     |  |  |  |   | — |  |  |  |  |   | 1,355,695  |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| Total                               |  |  |                             |  |   |                                         |  |  |              | $ | 235,072,032 |             |  |  |        | $ | 14,860,687 |                  |  |  |                     | $ | 223,978 |                     |  |  |  | $ | 10,970  |  |  |  |  | $ | 14,625,739 |  |  |  |               |  |  |  |  |    |  |
|                                     |

|                                    |  |  |                            |  |        |                                       |  |  |              |   |             |             |  |  |        |   |            |                  |  |  |                     |   |         |                     |  |  |  |   |        |  |  |  |  |   |            |  |  |  |                    |  |  |  |  |         |  |
|------------------------------------|--|--|----------------------------|--|--------|---------------------------------------|--|--|--------------|---|-------------|-------------|--|--|--------|---|------------|------------------|--|--|---------------------|---|---------|---------------------|--|--|--|---|--------|--|--|--|--|---|------------|--|--|--|--------------------|--|--|--|--|---------|--|
|                               |  |  | June30, 2006               |  |        | For the six months ended June 30,2006 |  |  |         |   |             |        |
|                               |  |  |                       |  |        |                                  |  |  |         |   |             | Expenses    |  |  |   |   |            |             |  |  |                |
| Investment                         |  |  | %ofPartnership'sNet Assets |  |        | FairValue                             |  |  | Income(Loss) |   |             | Commissions |  |  | Other  |   |            | Net Income(loss) |  |  | InvestmentObjective |   |         | RedemptionPermitted |
| SB AAAMaster FundLLC               |  |  |                            |  | 38.30  | %                                     |  |  |              | $ | 92,856,335  |             |  |  |        | $ | 22,318,342 |                  |  |  |                     | $ | 183,455 |                     |  |  |  | $ | 16,453 |  |  |  |  | $ | 22,118,434 |  |  |  | EnergyMarkets      |  |  |  |  | Monthly |  |
| CMFWillowbridge Argo Master FundLP |  |  |                            |  | 21.43  | %                                     |  |  |              |   | 51,944,549  |             |  |  |        |   | 3,973,273  |                  |  |  |                     |   | 91,612  |                     |  |  |  |   | 4,537  |  |  |  |  |   | 3,877,124  |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| CMFWinton MasterLP                 |  |  |                            |  | 37.24  | %                                     |  |  |              |   | 90,271,148  |             |  |  |        |   | 5,553,364  |                  |  |  |                     |   | 187,268 |                     |  |  |  |   | 511    |  |  |  |  |   | 5,365,585  |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| Total                              |  |  |                            |  |   |                                       |  |  |              | $ | 235,072,032 |             |  |  |        | $ | 31,844,979 |                  |  |  |                     | $ | 462,335 |                     |  |  |  | $ | 21,501 |  |  |  |  | $ | 31,361,143 |  |  |  |               |  |  |  |  |    |  |
|                                    |

|                                     |  |  |                             |  |        |                                         |  |  |              |   |             |             |  |  |        |   |            |                  |  |  |                     |   |         |                     |  |  |  |   |         |  |  |  |  |   |            |  |  |  |                    |  |  |  |  |         |  |
|-------------------------------------|--|--|-----------------------------|--|--------|-----------------------------------------|--|--|--------------|---|-------------|-------------|--|--|--------|---|------------|------------------|--|--|---------------------|---|---------|---------------------|--|--|--|---|---------|--|--|--|--|---|------------|--|--|--|--------------------|--|--|--|--|---------|--|
|                                |  |  | December31, 2005            |  |        | For the three months ended June 30,2005 |  |  |         |   |             |        |
|                                |  |  |                        |  |        |                                    |  |  |         |   |             | Expenses    |  |  |   |   |            |             |  |  |                |
| Investment                          |  |  | %of Partnership'sNet Assets |  |        | FairValue                               |  |  | Income(Loss) |   |             | Commissions |  |  | Other  |   |            | Net Income(loss) |  |  | InvestmentObjective |   |         | RedemptionPermitted |
| SB AAAMaster FundLLC                |  |  |                             |  | 38.47  | %                                       |  |  |              | $ | 66,336,443  |             |  |  |        | $ | 10,442,939 |                  |  |  |                     | $ | 303,541 |                     |  |  |  | $ | 6,578   |  |  |  |  | $ | 10,132,820 |  |  |  | EnergyMarkets      |  |  |  |  | Monthly |  |
| CMFWillowbridge Argo Master Fund LP |  |  |                             |  | 25.46  | %                                       |  |  |              |   | 43,902,732  |             |  |  |        |   | —    |                  |  |  |                     |   | — |                     |  |  |  |   | — |  |  |  |  |   | —    |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| CMFWinton MasterLP                  |  |  |                             |  | 31.48  | %                                       |  |  |              |   | 54,287,024  |             |  |  |        |   | 3,246,638  |                  |  |  |                     |   | 68,468  |                     |  |  |  |   | 5,191   |  |  |  |  |   | 3,172,979  |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| Total                               |  |  |                             |  |   |                                         |  |  |              | $ | 164,526,199 |             |  |  |        | $ | 13,689,577 |                  |  |  |                     | $ | 372,009 |                     |  |  |  | $ | 11,769  |  |  |  |  | $ | 13,305,799 |  |  |  |               |  |  |  |  |    |  |
|                                     |

|                                    |  |  |                            |  |        |                                       |  |  |              |   |             |             |  |  |        |   |            |                  |  |  |                     |   |         |                     |  |  |  |   |         |  |  |  |  |   |            |  |  |  |                    |  |  |  |  |         |  |
|------------------------------------|--|--|----------------------------|--|--------|---------------------------------------|--|--|--------------|---|-------------|-------------|--|--|--------|---|------------|------------------|--|--|---------------------|---|---------|---------------------|--|--|--|---|---------|--|--|--|--|---|------------|--|--|--|--------------------|--|--|--|--|---------|--|
|                               |  |  | December31, 2005           |  |        | For the six months ended June 30,2005 |  |  |         |   |             |        |
|                               |  |  |                       |  |        |                                  |  |  |         |   |             | Expenses    |  |  |   |   |            |             |  |  |                |
| Investment                         |  |  | %ofPartnership'sNet Assets |  |        | FairValue                             |  |  | Income(Loss) |   |             | Commissions |  |  | Other  |   |            | Net Income(loss) |  |  | InvestmentObjective |   |         | RedemptionPermitted |
| SB AAAMaster FundLLC               |  |  |                            |  | 38.47  | %                                     |  |  |              | $ | 66,336,443  |             |  |  |        | $ | 24,402,497 |                  |  |  |                     | $ | 639,990 |                     |  |  |  | $ | 12,837  |  |  |  |  | $ | 23,749,670 |  |  |  | EnergyMarkets      |  |  |  |  | Monthly |  |
| CMFWillowbridge Argo Master FundLP |  |  |                            |  | 25.46  | %                                     |  |  |              |   | 43,902,732  |             |  |  |        |   | —    |                  |  |  |                     |   | — |                     |  |  |  |   | — |  |  |  |  |   | —    |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| CMFWinton MasterLP                 |  |  |                            |  | 31.48  | %                                     |  |  |              |   | 54,287,024  |             |  |  |        |   | 6,298,568  |                  |  |  |                     |   | 137,632 |                     |  |  |  |   | 10,411  |  |  |  |  |   | 6,150,525  |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| Total                              |  |  |                            |  |   |                                       |  |  |              | $ | 164,526,199 |             |  |  |        | $ | 30,701,065 |                  |  |  |                     | $ | 777,622 |                     |  |  |  | $ | 23,248  |  |  |  |  | $ | 29,900,195 |  |  |  |               |  |  |  |  |    |  |
|                                    |

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements June 30, 2006(Unaudited)

5.    Financial Instrument Risks:

In the normal course of its business, the Partnership and the Fundsare party to financial instruments with off-balance sheet risk,including derivative financial instruments and derivative commodityinstruments. 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 toexchange currencies or cash flows, or to purchase or sell otherfinancial instruments at specific terms at specified future dates, or,in the case of derivative commodity instruments to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange or over-the-counter (‘‘OTC’’).Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments including market and creditrisk. In general, the risks associated with OTC contracts are greaterthan those associated with exchange traded instruments because of thegreater risk of default by the counterparty to an OTC contract.

Market risk is the potential for changes in the value of thefinancial instruments traded by the Partnership/Funds due to marketchanges, including interest and foreign exchange rate movements andfluctuations in commodity or security prices. Market risk is directlyimpacted by the volatility and liquidity in the markets in which therelated underlying assets are traded.

Credit risk is thepossibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk withrespect to exchange-traded instruments is reduced to the extent that anexchange or clearing organization acts as a counterparty to thetransactions. The Partnership's/Funds' risk of loss in theevent of counterparty default is typically limited to the amountsrecognized as unrealized appreciation in the statements of financialcondition and not represented by the contract or notional amounts ofthe instruments. The Partnership/Funds have concentration risk becausethe sole 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 June 30, 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 secondquarter 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 six months ended June30, 2006, Partnership Capital increased 40.6% from $172,442,322to $242,415,548. This increase was attributable to net income fromoperations of $24,198,462 coupled with additional sales of 32,842.6123Redeemable Units of Limited Partnership totaling $56,150,000, which waspartially offset by the redemption of 5,831.2768 Redeemable Unitsresulting in an outflow of $10,375,236. Future redemptions can impactthe amount of funds available for investment in the Partnership insubsequent periods.

Critical Accounting Policies

Thepreparation of financial statements in conformity with U.S. generallyaccepted accounting principles requires management to make estimatesand assumptions that affect the reported amounts of assets andliabilities, and disclosures of contingent assets and liabilities atthe date of the financial statements and the reported amounts ofrevenues and expenses during the reporting period. Actual results coulddiffer from these estimates.

All commodity interests (includingderivative financial instruments and derivative commodity instruments)held by the Partnership are used for trading purposes. The commodityinterests are recorded on trade date and open contracts are recorded inthe statement of financial condition at fair value on the last businessday of the period, which represents market value for those commodityinterests for which market quotations are readily available or othermeasures of fair value deemed appropriate by management of the GeneralPartner for those commodity interests and foreign currencies for whichmarket quotations are not readily available, including dealer quotesfor swaps and certain option contracts. Investments in commodityinterests denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing on the last business day ofthe period. Realized gains (losses) and changes in unrealized values oncommodity interests and foreign currencies are recognized in the periodin which the contract is closed or the changes occur and are includedin net gains (losses) on trading of commodity interests. The investmentin AAA Master, Willowbridge Master and Winton Master are recorded atfair value, based upon the Partnership's proportionate interestheld.

Foreign currency contracts are those contracts where thePartnership agrees to receive or deliver a fixed quantity of foreigncurrency for an agreed-upon price on an agreed future date. Foreigncurrency contracts are valued daily, and the Partnership's netequity therein, representing unrealized gain or loss on the contractsas measured by the difference between the forward foreign exchangerates at the dates of entry into the contracts and the forward rates atthe reporting dates, is included in the statement of financialcondition. Realized gains (losses) and changes in unrealized values onforeign currency contracts are recognized in the period in which thecontract is closed or the changes occur and are included in thestatements of income and expenses and partners' capital.

Results of Operations

During the Partnership's secondquarter of 2006, the net asset value per Redeemable Unit increased5.8% from $1,709.35 to $1,808.67 as compared to an increase of1.4% in the second quarter of 2005. The Partnership experienceda net trading gain before brokerage commissions and related fees in thesecond 

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quarter of 2006 of $15,716,731. Gains wereprimarily attributable to the Partnership's trading of trading ofcurrencies, energy, U.S. and non-U.S. interest rates, and metals andwere partially offset by losses in grains, livestock, softs andindices. The Partnership experienced a net trading gain beforebrokerage commissions and related fees in the second quarter of 2005 of$6,042,828. Gains were primarily attributable to thePartnership's trading of commodity futures in currencies,non-U.S. interest rates, livestock and indices, and were partiallyoffset by losses in energy, grains, U.S. interest rates, metals andsofts.

The second quarter 2006 was challenging for the Advisorsas both financial and commodity markets entered a highly volatileperiod. Gains were primarily earned in interest rate, energy, currencyand metals trading and offset losses in agricultural and stock indextrading.

The Partnership's trend-following Advisors wereprofitable in the energy sector as gains made in natural gas tradingoffset losses in crude oil and petroleum products. Trends in the metalsector extended from the first quarter and remained strong for thefirst half of the second quarter. The substantial gains accumulatedfrom record gold, silver and base metal price trends were more thansufficient to cover losses generated during the metals correction inMay.

Trading in U.S. and global fixed income markets wasprofitable as central banks continued to raise global rates to combatinflation pressure and the Advisors were able to take advantage ofthese trends.

Currency trading was profitable despite the lackof direction in the currency sector which was the result of speculationrelating to U.S. interest rate policy coupled with global inflationconcerns. Losses in the equity sector were attributable to a globaleconomic slowdown as most of the major equity indices experienced amaterial correction in May after reaching multi-year highs. Sharp pricereversals in grains and softs translated into losses as alternatingmeteorological conditions between drought and rainfall contributed toirregular price developments. Overall, the Partnership had a successfulsecond quarter.

During the six months ended June 30, 2006, thenet asset value per Redeemable Unit increased 12.2% from$1,611.33 to $1,808.67 as compared to an increase of 10.3%during the six months ended June 30, 2005. The Partnership experienceda net trading gain before brokerage commissions and related fees in thesix months ended June 30, 2006 of $32,974,304. Gains were primarilyattributable to the Partnership's trading of commodity futures inenergy, U.S. and non-U.S. interest rates, metals, and indicies and werepartially offset by losses in currencies, grains, livestock, and softs.The Partnership experienced a net trading gain before brokeragecommissions and related fees in the six months ended June 30, 2005 of$21,281,887. Gains were primarily attributable to thePartnership's trading of commodity futures in energy, U.S. andnon U.S. interest rates and indices and were partially offset by lossesin currencies, grains, livestock, metals and softs.

Commodityfutures markets are highly volatile. The potential for broad and rapidprice fluctuations increases the risks involved in commodity trading,but also increases the possibility of profit. The profitability of thePartnership depends on the existence of major price trends and theability of the Advisors to correctly identify those price trends. Pricetrends are influenced by, among other things, changing supply anddemand relationships, weather, governmental, agricultural, commercialand trade programs and policies, national and international politicaland economic events and changes in interest rates. To the extent thatmarket trends exist and the Advisors are able to identify them, thePartnership expects to increase capital through operations. AAA isaware of price trends but does not trade upon trends. AAA often takesprofits in positions with specific trends even though that trend maystill be intact or perhaps even stronger. AAA occasionally establishespositions that are counter-trend.

Interest income is earned on100% of the Partnership's average daily equity maintainedin cash in its account during each month at a 30-day U.S. Treasury billrate determined weekly by CGM based on the average non-competitiveyield on 3-month U.S. Treasury bills maturing in 30 days from the dateon which such weekly rate is determined. CGM may continue to maintainthe Partnership'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 and six months ended June 30,2006 decreased by $130,273 and $237,351 as compared to thecorresponding periods in 2005. The decrease is due to thePartnership's use of cash to fund additional investments in otherpartnerships. The interest 

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earned at the Investment in Partnershipslevel is included in the Partnership's share of overall netincome (loss) of the other partnerships in 2006 as compared to2005.

Brokerage commissions are based on the number of tradesexecuted by the Advisors. Brokerage commissions and fees for the threeand six months ended June 30, 2006 increased by $116,354 and $861,788,as compared to the corresponding periods in 2005. The increase incommissions and fees is primarily due to an increase in the number oftrades during the three and six months ended June 30, 2006 as comparedto the corresponding periods in 2005.

Management fees arecalculated as a percentage of the Partnership's net asset valueas of the end of each month and are affected by trading performance,additions and redemptions. Management fees for the three and six monthsended June 30, 2006 increased by $480,962 and $822,283, as compared tothe corresponding periods in 2005. The increase of management fees isdue to an increase in net assets during the three and six months endedJune 30, 2006 as compared to the corresponding periods in 2005.

Administrative fees are paid to the General Partner foradministering the business and affairs of the Partnership. These feesare calculated as a percentage of the Partnership's net assetvalue as of the end of each month and are affected by tradingperformance and redemptions. Administrative fees for the three and sixmonths ended June 30, 2006 increased by $133,390 and $228,881, ascompared to the corresponding periods in 2005. The increase inadministrative fees is due to an increase in net assets during thethree and six months ended June 30, 2006 as compared to thecorresponding periods in 2005.

Incentive fees paid by thePartnership are based on the new trading profits generated by eachAdvisor at the end of the quarter, as defined in the managementagreements between the Partnership, the General Partner and eachAdvisor. Trading performance for the three and six months ended June30, 2006 and 2005 resulted in incentive fees of $633,539 and$3,736,128, respectively. Trading performance for the three and sixmonths ended June 30, 2005 resulted in incentive fees of $2,304,369 and$5,329,717, respectively.

Item 3.    Quantitative andQualitative Disclosures about Market Risk

ThePartnership is a speculative commodity pool. The market sensitiveinstruments held by it are acquired for speculative trading purposes,and all or substantially all of the Partnership's assets aresubject to the risk of trading loss. Unlike an operating company, therisk of market sensitive instruments is integral, not incidental, tothe Partnership's main line of business.

Market movementsresult in frequent changes in the fair value of the Partnership'sopen positions and, consequently, in its earnings and cash flow. ThePartnership's market risk is influenced by a wide variety offactors, including the level and volatility of interest rates, exchangerates, equity price levels, the value of financial instruments andcontracts, the diversification effects of the Partnership's openpositions and the liquidity of the markets in which it trades.

The Partnership rapidly acquires and liquidates both long and shortpositions in a range of different markets. Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the Partnership's past performance is notnecessarily indicative of its future results.

Value at Risk is ameasure of the maximum amount which the Partnership could reasonably beexpected to lose in a given market sector. However, the inherentuncertainty of the Partnership's speculative trading and therecurrence in the markets traded by the Partnership of market movementsfar exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or thePartnership's experience to date (i.e., ‘‘risk ofruin’’). In light of the foregoing, as well as the risksand uncertainties intrinsic to all future projections, the inclusion ofthe quantification in this section should not be considered toconstitute any assurance or representation that the Partnership'slosses in any market sector will be limited to Value at Risk or by thePartnership's attempts to manage its market risk.

Exchangemaintenance margin requirements have been used by the Partnership asthe measure of its Value at Risk. Maintenance margin requirements areset by exchanges to equal or exceed the maximum losses reasonablyexpected to be incurred in the fair value of any given contract in95%-99% of any one-day interval. Maintenance margin hasbeen used rather than the more generally available initial margin,because initial margin includes a credit risk component, which is notrelevant to Value at Risk.

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The following tables indicate thetrading Value at Risk associated with the Partnership'sinvestments and investments in other Partnerships by market category asof June 30, 2006 and the highest, lowest and average value during thethree months ended June 30, 2006. All open position trading riskexposures of the Partnership have been included in calculating thefigures set forth below. As of June 30, 2006, the Partnership'stotal capitalization was $242,415,548. There has been no materialchange in the trading Value at Risk information previously disclosed inthe Partnership's Annual Report on Form 10-K for the year endedDecember 31, 2005.

June 30, 2006(Unaudited)

|                                             |  |  |               |   |           |                         |  |  |                                |  |      |                  |  |  |                      |   |         |  |  |  |  |   |         |  |  |  |  |   |         |  |
|---------------------------------------------|--|--|---------------|---|-----------|-------------------------|--|--|--------------------------------|--|------|------------------|--|--|----------------------|---|---------|--|--|--|--|---|---------|--|--|--|--|---|---------|--|
|                                        |  |  |          |   |           |                    |  |  | ThreeMonths Ended June 30,2006 |
| MarketSector                                |  |  | Value at Risk |   |           | % ofTotalCapitalization |  |  | High Value atRisk              |  |      | LowValue at Risk |  |  | Average ValueatRisk* |
| Currencies:– Exchange TradedContracts |  |  |               | $ | 208,404   |                         |  |  |                                |  | 0.08 | %                |  |  |                      | $ | 828,090 |  |  |  |  | $ | 125,820 |  |  |  |  | $ | 466,739 |  |
| Energy                                      |  |  |               |   | 498,150   |                         |  |  |                                |  | 0.20 | %                |  |  |                      |   | 838,350 |  |  |  |  |   | 145,800 |  |  |  |  |   | 460,080 |  |
| Grains                                      |  |  |               |   | 38,880    |                         |  |  |                                |  | 0.02 | %                |  |  |                      |   | 140,940 |  |  |  |  |   | 12,636  |  |  |  |  |   | 52,650  |  |
| InterestRatesU.S.                           |  |  |               |   | 153,090   |                         |  |  |                                |  | 0.06 | %                |  |  |                      |   | 320,760 |  |  |  |  |   | — |  |  |  |  |   | 165,240 |  |
| InterestRatesNon-U.S.                       |  |  |               |   | 232,906   |                         |  |  |                                |  | 0.10 | %                |  |  |                      |   | 579,954 |  |  |  |  |   | 26,244  |  |  |  |  |   | 324,525 |  |
| Softs                                       |  |  |               |   | 66,780    |                         |  |  |                                |  | 0.03 | %                |  |  |                      |   | 131,040 |  |  |  |  |   | 15,120  |  |  |  |  |   | 43,260  |  |
| Totals                                      |  |  |               | $ | 1,198,210 |                         |  |  |                                |  | 0.49 | %                |  |  |                      |   |    |  |  |  |  |   |    |  |  |  |  |   |    |  |
|                                             |

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

As of June 30, 2006, AAAMaster's total capitalization was $1,114,862,975. The partnershipowns 8.3% of AAA Master.

June 30,2006(Unaudited)

|              |  |  |               |   |            |                         |  |  |                                |  |      |                   |  |  |                      |   |             |  |  |  |  |   |            |  |  |  |  |   |            |  |
|--------------|--|--|---------------|---|------------|-------------------------|--|--|--------------------------------|--|------|-------------------|--|--|----------------------|---|-------------|--|--|--|--|---|------------|--|--|--|--|---|------------|--|
|         |  |  |          |   |            |                    |  |  | ThreeMonths Ended June 30,2006 |
| MarketSector |  |  | Value at Risk |   |            | % ofTotalCapitalization |  |  | High Value atRisk              |  |      | Low Value at Risk |  |  | Average ValueatRisk* |
| Energy       |  |  |               | $ | 14,366,191 |                         |  |  |                                |  | 1.29 | %                 |  |  |                      | $ | 149,543,621 |  |  |  |  | $ | 14,366,191 |  |  |  |  | $ | 53,342,470 |  |
| EnergySwaps  |  |  |               |   | 4,130,046  |                         |  |  |                                |  | 0.37 | %                 |  |  |                      | $ | 4,130,046   |  |  |  |  | $ | 4,130,046  |  |  |  |  | $ | 4,130,046  |  |
| Total        |  |  |               | $ | 18,496,237 |                         |  |  |                                |  | 1.66 | %                 |  |  |                      |   |        |  |  |  |  |   |       |  |  |  |  |   |       |  |
|              |

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

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As of June 30, 2006, WillowbridgeMaster's total capitalization was $183,497,148. The Partnershipowns 28.3% of Willowbridge Master.

June 30,2006(Unaudited)

|                                  |  |  |               |   |            |                         |  |  |                                |  |        |                  |  |  |                     |   |            |  |  |  |  |   |           |  |  |  |  |   |            |  |
|----------------------------------|--|--|---------------|---|------------|-------------------------|--|--|--------------------------------|--|--------|------------------|--|--|---------------------|---|------------|--|--|--|--|---|-----------|--|--|--|--|---|------------|--|
|                             |  |  |          |   |            |                    |  |  | ThreeMonths Ended June 30,2006 |
| MarketSector                     |  |  | Value at Risk |   |            | % ofTotalCapitalization |  |  | HighValue atRisk               |  |        | LowValue at Risk |  |  | AverageValue atRisk |
| Currencies:                      |  |  |               |   |       |                         |  |  |                                |  |   |                  |  |  |                     |   |       |  |  |  |  |   |      |  |  |  |  |   |       |  |
| –Exchange Traded Contracts |  |  |               | $ | 5,860,621  |                         |  |  |                                |  | 3.19   | %                |  |  |                     | $ | 16,059,735 |  |  |  |  | $ | 2,867,738 |  |  |  |  | $ | 11,228,040 |  |
| Energy                           |  |  |               |   | 9,175,275  |                         |  |  |                                |  | 5.00   | %                |  |  |                     |   | 12,034,575 |  |  |  |  |   | 1,417,500 |  |  |  |  |   | 10,563,300 |  |
| Grains                           |  |  |               |   | 476,550    |                         |  |  |                                |  | 0.27   | %                |  |  |                     |   | 1,771,875  |  |  |  |  |   | 190,620   |  |  |  |  |   | 959,147    |  |
| Interest RatesU.S.               |  |  |               |   | 3,002,265  |                         |  |  |                                |  | 1.64   | %                |  |  |                     |   | 6,237,000  |  |  |  |  |   | 2,287,440 |  |  |  |  |   | 4,245,255  |  |
| Interest Rates Non-U.S.          |  |  |               |   | 4,337,027  |                         |  |  |                                |  | 2.36   | %                |  |  |                     |   | 11,303,300 |  |  |  |  |   | 4,243,100 |  |  |  |  |   | 6,724,014  |  |
| Softs                            |  |  |               |   | 519,540    |                         |  |  |                                |  | 0.28   | %                |  |  |                     |   | 784,000    |  |  |  |  |   | 220,500   |  |  |  |  |   | 377,347    |  |
| Total                            |  |  |               | $ | 23,371,278 |                         |  |  |                                |  | 12.74  | %                |  |  |                     |   |       |  |  |  |  |   |      |  |  |  |  |   |       |  |
|                                  |

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

As of June 30, 2006, WintonMaster's total capitalization was $248,613,904. The Partnershipowns 36.3% of Winton Master.

June 30,2006(Unaudited)

|                                  |  |  |               |   |            |                          |  |  |                                |  |        |                 |  |  |                     |   |            |  |  |  |  |   |           |  |  |  |  |   |           |  |
|----------------------------------|--|--|---------------|---|------------|--------------------------|--|--|--------------------------------|--|--------|-----------------|--|--|---------------------|---|------------|--|--|--|--|---|-----------|--|--|--|--|---|-----------|--|
|                             |  |  |          |   |            |                     |  |  | ThreeMonths Ended June 30,2006 |
| MarketSector                     |  |  | Value at Risk |   |            | % of TotalCapitalization |  |  | HighValue at Risk              |  |        | LowValue atRisk |  |  | AverageValue atRisk |
| Currencies                       |  |  |               |   |       |                          |  |  |                                |  |   |                 |  |  |                     |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –Exchange Traded Contracts |  |  |               | $ | 3,495,089  |                          |  |  |                                |  | 1.41   | %               |  |  |                     | $ | 5,174,536  |  |  |  |  | $ | 2,485,925 |  |  |  |  | $ | 3,372,319 |  |
| Energy                           |  |  |               |   | 1,276,070  |                          |  |  |                                |  | 0.51   | %               |  |  |                     |   | 5,638,643  |  |  |  |  |   | 1,033,628 |  |  |  |  |   | 2,791,126 |  |
| Grains                           |  |  |               |   | 297,136    |                          |  |  |                                |  | 0.12   | %               |  |  |                     |   | 307,235    |  |  |  |  |   | 146,668   |  |  |  |  |   | 297,790   |  |
| Interest RatesU.S.               |  |  |               |   | 2,813,198  |                          |  |  |                                |  | 1.13   | %               |  |  |                     |   | 9,363,026  |  |  |  |  |   | 347,582   |  |  |  |  |   | 4,047,702 |  |
| Interest RatesNon-U.S.           |  |  |               |   | 6,744,526  |                          |  |  |                                |  | 2.71   | %               |  |  |                     |   | 9,078,252  |  |  |  |  |   | 3,821,899 |  |  |  |  |   | 6,468,534 |  |
| Livestock                        |  |  |               |   | 93,683     |                          |  |  |                                |  | 0.04   | %               |  |  |                     |   | 405,810    |  |  |  |  |   | 90,562    |  |  |  |  |   | 261,223   |  |
| Metals                           |  |  |               |   |       |                          |  |  |                                |  |   |                 |  |  |                     |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –Exchange Traded Contract  |  |  |               |   | 515,795    |                          |  |  |                                |  | 0.21   | %               |  |  |                     |   | 702,675    |  |  |  |  |   | 24,300    |  |  |  |  |   | 701,159   |  |
| – OTCContracts             |  |  |               |   | 1,675,370  |                          |  |  |                                |  | 0.68   | %               |  |  |                     |   | 1,791,040  |  |  |  |  |   | 568,612   |  |  |  |  |   | 1,109,716 |  |
| Softs                            |  |  |               |   | 753,606    |                          |  |  |                                |  | 0.30   | %               |  |  |                     |   | 907,159    |  |  |  |  |   | 475,179   |  |  |  |  |   | 807,259   |  |
| Indices                          |  |  |               |   | 3,358,610  |                          |  |  |                                |  | 1.35   | %               |  |  |                     |   | 12,015,494 |  |  |  |  |   | 2,673,947 |  |  |  |  |   | 6,831,089 |  |
| Lumber                           |  |  |               |   | 1,650      |                          |  |  |                                |  | 0.00   | %*              |  |  |                     |   | 3,300      |  |  |  |  |   | 1,650     |  |  |  |  |   | 1,650     |  |
| Total                            |  |  |               | $ | 21,024,733 |                          |  |  |                                |  | 8.46   | %               |  |  |                     |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
|                                  |

|  |                                   |
|--|-----------------------------------|
|  | *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 Chief FinancialOfficer, has evaluated the effectiveness of the design and operation ofits disclosure controls and procedures (as defined in Rules 13a-15(e)and 15d-15(e) of the Exchange Act) with respect to the Partnership asof the end of the period covered by the report, and, based on thisevaluation, has concluded that these disclosure controls and proceduresare effective. There was no change in the Partnership's internalcontrol over financial reporting during the period the period coveredby this report that has materially affected, or is reasonably likely tomaterially affect, the Partnership's internal control overfinancial reporting.

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PART II. OTHERINFORMATION

Item 1.     Legal Proceedings

 The following information supplements and amends ourdiscussion set forth under Part  I, Item 3 ‘‘LegalProceedings’’ in our Annual Report on Form  10-K forthe fiscal year ended December  31, 2005, as updated by ourQuarterly Report on Form  10-Q for the quarter ended March31, 2006.

Enron Corp.

 On May  24, 2006,the District Court gave final approval to Citigroup's settlementof the securities class action (NEWBY, ET AL. V. ENRON CORP., ETAL.).

Research

 On May  12, 2006, theDistrict Court preliminarily approved the class action settlements inIN RE SALOMON ANALYST LEVEL 3 LITIGATION, IN RE SALOMON ANALYST XOLITIGATION, and IN RE SALOMON ANALYST WILLIAMS LITIGATION.

 On May  18, 2006, the District Court gave finalapproval to the settlement in NORMAN v. SALOMON SMITH BARNEY.

 On June  20, 2006, the District Court certified theplaintiff class in IN RE SALOMON ANALYST METROMEDIA LITIGATION.

 On June  26, 2006, the United States Supreme Courtgranted plaintiffs' petition for a writ of certiorari, vacatedthe opinion of the United States Court of Appeals for the SeventhCircuit in DISHER v. CITIGROUP GLOBAL MARKETS  INC., and thenremanded the case to the Seventh Circuit for further proceedings inlight of the Supreme Court's decision in Kircher v.Putnam Funds Trust.

Adelphia CommunicationsCorporation

 Without admitting any liability, CGM andnumerous other financial institution defendants have agreed to settleIN RE ADELPHIA COMMUNICATIONS CORPORATION SECURITIES AND DERIVATIVELITIGATION for a total of $250  million, subject to final courtapproval. On June  15, 2006, the court granted its preliminaryapproval of the settlement and set November  10, 2006 for a finalhearing. CGM's share of the settlement is covered by existingreserves.

Item 1A.    Risk Factors

There are nomaterial changes from 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.

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Item 2.    Unregistered Salesof Equity Securities and Use of Proceeds

For the threemonths ended June 30, 2006 there were additional sales of 13,724.2563Redeemable Units of Limited Partnership totaling $24,641,000. TheRedeemable Units were issued in reliance upon applicable exemptionsfrom registration under Section  4(2) of the Securities Act of1933, as amended, and Section 506 of Regulation D promulgated thereunder.

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

The followingchart sets forth 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 |
| April 1, 2006− April 30,2006 |  |  |                                     |  | 980.6047   |                                 |  |  |                                                                                 | $ | 1,904.09 |                                                                                                            |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
| May1, 2006 − May 31,2006     |  |  |                                     |  | 925.1049   |                                 |  |  |                                                                                 | $ | 1,824.07 |                                                                                                            |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
| June1, 2006 − June 30,2006   |  |  |                                     |  | 1,798.0698 |                                 |  |  |                                                                                 | $ | 1,808.67 |                                                                                                            |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
|                               |  |  |                                     |  | 3,703.7794 |                                 |  |  |                                                                                 | $ | 1,845.61 |                                                                                                            |  |  |  |  | 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. |

Item3.    Defaults Upon Senior Securities – None

Item 4.    Submission of Matters to a Vote of SecurityHolders – None

Item 5.    OtherInformation

As of April 3, 2006, AAA Capital Management, Inc.ceased acting as a commodity trading advisor for the Fund. The portionsof the Fund's assets formerly allocated to AAA CapitalManagement, Inc. were reallocated to AAA Capital Management Advisors,Ltd. effective April 3, 2006. A copy of the management agreementbetween AAA Capital Management Advisors, Ltd. and the Fund is attachedto this Form 10-Q as an exhibit.

Item6.    Exhibits

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

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

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

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

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

Exhibit – 33 – Management Agreement among thePartnership, the General Partner and AAA Capital Management Advisors,Ltd. (filed herein).

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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:  |  |  | August 14,2006                                               |
| By:    |  |  | /s/Daniel R. McAuliffe,Jr.                                   |
|   |  |  | Daniel R.McAuliffe, Jr. Chief Financial Officer and Director |
| Date:  |  |  | August 14,2006                                               |
|        |

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