FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

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

OF THE SECURITIES EXCHANGE ACT OF 1934

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

OF THE SECURITIESEXCHANGE ACT OF 1934

For The Quarter Ended March31, 2005

Commission File Number0-50271

SALOMON SMITH BARNEY ORION FUTURES FUNDL.P.

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(Exact name ofregistrant as specified in its charter)

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

c/oCitigroup Managed Futures LLC 399 Park Avenue. – 7thFl. New York, New York 10022

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

(212) 559-2011

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(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 anaccelerated filer (as defined in Rule 12b-2 of the Exchange Act).

Yes  X    No      

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SALOMON SMITHBARNEY ORION FUTURES FUND L.P.

FORM 10-Q

INDEX

|                                 |  |                                                                                                                    |  |               |  |  |  |  |  |  |
|---------------------------------|--|--------------------------------------------------------------------------------------------------------------------|--|---------------|--|--|--|--|--|--|
|                            |  |                                                                                                               |  | PageNumber    |
| PART I - Financial Information: |  |
| Item1.                          |  | FinancialStatements:                                                                                               |  |          |
|                            |  | Statements ofFinancial Condition at March 31, 2005 and December 31, 2004(unaudited)                                |  | 3             |
|                            |  | Condensed Schedules of Investments at March 31,2005 and December 31, 2004 (unaudited)                              |  | 4 –5    |
|                            |  | Statements of Income and Expensesand Partners' Capital for the three months ended March 31,2005and 2004(unaudited) |  | 6             |
|                            |  | Statementsof Cash Flows for the three monthsended March 31, 2005 and2004 (unaudited)                               |  | 7             |
|                            |  | Notesto Financial Statements (unaudited)                                                                           |  | 8 –12   |
| Item 2.                         |  | Management's Discussion andAnalysisof Financial Condition and Results ofOperations                                 |  | 13 – 15 |
| Item3.                          |  | Quantitative and QualitativeDisclosures about MarketRisk                                                           |  | 16 – 17 |
| Item4.                          |  | Controls andProcedures                                                                                             |  | 18            |
| PART II -OtherInformation       |  |                                                                                                               |  | 19            |
|                                 |

2

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PART I

Item 1.Financial Statements

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

|                                                                                                                                        |  |              |             |                 |  |        |             |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|--------------|-------------|-----------------|--|--------|-------------|--------|--|--|
|                                                                                                                                   |  | March31,2005 |             | December31,2004 |
| **Assets:**                                                                                                                            |  |         |        |            |  |   |        |   |
| Investmentin Partnerships, at fairvalue                                                                                                |  | $            | 98,065,861  |            |  | $      | 84,542,782  |   |
| Equityin commodity futures trading account:                                                                                            |  |
| Cash(restricted $10,375,504 and $5,271,154 in 2005 and 2004, respectively)in commodity futures tradingaccount                          |  |         | 36,684,247  |            |  |   | 36,084,976  |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |         | 3,785,005   |            |  |   | 2,612,228   |   |
|                                                                                                                                   |  |         | 138,535,113 |            |  |   | 123,239,986 |   |
| Interestreceivable                                                                                                                     |  |         | 88,385      |            |  |   | 62,043      |   |
|                                                                                                                                   |  | $            | 138,623,498 |            |  | $      | 123,302,029 |   |
|                                                                                                                                   |  |         |        |            |  |   |        |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |         |        |            |  |   |        |   |
| Liabilities:                                                                                                                           |  |         |        |            |  |   |        |   |
| Accruedexpenses:                                                                                                                       |  |         |        |            |  |   |        |   |
| Commissions                                                                                                                            |  | $            | 204,416     |            |  | $      | 162,453     |   |
| Managementfees                                                                                                                         |  |         | 216,180     |            |  |   | 192,180     |   |
| Administrativefees                                                                                                                     |  |         | 58,698      |            |  |   | 52,089      |   |
| Incentivefees                                                                                                                          |  |         | 3,025,349   |            |  |   | 849,874     |   |
| Other                                                                                                                                  |  |         | 194,007     |            |  |   | 142,507     |   |
| Redemptionspayable                                                                                                                     |  |         | 807,756     |            |  |   | 3,119,102   |   |
|                                                                                                                                   |  |         | 4,506,406   |            |  |   | 4,518,205   |   |
|                                                                                                                                   |  |         |        |            |  |   |        |   |
| Partners'Capital:                                                                                                                      |  |         |        |            |  |   |        |   |
| General Partner,865.3542 Unit equivalents outstanding in 2005 and2004                                                                  |  |         | 1,288,988   |            |  |   | 1,184,090   |   |
| LimitedPartners, 89,173.0412 and 85,943.7403 Redeemable Units of LimitedPartnership Interest outstanding in 2005 and 2004,respectively |  |         | 132,828,104 |            |  |   | 117,599,734 |   |
|                                                                                                                                   |  |         | 134,117,092 |            |  |   | 118,783,824 |   |
|                                                                                                                                   |  | $            | 138,623,498 |            |  | $      | 123,302,029 |   |
|                                                                                                                                        |

SeeAccompanying Notes to Financial Statements.

3

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments March 31,2005(Unaudited)

|                                              |  |                                     |  |           |             |         |  |        |        |        |
|----------------------------------------------|--|-------------------------------------|--|-----------|-------------|---------|--|--------|--------|--------|
| Sector                                       |  | Contract                            |  | FairValue |
| Currencies                                   |  |                                |  |      |        |    |
|                                         |  | Futurescontracts purchased(0.10)%   |  | $         | (130,900    | )  |  |   |   |   |
|                                         |  | Futurescontracts sold0.37%          |  |      | 491,937     |    |
|     TotalCurrencies0.27% |  |                                |  |      | 361,037     |    |
| Energy1.66%                                  |  | Futures contracts purchased1.66%    |  |      | 2,232,627   |    |
| Grains0.51%                                  |  | Futures contracts purchased0.51%    |  |      | 679,864     |    |
| Interest Rates U.S.0.22%                     |  | Futures contracts sold0.22%         |  |      | 294,093     |    |
| InterestRates Non-U.S.                       |  |                                |  |      |        |    |
|                                         |  | Futurescontracts purchased0.02%     |  |      | 27,676      |    |
|                                         |  | Futurescontracts sold(0.44)%        |  |      | (589,289    | )  |
| TotalInterest Rates Non-U.S.(0.42)%          |  |                                |  |      | (561,613    | )  |
| Livestock(0.00)%*                            |  | Futures contracts purchased(0.00)%* |  |      | (3,770      | )  |
| Metals                                       |  |                                |  |      |        |    |
|                                         |  | Futurescontracts purchased0.14%     |  |      | 187,213     |    |
|                                         |  | Futurescontracts sold(0.01)%        |  |      | (16,500     | )  |
| TotalMetals0.13%                             |  |                                |  |      | 170,713     |    |
| Softs                                        |  |                                |  |      |        |    |
|                                         |  | Futurescontracts purchased0.46%     |  |      | 620,275     |    |
|                                         |  | Futurescontracts sold(0.01)%        |  |      | (8,221      | )  |
| TotalSofts0.45%                              |  |                                |  |      | 612,054     |    |
| Investmentin Partnerships                    |  |                                |  |      |        |    |
|                                         |  | SB AAAMaster Fund LLC40.34%         |  |      | 54,108,428  |    |
|                                         |  | CMF WintonMaster Fund LP32.78%      |  |      | 43,957,433  |    |
| TotalInvestment in Partnerships73.12%        |  |                                |  |      | 98,065,861  |    |
| TotalFair Value75.94%                        |  |                                |  | $         | 101,850,866 |    |
|                                              |

|                    |  |                           |             |                             |  |        |        |          |  |  |
|--------------------|--|---------------------------|-------------|-----------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investments at Fair Value |             | %ofInvestments at FairValue |
| Germany            |  | $                         | (429,227    | )                      |  |   | (0.42  | )%  |
| UnitedKingdom      |  |                      | (132,386    | )                      |  |   | (0.13  | )   |
| UnitedStates       |  |                      | 102,412,479 |                        |  |   | 100.55 |     |
|               |  | $                         | 101,850,866 |                        |  |   | 100.00 | %   |
|                    |

Percentagesare based on Partners' Capital unless otherwiseindicated

* Due to rounding

See AccompanyingNotes to Financial Statements

4

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments December31, 2004 (Unaudited)

|                                       |  |                                    |  |           |            |         |  |  |  |  |
|---------------------------------------|--|------------------------------------|--|-----------|------------|---------|--|--|--|--|
| Sector                                |  | Contract                           |  | FairValue |
| Currencies                            |  | Futurescontracts purchased0.84%    |  | $         | 994,089    |    |
|                                  |  | Futurescontracts sold(0.00)%*      |  |      | (606       | )  |
| TotalCurrencies0.84%                  |  |                               |  |      | 993,483    |    |
| Energy0.61%                           |  | Futures contracts sold0.61%        |  |      | 724,990    |    |
| Grains                                |  |                               |  |      |       |    |
|                                  |  | Futurescontracts purchased0.00%    |  |      | (313       | )  |
|                                  |  | Futurescontracts sold(0.02)%       |  |      | (20,275    | )  |
| TotalGrains(0.02)%                    |  |                               |  |      | (20,588    | )  |
| InterestRates U.S. 0.04%              |  | Futures contracts sold0.04%        |  |      | 44,813     |    |
| InterestRates Non-U.S.                |  |                               |  |      |       |    |
|                                  |  | Futurescontracts purchased0.22%    |  |      | 266,606    |    |
|                                  |  | Futurescontracts sold(0.00)%*      |  |      | 3,001      |    |
| TotalInterest Rates Non-U.S.0.22%     |  |                               |  |      | 269,607    |    |
| Livestock0.04%                        |  | Futures contracts purchased0.04%   |  |      | 40,990     |    |
| Metals(0.01)%                         |  | Futures contracts purchased(0.01)% |  |      | (7,003     | )  |
| Softs                                 |  |                               |  |      |       |    |
|                                  |  | Futures contracts purchased0.50%   |  |      | 597,196    |    |
|                                  |  | Futurescontracts sold(0.02)%       |  |      | (31,260    | )  |
| TotalSofts0.48%                       |  |                               |  |      | 565,936    |    |
| Investmentin Partnerships             |  |                               |  |      |       |    |
|                                  |  | SB AAAMaster Fund LLC38.91%        |  |      | 46,220,533 |    |
|                                  |  | CMF WintonMaster Fund LP32.26%     |  |      | 38,322,249 |    |
| TotalInvestment in Partnerships71.17% |  |                               |  |      | 84,542,782 |    |
| Total Fair Value73.37%                |  |                               |  | $         | 87,155,010 |    |
|                                       |

|                    |  |                          |            |                            |  |        |        |         |  |  |
|--------------------|--|--------------------------|------------|----------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investmentsat Fair Value |            | %ofInvestmentsat FairValue |
| Germany            |  | $                        | 121,341    |                       |  |   | 0.14   | %  |
| UnitedKingdom      |  |                     | 148,266    |                       |  |   | 0.17   | %  |
| UnitedStates       |  |                     | 86,855,403 |                       |  |   | 99.69  | %  |
|               |  | $                        | 87,155,010 |                       |  |   | 100.00 | %  |
|                    |

Percentagesare based on Partners' Capital unless otherwiseindicated.

* Due to rounding.

See AccompanyingNotes to Financial Statements.

5

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

|                                                                                                                                      |  |                           |             |         |  |        |             |         |  |  |
|--------------------------------------------------------------------------------------------------------------------------------------|--|---------------------------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                                 |  | ThreeMonths EndedMarch31, |
|                                                                                                                                 |  | 2005                      |             | 2004    |
| **Income:**                                                                                                                          |  |                      |        |    |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                                                                                  |  |
| Realized gains (losses) on closedpositions                                                                                           |  | $                         | (2,528,116  | )  |  | $      | 10,331,814  |    |
| Changein unrealized gains (losses) on open positions and investment inPartnerships                                                   |  |                      | 17,767,175  |    |  |   | 4,061,476   |    |
|                                                                                                                                 |  |                      | 15,239,059  |    |  |   | 14,393,290  |    |
| Interestincome                                                                                                                       |  |                      | 218,030     |    |  |   | 144,011     |    |
|                                                                                                                                 |  |                      | 15,457,089  |    |  |   | 14,537,301  |    |
| Expenses:                                                                                                                            |  |                      |        |    |  |   |        |    |
| Brokeragecommissions including clearing fees of $25,393 and $72,360,respectively                                                     |  |                      | 675,670     |    |  |   | 590,499     |    |
| Managementfees                                                                                                                       |  |                      | 582,598     |    |  |   | 461,474     |    |
| Administrativefees                                                                                                                   |  |                      | 158,338     |    |  |   | 125,844     |    |
| Incentivefees                                                                                                                        |  |                      | 3,025,348   |    |  |   | 1,579,063   |    |
| Otherexpenses                                                                                                                        |  |                      | 51,500      |    |  |   | 29,222      |    |
|                                                                                                                                 |  |                      | 4,493,454   |    |  |   | 2,786,102   |    |
| Netincome                                                                                                                            |  |                      | 10,963,635  |    |  |   | 11,751,199  |    |
| Additions— LimitedPartner                                                                                                      |  |                      | 7,491,000   |    |  |   | 8,517,000   |    |
| —GeneralPartner                                                                                                                |  |                      | —     |    |  |   | 280,051     |    |
| Redemptions                                                                                                                          |  |                      | (3,121,367  | )  |  |   | (5,697,212  | )  |
| Netincrease in Partners'capital                                                                                                      |  |                      | 15,333,268  |    |  |   | 14,851,038  |    |
| Partners'capital, beginning ofperiod                                                                                                 |  |                      | 118,783,824 |    |  |   | 87,468,980  |    |
| Partners'capital, end ofperiod                                                                                                       |  | $                         | 134,117,092 |    |  | $      | 102,320,018 |    |
| Netasset value per Redeemable Unit (90,038.3954 and 82,497.1912 RedeemableUnits outstanding at March 31, 2005 and 2004,respectively) |  | $                         | 1,489.55    |    |  | $      | 1,240.28    |    |
| Netincome per Redeemable Unit of Limited Partnership Interest and GeneralPartner Unitequivalent                                      |  | $                         | 121.22      |    |  | $      | 140.09      |    |
|                                                                                                                                      |

SeeAccompanying Notes to Financial Statements.

6

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

|                                                                                                 |  |                           |             |         |  |        |            |         |  |  |
|-------------------------------------------------------------------------------------------------|--|---------------------------|-------------|---------|--|--------|------------|---------|--|--|
|                                                                                            |  | ThreeMonths EndedMarch31, |
|                                                                                            |  | 2005                      |             | 2004    |
| Cashflows from operatingactivities:                                                             |  |                      |        |    |  |   |       |    |
| Net Income(loss)                                                                                |  | $                         | 10,963,635  |    |  | $      | 11,751,199 |    |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |                      |        |    |  |   |       |    |
| Changesin operating assets andliabilities:                                                      |  |                      |        |    |  |   |       |    |
| (Increase)decrease in investment in Partnerships, at fairvalue                                  |  |                      | (13,523,079 | )  |  |   | (2,822,477 | )  |
| (Increase)decrease in restrictedcash                                                            |  |                      | (5,104,350  | )  |  |   | (377,390   | )  |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions         |  |                      | (1,172,777  | )  |  |   | (2,058,831 | )  |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                          |  |                      | —     |    |  |   | 1,506,571  |    |
| (Increase)decrease in interestreceivable                                                        |  |                      | (26,342     | )  |  |   | (15,657    | )  |
|                                                                                            |  |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                          |  |                      | —     |    |  |   | (498,309   | )  |
| Accruedexpenses:                                                                                |  |                      |        |    |  |   |       |    |
| Increase(decrease) incommissions                                                                |  |                      | 41,963      |    |  |   | 34,002     |    |
| Increase(decrease) in managementfees                                                            |  |                      | 24,000      |    |  |   | 23,250     |    |
| Increase(decrease) in administrativefees                                                        |  |                      | 6,609       |    |  |   | 6,449      |    |
| Increase(decrease) in incentivefees                                                             |  |                      | 2,175,475   |    |  |   | 1,039,609  |    |
| Increase(decrease) inother                                                                      |  |                      | 51,500      |    |  |   | 25,722     |    |
| Increase(decrease) in redemptionspayable                                                        |  |                      | (2,311,346  | )  |  |   | (443,647   | )  |
| Netcash provided by (used in) operatingactivities                                               |  |                      | (8,874,712  | )  |  |   | 8,170,491  |    |
| Cashflows from financingactivities:                                                             |  |                      |        |    |  |   |       |    |
| Proceeds fromadditions — LimitedPartners                                                  |  |                      | 7,491,000   |    |  |   | 8,797,051  |    |
| Paymentsfor redemptions — LimitedPartners                                                 |  |                      | (3,121,367  | )  |  |   | (5,697,212 | )  |
| Netcash provided by (used in) financingactivities                                               |  |                      | 4,369,633   |    |  |   | 3,099,839  |    |
| Netchange incash                                                                                |  |                      | (4,505,079  | )  |  |   | 11,270,330 |    |
| Unrestrictedcash, at beginning ofyear                                                           |  |                      | 30,813,822  |    |  |   | 36,815,784 |    |
| Unrestrictedcash, at end ofyear                                                                 |  | $                         | 26,308,743  |    |  | $      | 48,086,114 |    |
|                                                                                                 |

SeeAccompanying Notes to FinancialStatements.

7

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2005(Unaudited)

1.    General:

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

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

Citigroup Managed Futures LLC a Delaware limited liability company,is the Partnership's general partner and commodity pool operator("the General Partner"). ThePartnership's commodity broker is Citigroup Global Markets Inc.("CGM"). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), which is thesole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc.("Citigroup"). As of March  31, 2005,all trading decisions are made by Willowbridge Associates Inc., WintonCapital Management Limited and AAA Capital Management, Inc.("AAA"), (collectively, the"Advisors").

The accompanyingfinancial statements are unaudited but, in the opinion of management,include all adjustments, consisting only of normal recurringadjustments, necessary for a fair presentation of thePartnership's financial condition at March  31, 2005 andDecember 31, 2004 and the results of its operations and cash flows forthe three and nine months ended March  31, 2005 and 2004. Thesefinancial statements present the results of interim periods and do notinclude all disclosures normally provided in annual financialstatements. You should read these financial statements together withthe financial statements and notes included in the Partnership'sAnnual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2004.

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

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

8

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2005(Unaudited)

2.    FinancialHighlights:

Changes in Net Asset Value per Redeemable Unit forthe three months ended March  31, 2005 and 2004 were asfollows:

|                                                        |  |                           |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|---------------------------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | ThreeMonths EndedMarch31, |
|                                                   |  | 2005                      |          | 2004    |
| Netrealized and unrealized gains*                      |  | $                         | 161.17   |    |  | $      | 164.55   |    |
| Interest income                                        |  |                      | 2.43     |    |  |   | 1.71     |    |
| Expenses**                                             |  |                      | (42.38   | )  |  |   | (26.17   | )  |
| Increase for the period                                |  |                      | 121.22   |    |  |   | 140.09   |    |
| Net Asset Value per RedeemableUnit,beginning of period |  |                      | 1,368.33 |    |  |   | 1,100.19 |    |
| Net Asset Value per Redeemable Unit,end of period      |  | $                         | 1,489.55 |    |  | $      | 1,240.28 |    |
|                                                        |

|   |                                                                                           |
|---|-------------------------------------------------------------------------------------------|
| * | Includes Partnershipbrokerage commissions and brokerage commissions allocated fromMaster. |

|    |                                                                               |
|----|-------------------------------------------------------------------------------|
| ** | Excludes brokerage commissions andbrokerage commissions allocated fromMaster. |

|                                             |  |        |       |          |  |        |       |          |  |  |
|---------------------------------------------|--|--------|-------|----------|--|--------|-------|----------|--|--|
| Ratiosto average net assets:***             |  |
| Net investment lossbefore incentivefees**** |  |   | (4.1) | %   |  |   | (4.5  | )%  |
| Operatingexpense                            |  |   | 4.8   | %   |  |   | 5.1   | %   |
| Incentive fees                              |  |   | 2.5   | %   |  |   | 1.7   | %   |
| Totalexpenses                               |  |   | 7.3   | %   |  |   | 6.8   | %   |
| Total return:                               |  |
| Total returnbefore incentive fees           |  |   | 11.3  | %   |  |   | 14.5  | %   |
| Incentivefees                               |  |   | (2.4  | )%  |  |   | (1.8) | %   |
| Total return after incentive fees           |  |   | 8.9   | %   |  |   | 12.7  | %   |
|                                             |

|     |                                      |
|-----|--------------------------------------|
| *** | 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 give the Partnership thelegal right to net unrealized gains and losses on open futurespositions.

All of the commodity interests owned by thePartnership are held for trading purposes. The average fair values ofthese interests during the three and twelve months ended March 31, 2005and December 31, 

9

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2005(Unaudited)

2004, based on a monthly calculation, were$2,467,110 and $4,419,977, respectively. The fair values of thesecommodity interests, including options and swaps thereon, ifapplicable, at March  31, 2005 and December 31, 2004 were$3,785,005 and $2,612,228, respectively. Fair values for exchangetraded commodity futures and options are based on quoted market pricesfor those futures and options. Fair values for all other financialinstruments for which market quotations are not readily available arebased on calculations approved by the General Partner.

4.    Investment in Partnerships:

Effective September 1,2001, the Partnership allocated the portion of the Partnership'scapital that was allocated to AAA for trading to the SB AAA Master FundLLC, a New York Limited Liability Company ("AAAMaster"). With this cash, the Partnership purchased5,173.4381 Units of AAA Master at a fair value of $5,173,438. AAAMaster was formed in order to permit accounts managed now or in thefuture by AAA using the Energy with Swaps Program, to invest togetherin one trading vehicle. The General Partner is the managing member ofAAA Master. Individual and pooled accounts currently managed by AAA,including the Partnership, are permitted to be non-managing members ofAAA Master. The General Partner and AAA believe that trading throughthis master/feeder structure should promote efficiency and economy inthe trading process. Expenses to investors as a result of theinvestment in AAA Master are approximately the same and redemptionrights are not affected.

On November 1, 2004, the cash allocatedto Winton for trading was allocated to the CMF Winton Master Fund L.P.("Winton Master"), a limited partnershiporganized under the partnership laws of the State of New York. ThePartnership purchased 35,389.8399 Units of Winton Master with cashequal to $33,594,083 and a contribution of open commodity futures andforward positions with a fair value of $1,795,757. Winton Master wasformed in order to permit accounts managed now or in the future byWinton using the Diversified Program, to invest together in one tradingvehicle. The General Partner of the Partnership is the General Partnerof Winton Master. Individual and pooled accounts currently managed byWinton, including the Partnership are permitted to be limited partnersof Winton Master. The General Partner and Winton believe that tradingthrough this master/feeder structure should promote efficiency andeconomy in the trading process. Expenses to investors as a result ofinvestment in Winton Master are approximately the same and redemptionrights are not affected.

AAA Master's and WintonMaster's commodity broker is Citigroup Global Markets Inc.("CGM"), formerly Salomon Smith Barney Inc.CGM is an affiliate of the Managing Member/General Partner. TheManaging Member/General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. ("CGMHI"), formerlySalomon Smith Barney Holdings Inc., which is the sole owner of CGM.CGMHI is a wholly owned subsidiary of Citigroup Inc.("Citigroup").

AAA Master's andWinton Master's trading of futures, forwards and optionscontracts, if applicable, on commodities is done primarily on UnitedStates of America commodity exchanges and foreign commodity exchanges.Both engage in such trading through commodity brokerage accountsmaintained with CGM.

A non-managing member/limited partner maywithdraw all or part of their capital contribution and undistributedprofits, if any, from AAA Master or Winton Master in multiples of thenet asset value per unit of limited partnership interest as of the lastday of a month after a request for redemption has been made to theManaging Member/General Partner at least 3 days in advance ofmonth-end.

All exchange, clearing, user, give-up, floorbrokerage and National Futures Association fees are borne by AAA Masterand Winton Master. All other fees including CGM's directbrokerage commission shall be borne by the Feeder Funds.

At March31, 2005 and December 31, 2004 the Partnership owns 11.3% and13.7%, respectively of AAA Master. At March 31, 2005 andDecember 31, 2004 the Partnership owns 29.1% and 33.4%,

10

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2005(Unaudited)

respectively of Winton Master. It isAAA's and Winton's intention to continue to invest theassets allocated to each by the Partnership in AAA Master and WintonMaster, respectively. The performance of the Partnership is directlyaffected by the performance of AAA Master and Winton Master.

Summarized information reflecting the Partnership'sinvestments in, and the operations of, the AAA Master and the WintonMaster are as shown in the following table.

|              |  |                           |        |                                          |  |              |            |          |  |                 |            |                     |  |                      |         |        |  |        |        |        |  |        |            |        |  |                    |  |         |  |  |  |  |  |  |
|--------------|--|---------------------------|--------|------------------------------------------|--|--------------|------------|----------|--|-----------------|------------|---------------------|--|----------------------|---------|--------|--|--------|--------|--------|--|--------|------------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
|         |  | March31, 2005             |        | For the three months ended March 31,2005 |  |
| Investment   |  | %ofPartnership'sNetAssets |        | FairValue                                |  | Income(Loss) |            | Expenses |  | NetIncome(loss) |            | InvestmentObjective |  | RedemptionsPermitted |
| Commissions  |  | Other                     |        |
| AAAMaster    |  |                      | 40.34  | %                                   |  | $            | 54,108,428 |     |  | $               | 13,959,559 |                |  | $                    | 336,449 |   |  | $      | 6,260  |   |  | $      | 13,616,850 |   |  | EnergyMarkets      |  | Monthly |
| WintonMaster |  |                      | 32.78  | %                                   |  |         | 43,957,433 |     |  |            | 3,051,930  |                |  |                 | 69,164  |   |  |   | 5,220  |   |  |   | 2,977,546  |   |  | CommodityPortfolio |  | Monthly |
| Total        |  |                      |   |                                     |  | $            | 98,065,861 |     |  | $               | 17,011,489 |                |  | $                    | 405,613 |   |  | $      | 11,480 |   |  | $      | 16,594,396 |   |  |
|              |

|                            |  |                  |        |                                          |  |          |            |                 |  |                     |           |                      |  |        |         |        |  |        |         |        |  |        |           |        |  |                    |  |         |  |  |  |  |  |  |
|----------------------------|--|------------------|--------|------------------------------------------|--|----------|------------|-----------------|--|---------------------|-----------|----------------------|--|--------|---------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--------------------|--|---------|--|--|--|--|--|--|
| Investment                 |  | December31, 2004 |        | For the three months ended March 31,2004 |  |
| %ofPartnership'sNet Assets |  | FairValue        |        | Income(Loss)                             |  | Expenses |            | NetIncome(Loss) |  | InvestmentObjective |           | RedemptionsPermitted |  |        |
| Commissions                |  | Other            |        |
| AAAMaster                  |  |             | 38.91  | %                                   |  | $        | 46,220,533 |            |  | $                   | 3,338,301 |                 |  | $      | 325,780 |   |  | $      | 1,613   |   |  | $      | 3,010,908 |   |  | EnergyMarkets      |  | Monthly |
| WintonMaster               |  |             | 32.26  | %                                   |  |     | 38,322,249 |            |  |                | —   |                 |  |   | — |   |  |   | — |   |  |   | —   |   |  | CommodityPortfolio |  | Monthly |
| Total                      |  |             |   |                                     |  | $        | 84,542,782 |            |  | $                   | 3,338,301 |                 |  | $      | 325,780 |   |  | $      | 1,613   |   |  | $      | 3,010,908 |   |  |
|                            |

5.    FinancialInstrument Risks:

In the normal course of its business, thePartnership is party to financial instruments with off-balance sheetrisk, including derivative financial instruments and derivativecommodity instruments. These financial instruments may includeforwards, futures, options and swaps, whose values are based upon anunderlying asset, index, or reference rate, and generally representfuture commitments to exchange currencies or cash flows, or to purchaseor sell other financial instruments at specific terms at specifiedfuture dates, or, in the case of derivative commodity instruments tohave a reasonable possibility to be settled in cash, through physicaldelivery or with another financial instrument. These instruments may betraded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract.

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

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange-traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The Partnership's risk ofloss in the event of counterparty default is typically limited to theamounts recognized 

11

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements March 31, 2005(Unaudited)

as unrealized appreciation in the statementsof financial condition and not represented by the contract or notionalamounts of the instruments. The Partnership has concentration riskbecause the sole counterparty or broker with respect to thePartnership's assets is CGM.

The General Partner monitorsand controls the Partnership's risk exposure on a daily basisthrough financial, credit and risk management monitoring systems, andaccordingly believes that it has effective procedures for evaluatingand limiting the credit and market risks to which the Partnership issubject. These monitoring systems allow the General Partner tostatistically analyze actual trading results with risk-adjustedperformance indicators and correlation statistics. In addition, on-linemonitoring systems provide account analysis of futures, forwards andoptions positions by sector, margin requirements, gain and losstransactions and collateral positions.

The majority of theseinstruments mature within one year of March 31, 2005. However, due tothe nature of the Partnership's business, these instruments maynot be held to maturity.

12

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

Liquidity and CapitalResources

The Partnership does not engage in the sale of goodsor services. The Partnership's only assets are its equity in itscommodity futures trading account consisting of cash, investment inPartnerships, net unrealized appreciation on open futures and forwardcontracts, commodity options, if applicable, and interest receivable.Because of the low margin deposits normally required in commodityfutures trading, relatively small price movements may result insubstantial losses to the Partnership. While substantial losses couldlead to a decrease in liquidity, no such losses occurred in the firstquarter of 2005.

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

For the three months endedMarch 31, 2005, Partnership capital increased 12.9% from$118,783,824 to $134,117,092. This increase was attributable to netincome from operations of $10,963,635 coupled with additional sales of5,479.1530 Redeemable Units of Limited Partnership totaling $7,491,000,which was partially offset by the redemption of 2,249.8521 RedeemableUnits resulting in an outflow of $3,121,367. Future redemptions canimpact the amount of funds available for investment in the Partnershipin subsequent periods.

Critical Accounting Policies

Thepreparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America requiresmanagement to make estimates and assumptions that affect the reportedamounts of assets and liabilities, and disclosures of contingent assetsand liabilities at the date of the financial statements and thereported amounts of revenues and expenses during the reporting period.Actual results could differ from these estimates.

All commodityinterests (including derivative financial instruments and derivativecommodity instruments) are used for trading purposes. The commodityinterests are recorded on trade date and open contracts are recorded inthe 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 and Winton Master are recorded at fair value, based uponthe Partnership's proportionate interest held.

Foreigncurrency contracts are those contracts where the Partnership agrees toreceive or deliver a fixed quantity of foreign currency for anagreed-upon price on an agreed future date. Foreign currency contractsare valued daily, and the Partnership's net equity therein,representing unrealized gain or loss on the contracts as measured bythe difference between the forward foreign exchange rates at the datesof entry into the contracts and the forward rates at the reportingdates, is included in the statement of financial condition. Realizedgains (losses) and changes in unrealized values on foreign currencycontracts are recognized in the period in which the contract is closedor the changes occur and are included in the statements of income andexpenses and partners' capital.

Results ofOperations

During the Partnership's first quarter of2005, the net asset value per Redeemable Unit increased 8.9%from $1,368.33 to $1,489.55 as compared to an increase of 12.7%in the first quarter of 2004. The Partnership experienced a net tradinggain before brokerage commissions and related fees in the first

13

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quarter of 2005 of $15,239,059. Gains wereprimarily attributable to the Partnership's trading of commodityfutures in energy, grains, U.S. interest rates, softs and indices andwere partially offset by losses in currencies, non-U.S. interest rates,livestock and metals. The Partnership experienced a net trading gainbefore brokerage commissions and related fees in the first quarter of2004 of $14,393,290. Gains were primarily attributable to thePartnership's trading of commodity futures in currencies, energy,livestock, metals, grains, indices and U.S. and non-U.S. interest ratesand were partially offset by losses in softs.

Results for thefirst quarter were highlighted by rising energy prices, volatilefinancial markets and relatively trend-less agricultural and metalsmarkets.

Trends that had emerged in late December continued toeffect performance in January. Energy price increases, particularly incrude oil and natural gas that had produced profits through much of thelast third of 2004, initially weakened against advisors'positions, then later regained strength. The net for the quarter wassubstantial profits in energy trading which absorbed net losses fromother sectors.

Foreign currency trading was the weakest for thequarter. The U.S. dollar, which had generated profits consistently in2004, began to reverse its recent long-term decline and moved back tothe low 130s in relation to the Euro. This move was particularlydisruptive in January and continued through much of the quarter as themarkets produced no identifiable direction. Trading in the Euro,British pound and Swiss franc chopped advisors' positions in bothdirections resulting in the greatest losses. Trading in interest ratecontracts was mixed while stock indices showed strength in Februarysufficient to offset losses in January and March. Metals andagricultural trading followed U.S. dollar patterns with the net effectbeing slightly positive for the quarter.

Commodity futuresmarkets are highly volatile. The potential for broad and rapid pricefluctuations increases the risks involved in commodity trading, butalso increases the possibility of profit. The profitability of thePartnership 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 makesprofits 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 months ended March  31,2005 increased by $74,019 as compared to the corresponding period in2004. The increase in interest income is primarily due to higherinterest rates in the three months ended March  31, 2005 ascompared to the corresponding period in 2004.

Brokeragecommissions are based on the number of trades executed by the Advisors.Brokerage commissions and fees for the three months ended March31, 2005 increased by $85,171, as compared to the corresponding periodin 2004. The increase in commissions and fees is primarily due to anincrease in the number of trades during the three months endedMarch  31, 2005 as compared to the corresponding period in2004.

Management fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance, additions and redemptions. Managementfees for the three months ended March  31, 2005 increased by$121,124, as compared to the corresponding period in 2004. The increaseof management fees is due to an increase in net assets during the threemonths ended March  31, 2005 as compared to the correspondingperiod in 2004.

Administrative fees are paid to the GeneralPartner for administering the business and affairs of the Partnership.These fees are calculated as a percentage of the Partnership'snet asset value as of the end 

14

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of each month and are affected by tradingperformance and redemptions. Administrative fees for the three monthsended March  31, 2005 increased by $32,494, as compared to thecorresponding period in 2004. The increase in administrative fees isdue to higher net assets during the three months ended March  31,2005 as compared to the corresponding period in 2004.

Incentivefees paid by the Partnership are based on the new trading profitsgenerated by each Advisor at the end of the quarter, as defined in themanagement agreements between the Partnership, the General Partner andeach Advisor. Trading performance for the three months endedMarch  31, 2005 and 2004 resulted in incentive fees of $3,025,348and $1,579,063, respectively.

15

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

The Partnership is a speculativecommodity pool. The market sensitive instruments held by it areacquired for speculative trading purposes, and all or substantially allof the Partnership's assets are subject to the risk of tradingloss. Unlike an operating company, the risk of market sensitiveinstruments is integral, not incidental, to the Partnership'smain line of business.

Market movements result in frequentchanges in the fair value of the Partnership's open positionsand, 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.

16

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The following table indicates the tradingValue at Risk associated with the Partnership's open positions bymarket category as of March  31, 2005 and the highest, lowest andaverage value during the three months ended March  31, 2005. Allopen position trading risk exposures of the Partnership have beenincluded in calculating the figures set forth below. As of March31, 2005, the Partnership's total capitalization was$134,117,092. There has been no material change in the trading Value atRisk information previously disclosed in the Partnership's AnnualReport on Form 10-K for the year ended December 31, 2004.

March31, 2005

|                                 |  |               |           |                         |  |                                 |        |                  |  |                      |           |        |  |        |         |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|-----------|-------------------------|--|---------------------------------|--------|------------------|--|----------------------|-----------|--------|--|--------|---------|--------|--|--------|-----------|--------|--|--|
|                            |  |          |           |                    |  | ThreeMonths Ended March 31,2005 |
| MarketSector                    |  | Value at Risk |           | % ofTotalCapitalization |  | High Value atRisk               |        | LowValue at Risk |  | Average ValueatRisk* |
| Currencies:                     |  |
| –Exchange TradedContracts |  | $             | 562,233   |                    |  |                            | 0.42   | %           |  | $                    | 1,331,865 |   |  | $      | 351,156 |   |  | $      | 708,693   |   |
| Energy                          |  |          | 3,612,000 |                    |  |                            | 2.69   | %           |  |                 | 3,649,000 |   |  |   | 62,400  |   |  |   | 1,897,633 |   |
| Grains                          |  |          | 843,100   |                    |  |                            | 0.63   | %           |  |                 | 1,036,350 |   |  |   | 24,750  |   |  |   | 549,825   |   |
| InterestRatesU.S.               |  |          | 629,000   |                    |  |                            | 0.47   | %           |  |                 | 729,000   |   |  |   | 94,500  |   |  |   | 380,633   |   |
| InterestRatesNon-U.S.           |  |          | 818,941   |                    |  |                            | 0.61   | %           |  |                 | 1,160,322 |   |  |   | 106,326 |   |  |   | 623,230   |   |
| Livestock                       |  |          | 13,650    |                    |  |                            | 0.01   | %           |  |                 | 159,400   |   |  |   | 13,650  |   |  |   | 51,967    |   |
| Metals                          |  |          |      |                    |  |                            |   |             |  |                 |      |   |  |   |    |   |  |   |      |   |
| –Exchange TradedContracts |  |          | 527,500   |                    |  |                            | 0.40   | %           |  |                 | 715,000   |   |  |   | 37,500  |   |  |   | 417,500   |   |
| Softs                           |  |          | 862,000   |                    |  |                            | 0.64   | %           |  |                 | 930,500   |   |  |   | 90,000  |   |  |   | 608,167   |   |
| Totals                          |  | $             | 7,868,424 |                    |  |                            | 5.87   | %           |  |                 |      |   |  |   |    |   |  |   |      |   |
|                                 |

|   |                                 |
|---|---------------------------------|
| * | Averagemonth-end Values at Risk |

17

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Item 4.    Controls and Procedures

Based on their evaluation of the Partnership's disclosurecontrols and procedures as of March  31, 2005, the President andChief Financial Officer of the General Partner have concluded that suchcontrols and procedures are effective.

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

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PART II. OTHERINFORMATION

Item 1.    Legal Proceedings

Thefollowing information supplements and amends our discussion set forthunder Item 3 "Legal Proceedings" in thePartnership's Annual Report on Form 10-K for the year endedDecember 31, 2004.

Enron Corp.

 In April2005, Citigroup, along with other financial institution defendants,reached an agreement-in-principle to settle four state-court actionsbrought by various investment funds, which were not previouslyconsolidated or coordinated with the NEWBY action. The four cases areOCM OPPORTUNITIES FUND III, L.P., et al. v. CITIGROUP  INC., etal.; PACIFIC INVESTMENT MANAGEMENT CO. LLC, et al. v. CITIGROUPINC., et al.; AUSA LIFE INSURANCE v. CITIGROUP  INC., et al. andPRINCIPAL GLOBAL INVESTORS v. CITIGROUP  INC., et al. The amountsto be paid in settlement of these actions are covered by existinglitigation reserves.

Dynegy  Inc.

 Thecourt had previously denied lead plaintiff's motion for leave toamend; no appeal was yet timely while the remainder of the caseremained pending. On April  15, 2005, as part of a globalsettlement involving all defendants, Citigroup entered into amemorandum of understanding to settle this case. The amount to be paidin settlement is covered by existing litigation reserves.

WorldCom,  Inc.

 The District Court approvedthe settlement of the IN RE TARGETS SECURITIES LITIGATION onApril  22, 2005.

Global Crossing

 Theplaintiffs and the Citigroup Related Defendants have entered into adefinitive settlement agreement in the IN RE GLOBAL CROSSING,LTD SECURITIES LITIGATION; the settlement was preliminarily approved bythe Court on March  8, 2005. The amount to be paid in settlementis covered by existing litigation reserves.

Research

 Two putative class actions against CGMI asserting common lawclaims on behalf of CGMI customers in connection with publishedinvestment research have been dismissed by United States DistrictCourts, the dismissals of which were affirmed by the United StatesCourt of Appeals for the Third and Ninth Circuits, respectively.Plaintiffs in the Ninth Circuit case have sought review by the UnitedStates Supreme Court; their petition for a writ of certiorari, whichCGMI opposed, is pending before that court.

Mutual Funds

CGMHI entered into a settlement with the SEC with respect to revenuesharing and sales of classes of funds.

Investigations of EuroZone Government Bonds Trade

 The German prosecutors havedeclined to take any actions against the employees in connection withthis matter.

Item 2.    Unregistered Sales of EquitySecurities and Use of Proceeds

For the three months endedMarch  31, 2005 there were additional sales of 5,479.1530Redeemable Units of Limited Partnership totaling $7,491,000. 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.

19

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Proceeds from the sale of additionalRedeemable Units are used in the trading of commodity interestsincluding futures contracts, options, forwards and swap contracts.

The following chart sets forth the purchases of Redeemable Units bythePartnership.

|                                          |  |                                               |            |                                                             |  |                                                                                           |          |                                                                                                                     |  |        |     |        |  |        |     |        |  |  |
|------------------------------------------|--|-----------------------------------------------|------------|-------------------------------------------------------------|--|-------------------------------------------------------------------------------------------|----------|---------------------------------------------------------------------------------------------------------------------|--|--------|-----|--------|--|--------|-----|--------|--|--|
| Period                                   |  | (a)Total Numberof Shares(or Units) Purchased* |            | (b)AveragePrice Paid per   Share (or Unit)** |  | (c)Total Numberof Shares (or Units)Purchased as PartofPublicly AnnouncedPlans or Programs |          | (d) MaximumNumber(or ApproximateDollar Value) of Shares(or Units)thatMay Yet Be Purchased Under thePlans orPrograms |
| January 1, 2005− January 31,2005   |  |                                          | 1,069.6851 |                                                        |  | $                                                                                         | 1,332.93 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| February1, 2005 − February 28,2005 |  |                                          | 637.8852   |                                                        |  | $                                                                                         | 1,391.78 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| March1, 2005 − March 31,2005       |  |                                          | 542.2818   |                                                        |  | $                                                                                         | 1,489.55 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| Total                                    |  |                                          | 2,249.8521 |                                                        |  | $                                                                                         | 1,404.75 |                                                                                                                |  |   | 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.    Other Information –None

Item 6.    Exhibits

|        |                                                                                                                                                                                                               |
|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | Theexhibits required to be filed by Item 601 of Regulation S-K areincorporated herein by reference to the exhibit index of thePartnership's Annual Report on Form 10-K for the period endedDecember 31, 2004. |

Exhibit – 31.1 – Rule13a-14(a)/15d-14(a) Certification (Certification of President andDirector).

Exhibit – 31.2 – Rule13a-14(a)/15d-14(a) Certification (Certification of Chief FinancialOfficer and Director).

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

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

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SIGNATURES

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

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

|        |  |                                                              |  |  |  |  |
|--------|--|--------------------------------------------------------------|--|--|--|--|
| By:    |  | CitigroupManaged Futures LLC                                 |
|   |  | (General Partner)                                            |
| By:    |  | /s/David J. Vogel                                            |
|   |  | DavidJ. Vogel President and Director                         |
| Date:  |  | May 10,2005                                                  |
| By:    |  | /s/Daniel R. McAuliffe,Jr                                    |
|   |  | Daniel R.McAuliffe, Jr. Chief Financial Officer and Director |
| Date:  |  | May 10,2005                                                  |
|        |

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