FORM 10-Q

                       SECURITIES AND EXCHANGE COMMISSION

                             WASHINGTON, D.C. 20549

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

                     OF THE SECURITIES EXCHANGE ACT OF 1934

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

                     OF THE SECURITIES EXCHANGE ACT OF 1934

For the Quarter ended June 30, 2003
                      --------------

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

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

         New York                                   22-33644546
--------------------------------------------------------------------------------
(State or other jurisdiction of                    (I.R.S. Employer
 incorporation or organization)                   Identification No.)

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


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

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

                                  Yes X       No ____

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

                               Yes _____      No  X

<PAGE>


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

                                                                  Page
                                                                Number

PART I - Financial Information:

     Item 1.  Financial Statements:

              Statements of Financial Condition
              at June 30, 2003  and December 31,
              2002 (unaudited).                                   3

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


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

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

     Item 2.  Management's Discussion and Analysis
              of Financial Condition and Results of
              Operations.                                     20 - 22

     Item 3.  Quantitative and Qualitative
              Disclosures about Market Risk                   23 - 24

     Item 4.  Controls and Procedures                           25

PART II - Other Information                                     26

                                       2
<PAGE>

                                     PART I
                          Item 1. Financial Statements

                  Salomon Smith Barney Orion Futures Fund L.P.
                        Statements of Financial Condition
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                                         <C>           <C>
                                                         June 30,      December 31,
                                                           2003            2002
                                                       ----------      -----------
Assets:
  Investment in Master, at fair value                 $ 34,098,338    $ 25,446,740
  Cash (restricted $8,515,658 and $8,657,392 in
   2003 and 2002, respectively)
  in commodity futures trading account                  47,464,612      32,697,307
  Net unrealized (depreciation) appreciation
  on open positions*                                    (1,931,692)      5,057,217
                                                      ------------    ------------
                                                        79,631,258      63,201,264
Interest receivable                                         69,184          61,183
                                                      ------------    ------------
                                                      $ 79,700,442    $ 63,262,447
                                                      ============    ============

Liabilities and Partners' Capital:

Liabilities:

 Accrued expenses:
  Commissions                                         $    123,750    $    115,201
  Management fees                                          124,125         107,113
  Administrative fees                                       32,646          26,778
  Incentive Fees                                                 -         272,957
  Other                                                    138,860          88,996
  Redemptions                                              706,789         498,603
                                                      ------------    ------------
                                                         1,126,170       1,109,648
                                                      ------------    ------------

Partners' Capital:
General Partner,  499.8084 Unit equivalents
  outstanding in 2002 and 2001                             556,347         580,188
Limited Partners, 70,089.6852 and 53,042.3132 Units
  of Limited Partnership Interest outstanding in
  2003 and 2002, respectively                           78,017,925      61,572,611
                                                      ------------    ------------
                                                        78,574,272      62,152,799
                                                      ------------    ------------
                                                      $ 79,700,442    $ 63,262,447
                                                      ============    ============
</TABLE>

*  Forward  contracts  included  in this  balance  are  presented  gross  in the
   accompanying Condensed Schedules of Investments
See  Accompanying Notes to Unaudited Financial Statements.
                                        3
<PAGE>
                           Salomon Smith Barney Orion
                                Futures Fund L.P.
                        Condensed Schedule of Investments
                                  June 30, 2003
<TABLE>
<CAPTION>
<S>                                                    <C>                                                 <C>
Sector                                            Contract                                                 Fair Value
---------------------------------                 ----------------------------------------------------  --------------
                                                  Futures contracts sold 0.36%                              $ 286,898
                                                  Futures contracts purchased  (1.09)%                       (858,641)
                                                                                                        --------------
                                                    Total futures contracts  (0.73)%                         (571,743)
                                                  Unrealized appreciation on forward contracts 0.00%*               9
                                                                                                        --------------
                                                                                                                    9
                                                                                                        ---------------
   Total Currencies  (0.73)%                                                                                 (571,734)
                                                                                                        --------------

Energy
                                                  Futures contracts sold  0.19%                               147,610
                                                  Futures contracts purchased  0.74%                          583,604
                                                                                                        --------------
  Total Energy  0.93 %                                                                                        731,214
                                                                                                        --------------
Grains
                                                  Futures contracts sold  0.12%                                91,960
                                                  Futures contracts purchased  (0.26)%                       (207,563)
                                                                                                        --------------
   Total Grains   (0.14)%                                                                                    (115,603)
                                                                                                        --------------
Interest Rates U.S.
                                                  Futures contracts sold  0.02%                                11,983
                                                  Futures contracts purchased  (0.65)%                       (509,125)
                                                                                                        --------------
  Total Interest Rates U.S. (0.63)%                                                                          (497,142)
                                                                                                        --------------
Interest Rates Non-U.S.
                                                  Futures contracts sold  (0.00)%*                             (2,941)
                                                  Futures contracts purchased  (1.04)%                       (818,113)
                                                                                                        --------------
  Total Interest Rates Non-U.S. (1.04)%                                                                      (821,054)
                                                                                                        --------------
Livestock
                                                  Futures contracts sold  0.01%                                 6,650
                                                  Futures contracts purchased   (0.27)%                      (212,160)
                                                                                                        --------------
  Total Livestock (0.26)%                                                                                    (205,510)
                                                                                                        --------------
Metals                                            Futures contracts sold  (0.03)%                             (21,715)
                                                  Futures contracts purchased  0.02%                           15,025
                                                                                                        --------------
                                                    Total futures contracts  (0.01)%                           (6,690)

                                                  Unrealized depreciation on forward contracts (0.21)%       (160,720)
                                                  Unrealized appreciation on forward contracts 0.07%           53,663
                                                                                                        --------------
                                                    Total forward contracts  (0.14)%                         (107,057)
                                                                                                        --------------
  Total Metals   (0.15)%                                                                                     (113,747)
                                                                                                        --------------
Softs
                                                  Futures contracts sold  (0.30)%                            (233,766)
                                                  Futures contracts purchased 0.04%                            27,335
                                                                                                        --------------
  Total Softs  (0.26)%                                                                                       (206,431)
                                                                                                        --------------
Total Indices  (0.17)%                            Futures contracts purchased  (0.17)%                       (131,685)
                                                                                                        --------------

Total Fair Value  (2.45)%                                                                                $ (1,931,692)
                                                                                                        ==============
                                                                                               % of Investments
          Country Composition                        Investments at Fair Value              at  Fair Value
          ----------------------                    ---------------------------            -------------------
          Australia                                                 $ (133,976)                         (6.94)%
          Canada                                                       (43,777)                         (2.27)
          France                                                        (2,204)                         (0.11)
          Germany                                                     (538,988)                        (27.90)
          Hong Kong                                                     (2,347)                         (0.12)
          Italy                                                         (6,263)                         (0.32)
          Japan                                                        (76,329)                         (3.95)
          Spain                                                         (7,692)                         (0.40)
          United Kingdom                                              (124,012)                         (6.42)
          United States                                               (996,104)                        (51.57)
                                                                    -----------                        --------
                                                                  $ (1,931,692)                       (100.00)%
                                                                    ===========                        =======
</TABLE>
Percentages are based on Partners' Capital unless otherwise indicated
* Due to rounding
See accompanying notes to unaudited financial statements
                                        4
<PAGE>

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

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

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

Futuresncontractstpurchased.41.42%                                                          884,285
                                                                                   -----------------

FuturesncontractstpurchasedS.1.07%%                                                         666,065
                                                                                   -----------------

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

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

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

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

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

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

Percentages are based on Partners' Capital unless otherwise indicated
* Due to rounding
See accompanying notes to financial statements

                                        5

<PAGE>
                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
             STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
                                   (UNAUDITED)


<TABLE>
<CAPTION>
<S>                                                                  <C>            <C>                <C>              <C>
                                                                     THREE MONTHS ENDED             SIX MONTHS ENDED
                                                                           JUNE 30,                      JUNE 30,
                                                                 ---------------------------      -----------------------------
                                                                     2003          2002                2003            2002
                                                                 -----------    ------------      -------------    -------------
Income:
   Realized gains (losses ) on closed postitions from Mater     $ 6,161,897      $ 2,803,030       $ (5,734,827)    $ 3,154,019
   Change in unrealized gains (losses) on open positions
      from Master                                                  (950,472)        (827,585)         1,293,625         877,939
   Income allocated from Master                                       1,749            1,156              5,157           1,726
   Expenses allocated from Master                                  (343,144)        (327,544)        (1,029,319)       (550,011)
  Net gains (losses) on trading of commodity interests:            (539,413)       2,953,574         10,090,157         251,529
  Realized gains (losses) on closed positions
  Change in unrealized gains (losses) on open positions            (422,502)       2,895,556         (6,988,909)      4,893,546
                                                               -------------    -------------  -----------------   -------------
                                                                  3,908,115        7,498,187         (2,364,116)      8,628,748
  Interest income                                                   209,712          158,604            431,018         264,371
  Interest income received from Master                               79,925           60,901            158,319         106,852
                                                               -------------    -------------  -----------------   -------------
                                                                  4,117,827        7,656,791         (1,933,098)      8,893,119
                                                               -------------    -------------  -----------------   -------------

Expenses:
  Brokerage commissions including clearing fees
   of $81,847, $75,631, $199,975 and $124,573 )                     621,741          363,443            939,893         688,800
  Management fees                                                   381,278          197,504            752,558         322,898
  Administrative fees                                                97,963           49,375            190,784          80,722
  Incentive fees                                                          -          985,506            298,424       1,321,286
  Other expenses                                                     24,450           41,019             49,862          79,753
                                                               -------------    -------------  -----------------   -------------
                                                                  1,125,432        1,636,847          2,231,521       2,493,459
                                                               -------------    -------------  -----------------   -------------

Net income (loss)                                                 2,992,395        6,019,944         (4,164,619)      6,399,660

Additions   -  Limited Partner                                    8,360,000        6,378,000         31,960,000      17,022,000
           -   General Partner                                            -           55,000                  -         159,000
Redemptions                                                      (3,551,462)      (3,304,232)       (11,373,908)     (3,582,109)
                                                               -------------    -------------  -----------------   -------------
Net increase in Partners' capital                                 7,800,933        9,148,712         16,421,473      19,998,551
Partners' capital, beginning of period                           70,773,339       31,603,655         62,152,799      20,753,816
                                                               -------------    -------------  -----------------   -------------
Partners' capital, end of period                               $ 78,574,272     $ 40,752,367       $ 78,574,272    $ 40,752,367
                                                               -------------    -------------  -----------------   -------------
Net asset value per Unit
  ( 70,589.4936 and 37,182.8412 Units outstanding
     at June 30, 2003 and 2002, respectively)                    $ 1,113.12       $ 1,096.00         $ 1,113.12      $ 1,096.00
                                                               -------------    -------------  -----------------   -------------
Net income (loss) per Unit of Limited Partnership
  Interest and General Partner Unit equivalent                      $ 42.77         $ 154.59           $ (47.70)       $ 143.77
                                                               -------------    -------------  -----------------   -------------

</TABLE>

See Accompanying Notes to Unaudited Financial Statements
                                        6




<PAGE>


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

1. General:

     Salomon  Smith Barney  Orion  Futures Fund L.P.  (the  "Partnership")  is a
limited  partnership  organized on March 22, 1999 under the partnership  laws of
the State of New York to  engage in the  speculative  trading  of a  diversified
portfolio  of  commodity  interest,  including  options,  commodity  futures and
forward contracts on United States exchanges and certain foreign exchanges.  The
Partnership  may trade commodity  futures and options  contracts of any kind but
intends  initially  to trade  solely  energy and  energy  related  products.  In
addition,  the  Partnership  may enter  into swap  contracts  on energy  related
products.  The  commodity  interests  that are  traded  by the  Partnership  are
volatile and involve a high degree of market  risk.  The  Partnership  commenced
trading on June 10, 1999. From June 10, 1999 to August 31, 2002, the Partnership
engaged  directly  in the  speculative  trading of a  diversified  portfolio  of
commodity interests.

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

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


                                                                     (Continued)

                                       7
<PAGE>


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

     As of June  30,  2003,  the  Partnership  owns  approximately  12.1% of the
Master.  It is the Partnership's  intention to continue to invest  substantially
all of its assets in the Master.  The performance of the Partnership is directly
affected by the performance of the Master.  The Master's  Statement of Financial
Condition,  Statement of Income and Expenses and Member's  Capital and Condensed
Schedule of Investments are included herein.

     On April 7, 2003,  Smith Barney Futures  Management LLC changed its name to
Citigroup  Managed Futures LLC. The  Partnership's/Master's  commodity broker is
Citigroup Global Markets Inc. ("CGM"), formerly Salomon Smith Barney Inc. CGM is
an  affiliate  of the General  Partner.  The General  Partner is wholly owned by
Citigroup Global Markets Holdings Inc. ("CGMHI"), formerly Smith Barney Holdings
Inc.,  which is the sole owner of CGM.  CGMHI is a wholly  owned  subsidiary  of
Citigroup Inc ("Citigroup").  As of June 30, 2003, all trading decision are made
by  Willowbridge  Associates  Inc.,  Winton  Capital  Management and AAA Capital
Management, Inc. (collectively,  the "Advisors").  Beacon Management Corporation
was terminated as an advisor to the Partnership on April 30, 2003.

     The accompanying  financial statements are unaudited but, in the opinion of
management,  include  all  adjustments,  consisting  only  of  normal  recurring
adjustments,  necessary for a fair presentation of the  Partnership's  financial
condition  at June 30,  2003  and  December  31,  2002  and the  results  of its
operations  for the three and six  months  ended June 30,  2003 and 2002.  These
financial  statements  present the results of interim periods and do not include
all disclosures  normally  provided in annual financial  statements.  You should
read these financial statements together with the financial statements and notes
included  in the  Partnership's  annual  report  on Form  10-K  filed  with  the
Securities and Exchange Commission for the year ended December 31, 2002.

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

                                       8
<PAGE>


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

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

                             SB AAA Master Fund LLC
                        Statements of Financial Condition
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>                                        <C>              <C>
                                          June 30,        December 31,
                                           2003              2002
                                       --------------   --------------

Assets:
Equity in commodity futures
 trading account:
Cash (restricted $29,376,137 and
 $53,522,255, respectively)            $ 248,398,785    $ 330,218,077
Net unrealized appreciation
 (depreciation) on open  positions        (1,326,343)       9,188,483
Net unrealized appreciation on
 open swaps positions                     54,071,680       38,011,771
Commodity options owned, at fair
 value (cost $51,569,345 and
 $63,879,907, respectively)               51,721,581       83,252,102
                                       -------------    -------------
                                         352,865,703      460,670,433
Due from brokers                           4,868,813       12,595,792
                                        ------------    -------------
Interest receivable                            4,884            6,712
                                       -------------    -------------
                                       $ 357,739,400    $ 473,272,937
                                       =============    =============

Liabilities and Members' Capital:
Liabilities:
  Unrealized depreciation on open
   Swap positions                      $  27,904,312    $  48,470,222
   Commodity options written, at
    fair value  (premium $54,214,943
    and $59,666,185, respectively)        42,109,870       67,724,777
   Accrued Expenses:
    Commissions                            2,921,263        5,210,167
    Professional fees                         38,606           20,117
    Due to brokers                         3,413,212        1,541,223
    Due to CMF                                22,978           22,978
                                       -------------    -------------
                                          76,410,241      122,989,484
                                       -------------    -------------
Members' Capital:
 Members' Capital, 219,606.2204
 and 216,158,4103 Units outstanding
 in 2003 and 2002, respectively          281,329,159      350,283,453
                                       -------------    -------------
                                       $ 357,739,400    $ 473,272,937
                                       =============    =============
</TABLE>


                                       9
<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          Notes to Financial Statemenst
                                  June 30, 2003
                                   (Unaudited)

                             SB AAA Master Fund LLC
                        Condensed Schedule of Investments
                                  June 30, 2003
                                   (Unaudited)
<TABLE>
<CAPTION>
<S>              <C>             <C>                                              <C>
               Number of
Sector         Contracts          Contract                                      Fair Value
---------        -------------------------------------------------           --------------

Energy                 Futures contracts purchased (6.20)%
                 6,647 NYMEX Natural Gas (8.87)% Aug. 03 - Aug. 04           $ (24,951,033)
                       Other 2.67%                                               7,498,210
                                                                             --------------
                                                                               (17,452,823)

                       Futures contracts sold 5.73%
                       NYMEX Natural Gas 7.93% Feb. 03 - Feb. 04                22,318,016
                       Other (2.20)%                                            (6,191,536)
                                                                             --------------
                                                                                16,126,480

                       Options owned 18.38%
                       NYMEX Natural Gas Call 1.01% Aug. 03 - Nov  03            2,847,090
                 4,007 NYMEX Natural Gas Put 9.41%  Aug 03 - Oct 04             26,455,640
                       NYMEX Light Sweet Crude Call 5.65% Aug 03 - Feb. 04      15,907,340
                       NYMEX Light Sweet Crude Put 1.62% Aug 03 - Feb 04         4,560,880
                       Other 0.69%                                               1,950,631
                                                                             --------------
                                                                                51,721,581


                       Options written (14.97)%
                10,337 NYMEX Natural Gas Call (10.36)% Aug 03 - Dec 04         (29,149,370)
                       NYMEX Light Sweet Crude Call (2.20)% Aug 03 - Sept. 03   (6,181,590)
                       Other (2.41)%                                            (6,778,910)
                                                                             --------------
                                                                               (42,109,870)


                       Unrealized appreciation on Swaps contracts 19.22%
                       NYMEX Natural Gas 14.16%                                 39,828,441
                       Other 5.06%                                              14,243,239
                                                                             --------------
                                                                                54,071,680

                       Unrealized depreciation on Swaps contracts  (9.91)%
                       NYMEX Natural Gas (5.51)%                               (15,499,882)
                       Other (4.40)%                                           (12,404,430)
                                                                               -----------
                                                                               (27,904,312)

    Total Energy 12.25%                                                         34,452,736
                                                                              ------------

Total Fair Value 12.25%                                                       $ 34,452,736
                                                                             =============

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

      United Kingdom           $ (2,588,104)                    (7.51)%
      United States              37,040,840                    107.51
                               ------------                    ------
                               $ 34,452,736                    100.00 %
                                ===========                    ======
</TABLE>


Percentages are based on Members' Capital unless otherwise indicated


                                        10
<PAGE>


                  Salomon Smith Barney Orion Futures Fund L.P.
                         Notes to Financial Statements
                                 June 30, 2003
                                  (Unaudited)

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

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

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

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

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

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

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

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

Percentages are based on Members' Capital unless otherwise indicated.

See accompanying notes to financial statements.

                                        11

<PAGE>

                  SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
                          NOTES TO FINANCIAL STATEMENTS
                                  June 30, 2003
                                   (UNAUDITED)

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


<TABLE>
<CAPTION>
<S>                                                           <C>                 <C>                <C>              <C>
                                                                THREE MONTHS ENDED                     SIX MONTHS ENDED
                                                                    JUNE 30,                               JUNE 30,
                                                            ------------------------------     --------------------------------
                                                                2003              2002               2003             2002
                                                            ------------------------------     --------------------------------
Income:
  Net gains on trading of commodity
   interests:
  Realized gains (losses) on closed positions              $ 51,205,109       $ 36,634,699     $ (92,568,712)     $ 42,816,561
  Change in unrealized gains (losses) on open
   positions                                                 (4,955,814)       (10,702,971)       27,054,699        12,746,971
                                                          --------------     --------------    --------------   ---------------

                                                             46,249,295         25,931,728       (65,514,013)       55,563,532
  Interest income                                               721,637            767,154         1,686,957         1,373,622
                                                          --------------     --------------    --------------   ---------------

                                                             46,970,932         26,698,882       (63,827,056)       56,937,154
                                                          --------------     --------------    --------------   ---------------

Expenses:
  Brokerage commissions including clearing fees
  of $398,062, $606,653, $1,434,608 and
  $1,098,861, respectively                                    3,289,199          4,277,310         9,786,358         7,521,526
  Professional fees                                               9,297              9,092            18,491            18,286
                                                          --------------     --------------    --------------   ---------------

                                                              3,298,496          4,286,402         9,804,849         7,539,812
                                                          --------------     --------------    --------------   ---------------

  Net income  (loss)                                         43,672,436         22,412,480       (73,631,905)       49,397,342

   Additions                                                 12,193,128          2,396,264        45,179,314        11,162,417
   Redemptions                                              (17,378,056)        (2,840,699)      (38,872,082)      (12,507,686)
   Distribution                                                (706,482)          (752,121)       (1,629,621)       (1,350,167)
                                                          --------------     --------------    --------------   ---------------

  Net increase (decrease) in Members Interest                37,781,026         21,215,924       (68,954,294)       46,701,906

Members capital, beginning of period                        243,548,133        177,700,705       350,283,453       152,214,723
                                                          --------------     --------------    --------------   ---------------

Members capital, end of period                            $ 281,329,159      $ 198,916,629     $ 281,329,159     $ 198,916,629
                                                          --------------     --------------    --------------   ---------------

Net asset value per Unit
  in (219,606.2204 and 136,093.2122 Units outstanding
    June 30, 2003 and 2002, respectively)                    $ 1,281.06         $ 1,461.62        $ 1,281.06        $ 1,461.62
                                                          -------------     --------------    --------------   ---------------
Net income (loss) per Unit of Member Interest                  $ 197.61           $ 163.99         $ (332.01)         $ 362.30
                                                          -------------     --------------    --------------   ---------------
</TABLE>

                                       12
<PAGE>


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

2.     Financial Highlights:

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

<TABLE>
<CAPTION>
<S>                                        <C>           <C>            <C>        <C>
                                                      THREE-MONTHS ENDED
                                                       SIX-MONTHS ENDED
                                              JUNE 30,                  JUNE 30,
                                       -------------------------    ----------------------
                                          2003           2002         2003           2002
                                       ----------     ----------    --------     ---------


Net realized and unrealized
  gains(losses) *                      $   47.04       $ 183.26     $  (31.36)   $  186.08
Interest income                             2.98           4.14          6.53         7.98
Expenses **                                (7.25)        (32.81)       (22.87)      (50.29)
                                       ----------     ----------    ----------     --------

Increase(decrease) for period              42.77         154.59        (47.70)      143.77

Net Asset Value per Unit,
 beginning of period                    1,070.35         941.41      1,160.82       952.23
                                       ----------     ----------   -----------    --------

Net Asset Value per Unit,
 end of period                         $1,113.12      $1,096.00     $1,113.12    $1,096.00
                                       ==========    ==========    ==========     =========
</TABLE>
*       Includes brokerage commissions.
**      Excludes brokerage commissions.
                                       13
<PAGE>



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

Financial Highlights continued:
<TABLE>
<CAPTION>
<S>                                        <C>           <C>            <C>        <C>
                                                      THREE-MONTHS ENDED
                                                       SIX-MONTHS ENDED
                                              JUNE 30,                  JUNE 30,
                                       -------------------------    ----------------------
                                          2003           2002         2003           2002
                                       ----------     ----------    --------     ---------

Ratio to average net assets: ***

   Net investment loss before
     incentive fees ****                 (6.0)%        (5.1)%         (6.0)%    (4.5)%
                                         ======       =======       ========    =====


   Operating expenses                     7.4%          4.3%           7.5%      5.7%
   Incentive fees                         0.0%          6.6%           0.8%      4.4%
                                         ------       -------       --------    -----
   Total expenses                         7.4%         10.9%           8.3%     10.1%
                                         ======       =======       ========    ====

Total return:

   Total return before incentive fees     4.0%         19.2%          (3.7)%    18.8%
   Incentive fees                         0.0%         (2.8)%         (0.4)%    (3.7)%
                                         ------       -------       --------    ----
Total return after incentive fees         4.0%         16.4%          (4.1)%    15.1%
                                         ======       =======       ========    =====
</TABLE>

***      Annualized
****     Interest income less total expenses (exclusive of incentive fees)
The above ratios may vary for individual investors based on the timing of
capital transactions during the period.

                                       14
<PAGE>


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



Financial Highlights of the Master:

         Changes in net asset value per Unit for the three and six months ended
June 30, 2003 and 2002 were as follows:
<TABLE>
<CAPTION>
<S>                                        <C>           <C>            <C>        <C>
                                                      THREE-MONTHS ENDED
                                                       SIX-MONTHS ENDED
                                              JUNE 30,                  JUNE 30,
                                       -------------------------    ----------------------
                                          2003           2002         2003           2002
                                       ----------     ----------    --------     ---------


Net realized and unrealized
  gains(losses)                        $ 194.36       $  158.42     $ (339.61)   $ 352.34
Interest income                            3.29            5.64          7.68       10.09
Expenses                                  (0.04)          (0.07)        (0.08)      (0.13)
                                      ----------      ----------    ----------  ----------

Increase(decrease) for period            197.61          163.99       (332.01)     362.30

Distributions                             (3.22)          (5.53)        (7.42)      (9.92)

Net Asset Value per Unit,
 beginning of period                   1,086.67        1,303.16      1,620.49    1,109.24
                                      ----------      ----------    ----------  ---------

Net Asset Value per Unit,
 end of period                        $1,281.06       $1,461.62     $1,281.06   $1,461.62
                                      ==========      ==========    ==========  =========
</TABLE>



                                       15

<PAGE>



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


Financial Highlights of the Master:

<TABLE>
<CAPTION>
<S>                                        <C>           <C>            <C>        <C>
                                                      THREE-MONTHS ENDED
                                                       SIX-MONTHS ENDED
                                              JUNE 30,                  JUNE 30,
                                       -------------------------    ----------------------
                                          2003           2002         2003        2002
                                       ----------     ----------    --------   ---------

Ratio to average net assets: *

  Net investment loss **               (3.4)%          (4.0)%         (5.4)%     (3.5)%

  Operating expenses                    4.4%            4.9%           6.5%       4.3%



Total return                           18.2%           12.6%         (20.5)%     32.7%
</TABLE>

*  Annualized

**    Interest income less total expenses

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

                                       16
<PAGE>


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

3. Trading Activities:

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

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

     All of the  commodity  interests  owned  by the  Partnership  are  held for
trading  purposes.  The average  fair value  during the three and twelve  months
ended June 30, 2003 and  December  31,  2002,  respectively,  based on a monthly
calculation,  were $2,966,678 and $2,689,879,  respectively.  The fair values of
these commodity  interests,  including options and swaps thereon, if applicable,
at June  30,  2003  and  December  31,  2002 was  $(1,931,692)  and  $5,057,217,
respectively.  Fair values for exchange traded commodity futures and options are
based on quoted market prices for those futures and options. Fair values for all
other  financial  instruments  for  which  market  quotations  are  not  readily
available are based on calculations approved by the General Partner.

4. Financial Instrument Risk:

     In the normal course of its business the Partnership directly,  and through
its investment in the Master, is party to financial instruments with off-balance
sheet risk, including derivative financial  instruments and derivative commodity
instruments.  These financial instruments may include forwards, futures, options
and swaps, whose values are based upon an underlying asset,  index, or reference
rate, and generally  represent future commitments to exchange currencies or cash
flows, or to purchase or sell other  financial  instruments at specific terms at
specified future dates, or, in the case of derivative  commodity  instruments to
have a reasonable  possibility to be settled in cash,  through physical delivery

                                       17
<PAGE>


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

or with another  financial  instrument.  These  instruments  may be traded on an
exchange  or   over-the-counter   ("OTC").   Exchange  traded   instruments  are
standardized and include futures and certain option contracts. OTC contracts are
negotiated between contracting parties and include forwards and certain options.
Each of these  instruments  is subject to various risks similar to those related
to the underlying  financial  instruments  including  market and credit risk. In
general,  the  risks  associated  with OTC  contracts  are  greater  than  those
associated  with  exchange  traded  instruments  because of the greater  risk of
default by the counterparty to an OTC contract. The Master's swaps contracts are
OTC contracts.

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

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

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

                                       18
<PAGE>



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

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

                                       19
<PAGE>


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

Liquidity and Capital Resources

     The  Partnership/Master  does not engage in the sale of goods or  services.
The  Partnership's  only assets are its equity in its commodity  futures trading
account consisting of cash,  investment in Master,  net unrealized  appreciation
(depreciation)  on open futures and forward  contracts,  commodity  options,  if
applicable,  and interest receivable. The Master's only assets are its equity in
its  commodity  futures  trading  account  consisting  of cash,  net  unrealized
appreciation  (depreciation)  on open futures and forward  contracts,  commodity
options,  if  applicable,  and  interest  receivable.  Because of the low margin
deposits normally required in commodity futures trading,  relatively small price
movements  may result in  substantial  losses to the  Partnership/Master.  While
substantial  losses  could  lead to a  decrease  in  liquidity,  no such  losses
occurred in the second quarter of 2003.

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

     For the six months ended June 30, 2003, Partnership capital increased 26.4%
from  $62,152,799 to $78,574,272.  This increase was  attributable to additional
sales of 27,099.8601 Units totaling  $31,960,000,  which was partially offset by
the net loss  from  operations  of  $4,164,619  ,  coupled  with  redemption  of
10,052.4881 Units resulting in an outflow of $11,373,908. Future redemptions can
impact the amount of funds available for investment in the Partnership/Master in
subsequent periods.

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

     For the six months ended June 30,  2003,  the  Master's  capital  decreased
19.7% from  $350,283,453 to $281,329,159.  This decrease was attributable to net
loss from  operations of  $73,631,905,  coupled with  redemptions of 28,881.9927
Units totaling  $38,872,082  and  distribution  of interest of $1,629,621 to the
Partnerships,  which was partially offset by the additions of 32,329.8028  Units
totaling  $45,179,314.  Future  redemptions  can  impact  the  amount  of  funds
available for investments in commodity contract positions in subsequent periods.


                                       20
<PAGE>

Critical Accounting Policies

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

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

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

Results of Operations

     During the  Partnership's  second  quarter of 2003, the net asset value per
unit  increased  4.0% from  $1,070.35 to $1,113.12 as compared to an increase of
16.4% in the second quarter of 2002. The  Partnership  experienced a net trading


                                       21
<PAGE>

gain  in the  second  quarter  of  2003  of  $3,908,115.  Gains  were  primarily
attributable to the  Partnership's  trading of commodity  futures in currencies,
grains,  indices and U.S.  interest rates and were partially offset by losses in
energy,  softs,  livestock,  metal and non-U.S.  interest rates. The Partnership
experienced  a net  trading  gain in the second  quarter of 2002 of  $7,498,187.
Gains were  primarily  attributable  to the  Partnership's  trading of commodity
futures in currencies,  grains,  livestock,  metals, U.S. and non-U.S.  interest
rates and were partially offset by losses in energy softs and indices.

     Commodity futures markets are highly volatile.  The potential for broad and
rapid price fluctuations  increases the risks involved in commodity trading, but
also increases the possibility of profit.  The  profitability of the Partnership
(and Master)  depends on the  existence of major price trends and the ability of
the  Advisors  to  correctly  identify  those  price  trends.  Price  trends are
influenced  by, among other things,  changing  supply and demand  relationships,
weather, governmental, agricultural, commercial and trade programs and policies,
national and international political and economic events and changes in interest
rates.  To the  extent  that  market  trends  exist and the  Advisor  is able to
identify them, the Partnership  (and Master) expect to increase  capital through
operations.

     Interest  income  on  100%  of  the  Partnership's   average  daily  equity
maintained  in cash in its account  during each month at a 30-day U.S.  Treasury
bill rate determined weekly by CGM based on the average non-competitive yield on
3-month  U.S.  Treasury  bills  maturing  in 30 days from the date on which such
weekly rate is  determined.  Interest  income for the three and six months ended
June 30, 2003  increased by $51,108 and $166,647,  respectively,  as compared to
the corresponding  periods in 2002. Interest income received from Master for the
three and six months  ended June 30,  2003  increased  by $19,024  and  $51,467,
respectively,  as compared to the corresponding  periods in 2002 The increase in
interest income and interest income received from Master are primarily due to an
increase in net assets during the three and six months ended June 30, 2003.

     Management  fees are  calculated as a percentage of the  Partnership's  net
asset value as of the end of each month and are affected by trading  performance
and  redemptions.  Management  fees for the three and six months  ended June 30,
2003  increased  by  $183,774  and  $429,660,  respectively,  as compared to the
corresponding  periods in 2002.  The  increase of  management  fees is due to an
increase in assets during the three and six months ended June 30, 2003.

                                       22
<PAGE>


     Incentive fees paid by the Partnership are based on the new trading profits
generated  by  each  Advisor  at the  end  of the  quarter,  as  defined  in the
management  agreements  between the  Partnership,  the General  Partner and each
Advisor.  Trading  performance  for the three and six months ended June 30, 2003
resulted  in  an  incentive  fee  of  $0  and  $298,424,  respectively.  Trading
performance  for the three and six months  ended June 30,  2002  resulted  in an
incentive fee of $985,506 and $1,321,286, respectively.


                                       23
<PAGE>


24

Item 3.  Quantitative and Qualitative Disclosures of Market Risk

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

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

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

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

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

                                       24
<PAGE>


     The following table indicates the trading Value at Risk associated with
the Partnership's open positions by market category as of June 30, 2003 and the
highest and lowest value at any point during the three and six months ended June
30, 2003. All open position trading risk exposures of the Partnership have been
included in calculating the figures set forth below. As of June 30, 2003, the
Partnership's total capitalization was $78,574,272. There has been no material
change in the trading Value at Risk information previously disclosed in the Form
10-K for the year ended December 31, 2002.

<TABLE>
<CAPTION>
<S>                             <C>          <C>             <C>          <C>          <C>           <C>
                               June 30, 2003
                               (Unaudited)
                                                            Quarter Ended
                                                            June 30, 2003                Year to Date
Market                        Value at   % of Total      High Value     Low Value    High Value  Low Value
Sector                          Risk    Capitalization   at  Risk       at  Risk      at Risk     at  Risk
-------------------------------------------------------------------------------------------------------------
Currencies:
-  Exchange Traded
     Contracts            $ 1,672,703       2.13%       $1,955,710     $486,107      $1,955,710   $  486,107
Energy                      1,184,200       1.51%        2,716,000      123,600       2,833,000      123,600
Grains                        442,486       0.56%        1,802,600      230,900       1,802,600      230,900
Interest Rates U.S.           792,500       1.01%        1,037,350      116,850       1,037,350      116,850
Interest Rates Non-U.S.     1,604,584       2.04%        3,261,061      148,412       3,261,061      148,412
Livestock                     149,750       0.19%          410,010       23,800         410,010       23,800
Metals:
-  Exchange Traded
     Contracts                152,900       0.19%        1,137,100      100,500       1,137,100      100,500
 - OTC Contracts               63,525       0.08%          216,100       33,175         216,100       33,175
Softs                         451,819       0.58%          937,100      136,550         937,100      136,550
Indices                       599,431       0.76%          841,481       95,480         841,481       95,480
                          -----------      ------
Total                     $ 7,113,898       9.05%
                          ===========      ======
</TABLE>

                                       25
<PAGE>




Item 4. Control and Procedures

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

     There were no significant changes in the Partnership's internal controls or
in other factors that could significantly affect such controls subsequent to the
date of their evaluation.
                                       26
<PAGE>


                            PART II OTHER INFORMATION

Item 1.   Legal Proceedings -

The following information  supplements and amends our discussion set forth under
Part I, Item 3 "Legal  Proceedings" in the  Partnership's  Annual Report on Form
10-K for the fiscal year ended  December 31,  2002.  The  following  information
supplements and amends our discussion set forth under Item 8 "Legal Proceedings"
in the Partnership's Form 10/A filed August 12, 2003.

Enron

On July 28, 2003,  Citigroup entered into a final settlement  agreement with the
Securities  and  Exchange  Commission  ("SEC") to resolve the SEC's  outstanding
investigations  into Citigroup  transactions with Enron and Dynegy.  Pursuant to
the settlement,  Citigroup has, among other terms, (1) consented to the entry of
an administrative  cease and desist order,  which bars Citigroup from committing
or causing  violations  of provisions of the federal  securities  laws,  and (2)
agreed to pay $120  million  ($101.25  million  allocable  to Enron  and  $18.75
million  allocable to Dynegy).  Citigroup  entered into this settlement  without
admitting or denying any wrongdoing or liability,  and the  settlement  does not
establish wrongdoing or liability for purposes of any other proceeding.  On July
28,  2003,  Citibank,  N.A.  entered  into an  agreement  with the Office of the
Comptroller of the Currency ("OCC") and Citigroup entered into an agreement with
the Federal  Reserve Bank of New York ("FED") to resolve  their  inquiries  into
certain of  Citigroup's  transactions  with Enron.  Pursuant to the  agreements,
Citibank  and  Citigroup  have  agreed  to  submit  plans  to the OCC  and  FED,
respectively, regarding the handling of complex structured finance transactions.
Also on July 28, 2003,  Citigroup  entered into a settlement  agreement with the
Manhattan  District  Attorney's Office to resolve its investigation into certain
of Citigroup's  transactions with Enron;  pursuant to the settlement,  Citigroup
has agreed to pay $25.5 million and to abide by its agreements with the SEC, OCC
and FED.

Additional Actions Several additional actions,  previously identified, have been
consolidated  with the Newby  action  and are  stayed,  except  with  respect to
certain  discovery,  until  after the Court's  decision on class  certification.
Also, in July 2003, an action was brought by purchasers in the secondary  market
of Enron bank debt against  Citigroup,  Citibank,  Citigroup Global Markets Inc.
("CGM"),  and others,  alleging claims for common law fraud,  conspiracy,  gross
negligence, negligence and breach of fiduciary duty.

Research

On June 23, 2003, the West Virginia Attorney General filed an action against CGM
and nine other firms that were parties to the April 28, 2003 settlement with the
SEC, the National Association of Securities Dealers ("NASD"), the New York Stock
Exchange ("NYSE") and the New York Attorney General (the "Research Settlement").
The West  Virginia  Attorney  General  alleges that the firms  violated the West
Virginia  Consumer  Credit and Protection Act in connection  with their research
activities and seeks monetary penalties.


                                       27
<PAGE>

In May  2003,  the SEC,  NYSE and NASD  issued a  subpoena  and  letters  to CGM
requesting   documents  and  information   with  respect  to  their   continuing
investigation  of individuals in connection with the supervision of the research
and  investment  banking  departments  of CGM.  Other  parties  to the  Research
Settlement have received similar subpoena and letters.

In April 2003, to effectuate the Research Settlement,  the SEC filed a Complaint
and Final Judgment in the United States District Court for the Southern District
of New York. The Final  Judgment has not yet been entered by the court,  and the
court has asked for certain additional information. Also in April 2003, the NASD
accepted the Letter of Acceptance,  Waiver and Consent  entered into with CGM in
connection with the Research  Settlement;  and in May 2003, the NYSE advised CGM
that the Hearing Panel's Decision, in which it accepted the Research Settlement,
had become final. CGM is currently in discussion with various of the states with
respect  to  completion  of the state  components  of the  Research  Settlement.
Payment will be made in  conformance  with the payment  provisions  of the Final
Judgment.

WorldCom, Inc.

On May 19, 2003, a motion to dismiss an amended complaint in the WorldCom, Inc.
Securities Litigation was denied.

Dynegy Inc.

On June 6, 2003, the complaint in a  pre-existing  putative class action pending
in the United States District Court for the Southern District of Texas,  brought
by purchasers of publicly traded debt and equity  securities of Dynegy Inc., was
amended  to add  Citigroup,  Citibank  and  CGM,  as well  as  other  banks,  as
defendants.  The plaintiffs  allege  violations of the federal  securities  laws
against the Citigroup defendants.

Adelphia Communications Corporation
-----------------------------------

On July 6, 2003, an adversary  proceeding was filed by the Official Committee of
Unsecured Creditors on behalf of Adelphia against certain lenders and investment
banks,  including  CGM,  Citibank,  N.A.,  Citicorp  USA,  Inc.,  and  Citigroup
Financial  Products,  Inc.  (together,  the  Citigroup  Parties).  The Complaint
alleges that the Citigroup Parties and numerous other defendants  committed acts
in violation of the Bank Company  Holding Act and the common law. The  complaint
seeks equitable  relief and an unspecified  amount of compensatory  and punitive
damages.

In addition,  Salomon Smith Barney Inc. (predecessor of Citigroup Global Markets
Inc.) is among the underwriters  named in numerous civil actions brought to date
by investors in Adelphia debt securities in connection with Adelphia  securities
offerings  between September 1997 and October 2001. Three of the complaints also
assert claims against Citigroup and Citibank,  N.A. All of the complaints allege
violations of federal securities laws, and certain of the complaints also allege
violations  of state  securities  laws and the common law. The  complaints  seek
unspecified damages.

Other

MKP Master Fund, LDC et al. v. Salomon Smith Barney Inc.
--------------------------------------------------------
In July 2003, CGM's motion for summary judgment was granted.



                                       28
<PAGE>

Item 2. Changes in Securities and Use of Proceeds -

          The Partnership no longer offers units at the net asset value per Unit
     as of the end of each month.  For the six months  ended June 30, 2003 there
     were additional sales of 27,099.8601  Units totaling  $31,960,000.  For the
     six months ended June 30, 2002 there were  additional  sales of 18,699.9236
     Units  totaling  $17,022,000  and  contributions  by  the  General  Partner
     representing 174.9522 Unit equivalents totaling $159,000.

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

Item 3. Defaults Upon Senior Securities - None

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

Item 5. Other Information - None

Item 6. The exhibits required to be filed by Item 601 of Regulation S-K are
incorporated herein by reference to the exhibit index of the Partnership's
Report on Form 10-K for the period ended December 31, 2002.

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

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

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

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

     (b)  Reports on Form 8-K - None

                                       29
<PAGE>


                                   SIGNATURES

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

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.


By:  Citigroup Managed Futures LLC
           (General Partner)



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


Date:        8/13/03
          -------------

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

By:  Citigroup Managed Futures LLC
           (General Partner)



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


Date:        8/13/03
          ------------



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


Date:        8/13/03
          -----------
                                       30
<PAGE>


                                                                    Exhibit 31.1
                                 CERTIFICATIONS

I, David J. Vogel, certify that:

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

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

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

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

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

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

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

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


                                       31
<PAGE>

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

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

Date: August 13, 2003


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


                                       32
<PAGE>


                                                                    Exhibit 31.2
                                 CERTIFICATIONS

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

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

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

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

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

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

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

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

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

                                       33
<PAGE>


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

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

Date: August 13, 2003


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

                                       34
<PAGE>


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

In connection  with the  Quarterly  Report of Salomon Smith Barney Orion Futures
Fund L.P. (the  "Partnership")  on Form 10-Q for the period ending June 30, 2003
as filed with the  Securities  and Exchange  Commission  on the date hereof (the
"Report"),  I, David J.  Vogel,  President  and  Director of  Citigroup  Managed
Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss.
906 of the Sarbanes-Oxley Act of 2002, that:

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

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


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

August 13, 2003


                                       35
<PAGE>


                                                                    Exhibit 32.2
                            CERTIFICATION PURSUANT TO
                             18 U.S.C. SECTION 1350,
                             AS ADOPTED PURSUANT TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection  with the  Quarterly  Report of Salomon Smith Barney Orion Futures
Fund L.P. (the  "Partnership")  on Form 10-Q for the period ending June 30, 2003
as filed with the  Securities  and Exchange  Commission  on the date hereof (the
"Report"), I, Daniel R. McAuliffe,  Jr., Chief Financial Officer and Director of
Citigroup  Managed  Futures LLC,  certify,  pursuant to 18 U.S.C.  ss. 1350,  as
adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:

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

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

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

August 13, 2003


                                       36