FORM10-Q

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON,D.C. 20549

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

OF THE SECURITIES EXCHANGE ACT OF 1934

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

OF THE SECURITIESEXCHANGE ACT OF 1934

For The Quarter EndedSeptember 30, 2004

Commission File Number0-50271

SALOMON SMITH BARNEY ORION FUTURES FUNDL.P.

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(Exact name ofregistrant as specified in its charter)

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

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

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

(212) 559-2011

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(Registrant'stelephone number, including area code)

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

Yes  X    No      

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

Yes  X    No      

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SALOMON SMITHBARNEY ORION FUTURES FUND L.P.

FORM 10-Q

INDEX

|                                 |  |                                                                                                                                  |  |               |  |  |  |  |  |  |
|---------------------------------|--|----------------------------------------------------------------------------------------------------------------------------------|--|---------------|--|--|--|--|--|--|
|                            |  |                                                                                                                             |  | PageNumber    |
| PART I - Financial Information: |  |
| Item1.                          |  | FinancialStatements:                                                                                                             |  |          |
|                            |  | Statements ofFinancial Condition at September 30, 2004 and December 31,2003(unaudited).                                          |  | 3             |
|                            |  | Condensed Schedules of Investments at September30, 2004 and December 31, 2003 (unaudited).                                       |  | 4 -5          |
|                            |  | Statements of Income and Expensesand Partners' Capital for the three and nine months endedSeptember 30, 2004and 2003(unaudited). |  | 6             |
|                            |  | Statementsof Cash Flows for the three and nine monthsended September 30,2004 and 2003(unaudited).                                |  | 7             |
|                            |  | Notes toFinancial Statements (unaudited).                                                                                        |  | 8 –15   |
| Item 2.                         |  | Management's Discussion andAnalysisof Financial Condition and Results ofOperations.                                              |  | 16 - 18       |
| Item3.                          |  | Quantitative and QualitativeDisclosures about MarketRisk                                                                         |  | 19 – 20 |
| Item4.                          |  | Controls andProcedures                                                                                                           |  | 20            |
| PART II -OtherInformation       |  |                                                                                                                             |  | 21            |
|                                 |

2

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PART I

Item 1.Financial Statements

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

|                                                                                                                                        |  |                  |             |                 |  |        |            |        |  |  |
|----------------------------------------------------------------------------------------------------------------------------------------|--|------------------|-------------|-----------------|--|--------|------------|--------|--|--|
|                                                                                                                                   |  | September30,2004 |             | December31,2003 |
| **Assets:**                                                                                                                            |  |             |        |            |  |   |       |   |
| Investmentin SB AAA Master Fund LLC, at fairvalue                                                                                      |  | $                | 49,728,962  |            |  | $      | 33,531,892 |   |
| Cash(restricted $14,119,315 and $13,779,146 in 2004 and 2003, respectively)in commodity futures tradingaccount                         |  |             | 56,049,577  |            |  |   | 50,594,930 |   |
| Netunrealized appreciation on open futurespositions                                                                                    |  |             | 5,676,421   |            |  |   | 5,706,691  |   |
| Unrealizedappreciation on open forwardpositions                                                                                        |  |             | 240,745     |            |  |   | 1,928,011  |   |
|                                                                                                                                   |  |             |        |            |  |   |       |   |
|                                                                                                                                   |  |             | 111,695,705 |            |  |   | 91,761,524 |   |
| Interestreceivable                                                                                                                     |  |             | 72,755      |            |  |   | 40,059     |   |
|                                                                                                                                   |  | $                | 111,768,460 |            |  | $      | 91,801,583 |   |
|                                                                                                                                   |  |             |        |            |  |   |       |   |
| **Liabilitiesand Partners'Capital:**                                                                                                   |  |             |        |            |  |   |       |   |
| Liabilities:                                                                                                                           |  |             |        |            |  |   |       |   |
| Unrealizeddepreciation on open forwardpositions                                                                                        |  | $                | 352,079     |            |  | $      | 638,809    |   |
| Accruedexpenses:                                                                                                                       |  |             |        |            |  |   |       |   |
| Commissions                                                                                                                            |  |             | 165,366     |            |  |   | 160,866    |   |
| Managementfees                                                                                                                         |  |             | 168,820     |            |  |   | 142,083    |   |
| Administrativefees                                                                                                                     |  |             | 45,545      |            |  |   | 38,612     |   |
| Incentivefees                                                                                                                          |  |             | 1,109,973   |            |  |   | 539,454    |   |
| Other                                                                                                                                  |  |             | 120,929     |            |  |   | 76,910     |   |
| Redemptionspayable                                                                                                                     |  |             | 1,726,244   |            |  |   | 2,735,869  |   |
|                                                                                                                                   |  |             | 3,688,956   |            |  |   | 4,332,603  |   |
|                                                                                                                                   |  |             |        |            |  |   |       |   |
| Partners'Capital:                                                                                                                      |  |             |        |            |  |   |       |   |
| General Partner,865.3542 and 499.8084 Unit equivalents outstanding in 2004 and 2003,respectively                                       |  |             | 1,067,567   |            |  |   | 549,884    |   |
| LimitedPartners, 86,735.1809 and 79,003.6728 Redeemable Units of LimitedPartnership Interest outstanding in 2004 and 2003,respectively |  |             | 107,011,937 |            |  |   | 86,919,096 |   |
|                                                                                                                                   |  |             | 108,079,504 |            |  |   | 87,468,980 |   |
|                                                                                                                                   |  | $                | 111,768,460 |            |  | $      | 91,801,583 |   |
|                                                                                                                                        |

SeeAccompanying Notes to Unaudited Financial Statements.

3

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments September30, 2004(Unaudited)

|                                              |  |                                                      |  |           |           |         |  |        |        |        |
|----------------------------------------------|--|------------------------------------------------------|--|-----------|-----------|---------|--|--------|--------|--------|
| Sector                                       |  | Contract                                             |  | FairValue |
| Currencies                                   |  |                                                 |  |      |      |    |
|                                         |  | Futurescontracts purchased1.52%                      |  | $         | 1,640,815 |    |  |   |   |   |
|                                         |  | Futurescontracts sold(0.63)%                         |  |      | (680,090  | )  |  |   |   |   |
|                                         |  |     Totalfutures contracts0.89%  |  |      | 960,725   |    |
|                                         |  |
|                                         |  | Unrealizedappreciation on forward contracts0.04%     |  |      | 44,153    |    |  |   |   |   |
|                                         |  | Unrealizeddepreciation on forward contracts(0.04)%   |  |      | (43,956   | )  |  |   |   |   |
|                                         |  |     Totalforward contracts0.00%* |  |      | 197       |    |
|     TotalCurrencies0.89% |  |                                                 |  |      | 960,922   |    |
| TotalEnergy 2.35%                            |  | Futures contracts purchased2.35%                     |  |      | 2,542,248 |    |
| Grains                                       |  |                                                 |  |      |      |    |
|                                         |  | Futurescontracts purchased(0.01)%                    |  |      | (6,425    | )  |
|                                         |  | Futurescontracts sold0.48%                           |  |      | 517,364   |    |
| TotalGrains0.47%                             |  |                                                 |  |      | 510,939   |    |
| InterestRates Non-U.S.                       |  |                                                 |  |      |      |    |
|                                         |  | Futurescontracts purchased1.01%                      |  |      | 1,088,484 |    |
|                                         |  | Futurescontracts sold(0.00)%*                        |  |      | (3,564    | )  |
| TotalInterest Rates Non-U.S.1.01%            |  |                                                 |  |      | 1,084,920 |    |
| InterestRates U.S.                           |  |                                                 |  |      |      |    |
|                                         |  | Futurescontracts purchased(0.16)%                    |  |      | (174,707  | )  |
|                                         |  | Futurescontracts sold0.00%*                          |  |      | 2,375     |    |
| TotalInterest Rates U.S.(0.16)%              |  |                                                 |  |      | (172,332  | )  |
| TotalLumber 0.02%                            |  | Futures contracts purchased0.02%                     |  |      | 17,094    |    |
| Livestock                                    |  |                                                 |  |      |      |    |
|                                         |  | Futurescontracts purchased0.02%                      |  |      | 24,258    |    |
|                                         |  | Futurescontracts sold0.00%*                          |  |      | 4,100     |    |
| TotalLivestock0.02%                          |  |                                                 |  |      | 28,358    |    |
| Metals                                       |  |                                                 |  |      |      |    |
|                                         |  | Futurescontracts purchased0.63%                      |  |      | 680,205   |    |
|                                         |  | Futurescontracts sold(0.09)%                         |  |      | (101,615  | )  |
|                                         |  | Totalfutures contracts0.54%                          |  |      | 578,590   |    |
|                                         |  |
|                                         |  | Unrealizedappreciation on forward contracts0.18%     |  |      | 196,592   |    |
|                                         |  | Unrealizeddepreciation on forward contracts(0.29)%   |  |      | (308,123  | )  |
|                                         |  | Totalforward contracts(0.11)%                        |  |      | (111,531  | )  |
| TotalMetals0.43%                             |  |                                                 |  |      | 467,059   |    |
| Softs                                        |  |                                                 |  |      |      |    |
|                                         |  | Futurescontracts purchased0.11%                      |  |      | 121,768   |    |
|                                         |  | Futurescontracts sold0.03%                           |  |      | 28,681    |    |
| TotalSofts0.14%                              |  |                                                 |  |      | 150,449   |    |
| Indices                                      |  |                                                 |  |      |      |    |
|                                         |  | Futurescontracts purchased(0.02)%                    |  |      | (21,330   | )  |
|                                         |  | Futurescontracts sold(0.00)%*                        |  |      | (3,240    | )  |
| TotalIndices(0.02)%                          |  |                                                 |  |      | (24,570   | )  |
| TotalFair Value5.15%                         |  |                                                 |  | $         | 5,565,087 |    |
|                                              |

|                    |  |                           |           |                             |  |        |        |          |  |  |
|--------------------|--|---------------------------|-----------|-----------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investments at Fair Value |           | %ofInvestments at FairValue |
| Australia          |  | $                         | (53,438   | )                      |  |   | (0.96  | )%  |
| Canada             |  |                      | 50,512    |                        |  |   | 0.91   |     |
| France             |  |                      | (5,961    | )                      |  |   | (0.11  | )   |
| Germany            |  |                      | 303,757   |                        |  |   | 5.46   |     |
| HongKong           |  |                      | (33,586   | )                      |  |   | (0.60  | )   |
| Italy              |  |                      | (2,173    | )                      |  |   | (0.04  | )   |
| Japan              |  |                      | 244,800   |                        |  |   | 4.40   |     |
| Spain              |  |                      | (6,116    | )                      |  |   | (0.11  | )   |
| UnitedKingdom      |  |                      | 933,205   |                        |  |   | 16.77  |     |
| UnitedStates       |  |                      | 4,134,087 |                        |  |   | 74.28  |     |
|               |  | $                         | 5,565,087 |                        |  |   | 100.00 | %   |
|                    |

Percentagesare based on Partners' Capital unless otherwiseindicated

*Due to rounding

SeeAccompanying Notes to Unaudited Financial Statements

4

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments December31, 2003 (Unaudited)

|                                   |  |                                                    |  |           |           |         |  |  |  |  |
|-----------------------------------|--|----------------------------------------------------|--|-----------|-----------|---------|--|--|--|--|
| Sector                            |  | Contract                                           |  | FairValue |
| Currencies                        |  | Futurescontracts sold(0.04)%                       |  | $         | (34,802   | )  |
|                              |  | Futurescontracts purchased3.12%                    |  |      | 2,726,064 |    |
| TotalCurrencies3.08%              |  |                                               |  |      | 2,691,262 |    |
| TotalEnergy (0.05)%               |  | Futures contracts purchased(0.05)%                 |  |      | (47,000   | )  |
| Grains                            |  | Futurescontracts sold(0.12)%                       |  |      | (107,275  | )  |
|                              |  | Futurescontracts purchased1.70%                    |  |      | 1,487,795 |    |
| TotalGrains1.58%                  |  |                                               |  |      | 1,380,520 |    |
| TotalInterest Rates U.S. (0.15)%  |  | Futures contracts purchased(0.15)%                 |  |      | (129,958  | )  |
| InterestRates Non-U.S.            |  |                                               |  |      |      |    |
|                              |  | Futurescontracts sold(0.00)%*                      |  |      | (343      | )  |
|                              |  | Futurescontracts purchased0.70%                    |  |      | 617,411   |    |
| TotalInterest Rates Non-U.S.0.70% |  |                                               |  |      | 617,068   |    |
| TotalLumber 0.01%                 |  | Futures contracts purchased0.01%                   |  |      | 6,402     |    |
| Livestock                         |  |                                               |  |      |      |    |
|                              |  | Futurescontracts sold0.01%                         |  |      | 5,570     |    |
|                              |  | Futurescontracts purchased(0.03)%                  |  |      | (25,410   | )  |
| TotalLivestock(0.02)%             |  |                                               |  |      | (19,840   | )  |
| Metals                            |  |                                               |  |      |      |    |
|                              |  | Futurescontracts sold(0.00)%*                      |  |      | (3,655    | )  |
|                              |  | Futurescontracts purchased0.96%                    |  |      | 842,863   |    |
|                              |  | Totalfutures contracts0.96%                        |  |      | 839,208   |    |
|                              |  | Unrealizeddepreciation on forward contracts(0.73)% |  |      | (638,809  | )  |
|                              |  | Unrealizedappreciation on forward contracts2.20%   |  |      | 1,928,011 |    |
|                              |  | Totalforward contracts1.47%                        |  |      | 1,289,202 |    |
| TotalMetals2.43%                  |  |                                               |  |      | 2,128,410 |    |
| Softs                             |  | Futurescontracts sold0.06%                         |  |      | 56,990    |    |
|                              |  | Futurescontracts purchased(0.18)%                  |  |      | (159,535  | )  |
| TotalSofts(0.12)%                 |  |                                               |  |      | (102,545  | )  |
| TotalIndices 0.54%                |  | Futures contracts purchased0.54%                   |  |      | 471,574   |    |
| Total FairValue8.00%              |  |                                               |  | $         | 6,995,893 |    |
|                                   |

|                    |  |                          |           |                            |  |        |        |         |  |  |
|--------------------|--|--------------------------|-----------|----------------------------|--|--------|--------|---------|--|--|
| CountryComposition |  | Investmentsat Fair Value |           | %ofInvestmentsat FairValue |
| Australia          |  | $                        | 141,159   |                       |  |   | 2.02   | %  |
| Canada             |  |                     | 83,342    |                       |  |   | 1.19   |    |
| France             |  |                     | 30,769    |                       |  |   | 0.44   |    |
| Germany            |  |                     | 309,378   |                       |  |   | 4.42   |    |
| HongKong           |  |                     | 7,903     |                       |  |   | 0.11   |    |
| Italy              |  |                     | (20,955   | )                     |  |   | (0.30  | )  |
| Japan              |  |                     | 44,926    |                       |  |   | 0.64   |    |
| Spain              |  |                     | 22,028    |                       |  |   | 0.32   |    |
| UnitedKingdom      |  |                     | 1,802,208 |                       |  |   | 25.76  |    |
| UnitedStates       |  |                     | 4,575,135 |                       |  |   | 65.40  |    |
|               |  | $                        | 6,995,893 |                       |  |   | 100.00 | %  |
|                    |

Percentagesare based on Partners' Capital unless otherwiseindicated.

* Due to rounding.

See AccompanyingNotes to Unaudited Financial Statements.

5

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

|                                                                                                                                          |  |                                |             |                              |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|------------------------------------------------------------------------------------------------------------------------------------------|--|--------------------------------|-------------|------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                                     |  | ThreeMonths EndedSeptember 30, |             | Nine MonthsEndedSeptember30, |
|                                                                                                                                     |  | 2004                           |             | 2003                         |  | 2004   |             | 2003    |
| **Income:**                                                                                                                              |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Netgains (losses) on trading of commodityinterests:                                                                                      |  |
| Realized gains (losses) on closedpositions                                                                                               |  | $                              | (4,459,031  | )                       |  | $      | (9,862,317  | )  |  | $      | 4,257,086   |    |  | $      | 227,840     |    |
| Changein unrealized gains (losses) on open positions and investment inPartnership                                                        |  |                           | 15,451,406  |                         |  |   | 10,036,360  |    |  |   | 13,034,554  |    |  |   | (2,104,110  | )  |
|                                                                                                                                     |  |                           | 10,992,375  |                         |  |   | 174,043     |    |  |   | 17,291,640  |    |  |   | (1,876,270  | )  |
| Interestincome                                                                                                                           |  |                           | 200,213     |                         |  |   | 96,316      |    |  |   | 488,156     |    |  |   | 363,858     |    |
|                                                                                                                                     |  |                           | 11,192,588  |                         |  |   | 270,359     |    |  |   | 17,779,796  |    |  |   | (1,512,412  | )  |
| Expenses:                                                                                                                                |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Brokeragecommissions including clearing fees of $105,869, $55,143, $285,846 and$199,975,respectively                                     |  |                           | 563,571     |                         |  |   | 479,654     |    |  |   | 1,612,834   |    |  |   | 1,569,873   |    |
| Managementfees                                                                                                                           |  |                           | 492,593     |                         |  |   | 385,915     |    |  |   | 1,409,089   |    |  |   | 1,138,473   |    |
| Administrativefees                                                                                                                       |  |                           | 132,982     |                         |  |   | 102,366     |    |  |   | 382,058     |    |  |   | 293,150     |    |
| Incentivefees                                                                                                                            |  |                           | 1,109,973   |                         |  |   | —     |    |  |   | 2,689,036   |    |  |   | 298,424     |    |
| Otherexpenses                                                                                                                            |  |                           | 76,813      |                         |  |   | 30,334      |    |  |   | 149,610     |    |  |   | 80,197      |    |
|                                                                                                                                     |  |                           | 2,375,932   |                         |  |   | 998,269     |    |  |   | 6,242,627   |    |  |   | 3,380,117   |    |
| Netincome(loss)                                                                                                                          |  |                           | 8,816,656   |                         |  |   | (727,910    | )  |  |   | 11,537,169  |    |  |   | (4,892,529  | )  |
| Additions— LimitedPartner                                                                                                          |  |                           | 6,005,000   |                         |  |   | 13,309,000  |    |  |   | 21,129,000  |    |  |   | 45,269,000  |    |
| —GeneralPartner                                                                                                                    |  |                           | —     |                         |  |   | —     |    |  |   | 440,051     |    |  |   | —     |    |
| Redemptions                                                                                                                              |  |                           | (4,014,297  | )                       |  |   | (10,649,465 | )  |  |   | (12,495,696 | )  |  |   | (22,023,373 | )  |
| Netincrease (decrease) in Partners'capital                                                                                               |  |                           | 10,807,359  |                         |  |   | 1,931,625   |    |  |   | 20,610,524  |    |  |   | 18,353,098  |    |
| Partners'capital, beginning ofperiod                                                                                                     |  |                           | 97,272,145  |                         |  |   | 78,574,272  |    |  |   | 87,468,980  |    |  |   | 62,152,799  |    |
| Partners'capital, end ofperiod                                                                                                           |  | $                              | 108,079,504 |                         |  | $      | 80,505,897  |    |  | $      | 108,079,504 |    |  | $      | 80,505,897  |    |
| Netasset value per Redeemable Unit (87,600.5351 and 72,711.8255 RedeemableUnits outstanding at September 30, 2004 and 2003,respectively) |  | $                              | 1,233.78    |                         |  | $      | 1,107.19    |    |  | $      | 1,233.78    |    |  | $      | 1,107.19    |    |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interest andGeneral Partner Unitequivalent                                   |  | $                              | 99.59       |                         |  | $      | (5.93       | )  |  | $      | 133.59      |    |  | $      | (53.63      | )  |
|                                                                                                                                          |

SeeAccompanying Notes to Unaudited Financial Statements.

6

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

|                                                                                                 |  |                                |             |                              |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------------|--|--------------------------------|-------------|------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                            |  | ThreeMonths EndedSeptember 30, |             | Nine MonthsEndedSeptember30, |
|                                                                                            |  | 2004                           |             | 2003                         |  | 2004   |             | 2003    |
| Cashflows from operatingactivities:                                                             |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Netincome(loss)                                                                                 |  | $                              | 8,816,656   |                         |  | $      | (727,910    | )  |  | $      | 11,537,169  |    |  | $      | (4,892,529  | )  |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Changesin operating assets andliabilities:                                                      |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| (Increase)decrease in investment in SB AAA Master Fund LLC, at fairvalue                        |  |                           | (10,133,194 | )                       |  |   | (1,789,492  | )  |  |   | (16,197,070 | )  |  |   | (10,441,090 | )  |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions         |  |                           | (5,469,342  | )                       |  |   | (9,274,177  | )  |  |   | 30,270      |    |  |   | (2,392,316  | )  |
| (Increase)decrease in unrealized appreciation on open forwardcontracts                          |  |                           | (191,261    | )                       |  |   | (12,193     | )  |  |   | 1,687,266   |    |  |   | (65,865     | )  |
| (Increase)decrease in interestreceivable                                                        |  |                           | (21,934     | )                       |  |   | 38,061      |    |  |   | (32,696     | )  |  |   | 30,060      |    |
|                                                                                            |  |
| Increase(decrease) in unrealized depreciation on open forwardcontracts                          |  |                           | 137,642     |                         |  |   | (117,887    | )  |  |   | (286,730    | )  |  |   | 42,833      |    |
| Accruedexpenses:                                                                                |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Increase(decrease) incommissions                                                                |  |                           | 68,994      |                         |  |   | 10,242      |    |  |   | 4,500       |    |  |   | 18,791      |    |
| Increase(decrease) in managementfees                                                            |  |                           | 19,828      |                         |  |   | 2,636       |    |  |   | 26,737      |    |  |   | 19,648      |    |
| Increase(decrease) in administrativefees                                                        |  |                           | 5,247       |                         |  |   | 927         |    |  |   | 6,933       |    |  |   | 6,795       |    |
| Increase(decrease) in incentivefees                                                             |  |                           | 1,109,973   |                         |  |   | —     |    |  |   | 570,519     |    |  |   | (272,957    | )  |
| Increase(decrease) inother                                                                      |  |                           | 72,645      |                         |  |   | (97,143     | )  |  |   | 44,019      |    |  |   | (47,279     | )  |
| Increase(decrease) in redemptionspayable                                                        |  |                           | 862,602     |                         |  |   | 320,980     |    |  |   | (1,009,625  | )  |  |   | 529,166     |    |
| Netcash provided by (used in)    operatingactivities                        |  |                           | (4,722,144  | )                       |  |   | (11,645,956 | )  |  |   | (3,618,708  | )  |  |   | (17,464,743 | )  |
| Cashflows from financingactivities:                                                             |  |                           |        |                         |  |   |        |    |  |   |        |    |  |   |        |    |
| Proceedsfrom additions — LimitedPartners                                                  |  |                           | 6,005,000   |                         |  |   | 13,309,000  |    |  |   | 21,129,000  |    |  |   | 45,269,000  |    |
| Proceedsfrom additions — GeneralPartner                                                   |  |                           | —     |                         |  |   | —     |    |  |   | 440,051     |    |  |   | —     |    |
| Paymentsforredemptions                                                                          |  |                           | (4,014,297  | )                       |  |   | (10,649,465 | )  |  |   | (12,495,696 | )  |  |   | (22,023,373 | )  |
| Netcash provided by (used in)     financingactivities                       |  |                           | 1,990,703   |                         |  |   | 2,659,535   |    |  |   | 9,073,355   |    |  |   | 23,245,627  |    |
| Netchange incash                                                                                |  |                           | (2,731,441  | )                       |  |   | (8,986,421  | )  |  |   | 5,454,647   |    |  |   | 5,780,884   |    |
| Cash,at beginning ofperiod                                                                      |  |                           | 58,781,018  |                         |  |   | 47,464,612  |    |  |   | 50,594,930  |    |  |   | 32,697,307  |    |
| Cash,at end ofperiod                                                                            |  | $                              | 56,049,577  |                         |  | $      | 38,478,191  |    |  | $      | 56,049,577  |    |  | $      | 38,478,191  |    |
|                                                                                                 |

SeeAccompanying Notes to Unaudited FinancialStatements.

7

----

SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2004(Unaudited)

1.    General:

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

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

Citigroup Managed Futures LLC, formerly Smith Barney FuturesManagement LLC, a Delaware limited liability company, is thePartnership's general partner and commodity pool operator("the General Partner"). ThePartnership'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 iswholly owned by Citigroup Global Markets Holdings Inc.("CGMHI"), formerly Salomon Smith BarneyHoldings Inc., which is the sole owner of CGM. CGMHI is a wholly-ownedsubsidiary of Citigroup Inc. ("Citigroup").As of September 30, 2004, all trading decisions are made byWillowbridge Associates Inc., Winton Capital Management and AAA CapitalManagement, Inc. ("AAA"), (collectively,the "Advisors").

The accompanyingfinancial statements are unaudited but, in the opinion of management,include all adjustments, consisting only of normal recurringadjustments, necessary for a fair presentation of thePartnership's financial condition at September 30, 2004 andDecember 31, 2003 and the results of its operations and cash flows forthe three and nine months ended September 30, 2004 and 2003. Thesefinancial statements present the results of interim periods and do notinclude all disclosures normally provided in annual financialstatements. You should read these financial statements together withthe financial statements and notes included in the Partnership'sAnnual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2003.

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

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

8

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2004(Unaudited)

2.    FinancialHighlights:

Changes in Net Asset Value per Redeemable Unit forthe three and nine months ended September 30, 2004 and 2003 were asfollows:

|                                                        |  |                                |          |                              |  |        |          |         |  |        |          |         |  |        |          |         |  |  |
|--------------------------------------------------------|--|--------------------------------|----------|------------------------------|--|--------|----------|---------|--|--------|----------|---------|--|--------|----------|---------|--|--|
|                                                   |  | ThreeMonths EndedSeptember 30, |          | Nine MonthsEndedSeptember30, |
|                                                   |  | 2004                           |          | 2003                         |  | 2004   |          | 2003    |
| Netrealized and unrealized gains (losses)*             |  | $                              | 116.10   |                         |  | $      | (1.07    | )  |  | $      | 178.23   |    |  | $      | (32.43   | )  |
| Interest income                                        |  |                           | 3.97     |                         |  |   | 2.40     |    |  |   | 9.30     |    |  |   | 8.93     |    |
| Expenses**                                             |  |                           | (20.48   | )                       |  |   | (7.26    | )  |  |   | (53.94   | )  |  |   | (30.13   | )  |
| Increase (decrease) for the period                     |  |                           | 99.59    |                         |  |   | (5.93    | )  |  |   | 133.59   |    |  |   | (53.63   | )  |
| Net Asset Value per RedeemableUnit,beginning of period |  |                           | 1,134.19 |                         |  |   | 1,113.12 |    |  |   | 1,100.19 |    |  |   | 1,160.82 |    |
| Net Asset Value perRedeemable Unit,end of period       |  | $                              | 1,233.78 |                         |  | $      | 1,107.19 |    |  | $      | 1,233.78 |    |  | $      | 1,107.19 |    |
|                                                        |

|   |                                |
|---|--------------------------------|
| * | Includes brokeragecommissions. |

|    |                                |
|----|--------------------------------|
| ** | Excludes brokeragecommissions. |

|                                             |  |        |      |          |  |        |      |          |  |        |      |          |  |        |      |          |  |  |
|---------------------------------------------|--|--------|------|----------|--|--------|------|----------|--|--------|------|----------|--|--------|------|----------|--|--|
| Ratiosto average net assets:***             |  |
| Net investment lossbefore incentivefees**** |  |   | (4.2 | )%  |  |   | (4.3 | )%  |  |   | (4.1 | )%  |  |   | (5.0 | )%  |
| Operatingexpense                            |  |   | 4.9  | %   |  |   | 5.0  | %   |  |   | 4.8  | %   |  |   | 5.7  | %   |
| Incentivefees                               |  |   | 1.1  | %   |  |   | 0.0  | %   |  |   | 2.7  | %   |  |   | 0.5  | %   |
| Totalexpenses                               |  |   | 6.0  | %   |  |   | 5.0  | %   |  |   | 7.5  | %   |  |   | 6.2  | %   |
| Totalreturn:                                |  |
| Total return before incentivefees           |  |   | 9.9  | %   |  |   | (0.5 | )%  |  |   | 14.9 | %   |  |   | (4.3 | )%  |
| Incentivefees                               |  |   | (1.1 | )%  |  |   | 0.0  | %   |  |   | (2.8 | )%  |  |   | (0.3 | )%  |
| Total return afterincentive fees            |  |   | 8.8  | %   |  |   | (0.5 | )%  |  |   | 12.1 | %   |  |   | (4.6 | )%  |
|                                             |

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

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

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

3.    TradingActivities:

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

The CustomerAgreement between the Partnership and CGM give the Partnership thelegal right to net unrealized gains and losses.

All of thecommodity interests owned by the Partnership are held for tradingpurposes. The average fair values of these interests during the nineand twelve months ended September 30, 2004 and December 

9

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2004(Unaudited) (Continued)

31, 2003, based on a monthly calculation,were $4,435,165 and $4,553,850, respectively. The fair values of thesecommodity interests, including options and swaps thereon, ifapplicable, at September 30, 2004 and December 31, 2003 were $5,565,087and $6,995,893, respectively. Fair values for exchange traded commodityfutures and options are based on quoted market prices for those futuresand options. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

4.    Investment inPartnership:

As of September 30, 2004, the Partnership ownsapproximately 15.4% of the SB AAA Master Fund LLC, a New Yorklimited liability company (the "AAA Fund").The performance of the Partnership is partially affected by theperformance of the AAA Fund. All of the assets the Partnershipallocates to AAA are held in the AAA Fund, which has certain financialinformation presented below:

SB AAA Master FundLLCStatements of FinancialCondition(Unaudited)

|                                                                                                      |  |                  |             |                 |  |        |             |        |  |  |
|------------------------------------------------------------------------------------------------------|--|------------------|-------------|-----------------|--|--------|-------------|--------|--|--|
|                                                                                                 |  | September30,2004 |             | December31,2003 |
| **Assets:**                                                                                          |  |
| Equityin commodity futures trading account:                                                          |  |
| Cash(restricted $3,300,000 and $48,471,997,respectively)                                             |  | $                | 255,990,968 |            |  | $      | 231,361,103 |   |
| Netunrealized appreciation on open futurespositions                                                  |  |             | —     |            |  |   | 8,845,539   |   |
| Unrealizedappreciation on open swapspositions                                                        |  |             | 116,933,769 |            |  |   | 50,093,912  |   |
| Commodityoptions owned, at fair value (cost $39,437,558 and $49,687,512,respectively)                |  |             | 102,903,199 |            |  |   | 42,630,230  |   |
|                                                                                                 |  |             | 475,827,936 |            |  |   | 332,930,784 |   |
|                                                                                                 |  |             |        |            |  |   |        |   |
| Duefrombrokers                                                                                       |  |             | 2,462,268   |            |  |   | 2,148,690   |   |
| Interestreceivable                                                                                   |  |             | 307,745     |            |  |   | 159,050     |   |
|                                                                                                 |  | $                | 478,597,949 |            |  | $      | 335,238,524 |   |
| **Liabilitiesand Members'Capital:**                                                                  |  |
| Liabilities:                                                                                         |  |             |        |            |  |   |        |   |
| Netunrealized depreciation on open futurespositions                                                  |  | $                | 251,712     |            |  | $      | —     |   |
| Unrealizeddepreciation on open swappositions                                                         |  |             | 111,227,812 |            |  |   | 18,654,566  |   |
| Commodityoptions written, at market value (premium received $39,232,586 and$47,549,852,respectively) |  |             | 39,280,220  |            |  |   | 57,804,597  |   |
| Accruedexpenses:                                                                                     |  |             |        |            |  |   |        |   |
| Commissions                                                                                          |  |             | 2,252,525   |            |  |   | 1,670,425   |   |
| Professionalfees                                                                                     |  |             | 34,522      |            |  |   | 59,625      |   |
| Due tobrokers                                                                                        |  |             | 2,385,634   |            |  |   | 1,815,015   |   |
| DuetoCGM                                                                                             |  |             | 22,978      |            |  |   | 22,978      |   |
| Distributionpayable                                                                                  |  |             | 304,158     |            |  |   | 153,681     |   |
|                                                                                                 |  |             | 155,759,561 |            |  |   | 80,180,887  |   |
| Members'Capital:                                                                                     |  |             |        |            |  |   |        |   |
| Members'Capital, 189,940.2505 and 211,023.7320 Units outstanding in 2004 and2003,respectively        |  |             | 322,838,388 |            |  |   | 255,057,637 |   |
|                                                                                                 |  | $                | 478,597,949 |            |  | $      | 335,238,524 |   |
|                                                                                                      |

10

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2004(Unaudited) (Continued)

SB AAA Master Fund LLCCondensedSchedule of Investments September 30, 2004(Unaudited)

|        |  |                              |        |          |            |                                                               |  |        |              |         |  |        |        |        |
|--------|--|------------------------------|--------|----------|------------|---------------------------------------------------------------|--|--------|--------------|---------|--|--------|--------|--------|
| Sector |  | NumberofContracts            |        | Contract |            | FairValue                                                     |
| Energy |  |
|   |  |                         |   |     |            | Futurescontracts purchased14.28%                              |  | $      | 46,091,006   |    |
|   |  |                         |   |     |            | Futurescontracts sold(14.36)%                                 |  |   | (46,342,718  | )  |
|   |  |                         |   |     |            |     Totalfutures contracts(0.08)%         |  |   | (251,712     | )  |
|   |  |
|   |  |                         |   |     |            | Optionsowned31.88%                                            |  |
|   |  |                         | 5,389  |     |            | NYMEXCrude Call Nov. 04  -  Feb. 0514.61% |  |   | 47,173,530   |    |
|   |  |                         | 2,499  |     |            | NYMEXNatural Gas Call Nov. 04 - June 0511.07%                 |  |   | 35,729,680   |    |
|   |  |                         |   |     |            | Other6.20%                                                    |  |   | 19,999,989   |    |
|   |  |                         |   |     |            |                                                          |  |   | 102,903,199  |    |
|   |  |
|   |  |                         |   |     |            | Optionswritten(12.17)%                                        |  |   | (39,280,220  | )  |
|   |  |                         |   |     |            |                                                          |  |   |         |    |  |   |   |   |
|   |  |                         |   |     |            | Unrealizedappreciation on Swaps contracts36.22%               |  |   | 116,933,769  |    |
|   |  |                         |   |     |            |                                                          |  |   |         |    |
|   |  |                         |   |     |            | Unrealizeddepreciation on Swaps contracts(34.45)%             |  |   | (111,227,812 | )  |
|   |  |
|   |  | TotalEnergy Fair Value21.40% |        | $        | 69,077,224 |                                                          |
|        |

|                    |  |                         |            |                             |  |        |        |          |  |  |
|--------------------|--|-------------------------|------------|-----------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investment atFair Value |            | % ofInvestment atFair Value |
| UnitedKingdom      |  | $                       | (4,983,491 | )                      |  |   | (7.21  | )%  |
| UnitedStates       |  |                    | 74,060,715 |                        |  |   | 107.21 |     |
|               |  | $                       | 69,077,224 |                        |  |   | 100.00 | %   |
|                    |

Percentagesare based on Members' Capital unless otherwiseindicated.

11

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2004(Unaudited) (Continued)

SB AAA Master Fund LLCCondensedSchedule of Investments December 31, 2003(Unaudited)

|                                                     |  |                   |            |          |  |                                                       |  |        |             |         |  |  |  |  |
|-----------------------------------------------------|--|-------------------|------------|----------|--|-------------------------------------------------------|--|--------|-------------|---------|--|--|--|--|
| Sector                                              |  | NumberofContracts |            | Contract |  | FairValue                                             |
| Energy                                              |  |              |       |     |  | Futures contractspurchased5.35%                       |  | $      | 13,637,465  |    |
|                                                |  |              |       |     |  | Futurescontracts sold(1.88)%                          |  |   | (4,791,926  | )  |
|                                                |  |              |       |     |  | Totalfutures contracts3.47%                           |  |   | 8,845,539   |    |
|                                                |  |              |       |     |  | Optionsowned16.71%                                    |  |   |        |    |
|                                                |  |              | 6,488      |     |  | NYMEXNatural Gas Put Feb. 04 – Oct. 048.98%     |  |   | 22,900,060  |    |
|                                                |  |              |       |     |  | Other7.73%                                            |  |   | 19,730,170  |    |
|                                                |  |              |       |     |  |                                                  |  |   | 42,630,230  |    |
|                                                |  |              |       |     |  | Optionswritten(22.66)%                                |  |   |        |    |
|                                                |  |              | 7,335      |     |  | NYMEXNatural Gas Call Feb. 04 – Dec. 04(16.04)% |  |   | (40,916,710 | )  |
|                                                |  |              |       |     |  | Other(6.62)%                                          |  |   | (16,887,887 | )  |
|                                                |  |              |       |     |  |                                                  |  |   | (57,804,597 | )  |
|                                                |  |              |       |     |  | Unrealizedappreciation on Swaps contracts19.64%       |  |   |        |    |
|                                                |  |              | 1,000      |     |  | HHNatural Gas Feb. 048.22%                            |  |   | 20,967,521  |    |
|                                                |  |              |       |     |  | Other11.42%                                           |  |   | 29,126,391  |    |
|                                                |  |              |       |     |  |                                                  |  |   | 50,093,912  |    |
|                                                |  |              |       |     |  | Unrealizeddepreciation on Swaps contracts(7.31)%      |  |   | (18,654,566 | )  |
|     TotalEnergy Fair Value9.85% |  | $                 | 25,110,518 |     |
|                                                     |

|                    |  |                           |            |                               |  |        |        |          |  |  |
|--------------------|--|---------------------------|------------|-------------------------------|--|--------|--------|----------|--|--|
| CountryComposition |  | Investments at Fair Value |            | %of Investments at Fair Value |
| UnitedKingdom      |  | $                         | (113,943   | )                        |  |   | (0.45  | )%  |
| UnitedStates       |  |                      | 25,224,461 |                          |  |   | 100.45 |     |
|               |  | $                         | 25,110,518 |                          |  |   | 100.00 | %   |
|                    |

Percentagesare based on Members' Capital unless otherwise indicated.

12

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2004(Unaudited) (Continued)

SB AAA Master Fund LLCStatements ofIncome and Expenses and Members' Capital(Unaudited)

|                                                                                                                      |  |                                |             |                              |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|----------------------------------------------------------------------------------------------------------------------|--|--------------------------------|-------------|------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                                                 |  | ThreeMonths EndedSeptember 30, |             | Nine MonthsEndedSeptember30, |
|                                                                                                                 |  | 2004                           |             | 2003                         |  | 2004   |             | 2003    |
| **Income:**                                                                                                          |  |
| Netgains (losses) on trading of commodityinterests:                                                                  |  |
| Realized gains (losses) on closedpositions                                                                           |  | $                              | 27,629,155  |                         |  | $      | 11,364,220  |    |  | $      | 56,198,699  |    |  | $      | (81,204,492 | )  |
| Changein unrealized gains (losses) on openpositions                                                                  |  |                           | 39,042,430  |                         |  |   | (4,834,883  | )  |  |   | 45,899,394  |    |  |   | 22,219,816  |    |
|                                                                                                                 |  |                           | 66,671,585  |                         |  |   | 6,529,337   |    |  |   | 102,098,093 |    |  |   | (58,984,676 | )  |
| Interestincome                                                                                                       |  |                           | 811,095     |                         |  |   | 527,067     |    |  |   | 1,777,054   |    |  |   | 1,946,481   |    |
|                                                                                                                 |  |                           | 67,482,680  |                         |  |   | 7,056,404   |    |  |   | 103,875,147 |    |  |   | (57,038,195 | )  |
| **Expenses:**                                                                                                        |  |
| Brokeragecommissions including clearing fees of $381,223, $398,062, $972,386 and$1,434,608,respectively              |  |                           | 3,204,994   |                         |  |   | 1,638,456   |    |  |   | 7,716,001   |    |  |   | 11,424,814  |    |
| Professionalfees                                                                                                     |  |                           | 15,862      |                         |  |   | 195,727     |    |  |   | 43,291      |    |  |   | 214,218     |    |
|                                                                                                                 |  |                           | 3,220,856   |                         |  |   | 1,834,183   |    |  |   | 7,759,292   |    |  |   | 11,639,032  |    |
| **Netincome(loss)**                                                                                                  |  |                           | 64,261,824  |                         |  |   | 5,222,221   |    |  |   | 96,115,855  |    |  |   | (68,677,227 | )  |
| Additions                                                                                                            |  |                           | 9,747,039   |                         |  |   | 6,258,158   |    |  |   | 15,658,065  |    |  |   | 51,437,472  |    |
| Redemptions                                                                                                          |  |                           | (11,884,965 | )                       |  |   | (10,907,469 | )  |  |   | (42,240,945 | )  |  |   | (49,779,551 | )  |
| Distributionof interest to feederfunds                                                                               |  |                           | (803,439    | )                       |  |   | (511,012    | )  |  |   | (1,752,224  | )  |  |   | (1,873,090  | )  |
| Netincrease (decrease) in Members'capital                                                                            |  |                           | 61,320,459  |                         |  |   | 61,898      |    |  |   | 67,780,751  |    |  |   | (68,892,396 | )  |
| Members'capital, beginning ofperiod                                                                                  |  |                           | 261,517,929 |                         |  |   | 281,329,159 |    |  |   | 255,057,637 |    |  |   | 350,283,453 |    |
| Members'capital, end ofperiod                                                                                        |  | $                              | 322,838,388 |                         |  | $      | 281,391,057 |    |  | $      | 322,838,388 |    |  | $      | 281,391,057 |    |
| Netasset value per Unit (189,940.2505 and 215,995.4878 Units outstandingin September 30, 2004 and 2003,respectively) |  | $                              | 1,699.68    |                         |  | $      | 1,302.76    |    |  | $      | 1,699.68    |    |  | $      | 1,302.76    |    |
| Netincome (loss) per Unit of MemberInterest                                                                          |  | $                              | 338.61      |                         |  | $      | 24.07       |    |  | $      | 500.05      |    |  | $      | (309.06     | )  |
|                                                                                                                      |

13

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2004(Unaudited) (Continued)

SB AAA Master Fund LLCStatements ofCash Flows(Unaudited)

|                                                                                                 |  |                                |             |                              |  |        |             |         |  |        |             |         |  |        |             |         |  |  |
|-------------------------------------------------------------------------------------------------|--|--------------------------------|-------------|------------------------------|--|--------|-------------|---------|--|--------|-------------|---------|--|--------|-------------|---------|--|--|
|                                                                                            |  | ThreeMonths EndedSeptember 30, |             | Nine MonthsEndedSeptember30, |
|                                                                                            |  | 2004                           |             | 2003                         |  | 2004   |             | 2003    |
| Cashflows from operating activities:                                                            |  |
| Net income(loss)                                                                                |  | $                              | 64,261,824  |                         |  | $      | 5,222,221   |    |  | $      | 96,115,855  |    |  | $      | (68,677,227 | )  |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operatingactivities: |  |                           |        |                         |  |
| Changes inoperating assets and liabilities:                                                     |  |
| (Increase)decrease in net unrealized appreciation/depreciation on open futurespositions         |  |                           | 15,562,303  |                         |  |   | (7,630,185  | )  |  |   | 9,097,251   |    |  |   | 2,884,641   |    |
| (Increase)decrease in unrealized appreciation on open swapscontracts                            |  |                           | (60,007,377 | )                       |  |   | 20,589,486  |    |  |   | (66,839,857 | )  |  |   | 4,529,577   |    |
| (Increase)decrease in commodity options owned, at fairvalue                                     |  |                           | (69,362,057 | )                       |  |   | 18,030,221  |    |  |   | (60,272,969 | )  |  |   | 49,560,742  |    |
| (Increase)decrease in due frombrokers                                                           |  |                           | 2,379,646   |                         |  |   | 4,379,758   |    |  |   | (313,578    | )  |  |   | 12,106,737  |    |
| (Increase)decrease in interestreceivable                                                        |  |                           | (123,634    | )                       |  |   | (175,680    | )  |  |   | (148,695    | )  |  |   | (173,852    | )  |
| Increase (decrease) in unrealized depreciation on openswapscontracts                            |  |                           | 57,972,414  |                         |  |   | (10,006,644 | )  |  |   | 92,573,246  |    |  |   | (30,572,554 | )  |
| Increase(decrease) in commodity options written, at fairvalue                                   |  |                           | 1,099,580   |                         |  |   | (7,436,247  | )  |  |   | (18,524,377 | )  |  |   | (33,051,154 | )  |
| Accruedexpenses:                                                                                |  |
| Increase (decrease) incommissions                                                               |  |                           | 577,706     |                         |  |   | (1,016,938  | )  |  |   | 582,100     |    |  |   | (3,305,842  | )  |
| Increase(decrease) in professionalfees                                                          |  |                           | (8,018      | )                       |  |   | (38,602     | )  |  |   | (25,103     | )  |  |   | (20,113     | )  |
| Increase(decrease) in due tobrokers                                                             |  |                           | 14,621      |                         |  |   | (2,755,512  | )  |  |   | 570,619     |    |  |   | (883,523    | )  |
| Increase(decrease) in distributionpayable                                                       |  |                           | 121,575     |                         |  |   | 174,830     |    |  |   | 150,477     |    |  |   | 174,830     |    |
| Netcash provided by (used in) operatingactivities                                               |  |                           | 12,488,583  |                         |  |   | 19,336,708  |    |  |   | 52,964,969  |    |  |   | (67,427,738 | )  |
| Cashflows from financing activities:                                                            |  |
| Proceedsfromadditions                                                                           |  |                           | 9,747,039   |                         |  |   | 6,258,158   |    |  |   | 15,658,065  |    |  |   | 51,437,472  |    |
| Paymentsforredemptions                                                                          |  |                           | (11,884,965 | )                       |  |   | (10,907,469 | )  |  |   | (42,240,945 | )  |  |   | (49,779,551 | )  |
| Distributionof interest to feederfunds                                                          |  |                           | (803,439    | )                       |  |   | (511,012    | )  |  |   | (1,752,224  | )  |  |   | (1,873,090  | )  |
| Netcash provided by (used in) financingactivities                                               |  |                           | (2,941,365  | )                       |  |   | (5,160,323  | )  |  |   | (28,335,104 | )  |  |   | (215,169    | )  |
| Netchange incash                                                                                |  |                           | 9,547,218   |                         |  |   | 14,176,385  |    |  |   | 24,629,865  |    |  |   | (67,642,907 | )  |
| Cash,at beginning ofperiod                                                                      |  |                           | 246,443,750 |                         |  |   | 248,398,785 |    |  |   | 231,361,103 |    |  |   | 330,218,077 |    |
| Cash,at end ofperiod                                                                            |  | $                              | 255,990,968 |                         |  | $      | 262,575,170 |    |  | $      | 255,990,968 |    |  | $      | 262,575,170 |    |
|                                                                                                 |

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SalomonSmith Barney Orion Futures Fund L.P. Notes to FinancialStatements September 30, 2004(Unaudited) (Continued)

5.    Financial Instrument Risks:

In the normal course of its business, the Partnership is party tofinancial instruments with off-balance sheet risk, including derivativefinancial instruments and derivative commodity instruments. Thesefinancial instruments may include forwards, futures, options and swaps,whose values are based upon an underlying asset, index, or referencerate, and generally represent future commitments to exchange currenciesor cash flows, or to purchase or sell other financial instruments atspecific terms at specified future dates, or, in the case of derivativecommodity instruments to have a reasonable possibility to be settled incash, through physical delivery or with another financial instrument.These instruments may be traded on an exchange or over-the-counter("OTC"). Exchange traded instruments arestandardized and include futures and certain option contracts. OTCcontracts are negotiated between contracting parties and includeforwards and certain options. Each of these instruments is subject tovarious risks similar to those related to the underlying financialinstruments including market and credit risk. In general, the risksassociated with OTC contracts are greater than those associated withexchange traded instruments because of the greater risk of default bythe counterparty to an OTC contract.

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

Credit risk is the possibility that a loss may occur dueto the failure of a counterparty to perform according to the terms of acontract. Credit risk with respect to exchange-traded instruments isreduced to the extent that an exchange or clearing organization acts asa counterparty to the transactions. The Partnership's risk ofloss in the event of counterparty default is typically limited to theamounts recognized as unrealized appreciation in the statements offinancial condition and not represented by the contract or notionalamounts of the instruments. The Partnership has concentration riskbecause the sole counterparty or broker with respect to thePartnership's assets is CGM.

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

The majority of theseinstruments mature within one year of September 30, 2004. However, dueto the nature of the Partnership's business, these instrumentsmay not be held to maturity.

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

Liquidity and CapitalResources

The Partnership does not engage in the sale of goodsor services. The Partnership's only assets are its equity in itscommodity futures trading account consisting of cash, investment in theAAA Fund, net unrealized appreciation (depreciation) on open futuresand forward contracts, commodity options, if applicable, and interestreceivable. Because of the low margin deposits normally required incommodity futures trading, relatively small price movements may resultin substantial losses to the Partnership. While substantial lossescould lead to a decrease in liquidity, no such losses occurred in thethird quarter of 2004.

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

For the nine months endedSeptember 30, 2004, Partnership capital increased 23.6% from$87,468,980 to $108,079,504. This increase was attributable to netincome from operations of $11,537,169 coupled with additional sales of18,251.3933 Redeemable Units of Limited Partnership totaling$21,129,000 and 365.5458 General Partner unit equivalents totaling$440,051, which was partially offset by the redemption of 10,519.8852Redeemable Units resulting in an outflow of $12,495,696. Futureredemptions can impact the amount of funds available for investment inthe Partnership in subsequent periods.

Critical AccountingPolicies

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

All commodity interests (including derivative financial instrumentsand derivative commodity instruments) are used for trading purposes.The commodity interests are recorded on trade date and open contractsare recorded in the statement of financial condition at fair value onthe last business day of the period, which represents market value forthose commodity interests for which market quotations are readilyavailable or other measures of fair value deemed appropriate bymanagement of the General Partner for those commodity interests andforeign currencies for which market quotations are not readilyavailable, including dealer quotes for swaps and certain optioncontracts. Investments in commodity interests denominated in foreigncurrencies are translated into U.S. dollars at the exchange ratesprevailing on the last business day of the period. Realized gains(losses) and changes in unrealized values on commodity interests andforeign currencies are recognized in the period in which the contractis closed or the changes occur and are included in net gains (losses)on trading of commodity interests. The investment in the SB AAA MasterFund LLC is recorded at Fair Value, based upon the Partnership'sproportionate interest held.

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

Results of Operations

During thePartnership's third quarter of 2004, the net asset value perRedeemable Unit increased 8.8% from $1,134.19 to $1,233.78 ascompared to a decrease of 0.5% in the third quarter of 2003. ThePartnership experienced a net trading gain before brokerage commissionsand related fees in the third 

16

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quarter of 2004 of $10,992,375. Gains wereprimarily attributable to the Partnership's trading of commodityfutures in currencies, metals, grains, softs, indices and U.S. andnon-U.S. interest rates and were partially offset by losses in energyand livestock. The Partnership experienced a net trading gain beforebrokerage commissions and related fees in the third quarter of 2003 of$174,043. Gains were primarily attributable to the Partnership'strading 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.

During the ninemonths ended September 30, 2004, the net asset value per RedeemableUnit increased 12.1% from $1,100.19 to $1,233.78 as compared toa decrease of 4.6% during the nine months ended September 30,2003. The Partnership experienced a net trading gain before brokeragecommissions and related fees in the nine months ended September 30,2004 of $17,291,640. Gains were primarily attributable to thePartnership's trading of commodity futures in energy, grains,livestock, indices and lumber and were partially offset by losses incurrencies, U.S. and non-U.S. interest rates, metals and softs. ThePartnership experienced a net trading loss before brokerage commissionsand related fees in the nine months ended September 30, 2003 of$1,876,270. Losses were primarily attributable to thePartnership's trading of commodity futures in energy, U.S. andnon-U.S. interest rates, livestock, metals and softs and were partiallyoffset by gains in currencies, grains and indices.

The thirdquarter of 2004 was characterized primarily by profitable trading inthe energy markets and continued difficult trading conditions acrossmany of the other financial and commodity markets. Strong trends incrude oil, gas oil and natural gas provided the bulk of theFund's profits. Throughout the quarter, global events from theVenezuelan election, supply threats in Iran, Iraq and Russia, coupledwith the severe hurricane weather in the Caribbean caused the crudemarket in particular to reach all-time highs. The Fund's advisorsparticipated in these markets both from a trend-following, systematicapproach and from a fundamental, discretionaryapproach.

Detracting from these gains were positions in thecurrency sector as the European and Asian currencies were unable tosustain any solid direction versus a weak U.S. dollar. These choppymarket conditions carried over the U.S. and non-U.S. interest ratemarkets as the Federal Reserve Bank tightened short-term rates in spiteof persistent market driven lower long-term interest rates. Tradingnonetheless was profitable in the non-U.S. market but unprofitable inthe U.S. market for the quarter. Trading in global stock market indiceswas unprofitable as the lack of direction caused trends to be initiatedand only to be reversed a short time later. Trading in grains wasprofitable for the period while trading in metals and softs wasslightly negative for the period.

Overall, after a difficultsecond quarter and beginning of the third quarter, market trendsemerged late in the quarter in both commodity and financial marketsthat were conducive to certain of the Advisors' tradingapproaches. While a decline in the price of energy is possible in thefourth quarter that might lead to a give-back in open profits over theshort term, the overall expectation is for continued directionlessfinancial markets and volatile commodity markets until political,financial and economic trends become more evident.

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

Interest income is earned on100% of the Partnership's average daily equity maintainedin cash in its account during each month at a 30-day U.S. Treasury billrate determined weekly by CGM based on the average non-competitiveyield on 3-month U.S. Treasury bills maturing in 30 days from the dateon which such weekly rate is determined. CGM may continue to maintainthe Partnership's assets in cash and/or 

17

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place all of the Partnership's assetsin 90-day Treasury bills and pay the Partnership 100% of theinterest earned on Treasury bills purchased. Interest income for thethree and nine months ended September 30, 2004 increased by $103,897and $124,298, respectively as compared to the corresponding periods in2003. The increase in interest income is primarily due to an increasein net assets during the three and nine months ended September 30, 2004as compared to the corresponding periods in 2003.

Brokeragecommissions are based on the number of trades executed by the Advisors.Brokerage commissions and fees for the three and nine months endedSeptember 30, 2004 increased by $83,917 and $42,961, respectively, ascompared to the corresponding periods in 2003. The increase incommissions and fees is primarily due to an increase in the number oftrades during the three and nine months ended September 30, 2004 ascompared to the corresponding periods in 2003.

Management feesare calculated as a percentage of the Partnership's net assetvalue as of the end of each month and are affected by tradingperformance, additions and redemptions. Management fees for the threeand nine months ended September 30, 2004 increased by $106,678 and$270,616, respectively, as compared to the corresponding periods in2003. The increase of management fees is due to an increase in netassets during the three and nine months ended September 30, 2004 ascompared to the corresponding periods in 2003.

Administrativefees are paid to the General Partner for administering the business andaffairs of the Partnership. These fees are calculated as a percentageof the Partnership's net asset value as of the end of each monthand are affected by trading performance and redemptions. Administrativefees for the three and nine months ended September 30, 2004 increasedby $30,616 and $88,908, respectively, as compared to the correspondingperiods in 2003. The increase in administrative fees is due to higheraverage net assets during the three and nine months ended September 30,2004 as compared to the corresponding periods in 2003.

Incentivefees paid by the Partnership are based on the new trading profitsgenerated by each Advisor at the end of the quarter, as defined in themanagement agreements between the Partnership, the General Partner andeach Advisor. Trading performance for the three and nine months endedSeptember 30, 2004 and 2003 resulted in incentive fees of $1,109,973,$0, $2,689,036 and $298,424, respectively.

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Item 3.    Quantitative and QualitativeDisclosures about Market Risk

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

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

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

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

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

The following table indicates thetrading Value at Risk associated with the Partnership's openpositions by market category as of September 30, 2004 and the highest,lowest and average value during the three months ended September 30,2004. All open position trading risk exposures of the Partnership havebeen included in calculating the figures set forth below. As ofSeptember 30, 2004, the Partnership's total capitalization was$108,079,504. There has been no material change in the trading Value atRisk information previously disclosed in the Partnership's AnnualReport on Form 10-K for the year ended December 31,2003.

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September 30, 2004(Unaudited)

|                                 |  |               |            |                         |  |                                     |        |                  |  |                       |           |        |  |        |           |        |  |        |           |        |  |  |
|---------------------------------|--|---------------|------------|-------------------------|--|-------------------------------------|--------|------------------|--|-----------------------|-----------|--------|--|--------|-----------|--------|--|--------|-----------|--------|--|--|
|                            |  |          |            |                    |  | ThreeMonths Ended September 30,2004 |
| MarketSector                    |  | Value at Risk |            | % ofTotalCapitalization |  | High Value atRisk                   |        | LowValue at Risk |  | Average ValueatRisk** |
| Currencies:                     |  |
| –Exchange TradedContracts |  | $             | 1,922,046  |                    |  |                                | 1.78   | %           |  | $                     | 2,434,346 |   |  | $      | 658,832   |   |  | $      | 1,393,067 |   |
| –OTCContracts             |  |          | 3,956      |                    |  |                                | 0.00   | %*          |  |                  | 49,076    |   |  |   | 3,956     |   |  |   | 26,516    |   |
| Energy                          |  |          | 2,917,765  |                    |  |                                | 2.70   | %           |  |                  | 2,956,925 |   |  |   | 799,005   |   |  |   | 1,901,507 |   |
| Grains                          |  |          | 165,601    |                    |  |                                | 0.16   | %           |  |                  | 203,714   |   |  |   | 87,593    |   |  |   | 143,279   |   |
| InterestRatesU.S.               |  |          | 894,600    |                    |  |                                | 0.83   | %           |  |                  | 1,240,600 |   |  |   | 291,225   |   |  |   | 1,027,583 |   |
| InterestRatesNon-U.S.           |  |          | 3,113,875  |                    |  |                                | 2.88   | %           |  |                  | 3,261,468 |   |  |   | 1,212,818 |   |  |   | 2,140,756 |   |
| Livestock                       |  |          | 105,815    |                    |  |                                | 0.10   | %           |  |                  | 278,400   |   |  |   | 84,300    |   |  |   | 169,272   |   |
| Metals                          |  |          |       |                    |  |                                |   |             |  |                  |      |   |  |   |      |   |  |   |      |   |
| –Exchange TradedContracts |  |          | 1,046,000  |                    |  |                                | 0.97   | %           |  |                  | 1,240,500 |   |  |   | 240,500   |   |  |   | 638,167   |   |
| –OTCContracts             |  |          | 256,715    |                    |  |                                | 0.24   | %           |  |                  | 324,115   |   |  |   | 111,050   |   |  |   | 196,410   |   |
| Softs                           |  |          | 295,019    |                    |  |                                | 0.27   | %           |  |                  | 463,048   |   |  |   | 121,423   |   |  |   | 338,449   |   |
| Indices                         |  |          | 1,063,399  |                    |  |                                | 0.98   | %           |  |                  | 1,629,094 |   |  |   | 455,852   |   |  |   | 700,578   |   |
| Lumber                          |  |          | 4,400      |                    |  |                                | 0.00   | %*          |  |                  | 4,400     |   |  |   | 1,100     |   |  |   | 2,200     |   |
| Totals                          |  | $             | 11,789,191 |                    |  |                                | 10.91  | %           |  |                  |      |   |  |   |      |   |  |   |      |   |
|                                 |

|   |                |
|---|----------------|
| * | Dueto rounding |

|    |                                 |
|----|---------------------------------|
| ** | Average month-end Valuesat Risk |

Item 4.    Controls and Procedures

Basedon their evaluation of the Partnership's disclosure controls andprocedures as of September 30, 2004, the President and Chief FinancialOfficer of the General Partner have concluded that such controls andprocedures are effective.

During the Partnership's lastfiscal quarter, no changes occurred in the Partnership's internalcontrol over financial reporting that have materially affected, or arereasonably likely to materially affect, the Partnership'sinternal control over financial reporting.

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PART II. OTHERINFORMATION

Item 1.    Legal Proceedings

Thefollowing information supplements and amends our discussion set forthunder Item 3 "Legal Proceedings" in thePartnership's Annual Report on Form 10-K for the year endedDecember 31, 2003 and under Part II, Item 1. "LegalProceedings" in the Partnership's Quarterly Reporton Form 10Q for the quarters ended March  31, 2004 and June 30,2004.

Enron Corp.

 A Citigroup affiliate, alongwith other defendants, settled all claims against it in IN RE NEWPOWERHOLDINGS SECURITIES LITIGATION, a class action brought on behalf ofcertain investors in NewPower securities. Citigroup reached thissettlement agreement without admitting any wrongdoing. OnSeptember  13, 2004, the United States District Court for theSouthern District of New York preliminarily approved thesettlement.

Dynegy  Inc.

 On October7, 2004, the United States District Court for the Southern District ofTexas granted the motion to dismiss all claims against the Citigroupdefendants in IN RE DYNEGY  INC. SECURITIES LITIGATION. TheDistrict Court also denied lead plaintiff's request for leave toreplead. The case was a putative class action brought on behalf ofpurchasers of publicly traded Dynegy debt and equity securities.

WorldCom,  Inc.

 The United States Court ofAppeals for the Second Circuit has affirmed the orders of the UnitedStates District Court for the Southern District of New York denyingplaintiffs' motions to remand to state court a large group ofWorldCom-related actions. On September  13, 2004, plaintiffsfiled a petition for a writ of certiorari to the United States SupremeCourt seeking review of the Second Circuit's ruling.

 On September  17, 2004, WEINSTEIN, ET AL. V. EBBERS, ETAL., a putative class action against CGM and others brought on behalfof holders of WorldCom securities asserting claims based on, amongother things, CGM's research reports concerning WorldCom, wasdismissed with prejudice in its entirety by the United States DistrictCourt for the Southern District of New York. Plaintiffs have noticed anappeal of the dismissal to the United States Court of Appeals for theSecond Circuit.

 Citigroup and CGM, along with a number ofother defendants, have settled RETIREMENT SYSTEMS OF ALABAMA, ET AL. V.J.P. MORGAN CHASE  & CO., ET AL., a WorldCom individualaction that had been remanded to the Circuit Court of MontgomeryCounty, Alabama. The settlement became final on September  30,2004.

 On June  28, 2004, the United States DistrictCourt for the Southern District of New York dismissed all claims underthe Securities Act of 1933 and certain claims under the SecuritiesExchange Act of 1934 in IN RE TARGETS SECURITIES LITIGATION, a putativeclass action against Citigroup and CGM and certain former employees,leaving only claims under the 1934 Act for purchases of Targeted GrowthEnhanced Terms Securities With Respect to the Common Stock of MCIWorldCom,  Inc. ("TARGETS") afterJuly  30, 1999. On October  20, 2004, the parties signed aMemorandum of Understanding setting forth the terms of a settlement ofall remaining claims in this action. The settlement must be approved bythe Court.

 A fairness hearing will be held onNovember  5, 2004 in connection with the proposed classsettlement between plaintiffs and the Citigroup-related defendants inIN RE WORLDCOM,  INC. SECURITIES LITIGATION.

Research

 Several individual actions have been filedagainst Citigroup and CGM relating to, among other things, research onQwest Communications International,  Inc. alleging violations ofstate and federal securities laws.

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Other

 On October13, 2004, the United States District Court for the Southern District ofNew York certified a class in various representative cases with respectto the allocation of shares for certain initial public offerings andrelated aftermarket transactions.

An appeal of the dismissalgranted to CGM in November 2003 with respect to the antitrust caserelating to the allocation of shares for certain initial publicofferings is scheduled to be argued in December 2004.

Item2.    Unregistered Sales of Equity Securities and Use ofProceeds

For the three months ended September 30, 2004 therewere additional sales of 5,187.7737 Redeemable Units of LimitedPartnership totaling $6,005,000. The Redeemable Units were issued inreliance upon applicable exemptions from registration underSection  4(2) of the Securities Act of 1933, as amended, andSection 506 of Regulation D promulgated there under.

Proceedsfrom the sale of additional Redeemable Units are used in the trading ofcommodity interests including futures contracts, options, forwards andswap contracts.

The following chart sets forth the purchases ofRedeemable Units by thePartnership.

|                                            |  |                                               |            |                                                             |  |                                                                                           |          |                                                                                                                     |  |        |     |        |  |        |     |        |  |  |
|--------------------------------------------|--|-----------------------------------------------|------------|-------------------------------------------------------------|--|-------------------------------------------------------------------------------------------|----------|---------------------------------------------------------------------------------------------------------------------|--|--------|-----|--------|--|--------|-----|--------|--|--|
| Period                                     |  | (a)Total Numberof Shares(or Units) Purchased* |            | (b)AveragePrice Paid per   Share (or Unit)** |  | (c)Total Numberof Shares (or Units)Purchased as PartofPublicly AnnouncedPlans or Programs |          | (d) MaximumNumber(or ApproximateDollar Value) of Shares(or Units)thatMay Yet Be Purchased Under thePlans orPrograms |
| July 1, 2004 –July 31,2004           |  |                                          | 981.0274   |                                                        |  | $                                                                                         | 1,174.62 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| August1, 2004 – August 31,2004       |  |                                          | 970.4680   |                                                        |  | $                                                                                         | 1,170.28 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| September1, 2004 – September 30,2004 |  |                                          | 1,399.1506 |                                                        |  | $                                                                                         | 1,233.78 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
| Total                                      |  |                                          | 3,350.6460 |                                                        |  | $                                                                                         | 1,192.89 |                                                                                                                |  |   | N/A |   |  |   | N/A |   |
|                                            |

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

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

Item3.    Defaults Upon Senior Securities – None

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

Item 5.    Other Information –None

21

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Item 6.    Exhibits

|        |                                                                                                                                                                                                                |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | The exhibits required to be filed by Item 601 ofRegulation S-K are incorporated herein by reference to the exhibitindex of the Partnership's Annual Report on Form 10-K for theperiod ended December 31, 2003. |

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

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

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

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

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SIGNATURES

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

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

|        |  |                                                              |  |  |  |  |
|--------|--|--------------------------------------------------------------|--|--|--|--|
| By:    |  | CitigroupManaged Futures LLC                                 |
|   |  | (General Partner)                                            |
| By:    |  | /s/David J. Vogel                                            |
|   |  | DavidJ. Vogel President and Director                         |
| Date:  |  | November 9,2004                                              |
| By:    |  | /s/Daniel R. McAuliffe,Jr                                    |
|   |  | Daniel R.McAuliffe, Jr. Chief Financial Officer and Director |
| Date:  |  | November 9,2004                                              |
|        |

23

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