UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C.20549

FORM 10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

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

OF THESECURITIES EXCHANGE ACT OF 1934

For The Quarter EndedSeptember 30, 2006

Commission File Number0-50271

SALOMON SMITH BARNEY ORION FUTURES FUNDL.P.

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(Exact name ofregistrant as specified in its charter)

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

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

|  |
|--|
|  |  |
|  |

(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 a largeaccelerated filer, an accelerated filer, or a non-accelerated filer.See definition of ‘‘accelerated filer and large acceleratedfiler’’ in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer            Accelerated filer            Non-accelerated filer  X  

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

Yes         No  X

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SALOMON SMITHBARNEY ORION FUTURES FUND L.P.

FORM 10-Q

INDEX

|                                 |  |  |                                                                                                                                 |  |  |               |
|---------------------------------|--|--|---------------------------------------------------------------------------------------------------------------------------------|--|--|---------------|
|                            |  |  |                                                                                                                            |  |  | PageNumber    |
| PART I - Financial Information: |  |  |                                                                                                                            |
| Item1.                          |  |  | FinancialStatements:                                                                                                            |  |  |          |
|                            |  |  | Statements ofFinancial Condition at September 30, 2006 and December 31,2005(unaudited)                                          |  |  | 3             |
|                            |  |  | Condensed Schedules of Investments at September30, 2006 and December 31, 2005 (unaudited)                                       |  |  | 4– 5    |
|                            |  |  | Statements of Income andExpenses and Partners' Capital for the three and ninemonthsended September 30, 2006 and 2005(unaudited) |  |  | 6             |
|                            |  |  | Statementsof Cash Flows for the three and nine monthsended September 30,2006 and 2005(unaudited)                                |  |  | 7             |
|                            |  |  | Notes toFinancial Statements (unaudited)                                                                                        |  |  | 8 –13   |
| Item 2.                         |  |  | Management's Discussion andAnalysisof Financial Condition and Results ofOperations                                              |  |  | 14 – 16 |
| Item3.                          |  |  | Quantitative and QualitativeDisclosures about MarketRisk                                                                        |  |  | 17 – 19 |
| 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)

|                                                                                                                                          |  |  |                  |   |             |                 |  |  |  |   |             |  |
|------------------------------------------------------------------------------------------------------------------------------------------|--|--|------------------|---|-------------|-----------------|--|--|--|---|-------------|--|
|                                                                                                                                     |  |  | September30,2006 |   |             | December31,2005 |
| Assets:                                                                                                                                  |  |  |                  |   |        |                 |  |  |  |   |        |  |
| Investmentin Partnerships, at fairvalue                                                                                                  |  |  |                  | $ | 253,384,358 |                 |  |  |  | $ | 164,526,199 |  |
| Equityin commodity futures trading account:                                                                                              |  |  |                  |   |        |                 |  |  |  |   |        |  |
| Cash(restricted $1,228,989 and $1,635,266 in 2006 and 2005, respectively)in commodity futures tradingaccount                             |  |  |                  |   | 14,667,751  |                 |  |  |  |   | 10,181,361  |  |
| Netunrealized appreciation on open futurespositions                                                                                      |  |  |                  |   | 995,754     |                 |  |  |  |   | 244,775     |  |
|                                                                                                                                     |  |  |                  |   | 269,047,863 |                 |  |  |  |   | 174,952,335 |  |
| Interestreceivable                                                                                                                       |  |  |                  |   | 60,004      |                 |  |  |  |   | 34,220      |  |
|                                                                                                                                     |  |  |                  | $ | 269,107,867 |                 |  |  |  | $ | 174,986,555 |  |
|                                                                                                                                     |  |  |                  |   |        |                 |  |  |  |   |        |  |
| Liabilitiesand Partners'Capital:                                                                                                         |  |  |                  |   |        |                 |  |  |  |   |        |  |
| Liabilities:                                                                                                                             |  |  |                  |   |        |                 |  |  |  |   |        |  |
| Accruedexpenses:                                                                                                                         |  |  |                  |   |        |                 |  |  |  |   |        |  |
| Brokeragecommissions                                                                                                                     |  |  |                  | $ | 703,006     |                 |  |  |  | $ | 257,466     |  |
| Managementfees                                                                                                                           |  |  |                  |   | 404,658     |                 |  |  |  |   | 273,625     |  |
| Administrativefees                                                                                                                       |  |  |                  |   | 111,753     |                 |  |  |  |   | 74,149      |  |
| Incentivefees                                                                                                                            |  |  |                  |   | —     |                 |  |  |  |   | 891,826     |  |
| Other                                                                                                                                    |  |  |                  |   | 197,722     |                 |  |  |  |   | 121,586     |  |
| Redemptionspayable                                                                                                                       |  |  |                  |   | 898,384     |                 |  |  |  |   | 925,581     |  |
|                                                                                                                                     |  |  |                  |   | 2,315,523   |                 |  |  |  |   | 2,544,233   |  |
|                                                                                                                                     |  |  |                  |   |        |                 |  |  |  |   |        |  |
| Partners'Capital:                                                                                                                        |  |  |                  |   |        |                 |  |  |  |   |        |  |
| General Partner,865.3542 Unit equivalents outstanding in 2006 and2005                                                                    |  |  |                  |   | 1,520,054   |                 |  |  |  |   | 1,394,371   |  |
| LimitedPartners, 151,017.4424 and 106,152.9612 Redeemable Units of LimitedPartnership Interest outstanding in 2006 and 2005,respectively |  |  |                  |   | 265,272,290 |                 |  |  |  |   | 171,047,951 |  |
|                                                                                                                                     |  |  |                  |   | 266,792,344 |                 |  |  |  |   | 172,442,322 |  |
|                                                                                                                                     |  |  |                  | $ | 269,107,867 |                 |  |  |  | $ | 174,986,555 |  |
|                                                                                                                                          |

Seeaccompanying Notes to Financial Statements.

3

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Salomon Smith Barney OrionFutures Fund L.P. Condensed Schedule of Investments September30, 2006 (Unaudited)

|                                    |  |  |           |   |             |                      |  |  |  |  |        |     |
|------------------------------------|--|--|-----------|---|-------------|----------------------|--|--|--|--|--------|-----|
|                               |  |  | FairValue |   |             | % ofPartners'Capital |
|                               |  |  |           |   |        |                      |  |  |  |  |   |     |
| FuturesContractsPurchased          |  |  |           |   |        |                      |  |  |  |  |   |     |
| Currencies                         |  |  |           | $ | (6,038      | )                    |  |  |  |  | (0.00  | )%* |
| Grains                             |  |  |           |   | 38,537      |                      |  |  |  |  | 0.01   |     |
| InterestRates U.S.                 |  |  |           |   | 12,219      |                      |  |  |  |  | 0.00   | *   |
| InterestRatesNon-U.S.              |  |  |           |   | (9,454      | )                    |  |  |  |  | (0.00  | )*  |
| Softs                              |  |  |           |   | (5,640      | )                    |  |  |  |  | (0.00  | )*  |
|                               |  |  |           |   |        |                      |  |  |  |  |   |     |
| Totalfutures contractspurchased    |  |  |           |   | 29,624      |                      |  |  |  |  | 0.01   |     |
|                               |  |  |           |   |        |                      |  |  |  |  |   |     |
| FuturesContractsSold               |  |  |           |   |        |                      |  |  |  |  |   |     |
| Currencies                         |  |  |           |   | 35,938      |                      |  |  |  |  | 0.01   |     |
| Energy                             |  |  |           |   | 809,294     |                      |  |  |  |  | 0.30   |     |
| Grains                             |  |  |           |   | 89,556      |                      |  |  |  |  | 0.03   |     |
| Livestock                          |  |  |           |   | 1,440       |                      |  |  |  |  | 0.00   | *   |
| Metals                             |  |  |           |   | (9,200      | )                    |  |  |  |  | (0.00  | )*  |
| Softs                              |  |  |           |   | 39,102      |                      |  |  |  |  | 0.02   |     |
|                               |  |  |           |   |        |                      |  |  |  |  |   |     |
| Totalfutures contractssold         |  |  |           |   | 966,130     |                      |  |  |  |  | 0.36   |     |
|                               |  |  |           |   |        |                      |  |  |  |  |   |     |
|                               |  |  |           |   |        |                      |  |  |  |  |   |     |
| Investmentin Partnerships          |  |  |           |   |        |                      |  |  |  |  |   |     |
| SB AAA MasterFund LLC              |  |  |           |   | 92,431,202  |                      |  |  |  |  | 34.65  |     |
| CMFWillowbridge Argo Master FundLP |  |  |           |   | 59,063,338  |                      |  |  |  |  | 22.14  |     |
| CMF WintonMasterLP                 |  |  |           |   | 101,889,818 |                      |  |  |  |  | 38.20  |     |
|                               |  |  |           |   |        |                      |  |  |  |  |   |     |
| TotalInvestment inPartnerships     |  |  |           |   | 253,384,358 |                      |  |  |  |  | 94.99  |     |
|                               |  |  |           |   |        |                      |  |  |  |  |   |     |
| Totalfair value                    |  |  |           | $ | 254,380,112 |                      |  |  |  |  | 95.36  | %   |
|                                    |

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

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

See accompanying Notes to FinancialStatements.

4

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

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

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

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

See accompanying Notes to FinancialStatements.

5

----

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

|                                                                                                                                            |  |  |                                |   |             |                              |  |  |      |   |             |      |  |  |  |   |             |   |  |  |  |   |             |   |
|--------------------------------------------------------------------------------------------------------------------------------------------|--|--|--------------------------------|---|-------------|------------------------------|--|--|------|---|-------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                                                                       |  |  | ThreeMonths EndedSeptember 30, |   |             | Nine MonthsEndedSeptember30, |
|                                                                                                                                       |  |  | 2006                           |   |             | 2005                         |  |  | 2006 |   |             | 2005 |
| Income:                                                                                                                                    |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Netgains (losses) on trading of commodityinterests:                                                                                        |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Realized gains (losses) on closedpostitions                                                                                                |  |  |                                | $ | 293,879     |                              |  |  |      | $ | (575,698    | )    |  |  |  | $ | 1,703,119   |   |  |  |  | $ | (10,725,162 | ) |
| Changein unrealized gains (losses) on open positions and investments inPartnerships                                                        |  |  |                                |   | (4,595,062  | )                            |  |  |      |   | 13,095,442  |      |  |  |  |   | 26,970,002  |   |  |  |  |   | 44,526,793  |   |
|                                                                                                                                       |  |  |                                |   | (4,301,183  | )                            |  |  |      |   | 12,519,744  |      |  |  |  |   | 28,673,121  |   |  |  |  |   | 33,801,631  |   |
| Interestincome                                                                                                                             |  |  |                                |   | 169,296     |                              |  |  |      |   | 91,622      |      |  |  |  |   | 428,816     |   |  |  |  |   | 588,493     |   |
|                                                                                                                                       |  |  |                                |   | (4,131,887  | )                            |  |  |      |   | 12,611,366  |      |  |  |  |   | 29,101,937  |   |  |  |  |   | 34,390,124  |   |
| Expenses:                                                                                                                                  |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Brokeragecommissions including clearing fees of $9,669, $9,967, $30,643 and$82,229,respectively                                            |  |  |                                |   | 1,321,654   |                              |  |  |      |   | 942,284     |      |  |  |  |   | 3,868,133   |   |  |  |  |   | 2,626,975   |   |
| Managementfees                                                                                                                             |  |  |                                |   | 1,155,286   |                              |  |  |      |   | 718,739     |      |  |  |  |   | 3,197,098   |   |  |  |  |   | 1,938,268   |   |
| Administrativefees                                                                                                                         |  |  |                                |   | 319,360     |                              |  |  |      |   | 195,525     |      |  |  |  |   | 880,302     |   |  |  |  |   | 527,586     |   |
| Incentivefees                                                                                                                              |  |  |                                |   | —     |                              |  |  |      |   | 2,219,153   |      |  |  |  |   | 3,736,128   |   |  |  |  |   | 7,548,870   |   |
| Other                                                                                                                                      |  |  |                                |   | 70,163      |                              |  |  |      |   | 127,959     |      |  |  |  |   | 220,164     |   |  |  |  |   | 239,388     |   |
|                                                                                                                                       |  |  |                                |   | 2,866,463   |                              |  |  |      |   | 4,203,660   |      |  |  |  |   | 11,901,825  |   |  |  |  |   | 12,881,087  |   |
| Netincome(loss)                                                                                                                            |  |  |                                |   | (6,998,350  | )                            |  |  |      |   | 8,407,706   |      |  |  |  |   | 17,200,112  |   |  |  |  |   | 21,509,037  |   |
| Additions— LimitedPartners                                                                                                           |  |  |                                |   | 36,906,000  |                              |  |  |      |   | 12,685,000  |      |  |  |  |   | 93,056,000  |   |  |  |  |   | 33,149,000  |   |
| Redemptions— LimitedPartners                                                                                                         |  |  |                                |   | (5,530,854  | )                            |  |  |      |   | (4,498,709  | )    |  |  |  |   | (15,906,090 | ) |  |  |  |   | (13,798,155 | ) |
| Netincrease in Partners'Capital                                                                                                            |  |  |                                |   | 24,376,796  |                              |  |  |      |   | 16,593,997  |      |  |  |  |   | 94,350,022  |   |  |  |  |   | 40,859,882  |   |
| Partners'Capital, beginning ofperiod                                                                                                       |  |  |                                |   | 242,415,548 |                              |  |  |      |   | 143,049,709 |      |  |  |  |   | 172,442,322 |   |  |  |  |   | 118,783,824 |   |
| Partners'Capital, end ofperiod                                                                                                             |  |  |                                | $ | 266,792,344 |                              |  |  |      | $ | 159,643,706 |      |  |  |  | $ | 266,792,344 |   |  |  |  | $ | 159,643,706 |   |
| NetAsset Value per Redeemable Unit (151,882.7966 and 100,077.9500Redeemable Units outstanding at September 30, 2006 and 2005,respectively) |  |  |                                | $ | 1,756.57    |                              |  |  |      | $ | 1,595.19    |      |  |  |  | $ | 1,756.57    |   |  |  |  | $ | 1,595.19    |   |
| Netincome (loss) per Redeemable Unit of Limited Partnership Interestand General Partner Unitequivalent                                     |  |  |                                | $ | (52.10      | )                            |  |  |      | $ | 85.53       |      |  |  |  | $ | 145.24      |   |  |  |  | $ | 226.86      |   |
|                                                                                                                                            |

Seeaccompanying Notes to Financial Statements.

6

----

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

|                                                                                                  |  |  |                                |   |             |                              |  |  |      |   |             |      |  |  |  |   |             |   |  |  |  |   |             |   |
|--------------------------------------------------------------------------------------------------|--|--|--------------------------------|---|-------------|------------------------------|--|--|------|---|-------------|------|--|--|--|---|-------------|---|--|--|--|---|-------------|---|
|                                                                                             |  |  | ThreeMonths EndedSeptember 30, |   |             | Nine MonthsEndedSeptember30, |
|                                                                                             |  |  | 2006                           |   |             | 2005                         |  |  | 2006 |   |             | 2005 |
| Cashflows from operating activities:                                                             |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Net income(loss)                                                                                 |  |  |                                | $ | (6,998,350  | )                            |  |  |      | $ | 8,407,706   |      |  |  |  | $ | 17,200,112  |   |  |  |  | $ | 21,509,037  |   |
| Adjustmentsto reconcile net income (loss) to net cash provided by (used in)operating activities: |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Changes inoperating assets and liabilities:                                                      |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Purchase ofinvestment inPartnerships                                                             |  |  |                                |   | (33,979,993 | )                            |  |  |      |   | (41,566,655 | )    |  |  |  |   | (89,380,243 | ) |  |  |  |   | (54,602,150 | ) |
| Proceedsfrom sale of investment inPartnerships                                                   |  |  |                                |   | 7,361,390   |                              |  |  |      |   | 8,291,546   |      |  |  |  |   | 19,323,372  |   |  |  |  |   | 31,287,879  |   |
| Netunrealized (appreciation) depreciation on investments inPartnerships                          |  |  |                                |   | 8,306,277   |                              |  |  |      |   | (15,699,557 | )    |  |  |  |   | (18,801,288 | ) |  |  |  |   | (44,476,684 | ) |
| (Increase)decrease in restrictedcash                                                             |  |  |                                |   | (30,800     | )                            |  |  |      |   | 10,511,687  |      |  |  |  |   | 406,277     |   |  |  |  |   | 3,925,443   |   |
| (Increase)decrease in net unrealized appreciation on open futurespositions                       |  |  |                                |   | (724,146    | )                            |  |  |      |   | 3,595,480   |      |  |  |  |   | (750,979    | ) |  |  |  |   | 2,064,325   |   |
| (Increase)decrease in interestreceivable                                                         |  |  |                                |   | (11,510     | )                            |  |  |      |   | 76,576      |      |  |  |  |   | (25,784     | ) |  |  |  |   | 31,582      |   |
| Accruedexpenses:                                                                                 |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Increase (decrease) in brokeragecommissions                                                      |  |  |                                |   | 143,298     |                              |  |  |      |   | (196,759    | )    |  |  |  |   | 445,540     |   |  |  |  |   | (14,593     | ) |
| Increase(decrease) in managementfees                                                             |  |  |                                |   | 30,912      |                              |  |  |      |   | 24,725      |      |  |  |  |   | 131,033     |   |  |  |  |   | 56,037      |   |
| Increase(decrease) in administrativefees                                                         |  |  |                                |   | 8,929       |                              |  |  |      |   | 6,219       |      |  |  |  |   | 37,604      |   |  |  |  |   | 15,057      |   |
| Increase(decrease) in incentivefees                                                              |  |  |                                |   | (633,539    | )                            |  |  |      |   | (85,216     | )    |  |  |  |   | (891,826    | ) |  |  |  |   | 1,369,279   |   |
| Increase(decrease) inother                                                                       |  |  |                                |   | 7,991       |                              |  |  |      |   | (12,378     | )    |  |  |  |   | 76,136      |   |  |  |  |   | (3,294      | ) |
| Netcash provided by (used in) operatingactivities                                                |  |  |                                |   | (26,519,541 | )                            |  |  |      |   | (26,646,626 | )    |  |  |  |   | (72,230,046 | ) |  |  |  |   | (38,838,082 | ) |
| Cashflows from financing activities:                                                             |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Proceedsfrom additions — LimitedPartners                                                   |  |  |                                |   | 36,906,000  |                              |  |  |      |   | 12,685,000  |      |  |  |  |   | 93,056,000  |   |  |  |  |   | 33,149,000  |   |
| Paymentsfor redemptions — LimitedPartners                                                  |  |  |                                |   | (7,884,585  | )                            |  |  |      |   | (5,904,303  | )    |  |  |  |   | (15,933,287 | ) |  |  |  |   | (15,706,198 | ) |
| Netcash provided by (used in) financingactivities                                                |  |  |                                |   | 29,021,415  |                              |  |  |      |   | 6,780,697   |      |  |  |  |   | 77,122,713  |   |  |  |  |   | 17,442,802  |   |
| Netchange incash                                                                                 |  |  |                                |   | 2,501,874   |                              |  |  |      |   | (19,865,929 | )    |  |  |  |   | 4,892,667   |   |  |  |  |   | (21,395,280 | ) |
| Unrestrictedcash, at beginning ofperiod                                                          |  |  |                                |   | 10,936,888  |                              |  |  |      |   | 29,284,471  |      |  |  |  |   | 8,546,095   |   |  |  |  |   | 30,813,822  |   |
| Unrestrictedcash, at end ofperiod                                                                |  |  |                                | $ | 13,438,762  |                              |  |  |      | $ | 9,418,542   |      |  |  |  | $ | 13,438,762  |   |  |  |  | $ | 9,418,542   |   |
| NonCash Financingactivities:                                                                     |  |  |                                |   |        |                              |  |  |      |   |        |      |  |  |  |   |        |   |  |  |  |   |        |   |
| Contributionof open commodity futures and forwardpositions                                       |  |  |                                | $ | —     |                              |  |  |      | $ | (3,662,925  | )    |  |  |  | $ | —     |   |  |  |  | $ | (3,662,925  | ) |
|                                                                                                  |

Seeaccompanying Notes to FinancialStatements.

7

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

1.    General:

Salomon Smith Barney Orion Futures Fund L.P. (the‘‘Partnership’’) is a limited partnershiporganized under the partnership laws of the State of New York on March22, 1999 to engage, directly or indirectly, in the speculative tradingof a diversified portfolio of commodity interests, including options,commodity futures and forward contracts on United States exchanges andcertain foreign exchanges. The Partnership may trade commodity futuresand options contracts of any kind. In addition, the Partnership mayenter into swap contracts on energy-related products. The commodityinterests that are traded by the Partnership are volatile and involve ahigh degree of market risk.

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

Citigroup Managed Futures LLC, a Delaware limited liability company,is the Partnership's general partner and commodity pool operator(‘‘the General Partner’’). ThePartnership's commodity broker is Citigroup Global Markets Inc.(‘‘CGM’’). CGM is an affiliate of the GeneralPartner. The General Partner is wholly owned by Citigroup GlobalMarkets Holdings Inc. (‘‘CGMHI’’), which is thesole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc.(‘‘Citigroup’’). As of September 30, 2006, alltrading decisions are made by Willowbridge Associates Inc.(‘‘Willowbridge’’), Winton Capital ManagementLimited (‘‘Winton’’) and AAA Capital ManagementAdvisors, Ltd. (successor to AAA Capital Management Inc.)(‘‘AAA’’), (collectively, the‘‘Advisors’’). Willowbridge trades both theWillowbridge Argo and Willowbridge Vulcan trading programs for thePartnership.

The accompanying financial statements are unauditedbut, in the opinion of management, include all adjustments, consistingonly of normal recurring adjustments, necessary for a fair presentationof the Partnership's financial condition at September 30, 2006and December 31, 2005 and the results of its operations and cash flowsfor the three and nine months ended September 30, 2006 and 2005. 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, 2005.

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, 2006(Unaudited)

2.    FinancialHighlights:

Changes in Net Asset Value per Redeemable Unit ofLimited Partnership Interest for the three and nine months endedSeptember  30, 2006 and 2005 were asfollows:

|                                                         |  |  |                                |   |          |                               |  |  |      |   |          |      |  |  |  |   |          |   |  |  |  |   |          |   |
|---------------------------------------------------------|--|--|--------------------------------|---|----------|-------------------------------|--|--|------|---|----------|------|--|--|--|---|----------|---|--|--|--|---|----------|---|
|                                                    |  |  | Three MonthsEndedSeptember 30, |   |          | Nine Months EndedSeptember30, |
|                                                    |  |  | 2006                           |   |          | 2005                          |  |  | 2006 |   |          | 2005 |
| Net realized and unrealized gains (losses)*             |  |  |                                | $ | (42.65   | )                             |  |  |      | $ | 117.57   |      |  |  |  | $ | 205.80   |   |  |  |  | $ | 329.25   |   |
| Interest income                                         |  |  |                                |   | 1.15     |                               |  |  |      |   | 0.93     |      |  |  |  |   | 3.21     |   |  |  |  |   | 6.30     |   |
| Expenses**                                              |  |  |                                |   | (10.60   | )                             |  |  |      |   | (32.97   | )    |  |  |  |   | (63.77   | ) |  |  |  |   | (108.69  | ) |
| Increase (decrease) for theperiod                       |  |  |                                |   | (52.10   | )                             |  |  |      |   | 85.53    |      |  |  |  |   | 145.24   |   |  |  |  |   | 226.86   |   |
| Net Asset Value per Redeemable Unit,beginning of period |  |  |                                |   | 1,808.67 |                               |  |  |      |   | 1,509.66 |      |  |  |  |   | 1,611.33 |   |  |  |  |   | 1,368.33 |   |
| Net Asset Value per Redeemable Unit, end of period      |  |  |                                | $ | 1,756.57 |                               |  |  |      | $ | 1,595.19 |      |  |  |  | $ | 1,756.57 |   |  |  |  | $ | 1,595.19 |   |
|                                                         |

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

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

|                                              |  |  |  |  |         |    |  |  |  |  |        |    |  |  |  |  |        |    |  |  |  |  |        |    |
|----------------------------------------------|--|--|--|--|---------|----|--|--|--|--|--------|----|--|--|--|--|--------|----|--|--|--|--|--------|----|
| Ratios to average netassets:***              |  |  |  |  |    |    |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |
| Net investment loss beforeincentive fees**** |  |  |  |  | (4.3    | )% |  |  |  |  | (5.0   | )% |  |  |  |  | (4.6   | )% |  |  |  |  | (4.7   | )% |
| Operatingexpenses                            |  |  |  |  | 4.5     | %  |  |  |  |  | 5.3    | %  |  |  |  |  | 4.8    | %  |  |  |  |  | 5.3    | %  |
| Incentivefees                                |  |  |  |  | — | %  |  |  |  |  | 1.5    | %  |  |  |  |  | 1.7    | %  |  |  |  |  | 5.6    | %  |
| Total expenses                               |  |  |  |  | 4.5     | %  |  |  |  |  | 6.8    | %  |  |  |  |  | 6.5    | %  |  |  |  |  | 10.9   | %  |
| Total return:                                |  |  |  |  |    |    |  |  |  |  |   |    |  |  |  |  |   |    |  |  |  |  |   |    |
| Total returnbefore incentive fees            |  |  |  |  | (2.9    | )% |  |  |  |  | 7.1    | %  |  |  |  |  | 10.5   | %  |  |  |  |  | 22.1   | %  |
| Incentivefees                                |  |  |  |  | — | %  |  |  |  |  | (1.4   | )% |  |  |  |  | (1.5   | )% |  |  |  |  | (5.5   | )% |
| Total return after incentive fees            |  |  |  |  | (2.9    | )% |  |  |  |  | 5.7    | %  |  |  |  |  | 9.0    | %  |  |  |  |  | 16.6   | %  |
|                                              |

|     |                                      |
|-----|--------------------------------------|
| *** | 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 period. Additionally, these ratios arecalculated for the Limited Partner class using the LimitedPartners' share of income, expenses and average netassets. |

3.    Trading Activities:

The Partnershipwas formed for the purpose of trading contracts in a variety ofcommodity interests, including derivative financial instruments andderivative commodity instruments. The results of thePartnership's trading activities are shown in the Statements ofIncome and Expenses and Partners' Capital and are discussed inItem 2, Management's Discussion and Analysis of FinancialCondition and Results of Operations.

The Customer Agreementbetween the Partnership and CGM gives the Partnership the legal rightto net unrealized gains and losses on open futures positions.

9

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

All of the commodity interests owned bythe Partnership are held for trading purposes. The average fair valuesof these interests during the nine and twelve months ended September30, 2006 and December 31, 2005, based on a monthly calculation, were$842,105 and $2,057,458, respectively. The fair values of thesecommodity interests, including options and swaps thereon, ifapplicable, at September 30, 2006 and December 31, 2005 were $995,754and $244,775, respectively. Fair values for exchange traded commodityfutures and options are based on quoted market prices for those futuresand options. Fair values for all other financial instruments for whichmarket quotations are not readily available are based on calculationsapproved by the General Partner.

4.    Investment inPartnerships:

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

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

On July 1, 2005, the cash allocated to Willowbridge Argo for tradingwas allocated to the CMF Willowbridge Argo Master Fund L.P.(‘‘Willowbridge Master’’), a limitedpartnership organized under the partnership laws of the State of NewYork. The Partnership purchased 33,529.1186 Units of WillowbridgeMaster with cash equal to $29,866,194 and a contribution of opencommodity futures and forward positions with a fair vale of $3,662,925.Willowbridge Master was formed in order to permit accounts managed nowor in the future by Willowbridge using the Argo Trading System, toinvest together in one trading vehicle. The General Partner of thePartnership is the general partner of Willowbridge Master. Individualand pooled accounts currently managed by Willowbridge, including thePartnership are permitted to be limited partners of WillowbridgeMaster. The General Partner and Willowbridge believe that tradingthrough this structure should promote efficiency and economy in thetrading process. Expenses to investors as a result of investment inWillowbridge Master are approximately the same and redemption rightsare not affected.

AAA Master's, Willowbridge Master'sand Winton Master's (the ‘‘Funds’’)commodity broker is CGM. CGM is an affiliate of the ManagingMember/General Partner.

10

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

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

A non-managing member/limitedpartner may withdraw all or part of its capital contribution andundistributed profits, if any, from AAA Master, Willowbridge Master orWinton Master in multiples of the Net Asset Value per redeemable unitof non-managing limited partnership interest as of the last day of amonth after a request for redemption has been made to the ManagingMember/General Partner at least 3 days in advance of month-end.

All exchange, clearing, user, give-up, floor brokerage and NationalFutures Association fees are borne by AAA Master, Willowbridge Masterand Winton Master. All other fees including CGM's directbrokerage commission shall be borne by the Partnership.

As ofSeptember 30, 2006 and December 31, 2005 the Partnership owns9.3% and 6.9%, respectively of AAA Master. As ofSeptember 30, 2006 and December 31, 2005 the Partnership owns31.7% and 25.9% of Willowbridge Master. As of September30, 2006 and December 31, 2005 the Partnership owns 40.0% and30.5%, respectively of Winton Master. It is AAA's,Willowbridge's and Winton's intend to continue to investthe assets allocated to each by the Partnership in AAA Master,Willowbridge Master and Winton Master, respectively. The performance ofthe Partnership is directly affected by the performance of AAA Master,Willowbridge Master and Winton Master.

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

|                    |  |  |                         |   |               |                              |  |  |                          |   |             |                     |  |  |                      |   |               |  |  |  |                    |  |  |  |  |         |  |
|--------------------|--|--|-------------------------|---|---------------|------------------------------|--|--|--------------------------|---|-------------|---------------------|--|--|----------------------|---|---------------|--|--|--|--------------------|--|--|--|--|---------|--|
|               |  |  | September30,2006        |   |               |                         |  |  |                     |
|               |  |  | Investments'TotalAssets |   |               | Investments'TotalLiabilities |  |  | Investments'TotalCapital |   |             | InvestmentObjective |  |  | RedemptionsPermitted |
| AAAMaster          |  |  |                         | $ | 1,250,379,878 |                              |  |  |                          | $ | 260,954,070 |                     |  |  |                      | $ | 989,425,808   |  |  |  | EnergyMarkets      |  |  |  |  | Monthly |  |
| WillowbridgeMaster |  |  |                         | $ | 186,164,106   |                              |  |  |                          |   | 913,159     |                     |  |  |                      |   | 185,250,947   |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| WintonMaster       |  |  |                         |   | 255,612,473   |                              |  |  |                          |   | 1,242,389   |                     |  |  |                      |   | 254,370,084   |  |  |  | CommodityPortfolio |  |  |  |  | Monthly |  |
| Total              |  |  |                         | $ | 1,692,156,457 |                              |  |  |                          | $ | 263,109,618 |                     |  |  |                      | $ | 1,429,046,839 |  |  |  |               |  |  |  |  |    |  |
|                    |

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

11

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

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

|                                    |             |  |                           |       |        |                                              |  |  |              |   |             |          |  |  |                 |   |            |                     |  |  |                     |   |         |  |  |  |  |   |        |  |  |  |  |   |            |   |  |  |                    |  |  |         |
|------------------------------------|-------------|--|---------------------------|-------|--------|----------------------------------------------|--|--|--------------|---|-------------|----------|--|--|-----------------|---|------------|---------------------|--|--|---------------------|---|---------|--|--|--|--|---|--------|--|--|--|--|---|------------|---|--|--|--------------------|--|--|---------|
|                               |             |  | September30, 2006         |       |        | For the three months ended September 30,2006 |  |  |         |   |             |     |
| Investment                         |             |  | %ofPartnership'sNetAssets |       |        | FairValue                                    |  |  | Income(Loss) |   |             | Expenses |  |  | NetIncome(Loss) |   |            | InvestmentObjective |  |  | RedemptionPermitted |
|                                    | Commissions |  |                           | Other |
| SB AAA Master FundLLC              |             |  |                           |       | 34.65  | %                                            |  |  |              | $ | 92,431,202  |          |  |  |                 | $ | (7,666,230 | )                   |  |  |                     | $ | 68,328  |  |  |  |  | $ | 9,482  |  |  |  |  | $ | (7,744,040 | ) |  |  | EnergyMarkets      |  |  | Monthly |
| CMFWillowbridge Argo Master FundLP |             |  |                           |       | 22.14  | %                                            |  |  |              |   | 59,063,338  |          |  |  |                 |   | (915,585   | )                   |  |  |                     |   | 48,531  |  |  |  |  |   | 2,673  |  |  |  |  |   | (966,789   | ) |  |  | CommodityPortfolio |  |  | Monthly |
| CMFWinton MasterLP                 |             |  |                           |       | 38.20  | %                                            |  |  |              |   | 101,889,818 |          |  |  |                 |   | 3,461,539  |                     |  |  |                     |   | 69,334  |  |  |  |  |   | 586    |  |  |  |  |   | 3,391,619  |   |  |  | CommodityPortfolio |  |  | Monthly |
| Total                              |             |  |                           |       |   |                                              |  |  |              | $ | 253,384,358 |          |  |  |                 | $ | (5,120,276 | )                   |  |  |                     | $ | 186,193 |  |  |  |  | $ | 12,741 |  |  |  |  | $ | (5,319,210 | ) |  |  |               |  |  |    |
|                                    |

|                                    |             |  |                           |       |        |                                             |  |  |              |   |             |          |  |  |                 |   |            |                     |  |  |                     |   |         |  |  |  |  |   |        |  |  |  |  |   |            |  |  |  |                    |  |  |         |
|------------------------------------|-------------|--|---------------------------|-------|--------|---------------------------------------------|--|--|--------------|---|-------------|----------|--|--|-----------------|---|------------|---------------------|--|--|---------------------|---|---------|--|--|--|--|---|--------|--|--|--|--|---|------------|--|--|--|--------------------|--|--|---------|
|                               |             |  | September30, 2006         |       |        | For the nine months ended September 30,2006 |  |  |         |   |             |     |
| Investment                         |             |  | %ofPartnership'sNetAssets |       |        | FairValue                                   |  |  | Income(Loss) |   |             | Expenses |  |  | NetIncome(Loss) |   |            | InvestmentObjective |  |  | RedemptionPermitted |
|                                    | Commissions |  |                           | Other |
| SB AAA Master FundLLC              |             |  |                           |       | 34.65  | %                                           |  |  |              | $ | 92,431,202  |          |  |  |                 | $ | 14,652,112 |                     |  |  |                     | $ | 74,701  |  |  |  |  | $ | 25,935 |  |  |  |  | $ | 14,551,476 |  |  |  | EnergyMarkets      |  |  | Monthly |
| CMFWillowbridge Argo Master FundLP |             |  |                           |       | 22.14  | %                                           |  |  |              |   | 59,063,338  |          |  |  |                 |   | 3,057,688  |                     |  |  |                     |   | 140,143 |  |  |  |  |   | 7,210  |  |  |  |  |   | 2,910,335  |  |  |  | CommodityPortfolio |  |  | Monthly |
| CMFWinton MasterLP                 |             |  |                           |       | 38.20  | %                                           |  |  |              |   | 101,889,818 |          |  |  |                 |   | 9,014,903  |                     |  |  |                     |   | 256,602 |  |  |  |  |   | 1,097  |  |  |  |  |   | 8,757,204  |  |  |  | CommodityPortfolio |  |  | Monthly |
| Total                              |             |  |                           |       |   |                                             |  |  |              | $ | 253,384,358 |          |  |  |                 | $ | 26,724,703 |                     |  |  |                     | $ | 471,446 |  |  |  |  | $ | 34,242 |  |  |  |  | $ | 26,219,015 |  |  |  |               |  |  |    |
|                                    |

|                                    |             |  |                           |       |        |                                              |  |  |              |   |             |          |  |  |                 |   |            |                     |  |  |                     |   |         |  |  |  |  |   |        |  |  |  |  |   |            |   |  |  |                    |  |  |         |
|------------------------------------|-------------|--|---------------------------|-------|--------|----------------------------------------------|--|--|--------------|---|-------------|----------|--|--|-----------------|---|------------|---------------------|--|--|---------------------|---|---------|--|--|--|--|---|--------|--|--|--|--|---|------------|---|--|--|--------------------|--|--|---------|
|                               |             |  | December31, 2005          |       |        | For the three months ended September 30,2005 |  |  |         |   |             |     |
| Investment                         |             |  | %ofPartnership'sNetAssets |       |        | FairValue                                    |  |  | Income(Loss) |   |             | Expenses |  |  | NetIncome(Loss) |   |            | InvestmentObjective |  |  | RedemptionPermitted |
|                                    | Commissions |  |                           | Other |
| SB AAA Master FundLLC              |             |  |                           |       | 38.47  | %                                            |  |  |              | $ | 66,336,443  |          |  |  |                 | $ | 12,214,350 |                     |  |  |                     | $ | 317,099 |  |  |  |  | $ | 8,906  |  |  |  |  | $ | 11,888,345 |   |  |  | EnergyMarkets      |  |  | Monthly |
| CMFWillowbridge Argo Master FundLP |             |  |                           |       | 25.46  | %                                            |  |  |              |   | 43,902,732  |          |  |  |                 |   | 1,620,275  |                     |  |  |                     |   | 44,814  |  |  |  |  |   | 3,275  |  |  |  |  |   | 1,572,186  |   |  |  | CommodityPortfolio |  |  | Monthly |
| CMFWinton MasterLP                 |             |  |                           |       | 31.48  | %                                            |  |  |              |   | 54,287,024  |          |  |  |                 |   | (321,949   | )                   |  |  |                     |   | 105,671 |  |  |  |  |   | 4,916  |  |  |  |  |   | (432,536   | ) |  |  | CommodityPortfolio |  |  | Monthly |
| Total                              |             |  |                           |       |   |                                              |  |  |              | $ | 164,526,199 |          |  |  |                 | $ | 13,512,676 |                     |  |  |                     | $ | 467,584 |  |  |  |  | $ | 17,097 |  |  |  |  | $ | 13,027,995 |   |  |  |               |  |  |    |
|                                    |

|                                    |             |  |                           |       |        |                                             |  |  |              |   |             |          |  |  |                 |   |            |                     |  |  |                     |   |           |  |  |  |  |   |        |  |  |  |  |   |            |  |  |  |                    |  |  |         |
|------------------------------------|-------------|--|---------------------------|-------|--------|---------------------------------------------|--|--|--------------|---|-------------|----------|--|--|-----------------|---|------------|---------------------|--|--|---------------------|---|-----------|--|--|--|--|---|--------|--|--|--|--|---|------------|--|--|--|--------------------|--|--|---------|
|                               |             |  | December31, 2005          |       |        | For the nine months ended September 30,2005 |  |  |         |   |             |     |
| Investment                         |             |  | %ofPartnership'sNetAssets |       |        | FairValue                                   |  |  | Income(Loss) |   |             | Expenses |  |  | NetIncome(Loss) |   |            | InvestmentObjective |  |  | RedemptionPermitted |
|                                    | Commissions |  |                           | Other |
| SB AAA Master FundLLC              |             |  |                           |       | 38.47  | %                                           |  |  |              | $ | 66,336,443  |          |  |  |                 | $ | 36,616,847 |                     |  |  |                     | $ | 957,089   |  |  |  |  | $ | 21,744 |  |  |  |  | $ | 35,638,014 |  |  |  | EnergyMarkets      |  |  | Monthly |
| CMFWillowbridge Argo Master FundLP |             |  |                           |       | 25.46  | %                                           |  |  |              |   | 43,902,732  |          |  |  |                 |   | 1,620,275  |                     |  |  |                     |   | 44,814    |  |  |  |  |   | 3,275  |  |  |  |  |   | 1,572,186  |  |  |  | CommodityPortfolio |  |  | Monthly |
| CMFWinton MasterLP                 |             |  |                           |       | 31.48  | %                                           |  |  |              |   | 54,287,024  |          |  |  |                 |   | 5,976,618  |                     |  |  |                     |   | 243,303   |  |  |  |  |   | 15,327 |  |  |  |  |   | 5,717,988  |  |  |  | CommodityPortfolio |  |  | Monthly |
| Total                              |             |  |                           |       |   |                                             |  |  |              | $ | 164,526,199 |          |  |  |                 | $ | 44,213,740 |                     |  |  |                     | $ | 1,245,206 |  |  |  |  | $ | 40,346 |  |  |  |  | $ | 42,928,188 |  |  |  |               |  |  |    |
|                                    |

12

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

5.    Financial Instrument Risks:

In the normal course of its business, the Partnership and the Fundsare party to financial instruments with off-balance sheet risk,including derivative financial instruments and derivative commodityinstruments. These financial instruments may include forwards, futures,options and swaps, whose values are based upon an underlying asset,index, or reference rate, and generally represent future commitments toexchange currencies or cash flows, to purchase or sell other financialinstruments, at specific terms at specified future dates, or, in thecase of derivative commodity instruments, to have a reasonablepossibility to be settled in cash, through physical delivery or withanother financial instrument. These instruments may be traded on anexchange or over-the-counter (‘‘OTC’’).Exchange traded instruments are standardized and include futures andcertain option contracts. OTC contracts are negotiated betweencontracting parties and include forwards and certain options. Each ofthese instruments is subject to various risks similar to those relatedto the underlying financial instruments' including market andcredit risk. In general, the risks associated with OTC contracts aregreater than those associated with exchange traded instruments becauseof the greater risk of default by the counterparty to an OTCcontract.

Market risk is the potential for changes in the valueof the financial instruments traded by the Partnership/Funds due tomarket changes, including interest and foreign exchange rate movementsand fluctuations in commodity or security prices. Market risk isdirectly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded.

Credit risk isthe possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Creditrisk with respect to exchange-traded instruments is reduced to theextent that an exchange or clearing organization acts as a counterpartyto the transactions. The Partnership's/Funds' risk of lossin 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/Funds have credit risk andconcentration risk because the sole counterparty or broker with respectto the Partnership's/Funds' assets is CGM.

TheGeneral Partner monitors and controls thePartnership's/Funds' risk exposure on a daily basis throughfinancial, 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/Fundsare subject. 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, 2006. However, dueto the nature of the Partnership's/Funds' businesses, theseinstruments may not be held tomaturity.

13

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

Liquidity and CapitalResources

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

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

For the nine months endedSeptember 30, 2006, Partnership Capital increased 54.7% from$172,442,322 to $266,792,344. This increase was attributable to netincome from operations of $17,200,112 coupled with additional sales of53,898.1829 Redeemable Units of Limited Partnership totaling$93,056,000, which was partially offset by the redemption of 9,033.7017Redeemable Units resulting in an outflow of $15,906,090. Futureredemptions can impact the amount of funds available for investment inthe Partnership in subsequent periods.

Critical AccountingPolicies

The preparation of financial statements in conformitywith U.S. generally accepted accounting principles requires managementto make estimates and assumptions that affect the reported amounts ofassets and liabilities, and disclosures of contingent assets andliabilities at the date of the financial statements and the reportedamounts of revenues and expenses during the reporting period. Actualresults could differ from these estimates.

All commodityinterests (including derivative financial instruments and derivativecommodity instruments) held by the Partnership are used for tradingpurposes. The commodity interests are recorded on trade date and opencontracts are recorded in the statement of financial condition at fairvalue on the last business day of the period, which represents marketvalue for those commodity interests for which market quotations arereadily available 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 AAA Master,Willowbridge Master and Winton Master are recorded at fair value, basedupon the Partnership's proportionate interest held.

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

Results ofOperations

During the Partnership's third quarter of2006, the Net Asset Value per Redeemable Unit decreased 2.9%from $1,808.67 to $1,756.57 as compared to an increase of 5.7%in the third quarter of 2005. The Partnership experienced a net tradingloss before brokerage commissions and related fees in the third

14

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quarter of 2006 of $4,301,183. Losses wereprimarily attributable to the Partnership's trading ofcurrencies, energy, grains, non-U.S. interest rates, livestock andmetals and were partially offset by gains in U.S. interest rates,softs, and indices. The Partnership experienced a net trading gainbefore brokerage commissions and related fees in the third quarter of2005 of $12,519,744. Gains were primarily attributable to thePartnership's trading of commodity futures in energy, grains,metals and indices, and were partially offset by losses in currencies,U.S. and non-U.S. interest rates, livestock, lumber andsofts.

The third quarter presented a challenging investmentlandscape for the Advisors. The fund was negatively impacted by anumber of price trend reversals in both financial and commoditymarkets. Gains earned in U.S. interest rates, soft commodities, andequity indices were offset by losses in currencies, metals, andenergy.

The Advisors were profitable in trading softcommodities, especially in sugar and cotton, as reports suggestingrecord production of new crops resulted in price declines. Buoyantglobal equity markets were also beneficial for the fund as falling bondyields and energy prices supported global equity valuations. Whilesmall losses were realized in the global fixed income markets, tradingin U.S. interest rates was profitable as the slowing housing market anddeteriorating consumer spending further strengthened the perceptionthat the U.S. monetary policy had changed course.

Losses weretaken in energy, metals, and currency trading. Trading in the petroleumsector was adversely impacted by a larger than expected decline in oiland gasoline prices, sharp fluctuations in the relationship betweenprices of oil and refined products, and continued compression of pricevolatility in the sector. In natural gas trading, rising pricevolatility in nearby contract months coupled with price weakness inlonger dated contracts produced losses for the sector. The fund postedgains from trading in Japanese Yen as the dollar strengthened onspeculation that Japan's central bank would refrain from raisinginterest rates again this year. However, these gains were insufficientto offset losses from trading in Euro and Swiss Franc. Gains from theindustrial metals only partially offset losses in precious metals whereprices reflected unfavorable trading ranges and sharp pricereversals.

During the nine months ended September 30, 2006, theNet Asset Value per Redeemable Unit increased 9.0% from$1,611.33 to $1,756.57 as compared to an increase of 16.6%during the nine months ended September 30, 2005. The Partnershipexperienced a net trading gain before brokerage commissions and relatedfees in the nine months ended September 30, 2006 of $28,673,121. Gainswere primarily attributable to the Partnership's trading ofenergy, U.S. and non-U.S. interest rates, metals and indices and werepartially offset by losses in currencies, grains, livestock and softs.The Partnership experienced a net trading gain before brokeragecommissions and related fees in the nine months ended September 30,2005 of $33,801,631. Gains were primarily attributable to thePartnership's trading of commodity futures in energy, indices andlumber and were partially offset by losses in currencies, grains, U.S.and non-U.S. interest rates, livestock, metals and softs.

Commodity futures markets are highly volatile. The potential forbroad and rapid price fluctuations increases the risks involved incommodity trading but also increases the possibility of profit. Theprofitability of the Partnership depends on the existence of majorprice trends and the ability of the Advisors to correctly identifythose price trends. Price trends are influenced by, among other things,changing supply and demand relationships, weather, governmental,agricultural, commercial and trade programs and policies, national andinternational political and economic events and changes in interestrates. To the extent that market trends exist and the Advisors are ableto identify them, the Partnership expects to increase capital throughoperations. AAA is aware of price trends but does not trade upontrends. AAA often takes profits in positions with specific trends eventhough that trend may still be intact or perhaps even stronger. AAAoccasionally establishes positions that are counter-trend.

Interest income is earned on 100% of the Partnership'saverage daily equity allocated to it by the funds in its account duringeach month at a 30-day U.S. Treasury bill rate determined weekly by CGMbased on the average non-competitive yield on 3-month U.S. Treasurybills maturing in 30 days from the date on which such weekly rate isdetermined. CGM may continue to maintain the Partnership's assetsin cash and/or place all of the Partnership's assets in 90-dayTreasury bills and pay the Partnership 100% of the interestearned on Treasury bills purchased. Interest income for the threemonths ended September 30, 2006 increased by $77,674 as compared to thecorresponding period in 2005. The increase in interest 

15

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income is primarily due to higher interestrates during the three months ended September 30, 2006 as compared tothe corresponding period in 2005. Interest income for the nine monthsended September 30, 2006 decreased $159,677 as compared to thecorresponding period in 2005. The decrease in interest income for thenine months ended September 30, 2006 was due to lower average netassets held for direct trading by the partnership when compared to thecorresponding period in 2005. The decrease is due to thePartnership's use of cash to fund additional investments in otherpartnerships. The interest earned at the Investment in Partnershipslevel is included in the Partnership's share of overall netincome (loss) of the other partnerships in 2006 as compared to2005.

Brokerage commissions are based on the number of tradesexecuted by the Advisors. Brokerage commissions and fees for the threeand nine months ended September 30, 2006 increased by $379,370 and$1,241,158, as compared to the corresponding periods in 2005. Theincrease in commissions and fees is primarily due to an increase in thenumber of trades during the three and nine months endedSeptember  30, 2006 as compared to the corresponding periods in2005.

Management fees are calculated as a percentage of thePartnership's net asset value as of the end of each month and areaffected by trading performance, additions and redemptions. Managementfees for the three and nine months ended September 30, 2006 increasedby $436,547 and $1,258,830, as compared to the corresponding periods in2005. The increase of management fees is due to an increase in netassets during the three and nine months ended September 30, 2006 ascompared to the corresponding periods in 2005.

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, 2006 increasedby $123,835 and $352,716, as compared to the corresponding periods in2005. The increase in administrative fees is due to an increase in netassets during the three and nine months ended September 30, 2006 ascompared to the corresponding periods in 2005.

Incentive feespaid by the Partnership are based on the new trading profits generatedby each Advisor at the end of the quarter, as defined in the managementagreements between the Partnership, the General Partner and eachAdvisor. Trading performance for the three and nine months endedSeptember  30, 2006 resulted in incentive fees of $0 and$3,736,128, respectively. Trading performance for the three and ninemonths ended September 30, 2005 resulted in incentive fees of$2,219,153 and $7,548,870, respectively.

16

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Item 3.    Quantitative andQualitative Disclosures about Market Risk

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

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

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

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

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

17

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The following tables indicate the tradingValue at Risk associated with the Partnership's investments andinvestments in other Partnerships by market category as of September30, 2006 and the highest, lowest and average value during the threemonths ended September 30, 2006. All open position trading riskexposures of the Partnership have been included in calculating thefigures set forth below. As of September 30, 2006, thePartnership's total capitalization was $266,792,344. There hasbeen no material change in the trading Value at Risk informationpreviously disclosed in the Partnership's Annual Report on Form10-K for the year ended December 31, 2005.

September 30,2006(Unaudited)

|                                 |  |  |               |   |         |                         |  |  |                                     |  |        |                  |  |  |                       |   |           |  |  |  |  |   |         |  |  |  |  |   |         |  |
|---------------------------------|--|--|---------------|---|---------|-------------------------|--|--|-------------------------------------|--|--------|------------------|--|--|-----------------------|---|-----------|--|--|--|--|---|---------|--|--|--|--|---|---------|--|
|                            |  |  |          |   |         |                    |  |  | ThreeMonths Ended September 30,2006 |
| MarketSector                    |  |  | Value at Risk |   |         | % ofTotalCapitalization |  |  | HighValue atRisk                    |  |        | LowValue at Risk |  |  | Average Value atRisk* |
| Currencies:                     |  |  |               |   |    |                         |  |  |                                     |  |   |                  |  |  |                       |   |      |  |  |  |  |   |    |  |  |  |  |   |    |  |
| –Exchange TradedContracts |  |  |               | $ | 110,857 |                         |  |  |                                     |  | 0.04   | %                |  |  |                       | $ | 314,937   |  |  |  |  | $ | 25,300  |  |  |  |  | $ | 102,788 |  |
| Energy                          |  |  |               |   | 448,500 |                         |  |  |                                     |  | 0.17   | %                |  |  |                       |   | 1,831,500 |  |  |  |  |   | 228,600 |  |  |  |  |   | 598,500 |  |
| Grains                          |  |  |               |   | 45,712  |                         |  |  |                                     |  | 0.02   | %                |  |  |                       |   | 108,900   |  |  |  |  |   | 14,400  |  |  |  |  |   | 56,137  |  |
| InterestRatesU.S.               |  |  |               |   | 69,000  |                         |  |  |                                     |  | 0.02   | %                |  |  |                       |   | 138,600   |  |  |  |  |   | 4,500   |  |  |  |  |   | 92,800  |  |
| InterestRatesNon-U.S.           |  |  |               |   | 173,522 |                         |  |  |                                     |  | 0.07   | %                |  |  |                       |   | 364,135   |  |  |  |  |   | 69,368  |  |  |  |  |   | 237,752 |  |
| Livestock                       |  |  |               |   | 10,200  |                         |  |  |                                     |  | 0.00   | %**              |  |  |                       |   | 10,200    |  |  |  |  |   | 10,200  |  |  |  |  |   | 10,200  |  |
| Metals:                         |  |  |               |   |    |                         |  |  |                                     |  |   |                  |  |  |                       |   |      |  |  |  |  |   |    |  |  |  |  |   |    |  |
| –Exchange TradedContracts |  |  |               |   | 57,500  |                         |  |  |                                     |  | 0.02   | %                |  |  |                       |   | 195,500   |  |  |  |  |   | 57,500  |  |  |  |  |   | 77,833  |  |
| Softs                           |  |  |               |   | 42,250  |                         |  |  |                                     |  | 0.02   | %                |  |  |                       |   | 151,800   |  |  |  |  |   | 13,500  |  |  |  |  |   | 46,083  |  |
| Total                           |  |  |               | $ | 957,541 |                         |  |  |                                     |  | 0.36   | %                |  |  |                       |   |      |  |  |  |  |   |    |  |  |  |  |   |    |  |
|                                 |

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

|  |                   |
|--|-------------------|
|  | ** Due torounding |

As of September 30, 2006, AAA Master's totalcapitalization was $989,425,808. The partnership owned 9.3% ofAAA Master.

September 30,2006(Unaudited)

|              |  |  |               |   |            |                         |  |  |                                     |  |      |                  |  |  |                       |   |            |  |  |  |  |   |            |  |  |  |  |   |            |  |
|--------------|--|--|---------------|---|------------|-------------------------|--|--|-------------------------------------|--|------|------------------|--|--|-----------------------|---|------------|--|--|--|--|---|------------|--|--|--|--|---|------------|--|
|         |  |  |          |   |            |                    |  |  | ThreeMonths Ended September 30,2006 |
| MarketSector |  |  | Value at Risk |   |            | % ofTotalCapitalization |  |  | HighValue atRisk                    |  |      | LowValue at Risk |  |  | Average Value atRisk* |
| Energy       |  |  |               | $ | 80,290,980 |                         |  |  |                                     |  | 8.11 | %                |  |  |                       | $ | 85,359,642 |  |  |  |  | $ | 52,516,591 |  |  |  |  | $ | 67,201,456 |  |
| EnergySwaps  |  |  |               |   | 4,720,046  |                         |  |  |                                     |  | 0.48 | %                |  |  |                       |   | 4,720,046  |  |  |  |  |   | 4,130,046  |  |  |  |  |   | 4,326,713  |  |
| Total        |  |  |               | $ | 85,011,026 |                         |  |  |                                     |  | 8.59 | %                |  |  |                       |   |       |  |  |  |  |   |       |  |  |  |  |   |       |  |
|              |

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

18

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As of September 30, 2006, WillowbridgeMaster's total capitalization was $185,250,947. The Partnershipowned 31.7% of Willowbridge Master.

September 30,2006(Unaudited)

|                                 |  |  |               |   |            |                         |  |  |                                     |  |        |                  |  |  |                      |   |            |  |  |  |  |   |           |  |  |  |  |   |           |  |
|---------------------------------|--|--|---------------|---|------------|-------------------------|--|--|-------------------------------------|--|--------|------------------|--|--|----------------------|---|------------|--|--|--|--|---|-----------|--|--|--|--|---|-----------|--|
|                            |  |  |          |   |            |                    |  |  | Threemonths Ended September 30,2006 |
| MarketSector                    |  |  | Value at Risk |   |            | % ofTotalCapitalization |  |  | HighValue atRisk                    |  |        | LowValue at Risk |  |  | AverageValue atRisk* |
| Currencies:                     |  |  |               |   |       |                         |  |  |                                     |  |   |                  |  |  |                      |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –Exchange TradedContracts |  |  |               | $ | 3,743,173  |                         |  |  |                                     |  | 2.02   | %                |  |  |                      | $ | 7,745,700  |  |  |  |  | $ | 1,121,900 |  |  |  |  | $ | 3,886,457 |  |
| Energy                          |  |  |               |   | 7,176,000  |                         |  |  |                                     |  | 3.87   | %                |  |  |                      |   | 10,936,000 |  |  |  |  |   | 3,976,500 |  |  |  |  |   | 8,088,500 |  |
| Grains                          |  |  |               |   | 1,527,200  |                         |  |  |                                     |  | 0.82   | %                |  |  |                      |   | 1,527,200  |  |  |  |  |   | 289,200   |  |  |  |  |   | 1,087,195 |  |
| InterestRatesU.S.               |  |  |               |   | 3,864,000  |                         |  |  |                                     |  | 2.09   | %                |  |  |                      |   | 3,864,000  |  |  |  |  |   | 362,000   |  |  |  |  |   | 3,192,600 |  |
| InterestRatesNon-U.S.           |  |  |               |   | 9,439,773  |                         |  |  |                                     |  | 5.10   | %                |  |  |                      |   | 9,499,826  |  |  |  |  |   | 650,146   |  |  |  |  |   | 6,337,231 |  |
| Metals:                         |  |  |               |   |       |                         |  |  |                                     |  |   |                  |  |  |                      |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –Exchange TradedContracts |  |  |               |   | 920,000    |                         |  |  |                                     |  | 0.49   | %                |  |  |                      |   | 3,258,000  |  |  |  |  |   | 920,000   |  |  |  |  |   | 1,392,667 |  |
| Softs                           |  |  |               |   | 864,800    |                         |  |  |                                     |  | 0.47   | %                |  |  |                      |   | 1,048,800  |  |  |  |  |   | 144,800   |  |  |  |  |   | 821,333   |  |
| Total                           |  |  |               | $ | 27,534,946 |                         |  |  |                                     |  | 14.86  | %                |  |  |                      |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
|                                 |

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

As of September 30, 2006,Winton Master's total capitalization was $254,370,084. ThePartnership owned 40.0% of Winton Master.

September 30,2006(Unaudited)

|                                 |  |  |               |   |            |                          |  |  |                                     |  |        |                 |  |  |                      |   |            |  |  |  |  |   |           |  |  |  |  |   |           |  |
|---------------------------------|--|--|---------------|---|------------|--------------------------|--|--|-------------------------------------|--|--------|-----------------|--|--|----------------------|---|------------|--|--|--|--|---|-----------|--|--|--|--|---|-----------|--|
|                            |  |  |          |   |            |                     |  |  | ThreeMonths Ended September 30,2006 |
| MarketSector                    |  |  | Value at Risk |   |            | % of TotalCapitalization |  |  | HighValue at Risk                   |  |        | LowValue atRisk |  |  | AverageValue atRisk* |
| Currencies:                     |  |  |               |   |       |                          |  |  |                                     |  |   |                 |  |  |                      |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –Exchange TradedContracts |  |  |               | $ | 4,037,796  |                          |  |  |                                     |  | 1.59   | %               |  |  |                      | $ | 4,838,344  |  |  |  |  | $ | 2,506,658 |  |  |  |  | $ | 4,016,334 |  |
| Energy                          |  |  |               |   | 588,575    |                          |  |  |                                     |  | 0.23   | %               |  |  |                      |   | 3,465,600  |  |  |  |  |   | 588,575   |  |  |  |  |   | 1,996,647 |  |
| Grains                          |  |  |               |   | 551,952    |                          |  |  |                                     |  | 0.22   | %               |  |  |                      |   | 591,674    |  |  |  |  |   | 188,657   |  |  |  |  |   | 452,208   |  |
| InterestRatesU.S.               |  |  |               |   | 4,545,650  |                          |  |  |                                     |  | 1.79   | %               |  |  |                      |   | 4,545,650  |  |  |  |  |   | 332,923   |  |  |  |  |   | 3,203,058 |  |
| InterestRatesNon-U.S.           |  |  |               |   | 8,481,585  |                          |  |  |                                     |  | 3.33   | %               |  |  |                      |   | 8,481,585  |  |  |  |  |   | 3,996,398 |  |  |  |  |   | 6,663,421 |  |
| Livestock                       |  |  |               |   | 110,343    |                          |  |  |                                     |  | 0.04   | %               |  |  |                      |   | 183,465    |  |  |  |  |   | 78,165    |  |  |  |  |   | 142,568   |  |
| Metals:                         |  |  |               |   |       |                          |  |  |                                     |  |   |                 |  |  |                      |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
| –Exchange TradedContracts |  |  |               |   | 701,250    |                          |  |  |                                     |  | 0.28   | %               |  |  |                      |   | 1,067,170  |  |  |  |  |   | 405,020   |  |  |  |  |   | 849,593   |  |
| –OTCContracts             |  |  |               |   | 2,525,950  |                          |  |  |                                     |  | 0.99   | %               |  |  |                      |   | 2,764,433  |  |  |  |  |   | 1,721,910 |  |  |  |  |   | 2,319,815 |  |
| Indices                         |  |  |               |   | 12,465,611 |                          |  |  |                                     |  | 4.90   | %               |  |  |                      |   | 12,465,611 |  |  |  |  |   | 3,187,773 |  |  |  |  |   | 7,609,794 |  |
| Lumber                          |  |  |               |   | 1,100      |                          |  |  |                                     |  | 0.00   | %**             |  |  |                      |   | 1,800      |  |  |  |  |   | 1,100     |  |  |  |  |   | 1,100     |  |
| Softs                           |  |  |               |   | 597,876    |                          |  |  |                                     |  | 0.24   | %               |  |  |                      |   | 753,230    |  |  |  |  |   | 409,900   |  |  |  |  |   | 489,692   |  |
| Total                           |  |  |               | $ | 34,607,688 |                          |  |  |                                     |  | 13.61  | %               |  |  |                      |   |       |  |  |  |  |   |      |  |  |  |  |   |      |  |
|                                 |

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

|  |                    |
|--|--------------------|
|  | ** Due torounding. |

19

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Item 4.    Controls and Procedures

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

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PART II. OTHERINFORMATION

Item 1.     Legal Proceedings

 The following information supplements and amends ourdiscussion set forth under Part  I, Item 3, ‘‘LegalProceedings’’ in our Annual Report on Form  10-K forthe fiscal year ended December  31, 2005, as updated by ourQuarterly Report on Form  10-Q for the quarters ended March 31,2006 and June 30, 2006.

Enron Corp.

In light of thesettlement of the securities class action (Newby, et al. v. EnronCorp., et al.), the plaintiffs have agreed to dismiss the followinglawsuits against Citigroup and its affiliates: California PublicEmployees' Retirement System v. Banc of America Securities LLC,et al., Headwaters Capital LLC v. Lay et al., and VariableAnnuity Life Ins. Co. v. Credit Suisse First Boston Corp., et al.Plaintiffs in two other cases, which are not part of the Newbyclass, have also voluntarily dismissed their claims against Citigroupand its affiliates: Steiner v. Enron Corp., et al. and Townof New Hartford v. Lay, et al.

Research

On August17, 2006, the United States District Court for the Southern District ofNew York approved the class action settlement of Citigroup and itsaffiliates in In Re Salomon Analyst AT&T Litigation, and onSeptember 29, 2006 that same court approved the class actionsettlements in In Re Salomon Analyst Level 3 Litigation, In ReSalomon Analyst XO Litigation and In Re Salomon Analyst WilliamsLitigation. 

On September 14, 2006, Citigroup and itsaffiliates settled all claims in Sturm, et al. v. Citigroup, etal. The settlement was covered by existing reserves.

OnOctober 6, 2006, the United States Court of Appeals granted a review ofthe district court's decision certifying a plaintiff class inIn Re Salomon Analyst Metromedia Litigation.

AdelphiaCommunications Corporation

Defendant banks in In Re AdelphiaCommunications Corporation Securities and Derivative Litigation,including the Citigroup Parties, have entered into settlementagreements with the Los Angeles County Employees Retirement Associationand with The Division of Investment of the New Jersey Department ofTreasury. The Citigroup Parties' share of the settlement wascovered by existing reserves.

Item 1A.    Risk Factors

There are no material changes from the risk factors set forth underPart I, Item 1A. ‘‘Risk Factors’’ in our AnnualReport on Form 10-K for the fiscal year ended December 31,2005.

21

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Item 2.    Unregistered Salesof Equity Securities and Use of Proceeds

For the threemonths ended September 30, 2006 there were additional sales of21,055.5706 Redeemable Units of Limited Partnership totaling$36,906,000. The Redeemable Units were issued in reliance uponapplicable exemptions from registration under Section  4(2) ofthe Securities Act of 1933, as amended, and Section 506 of Regulation Dpromulgated there under.

Proceeds from the sale ofadditional Redeemable Units are used in the trading of commodityinterests including futures contracts, options, forwards and swapcontracts.

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

|                                            |  |  |                                     |  |            |                                 |  |  |                                                                                 |   |          |                                                                                                            |  |  |  |  |     |  |  |  |  |  |     |  |
|--------------------------------------------|--|--|-------------------------------------|--|------------|---------------------------------|--|--|---------------------------------------------------------------------------------|---|----------|------------------------------------------------------------------------------------------------------------|--|--|--|--|-----|--|--|--|--|--|-----|--|
| Period                                     |  |  | (a)Total Number of Units Purchased* |  |            | (b) AveragePricePaid per Unit** |  |  | (c) Total Numberof UnitsPurchased as Part of Publicly AnnouncedPlans orPrograms |   |          | (d) Maximum Number(or ApproximateDollarValue) of Units that May Yet Be Purchased Under thePlansor Programs |
| July 1, 2006− July 31,2006           |  |  |                                     |  | 1,056.8425 |                                 |  |  |                                                                                 | $ | 1,733.29 |                                                                                                            |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
| August1, 2006 − August 31,2006       |  |  |                                     |  | 1,634.1401 |                                 |  |  |                                                                                 | $ | 1,713.84 |                                                                                                            |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
| September1, 2006 − September 30,2006 |  |  |                                     |  | 511.4423   |                                 |  |  |                                                                                 | $ | 1,756.57 |                                                                                                            |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
|                                       |  |  |                                     |  | 3,202.4249 |                                 |  |  |                                                                                 | $ | 1,734.57 |                                                                                                            |  |  |  |  | N/A |  |  |  |  |  | N/A |  |
|                                            |

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

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

Item3.    Defaults Upon Senior Securities – None

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

Item 5.    Other Information– None

Item 6.    Exhibits

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

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

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

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

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

Exhibit – 33 – ManagementAgreement among the Partnership, the General Partner and AAA CapitalManagement Advisors, Ltd. (filedherein).

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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 14,2006                                   |
| By:    |  |  | /s/JenniferMagro                                   |
|   |  |  | JenniferMagro Chief Financial Officer and Director |
| Date:  |  |  | November 14,2006                                   |
|        |

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