Ceres Orion (OFFLP) 10-Q 2007 Q2 Quarterly report

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For The Quarterly Period Ended June 30, 2007

OR (  ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the Transition Period from to

Commission File Number 0-50271

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

New York			22-3644546
(State or other jurisdiction of incorporation or organization)			(I.R.S. Employer Identification No.)

c/o Citigroup Managed Futures LLC
731 Lexington Avenue – 25th Fl.
New York, New York 10022

(Address of principal executive offices) (Zip Code)

(212) 559-2011

(Registrant’s telephone number, including area code)

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

Yes  X    No  

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of ‘‘accelerated filer and large accelerated filer’’ in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer Accelerated filer Non-accelerated filer   X  

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

Yes      No  X

As of July 31, 2007, 197,422.3904 Limited Partnership Units were outstanding.

Table of Contents

Salomon Smith Barney Orion Futures Fund L.P.

FORM 10-Q

INDEX

						Page Number
PART I - Financial Information:
Item 1.			Financial Statements:
			Statements of Financial Condition at June 30, 2007 and December 31, 2006 (unaudited)			3
			Condensed Schedules of Investments at June 30, 2007 and December 31, 2006 (unaudited)			4 – 5
			Statements of Income and Expenses and Partners’ Capital for the three and six months ended June 30, 2007 and 2006 (unaudited)			6
			Statements of Cash Flows for the three and six months ended June 30, 2007 and 2006 (unaudited)			7
			Notes to Financial Statements (unaudited)			8 – 13
Item 2.			Management’s Discussion and Analysis of Financial Condition and Results of Operations			14 – 16
Item 3.			Quantitative and Qualitative Disclosures about Market Risk			17 – 19
Item 4.			Controls and Procedures			20
PART II - Other Information						21

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PART I

Item 1. Financial Statements

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

			June 30, 2007						December 31, 2006
Assets:
Investments in Partnerships, at fair value				$	364,596,428					$	294,091,565
Equity in commodity futures trading account:
Cash (restricted $1,907,690 and $1,703,865 in 2007 and 2006, respectively) in commodity futures trading account					22,939,310						17,999,546
Net unrealized appreciation on open futures positions					912,184						989,565
					388,447,922						313,080,676
Interest receivable					88,866						75,663
				$	388,536,788					$	313,156,339
Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage commissions				$	1,303,286					$	1,208,912
Management fees					584,248						471,642
Administrative fees					161,292						129,931
Incentive fees					1,777,646						1,098,712
Other					133,349						111,498
Redemptions payable					4,452,332						1,737,566
					8,412,153						4,758,261
Partners’ Capital:
General Partner, 428.9590 and 865.3542 Redeemable Unit equivalents outstanding in 2007 and 2006, respectively					835,942						1,581,686
Limited Partners, 194,630.1442 and 167,862.2467 Redeemable Units of Limited Partnership Interest outstanding in 2007 and 2006, respectively					379,288,693						306,816,392
					380,124,635						308,398,078
				$	388,536,788					$	313,156,339

See accompanying notes to financial statements.

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Salomon Smith Barney Orion Futures Fund L.P.
Condensed Schedule of Investments
June 30, 2007
(Unaudited)

			Fair Value						% of Partners’ Capital
Futures Contracts Purchased
Currencies				$	84,060						0.02	%
Energy					189,570						0.05
Grains					(52,116	)					(0.01	)
Metals					1,375						0.00	*
Softs					42,147						0.01
Total futures contracts purchased					265,036						0.07
Futures Contracts Sold
Currencies					(8,250	)					(0.00	)*
Energy					171,270						0.05
Grains					15,300						0.00	*
Interest Rates U.S.					134,773						0.03
Interest Rates Non-U.S.					250,985						0.07
Metals					83,070						0.02
Total futures contracts sold					647,148						0.17
Investments in Partnerships
SB AAA Master Fund LLC					150,500,658						39.59
CMF Willowbridge Argo Master Fund LP					67,445,781						17.74
CMF Winton Master LP					146,649,989						38.58
Total investments in Partnerships					364,596,428						95.91
Total fair value				$	365,508,612						96.15	%

* Due to rounding.

See accompanying notes to financial statements.

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Salomon Smith Barney Orion Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2006
(Unaudited)

			Fair Value						% of Partners’ Capital
Futures Contracts Purchased
Currencies				$	10,537						0.00	%*
Grains					27,975						0.01
Livestock					14,400						0.00	*
Softs					25,725						0.01
Total futures contracts purchased					78,637						0.02
Futures Contracts Sold
Currencies					236,644						0.08
Energy					56,156						0.02
Interest Rates U.S.					109,219						0.03
Interest Rates Non-U.S.					394,209						0.13
Metals					114,700						0.04
Total futures contracts sold					910,928						0.30
Investments in Partnerships
SB AAA Master Fund LLC					115,735,742						37.53
CMF Willowbridge Argo Master Fund LP					62,429,347						20.24
CMF Winton Master LP					115,926,476						37.59
Total investments in Partnerships					294,091,565						95.36
Total fair value				$	295,081,130						95.68	%

* Due to rounding.

See accompanying notes to financial statements.

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Salomon Smith Barney Orion Futures Fund L.P.
Statements of Income and Expenses and Partners’ Capital
(Unaudited)

			Three Months Ended June 30,												Six Months Ended June 30,
			2007						2006						2007						2006
Income:
Net gains on trading of commodity interests and investments in Partnerships:
Realized gains on closed postitions				$	2,590,203					$	1,791,425					$	2,696,133					$	1,409,240
Change in unrealized gains on open positions and investments in Partnerships					46,962,274						13,925,306						30,358,088						31,565,064
					49,552,477						15,716,731						33,054,221						32,974,304
Interest income					273,178						148,568						519,626						259,520
					49,825,655						15,865,299						33,573,847						33,233,824
Expenses:
Brokerage commissions including clearing fees of $13,633, $10,548, $29,790 and $20,974, respectively					1,443,088						1,125,375						3,057,442						2,546,479
Management fees					1,664,689						1,117,893						3,111,895						2,041,812
Administrative fees					459,712						307,113						859,611						560,942
Incentive fees					1,777,646						633,539						1,777,646						3,736,128
Other					39,787						75,001						86,434						150,001
					5,384,922						3,258,921						8,893,028						9,035,362
Net income					44,440,733						12,606,378						24,680,819						24,198,462
Additions — Limited Partners					34,032,000						24,641,000						73,628,000						56,150,000
Redemptions — Limited Partners					(14,335,615	)					(6,806,731	)					(25,832,129	)					(10,375,236	)
Redemptions — General Partner					—						—						(750,133	)					—
Net increase in Partners’ Capital					64,137,118						30,440,647						71,726,557						69,973,226
Partners’ Capital, beginning of period					315,987,517						211,974,901						308,398,078						172,442,322
Partners’ Capital, end of period				$	380,124,635					$	242,415,548					$	380,124,635					$	242,415,548
Net Asset Value per Unit
(195,059.1032 and 134,029.6509 Redeemable Units outstanding at June 30, 2007 and 2006, respectively)				$	1,948.77					$	1,808.67					$	1,948.77					$	1,808.67
Net income per Redeemable Unit of Limited Partnership Interest and General Partner Redeemable Unit     equivalent				$	229.84					$	99.32					$	120.98					$	197.34

See accompanying notes to financial statements.

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

			Three Months Ended June 30,												Six Months Ended June 30,
			2007						2006						2007						2006
Cash flows from operating activities:
Net income				$	44,440,733					$	12,606,378					$	24,680,819					$	24,198,462
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Changes in operating assets and liabilities:
Purchase of investments in Partnerships					(32,226,840	)					(23,891,250	)					(70,607,960	)					(55,400,250	)
Proceeds from sale of investments in Partnerships					14,342,235						9,891,254						30,538,565						16,215,560
Net unrealized (appreciation) depreciation on investments in Partnerships					(47,775,947	)					(14,625,739	)					(30,435,468	)					(31,361,143	)
(Increase) decrease in restricted cash					654,451						356,094						(203,825	)					437,077
(Increase) decrease in net unrealized appreciation on open futures positions					813,674						700,437						77,381						(26,833	)
(Increase) decrease in interest receivable					(4,648	)					(9,173	)					(13,203	)					(14,274	)
Accrued expenses:
Increase (decrease) in brokerage commissions					128,103						10,450						94,374						302,242
Increase (decrease) in management fees					103,072						46,328						112,606						100,121
Increase (decrease) in administrative fees					28,561						12,613						31,361						28,675
Increase (decrease) in incentive fees					1,777,646						(2,469,050	)					678,934						(258,287	)
Increase (decrease) in other					(7,811	)					(6,855	)					21,851						68,145
Net cash provided by (used in) operating activities					(17,726,771	)					(17,378,513	)					(45,024,565	)					(45,710,505	)
Cash flows from financing activities:
Proceeds from additions — Limited Partners					34,032,000						24,641,000						73,628,000						56,150,000
Payments for redemptions — Limited Partners					(11,835,289	)					(4,565,851	)					(23,117,363	)					(8,048,702	)
Payments for redemptions — General Partner					—						—						(750,133	)					—
Net cash provided by (used in) financing activities					22,196,711						20,075,149						49,760,504						48,101,298
Net change in unrestricted cash					4,469,940						2,696,636						4,735,939						2,390,793
Unrestricted cash, at beginning of period					16,561,680						8,240,252						16,295,681						8,546,095
Unrestricted cash, at end of period				$	21,031,620					$	10,936,888					$	21,031,620					$	10,936,888

See accompanying notes to financial statements.

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Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

1.    General:

Salomon Smith Barney Orion Futures Fund L.P. (the ‘‘Partnership’’) is a limited partnership which was organized on March 22, 1999 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including commodity options, commodity futures and forward contracts on United States exchanges and certain foreign exchanges. The Partnership may trade commodity futures and options contracts of any kind. In addition, the Partnership may enter into swap contracts on energy-related products. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk.

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

Citigroup Managed Futures LLC, a Delaware limited liability company, is the Partnership’s general partner and commodity pool operator (the ‘‘General Partner’’). The Partnership’s commodity broker is Citigroup Global Markets Inc. (‘‘CGM’’). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. (‘‘CGMHI’’), which is the sole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. (‘‘Citigroup’’). As of June 30, 2007, all trading decisions are made by Willowbridge Associates Inc., (‘‘Willowbridge’’), Winton Capital Management Limited (‘‘Winton’’) and AAA Capital Management Advisors, Ltd. (successor to AAA Capital Management, Inc.) (‘‘AAA’’) (each an ‘‘Advisor’’ and, collectively, the &ls quo;‘Advisors’’). Willowbridge trades both the Willowbridge Argo and Willowbridge Vulcan trading systems for the Partnership.

The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at June 30, 2007 and December 31, 2006 and the results of its operations and cash flows for the three and six months ended June 30, 2007 and 2006. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the ‘‘SEC’’) for the year ended December 31, 2006.

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

Certain prior period amounts have been reclassified to conform to the presentation of the current period.

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Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

2.    Financial Highlights:

Changes in Net Asset Value per Redeemable Unit of Limited Partnership interest for the three and six months ended June 30, 2007 and 2006 were as follows:

			Three Months Ended June 30,												Six Months Ended June 30,
			2007						2006						2007						2006
Net realized and unrealized gains*				$	248.69					$	114.56					$	149.04					$	248.45
Interest Income					1.41						1.13						2.78						2.06
Expenses**					(20.26	)					(16.37	)					(30.84	)					(53.17	)
Increase for the period					229.84						99.32						120.98						197.34
Net Asset Value per Redeemable Unit, beginning of period					1,718.93						1,709.35						1,827.79						1,611.33
Net Asset Value per Redeemable Unit, end of period				$	1,948.77					$	1,808.67					$	1,948.77					$	1,808.67

* Includes brokerage commissions.

** Excludes brokerage commissions.

Ratios to Average Net Assets:***
Net investment loss before incentive fees****					(3.8	)%					(4.2	)%					(4.0	)%					(4.8	)%
Operating expense					4.1	%					4.5	%					4.3	%					5.0	%
Incentive fees					0.5	%					0.3	%					0.5	%					1.7	%
Total expenses					4.6	%					4.8	%					4.8	%					6.7	%
Total return:
Total return before incentive fees					13.9	%					6.1	%					7.1	%					14.0	%
Incentive fees					(0.5	)%					(0.3	)%					(0.5	)%					(1.8	)%
Total return after incentive fees					13.4	%					5.8	%					6.6	%					12.2	%

*** Annualized (other than incentive fees).

**** Interest income less total expenses (exclusive of incentive fees).

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners’ share of income, expenses and average net assets.

3.    Trading Activities:

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

The customer agreement between the Partnership and CGM gives the Partnership the legal right to net unrealized gains and losses on open futures positions.

All of the commodity interests owned by the Partnership are held for trading purposes. The average fair values of these interests during the six and twelve months ended June 30, 2007 and December 31,

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Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

2006, based on a monthly calculation, were $980,414 and $821,870, respectively. The fair values of these commodity interests, including options and swaps thereon, if applicable, at June 30, 2007 and December 31, 2006, were $912,184 and $989,565, respectively. Fair values for exchange traded commodity futures and options are based on quoted market prices for those futures and options. Fair values for all other financial instruments for which market quotations are not readily available are based on other measures of fair values deemed appropriate by the General Partner.

4.    Investments in Partnerships:

On September 1, 2001, the assets allocated to AAA for trading were invested in SB AAA Master Fund LLC, a New York limited liability company (‘‘AAA Master’’). The Partnership purchased 5,173.4381 units of AAA Master with cash of $5,173,438. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program – Futures and Swaps, to invest together in one trading vehicle. The General Partner is the managing member of AAA Master. Individual and pooled accounts currently managed by AAA, including the Partnership, are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to investors as a result of the investment in AAA Master are approximately the same and redemption rights are not affected.

On November 1, 2004, the assets allocated to Winton for trading were invested in CMF Winton Master L.P. (‘‘Winton Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 35,389.8399 units of Winton Master with cash of $33,594,083 and a contribution of open commodity futures and forward positions with a fair value of $1,795,757. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, to invest together in one trading vehicle. The General Partner of the partnership is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to investors as a result of investment in Winton Master are approximately the same and redemption rights are not affected.

On July 1, 2005, the assets allocated to Willowbridge Argo for trading were invested in CMF Willowbridge Argo Master Fund L.P. (‘‘Willowbridge Master’’), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 33,529.1186 units of Willowbridge Master with cash of $29,866,194 and a contribution of open commodity futures and forward positions with a fair value of $3,662,925. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Trading Program to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts managed by Willowbridge, including the Partnership are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the tr ading process. Expenses to investors as a result of investment in Willowbridge Master are approximately the same and redemption rights are not affected.

AAA Master’s, Willowbridge Master’s and Winton Master’s (the ‘‘Funds’’) commodity broker is CGM. CGM is an affiliate of the managing member/General Partner.

The Funds’ trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. All engage in such trading through commodity brokerage accounts maintained with CGM.

A non-managing member/limited partner may withdraw all or part of its capital contribution and undistributed profits, if any, from the Funds in multiples of the Net Asset Value per Redeemable Unit of non-managing/limited partnership interest as of the last day of a month after a request for redemption has been made to the managing member/General Partner at least 3 days in advance of month-end.

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Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Funds. All other fees, including CGM’s direct brokerage commission, are charged at the Partnership level.

At June 30, 2007 and December 31, 2006, the Partnership owned 14.5% and 11.6%, respectively, of AAA Master. At June 30, 2007 and December 31, 2006, the Partnership owned 39.8% and 33.9% of Willowbridge Master. At June 30, 2007 and December 31, 2006, the Partnership owned 37.8% and 42.3%, respectively, of Winton Master. It is AAA’s, Willowbridge’s and Winton’s intention to continue to invest the assets allocated to each by the Partnership in AAA Master, Willowbridge Master and Winton Master, respectively. The performance of the Partnership is directly affected by the performance of the Funds.

Summarized information reflecting the Total Assets, Liabilities and Capital for the Funds are shown in the following tables.

			June 30, 2007
			Funds’						Funds’						Funds’
			Total Assets						Total Liabilities						Total Capital
AAA Master				$	1,272,255,493					$	236,573,686					$	1,035,681,807
Willowbridge Master					169,272,450						577,466						168,694,984
Winton Master					391,048,128						4,917,702						386,130,426
Total				$	1,832,576,071					$	242,068,854					$	1,590,507,217

			December 31, 2006
			Funds’						Funds’						Funds’
			Total Assets						Total Liabilities						Total Capital
AAA Master				$	1,140,709,291					$	147,349,392					$	993,359,899
Willowbridge Master					184,225,476						657,346						183,568,130
Winton Master					276,590,109						3,706,951						272,883,158
Total				$	1,601,524,876					$	151,713,689					$	1,449,811,187

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Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

Summarized information reflecting the Partnership’s investments in, and the operations of, the Funds are as shown in the following tables.

			June 30, 2007												For the three months ended June 30, 2007
			% of Partnership’s Net Assets						Fair Value						Income (Loss)						Expenses												Net Income (loss)						Investment Objective			Redemption Permitted
Investment																					Commissions						Other
SB AAA Master Fund LLC					39.59	%				$	150,500,658					$	13,392,846					$	110,412					$	14,675					$	13,267,759				Energy Markets					Monthly
CMF Willowbridge Argo Master Fund LP					17.74	%					67,445,781						16,193,670						46,377						3,568						16,143,725				Commodity Portfolio					Monthly
CMF Winton Master LP					38.58	%					146,649,989						18,442,740						74,187						4,090						18,364,463				Commodity Portfolio					Monthly
Total										$	364,596,428					$	48,029,256					$	230,976					$	22,333					$	47,775,947

			June 30, 2007												For the six months ended June 30, 2007
			% of Partnership’s Net Assets						Fair Value						Income (Loss)						Expenses												Net Income (loss)						Investment Objective			Redemption Permitted
Investment																					Commissions						Other
SB AAA Master Fund LLC					39.59	%				$	150,500,658					$	14,423,601					$	215,251					$	27,858					$	14,180,492				Energy Markets					Monthly
CMF Willowbridge Argo Master Fund LP					17.74	%					67,445,781						5,247,176						100,095						6,846						5,140,235				Commodity Portfolio					Monthly
CMF Winton Master LP					38.58	%					146,649,989						11,313,602						190,337						8,524						11,114,741				Commodity Portfolio					Monthly
Total										$	364,596,428					$	30,984,379					$	505,683					$	43,228					$	30,435,468

			December 31, 2006												For the three months ended June 30, 2006
			% of Partnership’s Net Assets						Fair Value						Income (Loss)						Expenses												Net Income (loss)						Investment Objective			Redemption Permitted
Investment																					Commissions						Other
SB AAA Master Fund LLC					37.53	%				$	115,735,742					$	5,160,026					$	94,913					$	8,625					$	5,056,488				Energy Markets					Monthly
CMF Willowbridge Argo Master Fund LP					20.24	%					62,429,347						8,266,939						51,038						2,345						8,213,556				Commodity Portfolio					Monthly
CMF Winton Master LP					37.59	%					115,926,476						1,433,722						78,027						—						1,355,695				Commodity Portfolio					Monthly
Total										$	294,091,565					$	14,860,687					$	223,978					$	10,970					$	14,625,739

			December 31, 2006												For the six months ended June 30, 2006
			% of Partnership’s Net Assets						Fair Value						Income (Loss)						Expenses												Net Income (loss)						Investment Objective			Redemption Permitted
Investment																					Commissions						Other
SB AAA Master Fund LLC					37.53	%				$	115,735,742					$	22,318,342					$	183,455					$	16,453					$	22,118,434				Energy Markets					Monthly
CMF Willowbridge Argo Master Fund LP					20.24	%					62,429,347						3,973,273						91,612						4,537						3,877,124				Commodity Portfolio					Monthly
CMF Winton Master LP					37.59	%					115,926,476						5,553,364						187,268						511						5,365,585				Commodity Portfolio					Monthly
Total										$	294,091,565					$	31,844,979					$	462,335					$	21,501					$	31,361,143

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Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2007
(Unaudited)

5.    Financial Instrument Risks:

In the normal course of its business, the Partnership and the Funds are party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (‘‘OTC’’). Exchange traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and inc lude forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract.

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

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Partnership’s and Funds’ risk of loss in the event of counterparty default is typically limited to the amounts recognized as unrealized appreciation in the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments. The Partnership and Funds have concentration risk because the sole counterparty or broker with respect to the Partnership’s and Funds’ assets is CGM.

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

The majority of these instruments mature within one year of June 30, 2007. However, due to the nature of the Partnership’s and Funds’ businesses, these instruments may not be held to maturity.

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

Liquidity and Capital Resources

The Partnership does not engage in the sale of goods or services. The Partnership’s only assets are its (i) investments in Partnerships (ii) equity in its commodity futures trading account consisting of cash, net unrealized appreciation on open futures and forward contracts, commodity options, if applicable, and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a decrease in liquidity, no such losses occurred in the second quarter of 2007.

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

For the six months ended June 30, 2007, Partnership capital increased 23.3% from $308,398,078 to $380,124,635. This increase was attributable to net income from operations of $24,680,819 coupled with additional sales of 40,738.0528 Redeemable Units of Limited Partnership totaling 73,628,000, which was partially offset by the redemption of 13,970.1553 Redeemable Units resulting in an outflow of $25,832,129 and 436.3952 General Partner Unit equivalents totaling $750,133. Future redemptions can impact the amount of funds available for investment in the Partnership in subsequent periods.

Critical Accounting Policies

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

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

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

In July 2006, the Financial Accounting Standards Board (the ‘‘FASB’’) released FASB Interpretation No. 48 ‘‘Accounting for Uncertainty in Income Taxes’’ (FIN 48).  FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course

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of preparing the Partnership’s tax returns to determine whether the tax positions are ‘‘more-likely-than-not’’ of being sustained by the applicable tax authority.  Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Partnership adopted FIN 48 as of January 1, 2007 and the application of this standard did not impact on the financial statements.

In September 2006, the FASB issued Statement of Financial Accounting Standards (‘‘SFAS’’) No. 157, FAIR VALUE MEASUREMENTS. This accounting standard establishes a single authoritative definition of fair value sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and the interim periods within those fiscal years. As of June 30, 2007, the Partnership is still evaluating the impact the adoption of SFAS No. 157 will have on the financial statement amounts; however, additional disclosures will be required about the inputs used to develo p the measurements and the effect of certain measurements on changes in Partners’ Capital for the period.

Results of Operations

During the Partnership’s second quarter of 2007, the Net Asset Value per Redeemable Unit increased 13.4% from $1,718.93 to $1,948.77 as compared to an increase of 5.8% in the second quarter of 2006. The Partnership experienced a net trading gain (comprised of realized gains (losses) on closed positions and changes in unrealized gains (losses) on open positions and investments in Partnerships) before brokerage commissions and related fees in the second quarter of 2007 of $49,552,477. Gains were primarily attributable to the Fund’s trading of currencies, energy, grains, U.S. and non-U.S. interest rates, and indices and were partially offset by losses in metals, livestock, and softs. The Partnership experienced a net trading gain before brokerage commissions and related fees in the second quarter of 2006 of $15,716,731. Gains were primarily attributable to the Fund’s trading of currencies, energy, U.S. and non-U.S. interest rates, and metals and w ere partially offset by losses in grains, livestock, softs and indices.

Favorable trading conditions during the second quarter of 2007, especially in the financial sectors, provided gains for the Partnership. Profits earned in global and U.S. fixed income markets, energy and currency were more than sufficient to offset small losses accumulated in trading metals and soft commodities.

The global economy remained stable in the quarter as relatively low interest rates and high levels of liquidity in the capital markets were the backdrop to the highest corporate activities in recent history. Gains were realized from trading in fixed income markets domestically and globally on stronger than expected economic data and increased inflationary pressures. In the energy market, profits were earned from fundamental trading across the petroleum complex, especially in gasoline and natural gas futures. Profits were earned in trading currency as trends in the Japanese yen, the New Zealand dollar and the Pound Sterling persisted.

Slightly offsetting gains were losses in metals and soft commodities. Losses were taken in metals as the U.S. dollar unexpectedly strengthened in May and signs of slowing Chinese economic growth caused prices to move erratically. Soft commodities prices were dominated by sharp reversals, especially in cocoa and coffee, resulting in losses for the sector.

During the six months ended June 30, 2007, the Net Asset Value per Redeemable Unit increased 6.6% from $1,827.79 to $1,948.77 as compared to an increase of 12.2% during the six months ended June 30, 2006. The Partnership experienced a net trading gain before brokerage commissions and related fees in the six months ended June 30, 2007 of $33,054,221. Gains were primarily attributable to the Funds’ trading of commodity futures in energy, non-U.S. interest rates, currencies, and indicies and were partially offset by losses in grains, livestock, U.S. interest rates and softs. The Partnership experienced a net trading gain before brokerage commissions and related fees in the six months ended June 30, 2006 of $32,974,304. Gains were primarily attributable to the Funds’ trading of commodity futures in energy, U.S. and non U.S. interest rates, metals and indices and were partially offset by losses in currencies, grains, livestock and softs.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The

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profitability of the Partnership depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through operations. As opposed to the other Advisors, AAA is aware of price trends but does not trade upon trends. AAA often takes profits in positions with specific trends even though that trend may still be intact or perhaps even stronger. AAA occasionally establishes positions that are counter-trend.

Interest income is earned on 100% of the Partnership’s average daily equity maintained in cash in its account during each month at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. CGM may continue to maintain the Partnership’s assets in cash and/or place all of the Partnership’s assets in 90-day Treasury bills and pay the Partnership 100% of the interest earned on Treasury bills purchased. Interest income for the three and six months ended June 30, 2007 increased by $124,610 and $260,106 as compared to the corresponding periods in 2006. The increase is due to the higher average net assets held for direct trading for the Partnership when compared to the corresponding periods in 2006. The interest earned at the investment in Partnerships level is included in the Partnership’s share of overall net income (loss) of the other partnerships in 2007 as compared to 2006.

Brokerage commissions are based on the number of trades executed by the Advisors. Brokerage commissions and fees for the three and six months ended June 30, 2007 increased by $317,713 and $510,963, as compared to the corresponding periods in 2006. The increase in commissions and fees is primarily due to an increase in the number of trades during the three and six months ended June 30, 2007 as compared to the corresponding period in 2006.

Management fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance, additions and redemptions. Management fees for the three and six months ended June 30, 2007 increased by $546,796 and $1,070,083, as compared to the corresponding periods in 2006. The increase of management fees is due to an increase in net assets during the three and six months ended June 30, 2007 as compared to the corresponding periods in 2006.

Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the Partnership’s net asset value as of the end of each month and are affected by trading performance and redemptions. Administrative fees for the three and six months ended June 30, 2007 increased by $152,599 and $298,669, as compared to the corresponding periods in 2006. The increase in administrative fees is due to an increase in net assets during the three and six months ended June 30, 2007 as compared to the corresponding periods in 2006.

Incentive fees paid by the Partnership are based on the new trading profits generated by each Advisor at the end of the quarter, as defined in the management agreements between the Partnership, the General Partner and each Advisor. Trading performance for the three and six months ended June 30, 2007 resulted in incentive fees of $1,777,646. Trading performance for the three and six months ended June 30, 2006 resulted in incentive fees of $633,539 and $3,736,128, respectively.

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Item 3.    Quantitative and Qualitative Disclosures about Market Risk

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

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

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

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

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

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The following tables indicates the trading Value at Risk associated with the Partnership’s investments and investments in other Partnerships by market category as of June 30, 2007 and the highest, lowest and average value during the three months ended June 30, 2007. All open position trading risk exposures of the Partnership/Funds have been included in calculating the figures set forth below. As of June 30, 2007, the Partnership’s total capitalization was $380,124,635. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2006.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
— Exchange Traded Contracts				$	172,125						0.05	%				$	354,777					$	78,555					$	163,618
Energy					473,400						0.13	%					832,000						98,000						291,967
Grains					89,550						0.02	%					158,400						28,350						93,550
Interest Rates U.S.					124,200						0.03	%					185,500						13,054						78,733
Interest Rates Non-U.S.					291,039						0.08	%					345,942						118,088						249,555
Metals:
— Exchange Traded Contracts					297,000						0.08	%					516,750						45,000						256,500
Softs					55,800						0.01	%					229,800						32,400						62,267
Total				$	1,503,114						0.40	%

*       Average month-end Values at Risk

As of June 30, 2007, AAA Master’s total capitalization was $1,035,681,807. The Partnership owned 14.5% of AAA Master.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Energy				$	78,555,966						7.59	%				$	85,311,921					$	65,718,285					$	73,529,778
Energy Swaps					4,720,046						0.46	%					4,720,046						4,720,046						4,720,046
Grains					460,875						0.04	%					800,333						211,209						444,899
Total				$	83,736,887						8.09	%

*    Average month-end Values at Risk

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As of June 30, 2007, Willowbridge Master’s total capitalization was $168,694,984. The Partnership owned 39.8% of Willowbridge Master.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
– Exchange Traded Contracts				$	3,189,836						1.89	%				$	5,480,328					$	2,665,600					$	3,958,243
Energy					5,049,600						2.99	%					11,515,000						2,275,050						5,155,200
Grains					820,800						0.49	%					1,621,620						483,840						662,240
Interest Rates U.S.					2,649,000						1.57	%					3,312,000						528,000						1,907,000
Interest Rates Non-U.S.					6,208,816						3.68	%					7,731,444						1,711,761						6,524,384
Livestock					144,000						0.09	%					148,500						4,500						48,000
Metals:
– Exchange Traded Contracts					1,248,000						0.74	%					4,047,000						768,000						2,551,333
Softs					595,200						0.35	%					1,244,600						249,600						689,933
Total				$	19,905,252						11.80	%

* Average of month-end Values at Risk

As of June 30, 2007, Winton Master’s total capitalization was $386,130,426. The Partnership owned 37.8% of Winton Master.

June 30, 2007
(Unaudited)

															Three months ended June 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Currencies:
– Exchange Traded Contracts				$	3,908,381						1.01	%				$	4,966,647					$	3,372,271					$	4,151,347
Energy					1,263,912						0.33	%					1,520,262						766,962						1,253,446
Grains					1,598,280						0.41	%					1,761,864						1,269,309						1,495,152
Interest Rates U.S.					7,743,898						2.01	%					3,214,600						178,160						1,577,895
Interest Rates Non-U.S.					1,279,300						0.33	%					9,740,034						5,561,866						7,876,534
Livestock					92,065						0.02	%					95,785						16,176						74,861
Lumber					1,100						0.00	%**					2,200						1,100						1,100
Metals:
– Exchange Traded Contracts					577,230						0.15	%					1,046,820						577,230						764,360
– OTC Contracts					1,797,497						0.47	%					2,373,605						1,387,850						1,955,157
Softs					1,068,674						0.28	%					1,110,995						739,983						948,868
Indices					8,891,528						2.30	%					11,623,923						6,709,777						9,466,436
Total				$	28,221,865						7.31	%

* Average of month-end Values at Risk

** Due to rounding

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Item 4.    Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Exchange Act is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2007 and, based on that evaluation, the CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with generally accepted accounting principles. These controls include policies and procedures that:

	•	pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

	•	provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

	•	provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended June 30, 2007 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1.    Legal Proceedings.

The following information supplements and amends our discussion set forth under Part I, Item 3 ‘‘Legal Proceedings’’ in our Annual Report on Form 10-K for the fiscal year ended December 31, 2006, as updated by our Quarterly Report on Form 10-Q for the quarter ended March 31, 2007.

Research

Customer Class Actions.

On May 3, 2007, the District Court remanded DISHER V. CITIGROUP GLOBAL MARKETS, INC., to Illinois state court.  On June 13, 2007, Citigroup moved in state court to dismiss the action.

Mutual Funds

In May 2007, CGMI finalized its settlement agreement with the NYSE and the New Jersey Bureau of Securities on the matter related to its market-timing practices prior to September 2003.

IPO Securities Litigation

On May 18, 2007, the Second Circuit denied plaintiffs’ petition for rehearing en banc of the Second Circuit’s decision reversing the district court’s class certification.

IPO Antitrust Litigation

On June 18, 2007, the United States Supreme Court ruled that the securities law precludes application of the antitrust laws to the claims asserted by plaintiffs, effectively terminating the litigation.

Item 1A.    Risk Factors

There are no material changes from the risk factors set forth under Part I, Item 1A. ‘‘Risk Factors’’ in our Annual Report on Form 10-K for the fiscal year ended December 31, 2006 and under Part II, Item 1A. ‘‘Risk Factors’’ in the Partnerships Quarterly Report on Form 10-Q for the quarter ended March 31, 2007.

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Item 2.    Unregistered Sales of Equity Securities and Use of Proceeds.

For the three months ended June 30, 2007 there were additional sales to Limited Partners of 18,789.5155 Redeemable Units of Limited Partnership totaling $34,032,000. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated there under.

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

The following chart sets forth the purchases of Redeemable Units by the Partnership.

Period			(a) Total Number of Redeemable Units Purchased*						(b) Average Price Paid per Redeemable Unit**						(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs						(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
April 1, 2007 − April 30, 2007					1,270.5998					$	1,822.99						N/A						N/A
May 1, 2007 − May 31, 2007					4,002.9158					$	1,890.37						N/A						N/A
June 1, 2007 − June 30, 2007					2,284.6882					$	1,948.77						N/A						N/A
					7,558.2038					$	1,887.38

* Generally, Limited Partners are permitted to redeem their Redeemable Units as of the end of each month on 10 days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption but to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for Limited Partners.

** Redemptions of Redeemable Units are effected as of the last day of each month at the Net Asset Value per Redeemable Unit as of that day.

Item 3.	Defaults Upon Senior Securities. None.

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

Item 5.	Other Information. None.

Item 6.    Exhibits

	The exhibits required to be filed by Item 601 of Regulation S-K are incorporated herein by reference to the exhibit index of the Partnership’s Annual Report on Form 10-K for the period ended December 31, 2006.

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

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

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

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

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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 behalf by the undersigned, thereunto duly authorized.

SALOMON SMITH BARNEY ORION FUTURES FUND L.P.

By:			Citigroup Managed Futures LLC
			(General Partner)
By:			/s/ Jerry Pascucci
			Jerry Pascucci President and Director
Date:			August 14, 2007
By:			/s/ Jennifer Magro
			Jennifer Magro Chief Financial Officer and Director
Date:			August 14, 2007

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