Ceres Orion (OFFLP) 10-Q 2007 Q3 Quarterly report

Table of Contents

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 September 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 October 31, 2007, 204,156.2475 Limited Partnership Redeemable Units were outstanding.

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 September 30, 2007 and December 31, 2006 (unaudited)			3
						Condensed Schedules of Investments at September 30, 2007 and December 31, 2006 (unaudited)			4 – 5
						Statements of Income and Expenses and Partners’ Capital for the three and nine months ended September 30, 2007 and 2006 (unaudited)			6
						Statements of Cash Flows for the three and nine months ended September 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 – 17
			Item 3.			Quantitative and Qualitative Disclosures about Market Risk			18 – 20
			Item 4.			Controls and Procedures			21
PART II - Other Information									22 – 23

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PART I

Item 1. Financial Statements

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

			September 30, 2007						December 31, 2006
Assets:
Investments in Partnerships, at fair value				$	390,442,476					$	294,091,565
Equity in commodity futures trading account:
Cash (restricted $2,250,941 and $1,703,865 in 2007 and 2006, respectively)					27,565,067						17,999,546
Net unrealized appreciation on open futures positions					2,374,781						989,565
					420,382,324						313,080,676
Interest receivable					92,960						75,663
				$	420,475,284					$	313,156,339
Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Brokerage commissions				$	981,809					$	1,208,912
Management fees					632,010						471,642
Administrative fees					174,778						129,931
Incentive fees					1,591,521						1,098,712
Other					27,321						111,498
Redemptions payable					5,359,223						1,737,566
					8,766,662						4,758,261
Partners’ Capital:
General Partner, 428.9590 and 865.3542 Redeemable Unit equivalents outstanding in 2007 and 2006, respectively					858,557						1,581,686
Limited Partners, 205,272.3230 and 167,862.2467 Redeemable Units of Limited Partnership Interest outstanding in 2007 and 2006, respectively					410,850,065						306,816,392
					411,708,622						308,398,078
				$	420,475,284					$	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
September 30, 2007
(Unaudited)

			Fair Value						% of Partners’ Capital
Futures Contracts Purchased
Currencies				$	610,512						0.15	%
Energy					322,890						0.08
Grains					779,067						0.19
Metals					546,852						0.13
Softs					151,885						0.04
Total futures contracts purchased					2,411,206						0.59
Futures Contracts Sold
Interest Rates Non-U.S.					(36,425	)					(0.01	)
Investments in Partnerships
SB AAA Master Fund LLC					161,033,698						39.11
CMF Willowbridge Argo Master Fund LP					68,126,544						16.55
CMF Winton Master LP					161,282,234						39.17
Total investments in Partnerships					390,442,476						94.83
Total fair value				$	392,817,257						95.41	%

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 September 30,												Nine Months Ended September 30,
			2007						2006						2007						2006
Income:
Net gains (losses) on trading of commodity interests and investments in Partnerships:
Net realized gains on closed postitions				$	3,251,325					$	293,881					$	5,947,460					$	1,703,127
Change in net unrealized gains (losses) on open positions and investments in Partnerships					12,590,212						(4,595,064	)					42,948,298						26,969,994
					15,841,537						(4,301,183	)					48,895,758						28,673,121
Interest income					282,958						169,296						802,584						428,816
					16,124,495						(4,131,887	)					49,698,342						29,101,937
Expenses:
Brokerage commissions including clearing fees of $10,299, $9,669, $40,089 and $30,643, respectively					1,009,216						1,321,654						4,066,658						3,868,133
Management fees					1,809,743						1,155,286						4,921,638						3,197,098
Administrative fees					499,292						319,360						1,358,903						880,302
Incentive fees					1,591,521						—						3,369,167						3,736,128
Other					65,329						70,163						151,763						220,164
					4,975,101						2,866,463						13,868,129						11,901,825
Net income (loss)					11,149,394						(6,998,350	)					35,830,213						17,200,112
Additions — Limited Partners					30,108,000						36,906,000						103,736,000						93,056,000
Redemptions — Limited Partners					(9,673,407	)					(5,530,854	)					(35,505,536	)					(15,906,090	)
Redemptions — General Partner					—						—						(750,133	)					—
Net increase in Partners’ Capital					31,583,987						24,376,796						103,310,544						94,350,022
Partners’ Capital, beginning of period					380,124,635						242,415,548						308,398,078						172,442,322
Partners’ Capital, end of period				$	411,708,622					$	266,792,344					$	411,708,622					$	266,792,344
Net Asset Value per Redeemable Unit (205,701.2820 and 151,882.7966 Redeemable Units outstanding at September 30, 2007 and 2006, respectively)				$	2,001.49					$	1,756.57					$	2,001.49					$	1,756.57
Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Redeemable Unit equivalent				$	52.72					$	(52.10	)				$	173.70					$	145.24

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 September 30,												Nine Months Ended September 30,
			2007						2006						2007						2006
Cash flows from operating activities:
Net income (loss)				$	11,149,394					$	(6,998,350	)				$	35,830,213					$	17,200,112
Adjustments to reconcile net income (loss) to net cash used in operating activities:
Changes in operating assets and liabilities:
Purchases of investments in Partnerships					(28,328,890	)					(33,979,993	)					(98,936,850	)					(89,380,243	)
Proceeds from sale of investments in Partnerships					13,610,457						10,348,457						44,149,021						26,741,099
Net unrealized (appreciation) depreciation on investments in Partnerships					(11,127,615	)					5,319,210						(41,563,082	)					(26,219,015	)
(Increase) decrease in restricted cash					(343,251	)					(30,800	)					(547,076	)					406,277
(Increase) decrease in net unrealized appreciation on open futures positions					(1,462,597	)					(724,146	)					(1,385,216	)					(750,979	)
(Increase) decrease in interest receivable					(4,094	)					(11,510	)					(17,297	)					(25,784	)
Accrued expenses:
Increase (decrease) in brokerage commissions					(321,477	)					143,298						(227,103	)					445,540
Increase (decrease) in management fees					47,762						30,912						160,368						131,033
Increase (decrease) in administrative fees					13,486						8,929						44,847						37,604
Increase (decrease) in incentive fees					(186,125	)					(633,539	)					492,809						(891,826	)
Increase (decrease) in other					(106,028	)					7,991						(84,177	)					76,136
Net cash used in operating activities					(17,058,978	)					(26,519,541	)					(62,083,543	)					(72,230,046	)
Cash flows from financing activities:
Proceeds from additions — Limited Partners					30,108,000						36,906,000						103,736,000						93,056,000
Payments for redemptions — Limited Partners					(8,766,516	)					(7,884,585	)					(31,883,879	)					(15,933,287	)
Payments for redemptions — General Partner					—						—						(750,133	)					—
Net cash provided by financing activities					21,341,484						29,021,415						71,101,988						77,122,713
Net change in unrestricted cash					4,282,506						2,501,874						9,018,445						4,892,667
Unrestricted cash, at beginning of period					21,031,620						10,936,888						16,295,681						8,546,095
Unrestricted cash, at end of period				$	25,314,126					$	13,438,762					$	25,314,126					$	13,438,762

See accompanying notes to financial statements.

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

1.    General:

Salomon Smith Barney Orion Futures Fund L.P. (the ‘‘Partnership’’) is a limited partnership that 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 September 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, th e ‘‘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 September 30, 2007 and December 31, 2006 and the results of its operations, changes in Partners’ Capital and cash flows for the three and nine months ended September 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
September 30, 2007
(Unaudited)

2.    Financial Highlights:

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

			Three Months Ended September 30,												Nine Months Ended September 30,
			2007						2006						2007						2006
Net realized and unrealized gains (losses)*				$	70.74					$	(42.65	)				$	219.78					$	205.80
Interest income					1.40						1.15						4.18						3.21
Expenses**					(19.42	)					(10.60	)					(50.26	)					(63.77	)
Increase (decrease) for the period					52.72						(52.10	)					173.70						145.24
Net Asset Value per Redeemable Unit, beginning of period					1,948.77						1,808.67						1,827.79						1,611.33
Net Asset Value per Redeemable Unit, end of period				$	2,001.49					$	1,756.57					$	2,001.49					$	1,756.57

* Includes brokerage commissions.

** Excludes brokerage commissions.

Ratios to Average Net Assets:***
Net investment loss before incentive fees****					(3.1	)%					(4.3	)%					(3.7	)%					(4.6	)%
Operating expense					3.4	%					4.5	%					4.0	%					4.8	%
Incentive fees					0.4	%					—	%					1.0	%					1.7	%
Total expenses					3.8	%					4.5	%					5.0	%					6.5	%
Total return:
Total return before incentive fees					3.1	%					(2.9	)%					10.4	%					10.5	%
Incentive fees					(0.4	)%					—	%					(0.9	)%					(1.5	)%
Total return after incentive fees					2.7	%					(2.9	)%					9.5	%					9.0	%

*** 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 nine and twelve months ended September 30, 2007 and

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

December 31, 2006, based on a monthly calculation, were $1,097,613 and $821,870, respectively. The fair values of these commodity interests, including options and swaps thereon, if applicable, at September 30, 2007 and December 31, 2006, were $2,374,781 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
September 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 September 30, 2007 and December 31, 2006, the Partnership owned 15.7% and 11.6%, respectively, of AAA Master. At September 30, 2007 and December 31, 2006, the Partnership owned 41.5% and 33.9% of Willowbridge Master. At September 30, 2007 and December 31, 2006, the Partnership owned 37.3% 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.

			September 30, 2007
			Funds’						Funds’						Funds’
			Total Assets						Total Liabilities						Total Capital
AAA Master				$	1,270,901,755					$	249,173,203					$	1,021,728,552
Willowbridge Master					164,174,499						473,870						163,700,629
Winton Master					432,930,136						1,622,858						431,307,278
Total				$	1,868,006,390					$	251,269,931					$	1,616,736,459

			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
September 30, 2007
(Unaudited)

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

			September 30, 2007												For the three months ended September 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					39.11	%				$	161,033,698					$	4,929,116					$	128,368					$	26,921					$	4,773,827				Energy Markets					Monthly
CMF Willowbridge Master Fund LP					16.55	%					68,126,544						(2,245,944	)					33,127						2,964						(2,282,035	)			Commodity Portfolio					Monthly
CMF Winton Master LP					39.17	%					161,282,234						8,709,966						69,714						4,429						8,635,823				Commodity Portfolio					Monthly
Total										$	390,442,476					$	11,393,138					$	231,209					$	34,314					$	11,127,615

			September 30, 2007												For the nine months ended September 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					39.11	%				$	161,033,698					$	19,352,717					$	343,619					$	54,779					$	18,954,319				Energy Markets					Monthly
CMF Willowbridge Master Fund LP					16.55	%					68,126,544						3,001,232						133,221						9,811						2,858,200				Commodity Portfolio					Monthly
CMF Winton Master LP					39.17	%					161,282,234						20,023,568						260,052						12,953						19,750,563				Commodity Portfolio					Monthly
Total										$	390,442,476					$	42,377,517					$	736,892					$	77,543					$	41,563,082

			December 31, 2006												For the three months ended September 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					$	(7,666,230	)				$	68,328					$	9,482					$	(7,744,040	)			Energy Markets					Monthly
CMF Willowbridge Master Fund LP					20.24	%					62,429,347						(915,585	)					48,531						2,673						(966,789	)			Commodity Portfolio					Monthly
CMF Winton Master LP					37.59	%					115,926,476						3,461,539						69,334						586						3,391,619				Commodity Portfolio					Monthly
Total										$	294,091,565					$	(5,120,276	)				$	186,193					$	12,741					$	(5,319,210	)

			December 31, 2006												For the nine months ended September 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					$	14,652,112					$	74,701					$	25,935					$	14,551,476				Energy Markets					Monthly
CMF Willowbridge Master Fund LP					20.24	%					62,429,347						3,057,688						140,143						7,210						2,910,335				Commodity Portfolio					Monthly
CMF Winton Master LP					37.59	%					115,926,476						9,014,903						256,602						1,097						8,757,204				Commodity Portfolio					Monthly
Total										$	294,091,565					$	26,724,703					$	471,446					$	34,242					$	26,219,015

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

12

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

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 include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange traded instruments because of the greater risk of default by the co unterparty 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 the inception date. 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 third 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 and investments in Partnerships, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the nine months ended September 30, 2007, Partnership capital increased 33.5% from $308,398,078 to $411,708,622. This increase was attributable to net income from operations of $35,830,213 coupled with additional sales of 56,302.4413 Redeemable Units of Limited Partnership totaling $103,736,000, which was partially offset by the redemption of 18,892.3650 Redeemable Units of Limited Partnership Interest resulting in an outflow of $35,505,536 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 the 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 exch ange 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. Realized gains (losses) on withdrawals from other Partnerships are recognized on a cost recovery basis.

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

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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 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 have an 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 September 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 develop the measurements and the effect of certain measurements on changes in Partners’ Capital for the period.

Results of Operations

During the Partnership’s third quarter of 2007, the Net Asset Value per Redeemable Unit increased 2.7% from $1,948.77 to $2,001.49 as compared to a decrease of 2.9% in the third 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 third quarter of 2007 of $15,841,537. Gains were primarily attributable to net allocated gains from other Partnerships, as well as the Partnership’s trading of U.S. interest rates, currencies, energy and grains and were partially offset by losses in non-U.S. interest rates, livestock, metals, softs and indices. The Partnership experienced a net trading loss before brokerage commissions and related fees in the third quarter of 2006 of $4,301,183. Losses were primarily attributable to net allocated losses from other Partnerships, as well as the Partnership’s trading of currencies, energy, grains, non-U.S. interest rates, livestock and metals and were partially offset by gains in U.S. interest rates, softs, and indices.

Favorable trading conditions during the third 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 third quarter of 2007 proved to be an eventful quarter as widespread economic concerns regarding sub-prime mortgage lending resonated throughout the capital and commodity markets. Profits earned in agricultural, energy and currency markets were sufficient to offset losses in metals, equity indices and soft commodities.

Gains were earned in trading wheat and the soybean complex as prices rallied significantly for the quarter on reduction in supply expectations. Crude oil prices rallied to record levels as inventory declined, the dollar weakened and demand remained robust. The aggressive rate cut by the Federal Reserve in September and reports of slowing growth in the U.S. economy triggered the U.S. Dollar’s weakness against most major currencies, resulting in profits for the Partnership.

The disturbance in the credit markets that emerged in July materially impacted other financial sectors. In metals markets, losses were realized in base metals as financial concerns weakened economic growth and demand expectations. Most equity indices, which had reached multi-year highs during mid-July, experienced sharp reversals as investor sentiment waned. Resulting losses were partially recovered in late September as share prices rallied on the rate cut by the Federal Reserve directed at dampening the impact on the economy and restoring liquidity and confidence. In soft commodities, losses were realized in coffee and cocoa as prices unexpectedly fell in August on excess exports from growers in Africa and Indonesia.

During the nine months ended September 30, 2007, the Net Asset Value per Redeemable Unit increased 9.5% from $1,827.79 to $2,001.49 as compared to an increase of 9.0% during the nine months

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ended September 30, 2006. The Partnership experienced a net trading gain before brokerage commissions and related fees in the nine months ended September 30, 2007 of $48,895,758. Gains were primarily attributable to net allocated gains from other Partnerships, as well as the Partnership’s trading of currencies, energy, grains, U.S. and non-U.S. interest rates, indices and lumber and were partially offset by losses in livestock, metals and softs. The Partnership experienced a net trading gain before brokerage commissions and related fees in the nine months ended September 30, 2006 of $28,673,121. Gains were primarily attributable to net allocated gains from other Partnerships, as well as the Partnership’s trading of 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 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 nine months ended September 30, 2007 increased by $113,662 and $373,768, respectively, as compared to the corresponding periods in 2006. The increase is due to the higher 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&rsqu o;s share of overall net income (loss) of the other partnerships in 2007 and 2006.

Brokerage commissions are based on the number of trades executed by the Advisors. Brokerage commissions and fees for the three months ended September 30, 2007 decreased by $312,438, as compared to the corresponding period in 2006. The decrease in commissions and fees is primarily due to a decrease in the number of trades during the three months ended September 30, 2007 as compared to the corresponding period in 2006. Brokerage commissions and fees for the nine months ended September 30, 2007 increased by $198,525, as compared to the corresponding period in 2006. The increase in commissions and fees is primarily due to an increase in the number of trades during the nine months ended September 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 nine months ended September 30, 2007 increased by $654,457 and $1,724,540, respectively, 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 nine months ended September 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, additions and redemptions. Administrative fees for the three and nine months ended September 30, 2007 increased by $179,932 and $478,601, respectively, 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 nine months ended September 30, 2007 as compared to the corresponding periods in 2006.

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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 nine months ended September 30, 2007 resulted in incentive fees of $1,591,521 and $3,369,167, respectively. Trading performance for the three and nine months ended September 30, 2006 resulted in incentive fees of $0 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 the 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 acquire(s) and liquidate(s) 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/Funds’ 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 September 30, 2007 and the highest, lowest and average value during the three months ended September 30, 2007. All open position trading risk exposures of the Partnership/Funds have been included in calculating the figures set forth below. As of September 30, 2007, the Partnership’s total capitalization was $411,708,622. 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.

September 30, 2007
(Unaudited)

															Three Months Ended September 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				$	273,600						0.07	%				$	284,700					$	3,375					$	163,900
Energy					589,000						0.14	%					1,163,500						211,500						516,967
Grains					241,300						0.06	%					307,230						36,000						181,480
Interest Rates Non-U.S.					85,887						0.02	%					293,249						39,577						181,493
Metals:
– Exchange Traded Contracts					389,500						0.10	%					584,250						111,000						182,722
Softs					134,900						0.03	%					229,050						41,150						118,400
Total				$	1,714,187						0.42	%

*       Average month-end Values at Risk

As of September 30, 2007, AAA Master’s total capitalization was $1,021,728,552. The Partnership owned 15.7% of AAA Master.

September 30, 2007
(Unaudited)

															Three Months Ended September 30, 2007
Market Sector			Value at Risk						% of Total Capitalization						High Value at Risk						Low Value at Risk						Average Value at Risk*
Energy				$	78,027,531						7.64	%				$	103,748,368					$	74,587,525					$	85,986,334
Energy Swaps					4,720,046						0.46	%					4,720,046						4,720,046						4,720,046
Grains					195,096						0.02	%					512,535						175,124						266,725
Total				$	82,942,673						8.12	%

*    Average month-end Values at Risk

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As of September 30, 2007, Willowbridge Master’s total capitalization was $163,700,629. The Partnership owned 41.5% of Willowbridge Master.

September 30, 2007
(Unaudited)

															Three months ended September 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				$	1,925,000						1.18	%				$	3,242,055					$	1,350					$	1,240,600
Energy					7,745,200						4.73	%					7,745,200						1,337,000						4,085,233
Grains					2,136,750						1.31	%					2,136,750						429,750						1,083,550
Interest Rates U.S.					1,424,500						0.87	%					2,622,000						418,000						1,226,100
Interest Rates Non-U.S.					872,429						0.53	%					6,201,928						430,111						1,156,955
Metals:
– Exchange Traded Contracts					3,946,250						2.41	%					3,946,250						760,000						2,299,083
Softs					885,500						0.54	%					1,309,450						171,900						418,967
Total				$	18,935,629						11.57	%

* Average of month-end Values at Risk

As of September 30, 2007, Winton Master’s total capitalization was $431,307,278. The Partnership owned 37.3% of Winton Master.

September 30, 2007
(Unaudited)

															Three months ended September 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				$	4,792,121						1.11	%				$	4,897,185					$	3,763,173					$	4,314,935
Energy					2,526,100						0.59	%					3,284,200						1,341,787						2,808,617
Grains					2,575,493						0.60	%					2,589,099						1,815,173						2,223,949
Interest Rates U.S.					4,232,200						0.98	%					4,369,300						206,541						3,901,500
Interest Rates Non-U.S.					3,826,586						0.89	%					8,425,165						3,157,021						4,892,447
Livestock					233,720						0.05	%					238,120						43,700						156,327
Lumber					2,200						0.00	%**					3,600						1,100						1,833
Metals :
– Exchange Traded Contracts					1,144,167						0.27	%					1,148,750						292,583						672,695
– OTC Contracts					1,346,313						0.31	%					2,095,361						907,662						1,403,809
Softs					754,079						0.17	%					1,110,705						669,524						847,582
Indices					5,751,884						1.33	%					9,101,226						1,166,300						4,411,864
Total				$	27,184,863						6.30	%

* 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 September 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 U.S. 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 U.S. 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 September 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 quarters ended March 31, 2007 and June 30, 2007.

Enron-Related Civil Actions

On August 27, 2007, the District Court for the Southern District of New York in In Re. Enron Corp. reversed the rulings of the federal bankruptcy court that certain bankruptcy claims held by Citigroup transferees could be equitably subordinated or disallowed solely because of the alleged misconduct of Citigroup, and remanded for further proceedings.

IPO Regulatory Inquiries

On August 14, 2007, plaintiffs filed amended complaints in the six focus cases as well as amended master allegations for all cases in the coordinated proceedings. On September 27, 2007, plaintiffs filed a motion to certify new classes in the six focus cases.

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 quarters ended March 31, 2007 and June 30, 2007.

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

For the three months ended September 30, 2007 there were additional sales to Limited Partners of 15,564.3885 Redeemable Units of Limited Partnership totaling $30,108,000. 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
July 1, 2007 − July 31, 2007					1,106.1102					$	1,954.45						N/A						N/A
August 1, 2007 − August 31, 2007					1,138.4826					$	1,890.54						N/A						N/A
September 1, 2007 − September 30, 2007					2,677.6169					$	2,001.49						N/A						N/A
					4,922.2097					$	1,948.83

* 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:			November 14, 2007
By:			/s/ Jennifer Magro
			Jennifer Magro Chief Financial Officer and Director
Date:			November 14, 2007

24