Willkie Farr & Gallagher LLP
787 Seventh Avenue
New York, New York 10019
January 7, 2008
Mail Stop 4561
VIA EDGAR AND FEDEX
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Securities and Exchange Commission
Division of Corporation Finance
100 F Street, N.E.
Washington D.C. 20549
Attn: Kevin Woody
Branch Chief
Re: Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership")
Form 10-K for the fiscal year ended December 31, 2006
Form 10-Q for the quarterly period ended June 30, 2007
File No. 000-30455
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Ladies and Gentlemen:
On behalf of this firm's client, Citigroup Managed Futures LLC, the general
partner of the Partnership (the "General Partner"), we respectfully submit below
the General Partner's responses to the comments of the staff (the "Staff") of
the Securities and Exchange Commission (the "Commission") in a letter dated
September 27, 2007 to Jennifer Magro, Chief Financial Officer of the General
Partner. For your convenience, the Staff's comments are indicated in italics,
followed by the General Partner's response.
Form 10-K for the fiscal year ended December 31, 2006
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Notes to the Financial Statements
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7. Financial Instrument Risks, page F-18
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1. We note that the Partnership and the master funds may make investments in
assets that are not traded on an exchange. Explain to us the Partnership's
and the master funds' policy for determining the fair value of these
assets. Additionally, to the extent the Partnership or master funds have
any such investments as of period end; tell us how you determined that it
would not be necessary to disclose the Partnership's and master funds'
methodology for calculating the fair value in the policy footnote.
Kevin Woody
January 7, 2008
Page 2
The Partnership does not engage in any direct trading. All trading is conducted
through the Master Funds. The majority of the Master Funds' trading is in
exchange traded futures contracts for which daily settlement prices are
available. Currently, all off-exchange contracts traded by the Master Funds are
traded in commodity interests for which there is generally a liquid underlying
market and are valued by reference to the settlement price of a similar
exchange-traded product. The Master Funds' off-exchange contracts to date,
therefore, have been valued based on the settlement price of a similar
exchange-traded product.
In the event that a Master Fund trades an off-exchange contract for which no
similar exchange traded product exists, the General Partner will value the
off-exchange contract using one or more alternative valuation methods which may
include, but are not necessarily limited to, reliance on assessments made by
internal product control teams affiliated with the General Partner. The General
Partner will include a description of any such alternative valuation method in
the Partnership's policy footnote in such event.
The Partnership's current disclosure states, in pertinent part, that: "The
majority of the Partnership's positions will be in . . . exchange-traded futures
contracts. Exchange-traded futures contracts will be valued daily at settlement
prices published by the exchanges. . . . Swap contracts held by AAA Master
generally will be valued by reference to published settlement prices or dealers'
quotes in related markets or other measures of fair value deemed appropriate by
the General Partner. The General Partner expects that under normal circumstances
substantially all of the Partnership's assets will be valued by objective
measures and without difficulty." The General Partner believes that this
disclosure is currently accurate.
* * * *
Should you have any questions, please do not hesitate to contact the undersigned
at (212) 728-8727.
Very truly yours,
/s/ Rita M. Molesworth
Rita M. Molesworth
cc: Jennifer Magro
Gabriel Acri
Robert Telewicz, Securities and Exchange Commission