FORM 10-Q
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
(X) QUARTERLY REPORT UNDER SECTION 13 or 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OR ( ) TRANSITION REPORT UNDER SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the Quarter ended June 30, 2003
--------------
Commission File Number 0-50271
-------
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York 22-33644546
- --------------------------------------------------------------------------------
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)
c/o Citigroup Managed Futures LLC
399 Park Avenue - 7th Fl.
New York, New York 10022
(Address and Zip Code of principal executive offices)
(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 an accelerated filer (as
defined in rule 12b-2 of the Exchange Act).
Yes _____ No X
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, 2003 and December 31,
2002 (unaudited). 3
Condensed Schedules of Investments at
June 30, 2003 and December 31, 2002
(unaudited). 4 - 5
Statements of Income and Expenses
and Partners' Capital for the three
and six months ended June 30, 2003
and 2002 (unaudited). 6
Notes to Financial Statements,
including the Financial Statements of
SB AAA Master Fund LLC (unaudited). 7 - 19
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations. 20 - 22
Item 3. Quantitative and Qualitative
Disclosures about Market Risk 23 - 24
Item 4. Controls and Procedures 25
PART II - Other Information 26
2
PART I
Item 1. Financial Statements
Salomon Smith Barney Orion Futures Fund L.P.
Statements of Financial Condition
(Unaudited)
June 30, December 31,
2003 2002
---------- -----------
Assets:
Investment in Master, at fair value $ 34,098,338 $ 25,446,740
Cash (restricted $8,515,658 and $8,657,392 in
2003 and 2002, respectively)
in commodity futures trading account 47,464,612 32,697,307
Net unrealized (depreciation) appreciation
on open positions* (1,931,692) 5,057,217
------------ ------------
79,631,258 63,201,264
Interest receivable 69,184 61,183
------------ ------------
$ 79,700,442 $ 63,262,447
============ ============
Liabilities and Partners' Capital:
Liabilities:
Accrued expenses:
Commissions $ 123,750 $ 115,201
Management fees 124,125 107,113
Administrative fees 32,646 26,778
Incentive Fees - 272,957
Other 138,860 88,996
Redemptions 706,789 498,603
------------ ------------
1,126,170 1,109,648
------------ ------------
Partners' Capital:
General Partner, 499.8084 Unit equivalents
outstanding in 2002 and 2001 556,347 580,188
Limited Partners, 70,089.6852 and 53,042.3132 Units
of Limited Partnership Interest outstanding in
2003 and 2002, respectively 78,017,925 61,572,611
------------ ------------
78,574,272 62,152,799
------------ ------------
$ 79,700,442 $ 63,262,447
============ ============
* Forward contracts included in this balance are presented gross in the
accompanying Condensed Schedules of Investments
See Accompanying Notes to Unaudited Financial Statements.
3
Salomon Smith Barney Orion
Futures Fund L.P.
Condensed Schedule of Investments
June 30, 2003
Sector Contract Fair Value
- --------------------------------- ---------------------------------------------------- --------------
Futures contracts sold 0.36% $ 286,898
Futures contracts purchased (1.09)% (858,641)
--------------
Total futures contracts (0.73)% (571,743)
Unrealized appreciation on forward contracts 0.00%* 9
--------------
9
---------------
Total Currencies (0.73)% (571,734)
--------------
Energy
Futures contracts sold 0.19% 147,610
Futures contracts purchased 0.74% 583,604
--------------
Total Energy 0.93 % 731,214
--------------
Grains
Futures contracts sold 0.12% 91,960
Futures contracts purchased (0.26)% (207,563)
--------------
Total Grains (0.14)% (115,603)
--------------
Interest Rates U.S.
Futures contracts sold 0.02% 11,983
Futures contracts purchased (0.65)% (509,125)
--------------
Total Interest Rates U.S. (0.63)% (497,142)
--------------
Interest Rates Non-U.S.
Futures contracts sold (0.00)%* (2,941)
Futures contracts purchased (1.04)% (818,113)
--------------
Total Interest Rates Non-U.S. (1.04)% (821,054)
--------------
Livestock
Futures contracts sold 0.01% 6,650
Futures contracts purchased (0.27)% (212,160)
--------------
Total Livestock (0.26)% (205,510)
--------------
Metals Futures contracts sold (0.03)% (21,715)
Futures contracts purchased 0.02% 15,025
--------------
Total futures contracts (0.01)% (6,690)
Unrealized depreciation on forward contracts (0.21)% (160,720)
Unrealized appreciation on forward contracts 0.07% 53,663
--------------
Total forward contracts (0.14)% (107,057)
--------------
Total Metals (0.15)% (113,747)
--------------
Softs
Futures contracts sold (0.30)% (233,766)
Futures contracts purchased 0.04% 27,335
--------------
Total Softs (0.26)% (206,431)
--------------
Total Indices (0.17)% Futures contracts purchased (0.17)% (131,685)
--------------
Total Fair Value (2.45)% $ (1,931,692)
==============
% of Investments
Country Composition Investments at Fair Value at Fair Value
---------------------- --------------------------- -------------------
Australia $ (133,976) (6.94)%
Canada (43,777) (2.27)
France (2,204) (0.11)
Germany (538,988) (27.90)
Hong Kong (2,347) (0.12)
Italy (6,263) (0.32)
Japan (76,329) (3.95)
Spain (7,692) (0.40)
United Kingdom (124,012) (6.42)
United States (996,104) (51.57)
----------- --------
$ (1,931,692) (100.00)%
=========== =======
Percentages are based on Partners' Capital unless otherwise indicated
* Due to rounding
See accompanying notes to unaudited financial statements
4
Salomon Smith Barney Orion
Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2002
(Unaudited)
Sector Contract Fair Value
- ------------ ---------------------------------- ------------------
Currencies
Futures contracts sold (0.13)% $ (80,588)
Futures contracts purchased 2.67% 1,657,233
-----------------
Total Currencies 2.54% 1,576,645
-----------------
Total Energy 1.48 % Futures contracts purchased 1.48% 919,154
-----------------
Grains
Futures contracts sold 0.38% 232,822
Futures contracts purchased (0.09)% (55,021)
-----------------
Total Grains 0.29% 177,801
-----------------
Futuresncontractstpurchased.41.42% 884,285
-----------------
FuturesncontractstpurchasedS.1.07%% 666,065
-----------------
Total Livestock 0.25% Futures contracts purchased 0.25% 152,910
-----------------
Total Metals 0.90% Futures contracts purchased 0.90% 562,580
Softs
Futures contracts sold (0.01)% (9,135)
Futures contracts purchased 0.31% 195,779
-----------------
Total Softs 0.30% 186,644
-----------------
Total Indices (0.11)% Futures contracts purchased (0.11)% (68,867)
-----------------
Total Fair Value 8.14% $ 5,057,217
=================
Investments at % of Investments
Country Composition Fair Value at Fair Value
- ---------------------- ------------------- ----------------
Australia $ 32,003 0.63%
Canada 79,115 1.56%
France (273) 0.00% *
Germany 283,701 5.61%
United Kingdom 244,964 4.84%
United States 4,417,707 87.36%
------------------- --------------
$ 5,057,217 100.00%
=================== ==============
Percentages are based on Partners' Capital unless otherwise indicated
* Due to rounding
See accompanying notes to financial statements
5
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
STATEMENTS OF INCOME AND EXPENSES AND PARTNERS' CAPITAL
(UNAUDITED)
THREE MONTHS ENDED SIX MONTHS ENDED
JUNE 30, JUNE 30,
--------------------------- -----------------------------
2003 2002 2003 2002
----------- ------------ ------------- -------------
Income:
Realized gains (losses ) on closed postitions from Mater $ 6,161,897 $ 2,803,030 $ (5,734,827) $ 3,154,019
Change in unrealized gains (losses) on open positions
from Master (950,472) (827,585) 1,293,625 877,939
Income allocated from Master 1,749 1,156 5,157 1,726
Expenses allocated from Master (343,144) (327,544) (1,029,319) (550,011)
Net gains (losses) on trading of commodity interests: (539,413) 2,953,574 10,090,157 251,529
Realized gains (losses) on closed positions
Change in unrealized gains (losses) on open positions (422,502) 2,895,556 (6,988,909) 4,893,546
------------- ------------- ----------------- -------------
3,908,115 7,498,187 (2,364,116) 8,628,748
Interest income 209,712 158,604 431,018 264,371
Interest income received from Master 79,925 60,901 158,319 106,852
------------- ------------- ----------------- -------------
4,117,827 7,656,791 (1,933,098) 8,893,119
------------- ------------- ----------------- -------------
Expenses:
Brokerage commissions including clearing fees
of $81,847, $75,631, $199,975 and $124,573 ) 621,741 363,443 939,893 688,800
Management fees 381,278 197,504 752,558 322,898
Administrative fees 97,963 49,375 190,784 80,722
Incentive fees - 985,506 298,424 1,321,286
Other expenses 24,450 41,019 49,862 79,753
------------- ------------- ----------------- -------------
1,125,432 1,636,847 2,231,521 2,493,459
------------- ------------- ----------------- -------------
Net income (loss) 2,992,395 6,019,944 (4,164,619) 6,399,660
Additions - Limited Partner 8,360,000 6,378,000 31,960,000 17,022,000
- General Partner - 55,000 - 159,000
Redemptions (3,551,462) (3,304,232) (11,373,908) (3,582,109)
------------- ------------- ----------------- -------------
Net increase in Partners' capital 7,800,933 9,148,712 16,421,473 19,998,551
Partners' capital, beginning of period 70,773,339 31,603,655 62,152,799 20,753,816
------------- ------------- ----------------- -------------
Partners' capital, end of period $ 78,574,272 $ 40,752,367 $ 78,574,272 $ 40,752,367
------------- ------------- ----------------- -------------
Net asset value per Unit
( 70,589.4936 and 37,182.8412 Units outstanding
at June 30, 2003 and 2002, respectively) $ 1,113.12 $ 1,096.00 $ 1,113.12 $ 1,096.00
------------- ------------- ----------------- -------------
Net income (loss) per Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 42.77 $ 154.59 $ (47.70) $ 143.77
------------- ------------- ----------------- -------------
See Accompanying Notes to Unaudited Financial Statements
6
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
1. General:
Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership") is a
limited partnership organized on March 22, 1999 under the partnership laws of
the State of New York to engage in the speculative trading of a diversified
portfolio of commodity interest, including 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 but
intends initially to trade solely energy and energy related products. 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. The Partnership commenced
trading on June 10, 1999. From June 10, 1999 to August 31, 2002, the Partnership
engaged directly in the speculative trading of a diversified portfolio of
commodity interests.
Between March 31, 1999 (commencement of the offering period) and June 10,
1999, 10,499 Units of Limited Partnership Interest and 106 Unit equivalents
representing the general partner's contribution were sold at $1,000 per 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 Units.
Effective September 1, 2001, the Partnership transferred the portion of the
Partnership's assets that were allocated to AAA Capital Management, Inc. ("AAA")
for trading to the SB AAA Master Fund LLC, a New York Limited Liability Company
(the "Master") for 5,173.4381 Units of the Master at a fair value of $5,173,438.
The transfer was tax free. The Master was formed in order to permit accounts
managed now or in the future by AAA using the Energy with Swaps program, to
invest together in one trading vehicle. The General Partner is the Managing
Member of the Master. Individual and pooled accounts currently managed by AAA,
including the Partnership (collectively, the "Feeder Funds"), are permitted to
be non-managing member of the Master. The General Partner and AAA believe that
trading through this master/feeder structure should promote efficiency and
economy in the trading process. Expenses to investors as a result of investment
in the Master are approximately the same and redemption rights are not affected.
(Continued)
7
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
(Continued)
As of June 30, 2003, the Partnership owns approximately 12.1% of the
Master. It is the Partnership's intention to continue to invest substantially
all of its assets in the Master. The performance of the Partnership is directly
affected by the performance of the Master. The Master's Statement of Financial
Condition, Statement of Income and Expenses and Member's Capital and Condensed
Schedule of Investments are included herein.
On April 7, 2003, Smith Barney Futures Management LLC changed its name to
Citigroup Managed Futures LLC. The Partnership's/Master's commodity broker is
Citigroup Global Markets Inc. ("CGM"), formerly Salomon Smith Barney Inc. CGM is
an affiliate of the General Partner. The General Partner is wholly owned by
Citigroup Global Markets Holdings Inc. ("CGMHI"), formerly Smith Barney Holdings
Inc., which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of
Citigroup Inc ("Citigroup"). As of June 30, 2003, all trading decision are made
by Willowbridge Associates Inc., Winton Capital Management and AAA Capital
Management, Inc. (collectively, the "Advisors"). Beacon Management Corporation
was terminated as an advisor to the Partnership on April 30, 2003.
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, 2003 and December 31, 2002 and the results of its
operations for the three and six months ended June 30, 2003 and 2002. 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 for the year ended December 31, 2002.
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.
8
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
(Continued)
The Master's Statement of Financial Condition as of June 30, 2003 and
December 31, 2002, Condensed Schedule of Investments as of June 30, 2003 and its
Statements of Income and Expenses and Members' Capital for the three and six
months ended June 30, 2003 and 2002 are presented below:
SB AAA Master Fund LLC
Statements of Financial Condition
(Unaudited)
June 30, December 31,
2003 2002
-------------- --------------
Assets:
Equity in commodity futures
trading account:
Cash (restricted $29,376,137 and
$53,522,255, respectively) $ 248,398,785 $ 330,218,077
Net unrealized appreciation
(depreciation) on open positions (1,326,343) 9,188,483
Net unrealized appreciation on
open swaps positions 54,071,680 38,011,771
Commodity options owned, at fair
value (cost $51,569,345 and
$63,879,907, respectively) 51,721,581 83,252,102
------------- -------------
352,865,703 460,670,433
Due from brokers 4,868,813 12,595,792
------------ -------------
Interest receivable 4,884 6,712
------------- -------------
$ 357,739,400 $ 473,272,937
============= =============
Liabilities and Members' Capital:
Liabilities:
Unrealized depreciation on open
Swap positions $ 27,904,312 $ 48,470,222
Commodity options written, at
fair value (premium $54,214,943
and $59,666,185, respectively) 42,109,870 67,724,777
Accrued Expenses:
Commissions 2,921,263 5,210,167
Professional fees 38,606 20,117
Due to brokers 3,413,212 1,541,223
Due to CMF 22,978 22,978
------------- -------------
76,410,241 122,989,484
------------- -------------
Members' Capital:
Members' Capital, 219,606.2204
and 216,158,4103 Units outstanding
in 2003 and 2002, respectively 281,329,159 350,283,453
------------- -------------
$ 357,739,400 $ 473,272,937
============= =============
9
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
Notes to Financial Statemenst
June 30, 2003
(Unaudited)
SB AAA Master Fund LLC
Condensed Schedule of Investments
June 30, 2003
(Unaudited)
Number of
Sector Contracts Contract Fair Value
- --------- ------------------------------------------------- --------------
Energy Futures contracts purchased (6.20)%
6,647 NYMEX Natural Gas (8.87)% Aug. 03 - Aug. 04 $ (24,951,033)
Other 2.67% 7,498,210
--------------
(17,452,823)
Futures contracts sold 5.73%
NYMEX Natural Gas 7.93% Feb. 03 - Feb. 04 22,318,016
Other (2.20)% (6,191,536)
--------------
16,126,480
Options owned 18.38%
NYMEX Natural Gas Call 1.01% Aug. 03 - Nov 03 2,847,090
4,007 NYMEX Natural Gas Put 9.41% Aug 03 - Oct 04 26,455,640
NYMEX Light Sweet Crude Call 5.65% Aug 03 - Feb. 04 15,907,340
NYMEX Light Sweet Crude Put 1.62% Aug 03 - Feb 04 4,560,880
Other 0.69% 1,950,631
--------------
51,721,581
Options written (14.97)%
10,337 NYMEX Natural Gas Call (10.36)% Aug 03 - Dec 04 (29,149,370)
NYMEX Light Sweet Crude Call (2.20)% Aug 03 - Sept. 03 (6,181,590)
Other (2.41)% (6,778,910)
--------------
(42,109,870)
Unrealized appreciation on Swaps contracts 19.22%
NYMEX Natural Gas 14.16% 39,828,441
Other 5.06% 14,243,239
--------------
54,071,680
Unrealized depreciation on Swaps contracts (9.91)%
NYMEX Natural Gas (5.51)% (15,499,882)
Other (4.40)% (12,404,430)
-----------
(27,904,312)
Total Energy 12.25% 34,452,736
------------
Total Fair Value 12.25% $ 34,452,736
=============
Investment at % of Investment at
Country Composition Fair Value Fair Value
------------------- ------------- ---------------------
United Kingdom $ (2,588,104) (7.51)%
United States 37,040,840 107.51
------------ ------
$ 34,452,736 100.00 %
=========== ======
Percentages are based on Members' Capital unless otherwise indicated
10
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
June 30, 2003
(Unaudited)
SB AAA Master Fund LLC
Condensed Schedule of Investments
December 31, 2002
Number of Contract Fair Value
Sector Contracts
Energy Futures contracts purchased 17.92%
6,228 IPE Gas Oil 5.45% Jan. - Feb. 2003 $19,089,003
Other 12.47% 43,677,214
------------
62,766,217
Futures contracts sold (15.30)%
13,454 NYMEX Light Sweet Crude Oil (7.22)% Feb. 03 - June 04 (25,271,391)
7,578 NYMEX Natural Gas (6.05)% Feb. 03 - Feb. 04 (21,203,640)
Other (2.03)% (7,102,703)
------------
(53,577,734)
Options owned 23.77%
7,293 NYMEX Natural Gas Call 10.40% Feb. 03 - June 03 36,430,400
5,325 NYMEX Natural Gas Put 5.37% Feb. 03 - June 03 18,812,110
Other 8.00% 28,009,592
------------
83,252,102
Options written (19.33)%
12,086 NYMEX Light Sweet Crude Call (6.90)% Feb. 03 - June 03 (24,193,640)
Other (12.43)% (43,531,137)
------------
(67,724,777)
Unrealized appreciation on Swaps contracts 10.85%
3,354 NYMEX Natural Gas 5.46% 19,130,237
Other 5.39% 18,881,534
------------
38,011,771
Unrealized depreciation on Swaps contracts (13.84)%
1,809 NYMEX Natural Gas (5.17)% (18,107,814)
Other (8.67)% (30,362,408)
------------
(48,470,222)
------------
Total Energy 4.07% 14,257,357
------------
Total Fair Value 4.07% $14,257,357
==========
Investments at % of Investments at
Country Composition Fair Value Fair Value
-------------------- ----------- ---------------
United Kingdom $25,728,485 180.46%
United States (11,471,128) (80.46)
------------ ------
$14,257,357 100.00%
------------ ------
Percentages are based on Members' Capital unless otherwise indicated.
See accompanying notes to financial statements.
11
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(UNAUDITED)
SB AAA MASTER FUND LLC
STATEMENTS OF INCOME AND EXPENSES AND MEMBERS' CAPITAL
(UNAUDITED)
THREE MONTHS ENDED SIX MONTHS ENDED
JUNE 30, JUNE 30,
------------------------------ --------------------------------
2003 2002 2003 2002
------------------------------ --------------------------------
Income:
Net gains on trading of commodity
interests:
Realized gains (losses) on closed positions $ 51,205,109 $ 36,634,699 $ (92,568,712) $ 42,816,561
Change in unrealized gains (losses) on open
positions (4,955,814) (10,702,971) 27,054,699 12,746,971
-------------- -------------- -------------- ---------------
46,249,295 25,931,728 (65,514,013) 55,563,532
Interest income 721,637 767,154 1,686,957 1,373,622
-------------- -------------- -------------- ---------------
46,970,932 26,698,882 (63,827,056) 56,937,154
-------------- -------------- -------------- ---------------
Expenses:
Brokerage commissions including clearing fees
of $398,062, $606,653, $1,434,608 and
$1,098,861, respectively 3,289,199 4,277,310 9,786,358 7,521,526
Professional fees 9,297 9,092 18,491 18,286
-------------- -------------- -------------- ---------------
3,298,496 4,286,402 9,804,849 7,539,812
-------------- -------------- -------------- ---------------
Net income (loss) 43,672,436 22,412,480 (73,631,905) 49,397,342
Additions 12,193,128 2,396,264 45,179,314 11,162,417
Redemptions (17,378,056) (2,840,699) (38,872,082) (12,507,686)
Distribution (706,482) (752,121) (1,629,621) (1,350,167)
-------------- -------------- -------------- ---------------
Net increase (decrease) in Members Interest 37,781,026 21,215,924 (68,954,294) 46,701,906
Members capital, beginning of period 243,548,133 177,700,705 350,283,453 152,214,723
-------------- -------------- -------------- ---------------
Members capital, end of period $ 281,329,159 $ 198,916,629 $ 281,329,159 $ 198,916,629
-------------- -------------- -------------- ---------------
Net asset value per Unit
in (219,606.2204 and 136,093.2122 Units outstanding
June 30, 2003 and 2002, respectively) $ 1,281.06 $ 1,461.62 $ 1,281.06 $ 1,461.62
------------- -------------- -------------- ---------------
Net income (loss) per Unit of Member Interest $ 197.61 $ 163.99 $ (332.01) $ 362.30
------------- -------------- -------------- ---------------
12
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
(Continued)
2. Financial Highlights:
Changes in net asset value per Unit for the three and six months ended
June 30, 2003 and 2002 were as follows:
THREE-MONTHS ENDED
SIX-MONTHS ENDED
JUNE 30, JUNE 30,
------------------------- ----------------------
2003 2002 2003 2002
---------- ---------- -------- ---------
Net realized and unrealized
gains(losses) * $ 47.04 $ 183.26 $ (31.36) $ 186.08
Interest income 2.98 4.14 6.53 7.98
Expenses ** (7.25) (32.81) (22.87) (50.29)
---------- ---------- ---------- --------
Increase(decrease) for period 42.77 154.59 (47.70) 143.77
Net Asset Value per Unit,
beginning of period 1,070.35 941.41 1,160.82 952.23
---------- ---------- ----------- --------
Net Asset Value per Unit,
end of period $1,113.12 $1,096.00 $1,113.12 $1,096.00
========== ========== ========== =========
* Includes brokerage commissions.
** Excludes brokerage commissions.
13
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
(Continued)
Financial Highlights continued:
THREE-MONTHS ENDED
SIX-MONTHS ENDED
JUNE 30, JUNE 30,
------------------------- ----------------------
2003 2002 2003 2002
---------- ---------- -------- ---------
Ratio to average net assets: ***
Net investment loss before
incentive fees **** (6.0)% (5.1)% (6.0)% (4.5)%
====== ======= ======== =====
Operating expenses 7.4% 4.3% 7.5% 5.7%
Incentive fees 0.0% 6.6% 0.8% 4.4%
------ ------- -------- -----
Total expenses 7.4% 10.9% 8.3% 10.1%
====== ======= ======== ====
Total return:
Total return before incentive fees 4.0% 19.2% (3.7)% 18.8%
Incentive fees 0.0% (2.8)% (0.4)% (3.7)%
------ ------- -------- ----
Total return after incentive fees 4.0% 16.4% (4.1)% 15.1%
====== ======= ======== =====
*** Annualized
**** 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.
14
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
(Continued)
Financial Highlights of the Master:
Changes in net asset value per Unit for the three and six months ended
June 30, 2003 and 2002 were as follows:
THREE-MONTHS ENDED
SIX-MONTHS ENDED
JUNE 30, JUNE 30,
------------------------- ----------------------
2003 2002 2003 2002
---------- ---------- -------- ---------
Net realized and unrealized
gains(losses) $ 194.36 $ 158.42 $ (339.61) $ 352.34
Interest income 3.29 5.64 7.68 10.09
Expenses (0.04) (0.07) (0.08) (0.13)
---------- ---------- ---------- ----------
Increase(decrease) for period 197.61 163.99 (332.01) 362.30
Distributions (3.22) (5.53) (7.42) (9.92)
Net Asset Value per Unit,
beginning of period 1,086.67 1,303.16 1,620.49 1,109.24
---------- ---------- ---------- ---------
Net Asset Value per Unit,
end of period $1,281.06 $1,461.62 $1,281.06 $1,461.62
========== ========== ========== =========
15
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
(Continued)
Financial Highlights of the Master:
THREE-MONTHS ENDED
SIX-MONTHS ENDED
JUNE 30, JUNE 30,
------------------------- ----------------------
2003 2002 2003 2002
---------- ---------- -------- ---------
Ratio to average net assets: *
Net investment loss ** (3.4)% (4.0)% (5.4)% (3.5)%
Operating expenses 4.4% 4.9% 6.5% 4.3%
Total return 18.2% 12.6% (20.5)% 32.7%
* Annualized
** Interest income less total expenses
The above ratios may vary for individual investors based on the timing
of capital transactions during the year.
16
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
(Continued)
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/Master trading
activities are shown in the Statement 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 respective Customer Agreement between the Partnership and CGM and the
Master give the Partnership and the Master, respectively, the legal right to net
unrealized gains and losses.
All of the commodity interests owned by the Partnership are held for
trading purposes. The average fair value during the three and twelve months
ended June 30, 2003 and December 31, 2002, respectively, based on a monthly
calculation, were $2,966,678 and $2,689,879, respectively. The fair values of
these commodity interests, including options and swaps thereon, if applicable,
at June 30, 2003 and December 31, 2002 was $(1,931,692) and $5,057,217,
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 calculations approved by the General Partner.
4. Financial Instrument Risk:
In the normal course of its business the Partnership directly, and through
its investment in the Master, is 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
17
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
(Continued)
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 counterparty to an OTC contract. The Master's swaps contracts are
OTC contracts.
Market risk is the potential for changes in the value of the financial
instruments traded by the Partnership/Master 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
Partnerships's/Master's risk of loss in the event of counterparty default is
typically limited to the amounts recognized as unrealized appreciation in the
statement of financial condition and not represented by the contract or notional
amounts of the instruments. The Partnership/Master has concentration risk
because the sole counterparty or broker with respect to the
Partnership's/Master's assets is CGM.
The General Partner monitors and controls the Partnership's/Master's 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/Master is 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.
18
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
June 30, 2003
(Unaudited)
(Continued)
The majority of these instruments mature within one year of June 30,
2003. However, due to the nature of the Partnership's/Master's business, these
instruments may not be held to maturity.
19
Item 2. Management's Discussion and Analysis of Financial Condition and Results
of Operations.
Liquidity and Capital Resources
The Partnership/Master does not engage in the sale of goods or services.
The Partnership's only assets are its equity in its commodity futures trading
account consisting of cash, investment in Master, net unrealized appreciation
(depreciation) on open futures and forward contracts, commodity options, if
applicable, and interest receivable. The Master's only assets are its equity in
its commodity futures trading account consisting of cash, net unrealized
appreciation (depreciation) on open futures and forward contracts, commodity
options, if applicable, and 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/Master. While
substantial losses could lead to a decrease in liquidity, no such losses
occurred in the second quarter of 2003.
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 Units
and distributions of profits, if any.
For the six months ended June 30, 2003, Partnership capital increased 26.4%
from $62,152,799 to $78,574,272. This increase was attributable to additional
sales of 27,099.8601 Units totaling $31,960,000, which was partially offset by
the net loss from operations of $4,164,619 , coupled with redemption of
10,052.4881 Units resulting in an outflow of $11,373,908. Future redemptions can
impact the amount of funds available for investment in the Partnership/Master in
subsequent periods.
The Master's capital consists of the capital contributions of the members
as increased or decreased by realized and/or unrealized gains or losses on
commodity futures trading, expenses, interest income, redemptions of Units and
distributions of profits, if any.
For the six months ended June 30, 2003, the Master's capital decreased
19.7% from $350,283,453 to $281,329,159. This decrease was attributable to net
loss from operations of $73,631,905, coupled with redemptions of 28,881.9927
Units totaling $38,872,082 and distribution of interest of $1,629,621 to the
Partnerships, which was partially offset by the additions of 32,329.8028 Units
totaling $45,179,314. Future redemptions can impact the amount of funds
available for investments in commodity contract positions in subsequent periods.
20
Critical Accounting Policies
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America 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 reporter 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) 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. 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 statement of income and expenses and partners' capital.
Results of Operations
During the Partnership's second quarter of 2003, the net asset value per
unit increased 4.0% from $1,070.35 to $1,113.12 as compared to an increase of
16.4% in the second quarter of 2002. The Partnership experienced a net trading
21
gain in the second quarter of 2003 of $3,908,115. Gains were primarily
attributable to the Partnership's trading of commodity futures in currencies,
grains, indices and U.S. interest rates and were partially offset by losses in
energy, softs, livestock, metal and non-U.S. interest rates. The Partnership
experienced a net trading gain in the second quarter of 2002 of $7,498,187.
Gains were primarily attributable to the Partnership's trading of commodity
futures in currencies, grains, livestock, metals, U.S. and non-U.S. interest
rates and were partially offset by losses in energy softs and indices.
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
(and Master) 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 Advisor is able to
identify them, the Partnership (and Master) expect to increase capital through
operations.
Interest income 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. Interest income for the three and six months ended
June 30, 2003 increased by $51,108 and $166,647, respectively, as compared to
the corresponding periods in 2002. Interest income received from Master for the
three and six months ended June 30, 2003 increased by $19,024 and $51,467,
respectively, as compared to the corresponding periods in 2002 The increase in
interest income and interest income received from Master are primarily due to an
increase in net assets during the three and six months ended June 30, 2003.
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
and redemptions. Management fees for the three and six months ended June 30,
2003 increased by $183,774 and $429,660, respectively, as compared to the
corresponding periods in 2002. The increase of management fees is due to an
increase in assets during the three and six months ended June 30, 2003.
22
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, 2003
resulted in an incentive fee of $0 and $298,424, respectively. Trading
performance for the three and six months ended June 30, 2002 resulted in an
incentive fee of $985,506 and $1,321,286, respectively.
23
24
Item 3. Quantitative and Qualitative Disclosures of Market Risk
The Partnership/Master are speculative commodity pools. The market
sensitive instruments held by it are acquired for speculative trading purposes,
and all or substantially all of the Partnership's/Master's 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/Master's
main line of business.
Market movements result in frequent changes in the fair value of the
Partnership's/Master's open positions and, consequently, in its earnings and
cash flow. The Partnership's/Master's market risk are influenced by a wide
variety of factors, including the level and volatility of interest rates,
exchange rates, equity price levels, the value of financial instruments and
contracts, the diversification effects of the Partnership's/Master's open
positions and the liquidity of the markets in which it trades.
The Partnership/Master rapidly acquires and liquidates both long and short
positions in a range of different markets. Consequently, it is not possible to
predict how a particular future market scenario will affect performance, and the
Partnership's/Master's past performance is not necessarily indicative of its
future results.
Value at Risk is a measure of the maximum amount which the Master could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Partnership's/Master's speculative trading and the recurrence
in the markets traded by the Partnership/Master 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/Master's 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 Master's losses in any market sector will
be limited to Value at Risk or by the Partnership's/Master's attempts to manage
its market risk.
Exchange maintenance margin requirements have been used by the
Partnership/Master 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.
24
The following table indicates the trading Value at Risk associated with
the Partnership's open positions by market category as of June 30, 2003 and the
highest and lowest value at any point during the three and six months ended June
30, 2003. All open position trading risk exposures of the Partnership have been
included in calculating the figures set forth below. As of June 30, 2003, the
Partnership's total capitalization was $78,574,272. There has been no material
change in the trading Value at Risk information previously disclosed in the Form
10-K for the year ended December 31, 2002.
June 30, 2003
(Unaudited)
Quarter Ended
June 30, 2003 Year to Date
Market Value at % of Total High Value Low Value High Value Low Value
Sector Risk Capitalization at Risk at Risk at Risk at Risk
- -------------------------------------------------------------------------------------------------------------
Currencies:
- - Exchange Traded
Contracts $ 1,672,703 2.13% $1,955,710 $486,107 $1,955,710 $ 486,107
Energy 1,184,200 1.51% 2,716,000 123,600 2,833,000 123,600
Grains 442,486 0.56% 1,802,600 230,900 1,802,600 230,900
Interest Rates U.S. 792,500 1.01% 1,037,350 116,850 1,037,350 116,850
Interest Rates Non-U.S. 1,604,584 2.04% 3,261,061 148,412 3,261,061 148,412
Livestock 149,750 0.19% 410,010 23,800 410,010 23,800
Metals:
- - Exchange Traded
Contracts 152,900 0.19% 1,137,100 100,500 1,137,100 100,500
- OTC Contracts 63,525 0.08% 216,100 33,175 216,100 33,175
Softs 451,819 0.58% 937,100 136,550 937,100 136,550
Indices 599,431 0.76% 841,481 95,480 841,481 95,480
----------- ------
Total $ 7,113,898 9.05%
=========== ======
25
Item 4. Control and Procedures
Based on their evaluation of the Partnership's disclosure controls and
procedures as of June 30, 2003, the Chief Executive Officer and Chief Financial
Officer of the General Partner have concluded that such controls and procedures
are effective.
There were no significant changes in the Partnership's internal controls or
in other factors that could significantly affect such controls subsequent to the
date of their evaluation.
26
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 the Partnership's Annual Report on Form
10-K for the fiscal year ended December 31, 2002. The following information
supplements and amends our discussion set forth under Item 8 "Legal Proceedings"
in the Partnership's Form 10/A filed August 12, 2003.
Enron
On July 28, 2003, Citigroup entered into a final settlement agreement with the
Securities and Exchange Commission ("SEC") to resolve the SEC's outstanding
investigations into Citigroup transactions with Enron and Dynegy. Pursuant to
the settlement, Citigroup has, among other terms, (1) consented to the entry of
an administrative cease and desist order, which bars Citigroup from committing
or causing violations of provisions of the federal securities laws, and (2)
agreed to pay $120 million ($101.25 million allocable to Enron and $18.75
million allocable to Dynegy). Citigroup entered into this settlement without
admitting or denying any wrongdoing or liability, and the settlement does not
establish wrongdoing or liability for purposes of any other proceeding. On July
28, 2003, Citibank, N.A. entered into an agreement with the Office of the
Comptroller of the Currency ("OCC") and Citigroup entered into an agreement with
the Federal Reserve Bank of New York ("FED") to resolve their inquiries into
certain of Citigroup's transactions with Enron. Pursuant to the agreements,
Citibank and Citigroup have agreed to submit plans to the OCC and FED,
respectively, regarding the handling of complex structured finance transactions.
Also on July 28, 2003, Citigroup entered into a settlement agreement with the
Manhattan District Attorney's Office to resolve its investigation into certain
of Citigroup's transactions with Enron; pursuant to the settlement, Citigroup
has agreed to pay $25.5 million and to abide by its agreements with the SEC, OCC
and FED.
Additional Actions Several additional actions, previously identified, have been
consolidated with the Newby action and are stayed, except with respect to
certain discovery, until after the Court's decision on class certification.
Also, in July 2003, an action was brought by purchasers in the secondary market
of Enron bank debt against Citigroup, Citibank, Citigroup Global Markets Inc.
("CGM"), and others, alleging claims for common law fraud, conspiracy, gross
negligence, negligence and breach of fiduciary duty.
Research
On June 23, 2003, the West Virginia Attorney General filed an action against CGM
and nine other firms that were parties to the April 28, 2003 settlement with the
SEC, the National Association of Securities Dealers ("NASD"), the New York Stock
Exchange ("NYSE") and the New York Attorney General (the "Research Settlement").
The West Virginia Attorney General alleges that the firms violated the West
Virginia Consumer Credit and Protection Act in connection with their research
activities and seeks monetary penalties.
27
In May 2003, the SEC, NYSE and NASD issued a subpoena and letters to CGM
requesting documents and information with respect to their continuing
investigation of individuals in connection with the supervision of the research
and investment banking departments of CGM. Other parties to the Research
Settlement have received similar subpoena and letters.
In April 2003, to effectuate the Research Settlement, the SEC filed a Complaint
and Final Judgment in the United States District Court for the Southern District
of New York. The Final Judgment has not yet been entered by the court, and the
court has asked for certain additional information. Also in April 2003, the NASD
accepted the Letter of Acceptance, Waiver and Consent entered into with CGM in
connection with the Research Settlement; and in May 2003, the NYSE advised CGM
that the Hearing Panel's Decision, in which it accepted the Research Settlement,
had become final. CGM is currently in discussion with various of the states with
respect to completion of the state components of the Research Settlement.
Payment will be made in conformance with the payment provisions of the Final
Judgment.
WorldCom, Inc.
On May 19, 2003, a motion to dismiss an amended complaint in the WorldCom, Inc.
Securities Litigation was denied.
Dynegy Inc.
On June 6, 2003, the complaint in a pre-existing putative class action pending
in the United States District Court for the Southern District of Texas, brought
by purchasers of publicly traded debt and equity securities of Dynegy Inc., was
amended to add Citigroup, Citibank and CGM, as well as other banks, as
defendants. The plaintiffs allege violations of the federal securities laws
against the Citigroup defendants.
Adelphia Communications Corporation
- -----------------------------------
On July 6, 2003, an adversary proceeding was filed by the Official Committee of
Unsecured Creditors on behalf of Adelphia against certain lenders and investment
banks, including CGM, Citibank, N.A., Citicorp USA, Inc., and Citigroup
Financial Products, Inc. (together, the Citigroup Parties). The Complaint
alleges that the Citigroup Parties and numerous other defendants committed acts
in violation of the Bank Company Holding Act and the common law. The complaint
seeks equitable relief and an unspecified amount of compensatory and punitive
damages.
In addition, Salomon Smith Barney Inc. (predecessor of Citigroup Global Markets
Inc.) is among the underwriters named in numerous civil actions brought to date
by investors in Adelphia debt securities in connection with Adelphia securities
offerings between September 1997 and October 2001. Three of the complaints also
assert claims against Citigroup and Citibank, N.A. All of the complaints allege
violations of federal securities laws, and certain of the complaints also allege
violations of state securities laws and the common law. The complaints seek
unspecified damages.
Other
MKP Master Fund, LDC et al. v. Salomon Smith Barney Inc.
- --------------------------------------------------------
In July 2003, CGM's motion for summary judgment was granted.
28
Item 2. Changes in Securities and Use of Proceeds -
The Partnership no longer offers units at the net asset value per Unit
as of the end of each month. For the six months ended June 30, 2003 there
were additional sales of 27,099.8601 Units totaling $31,960,000. For the
six months ended June 30, 2002 there were additional sales of 18,699.9236
Units totaling $17,022,000 and contributions by the General Partner
representing 174.9522 Unit equivalents totaling $159,000.
Proceeds from the sale of additional Units are used in the trading of
commodity interests including futures contracts, options, forwards and swap
contracts.
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. 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
Report on Form 10-K for the period ended December 31, 2002.
(a) Exhibit - 31.1 - Rule 13a-14(a)/15d-14(a) Certifications
(Certifications of President and Director)
Exhibit - 31.2 - Rule 13a-14(a)/15d-14(a) Certifications
(Certifications of Chief financial Officer and Director)
Exhibit - 32.1 - Section 1350 Certifications (Certification of
President and Director).
Exhibit - 32.2 - Section 1350 Certifications (Certification of Chief
Financial Officer and Director).
(b) Reports on Form 8-K - None
29
SIGNATURES
Pursuant to the requirements of Section 13 or 15 (d) 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/ David J. Vogel, President and Director
David J. Vogel, President and Director
Date: 8/13/03
-------------
Pursuant to the requirements of the Securities Exchange Act of 1934, this
report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By: Citigroup Managed Futures LLC
(General Partner)
By: /s/ David J. Vogel, President and Director
David J. Vogel, President and Director
Date: 8/13/03
------------
By: /s/ Daniel R. McAuliffe, Jr.
----------------------------------
Daniel R. McAuliffe, Jr.
Chief Financial Officer and Director
Date: 8/13/03
-----------
30
Exhibit 31.1
CERTIFICATIONS
I, David J. Vogel, certify that:
1. I have reviewed this quarterly report on Form 10-Q of Salomon Smith Barney
Orion Futures Fund L.P. (the "registrant");
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition and results of operations of the registrant as of, and for,
the periods presented in this report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure
controls and procedures to be designed under our supervision, to ensure that
material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly
during the period in which this report is being prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the effectiveness
of the disclosure controls and procedures, as of the end of the period covered
by this report based on such evaluation; and
c) disclosed in this report any change in the registrant's internal control over
financial reporting that occurred during the registrant's most recent fiscal
quarter (the registrant's fourth fiscal quarter in the case of an annual report)
that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed, based on
our most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
31
a) all significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably
likely to adversely affect the registrant's ability to record, process,
summarize and report financial information; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control over
financial reporting.
Date: August 13, 2003
/s/ David J. Vogel
David J. Vogel
Citigroup Managed Futures LLC
President and Director
32
Exhibit 31.2
CERTIFICATIONS
I, Daniel R. McAuliffe, Jr., certify that:
1. I have reviewed this quarterly report on Form 10-Q of Salomon Smith Barney
Orion Futures Fund L.P. (the "registrant");
2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition and results of operations of the registrant as of, and for,
the periods presented in this report;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:
a) designed such disclosure controls and procedures, or caused such disclosure
controls and procedures to be designed under our supervision, to ensure that
material information relating to the registrant, including its consolidated
subsidiaries, is made known to us by others within those entities, particularly
during the period in which this report is being prepared;
b) evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the effectiveness
of the disclosure controls and procedures, as of the end of the period covered
by this report based on such evaluation; and
c) disclosed in this report any change in the registrant's internal control over
financial reporting that occurred during the registrant's most recent fiscal
quarter (the registrant's fourth fiscal quarter in the case of an annual report)
that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed, based on
our most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of the registrant's board of
directors (or persons performing the equivalent functions):
33
a) all significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are reasonably
likely to adversely affect the registrant's ability to record, process,
summarize and report financial information; and
b) any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control over
financial reporting.
Date: August 13, 2003
/s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
34
Exhibit 32.1
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Salomon Smith Barney Orion Futures
Fund L.P. (the "Partnership") on Form 10-Q for the period ending June 30, 2003
as filed with the Securities and Exchange Commission on the date hereof (the
"Report"), I, David J. Vogel, President and Director of Citigroup Managed
Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as adopted pursuant to ss.
906 of the Sarbanes-Oxley Act of 2002, that:
(1) The Report fully complies with the requirements of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the
Partnership.
/s/ David J. Vogel
David J. Vogel
Citigroup Managed Futures LLC
President and Director
August 13, 2003
35
Exhibit 32.2
CERTIFICATION PURSUANT TO
18 U.S.C. SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
In connection with the Quarterly Report of Salomon Smith Barney Orion Futures
Fund L.P. (the "Partnership") on Form 10-Q for the period ending June 30, 2003
as filed with the Securities and Exchange Commission on the date hereof (the
"Report"), I, Daniel R. McAuliffe, Jr., Chief Financial Officer and Director of
Citigroup Managed Futures LLC, certify, pursuant to 18 U.S.C. ss. 1350, as
adopted pursuant to ss. 906 of the Sarbanes-Oxley Act of 2002, that:
(1) The Report fully complies with the requirements of section 13(a) or
15(d) of the Securities Exchange Act of 1934; and
(2) The information contained in the Report fairly presents, in all
material respects, the financial condition and results of operations of the
Partnership.
/s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
August 13, 2003
36