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 September 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
September 30, 2003 and December 31,
2002 (unaudited). 3
Condensed Schedules of Investments
at September 30, 2003 and December 31,
2002 (unaudited). 4 - 5
Statements of Income and Expenses
and Partners' Capital for the three
and nine months ended September 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 - 23
Item 3. Quantitative and Qualitative
Disclosures about Market Risk 24 - 26
Item 4. Controls and Procedures 27
PART II - Other Information 28
2
PART I
Item 1. Financial Statements
Salomon Smith Barney Orion Futures Fund L.P.
Statements of Financial Condition
(Unaudited)
September 30, December 31,
2003 2002
--------------- ------------
Assets:
Investment in Master, at fair value $35,887,830 $25,446,740
Cash (restricted $11,315,734 and $8,657,392 in 2003 and 2002, respectively)
in commodity futures trading account 38,478,191 32,697,307
Net unrealized appreciation on open futures positions 7,449,533 5,057,217
Unrealized appreciation on open forward positions 65,865 --
----------- -----------
81,881,419 63,201,264
Interest receivable 31,123 61,183
----------- -----------
$81,912,542 $63,262,447
=========== ===========
Liabilities and Partners' Capital:
Liabilities:
Unrealized depreciation on open forward positions $42,833 $ --
Accrued expenses:
Commissions 133,992 115,201
Management fees 126,761 107,113
Administrative fees 33,573 26,778
Incentive Fees -- 272,957
Other 41,717 88,996
Redemptions 1,027,769 498,603
----------- -----------
1,406,645 1,109,648
----------- -----------
Partners' Capital:
General Partner, 499.8084 Unit equivalents
outstanding in 2002 and 2001 553,383 580,188
Limited Partners, 72,212.0170 and 53,042.3132 Redeemable Units of
Limited Partnership Interest outstanding in 2003 and 2002, respectively 79,952,514 61,572,611
----------- -----------
80,505,897 62,152,799
----------- -----------
$81,912,542 $63,262,447
=========== ===========
See Accompanying Notes to Unaudited Financial Statements.
3
Salomon Smith Barney Orion
Futures Fund L.P.
Condensed Schedule of Investments
September 30, 2003
Sector Contract Fair Value
- ------------------------------------- ---------------------------------- ---------------
Currencies
Futures contracts sold (0.10)% $ (84,403)
Futures contracts purchased 3.36% 2,704,882
---------------
Total Currencies 3.26% 2,620,479
---------------
Energy
Futures contracts sold (0.16)% (125,372)
Futures contracts purchased 0.02% 13,178
---------------
Total Energy (0.14)% (112,194)
---------------
Grains
Futures contracts sold 0.00%* 3,007
Futures contracts purchased 2.70% 2,169,998
---------------
Total Grains 2.70% 2,173,005
---------------
Total Interest Rates U.S. 2.27% Futures contracts purchased 2.27% 1,828,109
---------------
Interest Rates Non-U.S.
Futures contracts sold (0.17)% (137,351)
Futures contracts purchased 1.41% 1,137,075
---------------
Total Interest Rates Non-U.S. 1.24% 999,724
---------------
Total Lumber (0.01)% Futures contracts purchased (0.01)% (8,580)
---------------
Total Livestock 0.22% Futures contracts purchased 0.22% 180,445
---------------
Metals
Futures contracts purchased 0.40% 326,707
---------------
Total futures contracts 0.40% 326,707
Unrealized depreciation on forward contracts (0.05)% (42,833)
Unrealized appreciation on forward contracts 0.08% 65,865
---------------
Total forward contracts 0.03% 23,032
---------------
Total Metals 0.43% 349,739
---------------
Softs
Futures contracts sold (0.03)% (21,696)
Futures contracts purchased (0.05)% (42,855)
---------------
Total Softs (0.08)% (64,551)
---------------
Total Indices (0.61)% Futures contracts purchased (0.61)% (493,611)
---------------
Total Fair Value 9.28% $ 7,472,565
===============
% of Investments
Country Composition Investments at Fair Value at Fair Value
- -------------------------------------------------------------------- -------------------
Australia $ (5,860) (0.08)
Canada 101,108 1.35
France (29,383) (0.39)
Germany 503,419 6.74
Hong Kong (23,135) (0.31)
Italy (19,984) (0.27)
Japan (49,415) (0.66)
Spain (40,185) (0.54)
United Kingdom 144,830 1.94
United States 6,891,170 92.22
--------------------------- -------------------
$ 7,472,565 100.00
=========================== ===================
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
-----------------
Total Interest Rates U.S. 1.42% Futures contracts purchased 1.42% 884,285
-----------------
Total Interest Rates Non-U.S. 1.07% Futures contracts purchased 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 NINE MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
--------------------------- ----------------------------
2003 2002 2003 2002
--------------------------- ----------------------------
Income:
Realized gains (losses ) on closed postitions from Master $1,450,569 $1,900,111 $(4,284,255) $5,054,130
Change in unrealized gains (losses) on open positions
from Master (650,442) (819,598) 643,183 58,341
Interest income allocated from Master 83,671 69,155 252,304 178,888
Expenses allocated from Master (251,695) (256,444) (1,130,690) (806,435)
Net gains (losses) on trading of commodity interests:
Realized gains (losses) on closed positions (9,862,317) 6,738,568 227,840 6,990,097
Change in unrealized gains (losses) on open positions 9,404,257 (1,511,300) 2,415,348 3,382,246
------------ ------------ ------------ ------------
Net realized and unrealized gains (losses) 174,043 6,120,492 (1,876,270) 14,857,267
Interest income 96,316 136,838 363,858 293,202
------------ ------------ ------------ ------------
270,359 6,257,330 (1,512,412) 15,150,469
------------ ------------ ------------ ------------
Expenses:
Brokerage commissions including clearing fees
of $55,143, $57,678, $199,975 and $255,118 479,654 268,661 1,569,873 958,798
Management fees 385,915 249,304 1,138,473 572,202
Administrative fees 102,366 62,328 293,150 143,050
Incentive fees -- 852,827 298,424 2,174,113
Other expenses 30,334 41,426 80,197 119,862
------------ ------------ ------------ ------------
998,269 1,474,546 3,380,117 3,968,025
------------ ------------ ------------ ------------
Net income (loss) (727,910) 4,782,784 (4,892,529) 11,182,444
Additions - Limited Partner 13,309,000 10,434,000 45,269,000 27,456,000
- General Partner -- 65,000 -- 224,000
Redemptions - Limited Partner (10,649,465) (1,524,687) (22,023,373) (5,106,796)
------------ ------------ ------------ ------------
Net increase in Partners' capital 1,931,625 13,757,097 18,353,098 33,755,648
Partners' capital, beginning of period 78,574,272 40,752,367 62,152,799 20,753,816
------------ ------------ ------------ ------------
Partners' capital, end of period $80,505,897 $54,509,464 $80,505,897 $54,509,464
=========== ========== ========== ===========
Net asset value per Redeemable Unit
(72,711.8254 and 37,182.8412 Redeemable Units outstanding
at September 30, 2003 and 2002, respectively) $1,107.19 $1,208.39 $1,107.19 $1,208.39
============ ========== ========= ========
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent $(5.93) $112.39 $(53.63) $256.16
============ =========== ========== =========
See Accompanying Notes to Unaudited Financial Statements
6
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
September 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 interests, 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 currently trades
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, 2001, 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 commodity
pools 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 members 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 the
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
September 30, 2003
(Unaudited)
(Continued)
As of September 30, 2003, the Partnership owns approximately 12.7% of 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 Members' 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 September 30, 2003, all trading decisions
are made by Willowbridge Associates Inc., Winton Capital Management and AAA
Capital Management, Inc. (collectively, the "Advisors").
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, 2003 and December 31, 2002 and the results of its
operations for the three and nine months ended September 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 registration statement on Form 10/A
filed with the Securities and Exchange Commission on November 5, 2003.
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 current
year presentation.
8
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
September 30, 2003
(Unaudited)
(Continued)
The Master's Statements of Financial Condition as of September 30, 2003 and
December 31, 2002, Condensed Schedules of Investments as of September 30, 2003
and December 31, 2002 and its Statements of Income and Expenses and Members'
Capital for the three and nine months ended September 30, 2003 and 2002 are
presented below:
September 30, December 31,
2003 2002
------------ -------------
Assets:
Equity in commodity futures trading
account:
Cash (restricted $25,465,159 and
$53,522,255, respectively) $262,575,170 $330,218,077
Net unrealized appreciation
on open positions 6,303,842 9,188,483
Unrealized appreciation on
open swaps positions 33,482,194 38,011,771
Commodity options owned, at fair
value (cost $32,963,177 and
$63,879,907, respectively) 33,691,360 83,252,102
336,052,566 460,670,433
----------- -----------
Due from brokers 489,055 12,595,792
Interest receivable 180,564 6,712
----------- -----------
$336,722,185 $473,272,937
=========== ===========
Liabilities and Members' Capital:
Liabilities:
Unrealized depreciation on open
swap positions $17,897,668 $48,470,222
Commodity options written, at
market value (premium $44,320,523
and $59,666,185, respectively) 34,673,623 67,724,777
Accrued Expenses:
Commissions 1,904,325 5,210,167
Professional fees 4 20,117
Due to brokers 657,700 1,541,223
Due to CGM 22,978 22,978
Distribution Payable 174,830 -
----------- -----------
55,331,128 122,989,484
----------- ------------
Members' Capital:
Members' Capital, 215,995.4878 and
216,355.0521 Units outstanding
in 2003 and 2002, respectively 281,391,057 350,283,453
----------- -----------
$336,722,185 $473,272,937
=========== ===========
9
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
Notes to Financial Statements
September 30, 2003
(Unaudited)
SB AAA Master Fund LLC
Condensed Schedule of Investments
September 30, 2003
(Unaudited)
Number of
Sector Contracts Contract Fair Value
- -------------- ------------------------------ ---------------------------------- -------------------
Energy Futures contracts purchased 0.33% $ 917,999
Futures contracts sold 1.91% 5,385,843
--------------------
Total futures contracts 2.24% 6,303,842
Options owned 11.97%
4,084 NYMEX Natural Gas Put 7.73% Nov. 03 - Oct 04 21,740,320
Other 4.24% 11,951,040
--------------------
33,691,360
Options written (12.32)%
7,842 NYMEX Natural Gas Call (7.79)% Aug 03 - Dec 04 (21,926,650)
Other (4.53)% (12,746,973)
--------------------
(34,673,623)
Unrealized appreciation on Swaps contracts 11.90%
HH Natural Gas 6.86% 19,305,725
Other 5.04% 14,176,469
---------------------
33,482,194
Unrealized depreciation on Swaps contracts (6.36)%
NYMEX Natural Gas (17,897,668)
--------------------
Total Energy 7.43% $ 20,906,105
====================
Total Fair Value 7.43%
Investment at % of Investment at
Country Composition Fair Value Fair Value
-------------------- ------------- -------------------
United Kingdom $ (1,532,097) (7.33)%
United States 22,438,202 107.33
------------- -------
$ 20,906,105 100.00 %
============== =====
Percentages are based on Members' Capital unless otherwise indicated
10
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
Notes to Financial Statements
September 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
September 30, 2003
(UNAUDITED)
SB AAA MASTER FUND LLC
STATEMENTS OF INCOME AND EXPENSES AND MEMBERS' CAPITAL
(UNAUDITED)
Three Months Ended Nine Months Ended
September 30, September 30,
2003 2002 2003 2002
----------------------------- -----------------------------
Income:
Net gains (losses) on trading of commodity
interests:
Realized gains (losses) on closed positions $11,364,220 $32,530,758 $(81,204,492) $75,347,319
Change in unrealized gains (losses) on open
positions (4,834,883) (14,289,808) 22,219,816 (1,542,837)
------------- ------------- ------------- -------------
Net realized and unrealized gains (losses) 6,529,337 18,240,950 (58,984,676) 73,804,482
Interest income 527,067 694,206 1,946,481 1,934,222
------------- ------------- ------------- -------------
7,056,404 18,935,156 (57,038,195) 75,738,704
------------- ------------- ------------- -------------
Expenses:
Brokerage commissions including clearing fees
of $398,062, $606,653, $1,434,608 and $1,098,861, respectively 1,638,456 4,705,739 11,424,814 12,227,265
Professional fees 195,727 9,399 214,218 27,685
------------- ------------- ------------- -------------
1,834,183 4,715,138 11,639,032 12,254,950
------------- ------------- ------------- -------------
Net income (loss) 5,222,221 14,220,018 (68,677,227) 63,483,754
------------- ------------- ------------- -------------
Additions 6,258,158 122,115,230 51,437,472 133,277,647
Redemptions (10,907,469) (7,953,501) (49,779,551) (20,461,187)
Distributions (511,012) (673,613) (1,873,090) (1,890,174)
------------- ------------- ------------- -------------
Net increase (decrease) in Members' Interest 61,898 127,708,134 (68,892,396) 174,410,040
Members' capital, beginning of period 281,329,159 198,916,629 350,283,453 152,214,723
------------- ------------- ------------- -------------
Members' capital, end of period $281,391,057 $326,624,763 $281,391,057 $326,624,763
============ =========== =========== ===========
Net asset value per Unit
(215,995.4878 and 214,373.0803 Units outstanding at
September 30, 2003 and 2002, respectively) $1,302.76 $1,523.63 $1,302.76 $1,523.63
============ =========== =========== =========
Net income (loss) per Unit of Member Interest $24.07 $65.15 $(309.06) $423.21
============ =========== =========== ===========
12
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
September 30, 2003
(Unaudited)
(Continued)
2. Financial Highlights:
Changes in net asset value per Redeemable Unit for the three and nine
months ended September 30, 2003 and 2002 were as follows:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
2003 2002 2003 2002
Net realized and unrealized
gains(losses) * $(1.07) $135.93 $(32.43) $322.01
Interest income 2.40 4.92 8.93 12.90
Expenses ** (7.26) (28.46) (30.13) (78.75)
------ ------- ------ --------
Increase(decrease) for period (5.93) 112.39 (53.63) 256.16
Net Asset Value per Redeemable
Unit, beginning of period 1,113.12 1,096.00 1,160.82 952.23
========= ======== ========= ========
Net Asset Value per Redeemable
Unit, end of period $1,107.19 $1,208.39 $1,107.19 $1,208.39
========= ======== ========= ========
* Includes brokerage commissions and expenses allocated from Master.
** Excludes brokerage commissions and expenses allocated from Master.
13
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
September 30, 2003
(Unaudited)
(Continued)
Financial Highlights continued:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
2003 2002 2003 2002
---------------- ---------------
Ratio to average net assets: ***
Net investment loss before
incentive fees **** (5.1)% (5.7)% (6.0)% (8.0)%
===== ====== ===== =====
Operating expenses 6.2% 7.5% 7.0% 9.8%
Incentive fees 0.0% 7.3% 0.5% 8.2%
----- ----- ---- -----
Total expenses 6.2% 14.8% 7.5% 18.0%
===== ====== ===== =====
Total return:
Total return before incentive
fees (0.5)% 35.9% (4.3)% 60.1%
Incentive fees 0.0% (25.6)% (0.3)% (33.2)%
----- ----- ---- -----
Total return after incentive fees (0.5)% 10.3% (4.6)% 26.9%
===== ====== ===== =====
*** 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
September 30, 2003
(Unaudited)
(Continued)
Financial Highlights of the Master:
Changes in net asset value per Unit for the three and nine months ended
September 30, 2003 and 2002 were as follows:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
2003 2002 2003 2002
----------------------- ------------------------
Net realized and unrealized
gains(losses)* $ 22.68 $ 61.95 $ (317.27) $ 414.30
Interest income 2.44 3.24 9.01 9.02
Expenses** (1.05) (0.04) (0.80) (0.11)
-------- ------- --------- --------
Increase(decrease) for period 24.07 65.15 (309.06) 423.21
Distributions (2.37) (3.14) (8.67) (8.82)
Net Asset Value per Unit,
beginning of period 1,281.06 1,461.62 1,620.49 1,109.24
======== ======== ======== ========
Net Asset Value per Unit,
end of period $1,302.76 $1,523.63 $1,302.76 $1,523.63
======== ======== ======== ========
* Includes brokerage commissions.
** Excludes brokerage commissions.
15
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
September 30, 2003
(Unaudited)
(Continued)
Financial Highlights of the Master:
THREE-MONTHS ENDED NINE-MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30,
2003 2002 2003 2002
----------------------- ------------------------
Ratio to average net assets: *
Net investment loss ** (2.1)% (6.6)% (4.4)% (6.4)%
Operating expenses 2.6% 6.7% 4.9% 7.7%
Total return 1.8% 4.5% (19.3)% 38.1%
* 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
September 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's/Master'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 respective Customer Agreements between the Partnership and CGM and the
Master and CGM give the Partnership and the Master, respectively, 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 during the nine and twelve months
ended September 30, 2003 and December 31, 2002, respectively, based on a monthly
calculation, were assets of $3,495,179 and $2,689,879, respectively. The fair
values of these commodity interests, including options and swaps thereon, if
applicable, at September 30, 2003 and December 31, 2002 were assets of
$7,472,565 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
or with another financial instrument. These instruments may be traded on an
17
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
NOTES TO FINANCIAL STATEMENTS
September 30, 2003
(Unaudited)
(Continued)
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 swap 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
September 30, 2003
(Unaudited)
(Continued)
The majority of these instruments mature within one year of September 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 third 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 nine months ended September 30, 2003, Partnership capital increased
29.5% from $62,152,799 to $80,505,897. This increase was attributable to
additional sales of 39,236.3828 Redeemable Units totaling $45,269,000 which was
partially offset by a net loss from operations of $4,892,529, coupled with the
redemption of 20,066.6790 Redeemable Units resulting in an outflow of
$22,023,373. 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 nine months ended September 30, 2003, the Master's capital
decreased 19.7% from $350,283,453 to $281,391,057. This decrease was
attributable to a net loss from operations of $68,677,227 coupled with
redemptions of 28,881.9927 Redeemable Units totaling $49,779,551 and
distributions of interest of $1,873,090 to the non-managing members of the
Master, which was partially offset by the additions of 37,191.8136 Redeemable
Units totaling $51,437,472. 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 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) 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 third quarter of 2003, the net asset value per
Redeemable Unit decreased 0.5% from $1,113.12 to $1,107.19 as compared to an
increase of 10.3% in the third quarter of 2002. The Partnership experienced a
21
net trading gain in the third quarter of 2003 of $174,043. Gains were primarily
attributable to the Partnership's trading of commodity futures in livestock,
metals, grains, indices and U.S. and non-U.S. interest rates and were partially
offset by losses in currencies, energy and softs. The Partnership experienced a
net trading gain in the third quarter of 2002 of $6,120,492. Gains were
primarily attributable to the Partnership's trading of commodity futures in
softs, grains, metals, U.S. and non-U.S. interest rates and were partially
offset by losses in energy, currencies, livestock and indices.
During the nine months ended September 30, 2003, the Partnership's net
asset value per Unit decreased 4.6% from $1,160.82 to $1,107.19 as compared to
an increase of 26.9% in the nine months ended September 30, 2002. The
Partnership experienced a net trading loss in the nine months ended September
30, 2003 of $1,876,270. Losses were primarily attributable to the trading of
commodity contracts in U.S. and non-U.S. interest rates, softs and metals and
were partially offset by gains in currencies, energy, grains and indices. The
Partnership experienced a net trading gain in the nine months ended September
30, 2002 of $14,857,267. Gains were primarily attributable to the trading of
commodity contracts in currencies, livestock, U.S. and non-U.S. interest rates
and grains and were partially offset by losses in indices, softs, energy and
metals.
Commodity futures markets are highly volatile. The potential for broad and
rapid price fluctuations increase the risks involved in commodity trading, but
also increase the possibility of profit. The profitability of the Partnership
depends on the existence of major price trends and the ability of the Advisors
(other than AAA) 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 expect to increase capital through operations.
AAA is aware of price trends but does not trade upon trends. AAA often makes
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. Interest income for the three and nine months ended
22
September 30, 2003 decreased by $40,522 and increased by $70,656, respectively,
as compared to the corresponding periods in 2002. Interest income allocated from
Master for the three and nine months ended September 30, 2003 increased by
$14,516 and $73,416, respectively, as compared to the corresponding periods in
2002. The increase in interest income and interest income allocated from Master
are primarily due to an increase in net assets during the three and nine months
ended September 30, 2003.
Brokerage commissions are based on the number of trades executed by the
Advisor. Brokerage commissions and fees for the three and nine months ended
September 30, 2003 increased by $210,993 and $611,075, respectively, as compared
to the corresponding periods in 2002. The increase in commissions and fees is
primarily due to an increase in the number of trades during the three and nine
months ended September 30, 2003 as compared to 2002.
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, 2003 increased by $136,611 and $566,271 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 nine months ended September 30, 2003
as compared to 2002.
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, 2003 increased by $40,038
and $150,100, respectively, as compared to the corresponding periods in 2002.
The increase in administrative fees is due to higher average net assets during
the three and nine months ended September 30, 2003 as compared to 2002.
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,
2003 resulted in incentive fees of $0 and $298,424, respectively. Trading
performance for the three and nine months ended September 30, 2002 resulted in
incentive fees of $852,827 and $2,174,113, respectively.
23
Item 3. Quantitative and Qualitative Disclosures about 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 is 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 Partnership's
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 Partnership'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 September 30, 2003 and the
highest and lowest value at any point during the three and nine months ended
September 30, 2003. All open position trading risk exposures of the Partnership
have been included in calculating the figures set forth below. As of September
30, 2003, the Partnership's total capitalization was $80,505,897. 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.
September 30, 2003
(Unaudited)
Year to Date
-----------------------------------------
% of Total High Low Average
Market Sector Value at Risk Capitalization Value at Risk Value at Risk Value at Risk
Currencies:
- - Exchange Traded
Contracts $ 1,883,832 2.34% $1,955,710 $ 444,732 $1,132,479
Energy 1,133,615 1.41% 2,833,000 123,600 1,488,757
Grains 612,771 0.76% 1,802,600 189,472 629,887
Interest Rates U.S. 1,059,890 1.32% 1,059,890 116,850 628,387
Interest Rates Non-U.S. 2,098,151 2.60% 3,261,061 148,412 1,229,174
Livestock 153,500 0.19% 410,010 23,800 157,743
Metals:
- - Exchange Traded
Contracts 569,900 0.71% 1,137,100 100,500 541,289
- OTC Contracts 141,975 0.18% 283,375 33,175 86,025
Softs 569,782 0.71% 937,100 123,581 540,973
Indices 1,153,022 1.43% 1,453,025 95,480 658,888
Lumber 7,000 0.01% 7,000 1,650 1,694
--------- ------
Total $ 9,383,438 11.66%
========= ======
25
The following table indicates the trading Value at Risk associated with the
Master's open positions by market category as of September 30, 2003 and the
highest and lowest value at any point during the three and nine months ended
September 30, 2003. All open position trading risk exposures of the Master have
been included in calculating the figures set forth below. As of September 30,
2003 , the Master's total capitalization was $281,391,057. 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.
September 30, 2003
(Unaudited)
Year to Date
------------------------------------------
% of Total High Low Average
Market Sector Value at Risk Capitalization Value at Risk Value at Risk Value at Risk
Energy $18,415,548 6.54% $131,820,411 $12,880,254 $39,599,399
Energy Swaps 5,727,000 2.04% 33,232,031 900,000 8,473,995
----------- ------
Total $24,142,548 8.58%
=========== ======
26
Item 4. Controls and Procedures
Based on their evaluation of the Partnership's disclosure controls and
procedures as of September 30, 2003, the President and Chief Financial Officer
of the General Partner have concluded that such controls and procedures are
effective.
During the Partnership's last fiscal quarter, no changes occurred in the
Partnership's internal control over financial reporting that have materially
affected, or are reasonably likely to materially affect, the Partnership's
internal control over financial reporting.
27
PART II. OTHER INFORMATION
Item 1. LEGAL PROCEEDINGS
The following information supplements and amends our discussion set forth
under Item 8 "Legal Proceedings" in the Partnership's Registration Statement on
Form 10/A filed on November 5, 2003.
ENRON
TITTLE, ET AL. v. ENRON CORP., ET AL.
On September 30, 2003, all of the claims against Citigroup in this
litigation were dismissed.
Additional Actions
Several additional actions, previously identified, have been consolidated
or coordinated with the Newby action and are stayed, except with respect to
certain discovery, until after the court's decision on class certification. In
addition, on August 15, 2003, a purported class action was brought by purchasers
of Enron stock alleging state law claims of negligent misrepresentation, fraud,
breach of fiduciary duty and aiding and abetting a breach of fiduciary duty. On
August 29, 2003, an investment company filed a lawsuit alleging that Citigroup,
CGM and several other defendants (including, among others, Enron's auditor,
financial institutions, outside law firms and rating agencies) engaged in a
conspiracy, which purportedly caused plaintiff to lose credit (in the form of a
commodity sales contract) it extended to an Enron subsidiary in purported
reliance on Enron's financial statements. On September 24, 2003, Enron filed an
adversary proceeding in its chapter 11 bankruptcy proceedings to recover alleged
preferential payments and fraudulent transfers involving Citigroup, CGM and
other entities, and to disallow or to subordinate bankruptcy claims that
Citigroup, CGM and other entities have filed against Enron.
Research
In connection with the global research settlement, on October 31, 2003,
final judgment was entered against CGM and nine other investment banks. In
addition, CGM has entered into separate settlement agreements with numerous
states and certain U.S. territories.
28
WORLDCOM
Citigroup and/or CGM are now named in approximately 35 individual state
court actions brought by pension funds and other institutional investors based
on underwriting of debt securities of WorldCom. Most of these actions have been
removed to federal court and transferred to the United States District Court for
the Southern District of New York for centralized pretrial hearings with other
WorldCom actions. On October 24, 2003, the court granted plaintiffs' motion to
have this matter certified as a class action.
OTHER
On November 3, 2003, the United States District Court for the Southern
District of New York granted the Company's motion to dismiss the consolidated
amended complaint asserting violations of certain federal and state antitrust
laws by CGM and other investment banks in connection with the allocation of
shares in initial public offerings underwritten by such parties.
Item 2. Changes in Securities and Use of Proceeds -
This information relates to the Partnership's registration statement
no. 22-3644546, which was declared effective by the SEC on November 5,
2003. For the nine months ended September 30, 2003 there were
additional sales of 39,236.3828 Redeemable Units totaling $45,269,000.
For the nine months ended September 30, 2002 there were additional
sales of 27,924.5415 Redeemable Units totaling $27,456,000 and
contributions by the General Partner representing 231.6282 Unit
equivalents totaling $224,000.
Proceeds from the sale of additional Redeemable 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
29
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
Registration Statement on Form 10/A filed on November 5, 2003.
(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
30
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: 11/14/03
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: 11/14/03
By: /s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Chief Financial Officer and Director
Date: 11/14/03
31
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 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):
32
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: November 14, 2003
/s/ David J. Vogel
David J. Vogel
Citigroup Managed Futures LLC
President and Director
33
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 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):
34
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: November 14, 2003
/s/ Daniel R. McAuliffe, Jr.
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
35
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 September 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
November 14, 2003
36
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 September 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
November 14, 2003
37