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 March 31, 2004
--------------
Commission File Number 0-50271
-------
SALOMON SMITH BARNEY ORION FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
New York 22-3644546
(State or other jurisdiction of (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 X No
--- -----
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
March 31, 2004 and December 31,
2003 (unaudited). 3
Condensed Schedules of Investments
at March 31, 2004 and December 31,
2003 (unaudited). 4 - 5
Statements of Income and Expenses
and Partners' Capital for the three
months ended March 31, 2004
and 2003 (unaudited). 6
Statements of Cash Flows for the three months
ended March 31, 2004 and 2003 (unaudited). 7
Notes to Financial Statements,
including the Financial Statements
of SB AAA Master Fund LLC (unaudited). 8 - 18
Item 2. Management's Discussion and Analysis
of Financial Condition and Results of
Operations. 19 - 22
Item 3. Quantitative and Qualitative
Disclosures about Market Risk 23 - 25
Item 4. Controls and Procedures 26
PART II - Other Information 27
2
PART I
Item 1. Financial Statements
Salomon Smith Barney Orion Futures Fund L.P.
Statements of Financial Condition
(Unaudited)
March 31, December 31,
2004 2003
------------- -----------
Assets:
Investment in Master, at fair value $ 36,354,369 $ 33,531,892
Cash (restricted $14,156,536 and $13,779,146 in 2004 and 2003,
respectively) in commodity futures trading account 62,242,650 50,594,930
Net unrealized appreciation on open futures positions 7,765,522 5,706,691
Unrealized appreciation on open forward contracts 421,440 1,928,011
------------ ------------
106,783,981 91,761,524
Interest receivable
55,716 40,059
------------ ------------
$106,839,697 $ 91,801,583
=========== ============
Liabilities and Partners' Capital:
Liabilities:
Unrealized depreciation on open forward contracts $ 140,500 $ 638,809
Accrued expenses:
Commissions 194,868 160,866
Management fees 165,333 142,083
Administrative fees 45,061 38,612
Incentive fees 1,579,063 539,454
Other 102,632 76,910
Redemptions payable 2,292,222 2,735,869
----------- ------------
4,519,679 4,332,603
----------- ------------
Partners' capital:
General Partner, 725.6052 and 499.8084 Unit equivalents
outstanding in 2004 and 2003, respectively 899,954 549,884
Limited Partners, 81,771.5860 and 79,003.6728 Redeemable Units of
Limited Partnership Interest outstanding in 2004 and 2003, respectively 101,420,064 86,919,096
------------ ------------
102,320,018 87,468,980
------------ ------------
$106,839,697 $ 91,801,583
=========== ============
See Accompanying Notes to Unaudited Financial Statements.
3
Salomon Smith Barney Orion Futures Fund L.P.
Condensed Schedule of Investments
March 31, 2004
(Unaudited)
Sector Contract Fair Value
- -------------------------------------------- ----------------------------------- -----------
Currencies
Futures contracts sold 0.05% $49,632
Futures contracts purchased 0.07% 75,054
----------
Total Currencies 0.12% 124,686
----------
Total Energy 0.21% Futures contracts purchased 0.21% 213,209
----------
Total Grains 4.49% Futures contracts purchased 4.49% 4,598,135
-----------
Total Interest Rates U.S. 0.46% Futures contracts purchased 0.46% 469,004
----------
Interest Rates Non-U.S.
Futures contracts sold 0.01% 3,813
Futures contracts purchased 1.03% 1,057,838
----------
Total Interest Rates Non-U.S. 1.04% 1,061,651
----------
Total Lumber 0.01% Futures contracts purchased 0.01% 10,021
---------
Livestock
Futures contracts sold (0.03)% (27,550)
Futures contracts purchased 0.14% 142,190
---------
Total Livestock 0.11% 114,640
---------
Metals
Futures contracts purchased 1.10% 1,125,540
Unrealized depreciation on forward contracts (0.14)% (140,500)
Unrealized appreciation on forward contracts 0.41% 421,440
---------
Total forward contracts 0.27% 280,940
-----------
Total Metals 1.37% 1,406,480
-----------
Softs
Futures contracts sold 0.02%
18,713
Futures contracts purchased (0.13)% (135,709)
----------
Total Softs (0.11)% (116,996)
----------
Total Indices 0.16% Futures contracts purchased 0.16% 165,632
----------
Total Fair Value 7.86% $8,046,462
===========
Investments % of Investments
Country Composition at Fair Value at Fair Value
- -------------------- ------------- -----------------
Australia $ (39,601) (0.49)%
Canada 117,574 1.46
France 8,148 0.10
Germany 981,578 12.20
Hong Kong 4,543 0.06
Italy 5,143 0.06
Japan 17,736 0.22
Spain 16,160 0.20
United Kingdom 275,582 3.43
United States 6,659,599 82.76
--------- -----
$ 8,046,462 100.00 %
=========== ======
Percentages are based on Partners' Capital unless otherwise indicated
See Accompanying Notes to Unaudited Financial Statements
4
Salomon Smith Barney Orion
Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2003
(Unaudited)
Sector Contract Fair Value
- ------ -------- ----------
Currencies Futures contracts sold (0.04)% $(34,802)
Futures contracts purchased 3.12% 2,726,064
---------
Total Currencies 3.08% 2,691,262
---------
Total Energy (0.05)% Futures contracts purchased (0.05)% (47,000)
--------
Grains Futures contracts sold (0.12)% (107,275)
Futures contracts purchased 1.70% 1,487,795
---------
Total Grains 1.58% 1,380,520
---------
Total Interest Rates U.S. (0.15)% Futures contracts purchased (0.15)% (129,958)
--------
Interest Rates Non-U.S.
Futures contracts sold (0.00)%* (343)
Futures contracts purchased 0.70% 617,411
--------
Total Interest Rates Non-U.S. 0.70% 617,068
--------
Total Lumber 0.01% Futures contracts purchased 0.01% 6,402
--------
Livestock
Futures contracts sold 0.01% 5,570
Futures contracts purchased (0.03)% (25,410)
--------
Total Livestock (0.02)% (19,840)
--------
Metals
Futures contracts sold (0.00)%* (3,655)
Futures contracts purchased 0.96% 842,863
--------
Total futures contracts 0.96% 839,208
Unrealized depreciation on forward contracts (0.73)% (638,809)
Unrealized appreciation on forward contracts 2.20% 1,928,011
---------
Total forward contracts 1.47% 1,289,202
---------
Total Metals 2.43% 2,128,410
---------
Softs Futures contracts sold 0.06% 56,990
Futures contracts purchased (0.18)% (159,535)
--------
Total Softs (0.12)% (102,545)
--------
Total Indices 0.54% Futures contracts purchased 0.54% 471,574
--------
Total Fair Value 8.00% $6,995,893
=========
Investments at Fair % of Investments at Fair
Country Composition Value Value
- ------------------ ----------------- ----------------------
Australia $141,159 2.02%
Canada 83,342 1.19
France 30,769 0.44
Germany 309,378 4.42
Hong Kong 7,903 0.11
Italy (20,955) (0.30)
Japan 44,926 0.64
Spain 22,028 0.32
United Kingdom 1,802,208 25.76
United States 4,575,135 65.40
--------- --------
$6,995,893 100.00%
========= ======
Percentages are based on Partners' Capital unless otherwise indicated.
* Due to rounding.
See Accompanying Notes to Unaudited Financial Statements.
5
Salomon Smith Barney Orion Futures Fund L.P.
Statements of Income and Expenses and Partners' Capital
(Unaudited)
Three Months Ended
March 31,
---------------------------------------
2004 2003
---------------------------------------
Income:
Realized gains (losses) on closed positions from Master $ 3,329,718 $ (11,896,724)
Change in unrealized gains (losses) on open positions
from Master (66,980) 2,244,096
Interest income allocated from Master 75,561 81,802
Expenses allocated from Master (327,392) (619,832)
Net gains (losses) on trading of commodity interests:
Realized gains on closed positions 10,331,814 10,629,570
Change in unrealized gains (losses) on open positions 1,050,569 (6,566,406)
------------ -------------
14,393,290 (6,127,494)
Interest income 144,011 142,912
---------- -------------
14,537,301 (5,984,582)
----------- -------------
Expenses:
Brokerage commissions including clearing fees
of $72,360 and $118,128, respectively 590,499 384,495
Management fees 461,474 371,280
Administrative fees 125,844 92,821
Incentive fees 1,579,063 298,424
Other expenses 29,222 25,412
----------- -------------
2,786,102 1,172,432
---------- -------------
Net income (loss) 11,751,199 (7,157,014)
Additions - General Partner 280,051 -
- Limited Partners 8,517,000 23,600,000
Redemptions (5,697,212) (7,822,446)
----------- -------------
Net increase in Partners' capital 14,851,038 8,620,540
Partners' capital, beginning of period 87,468,980 62,152,799
----------- -------------
Partners' capital, end of period $ 102,320,018 $ 70,773,339
========== =============
Net asset value per redeemable Unit
(82,497.1912 and 66,121.3710 Redeemable Units
outstanding at March 31, 2004 and 2003, respectively) $ 1,240.28 $ 1,070.35
========== =============
Net gain (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent $ 140.09 $ (90.47)
=========== =============
See Accompanying Notes to Unaudited Financial Statements
6
Salomon Smith Barney Orion Futures Fund L.P.
Statements of Cash Flows
(Unaudited)
Three Months Ended
March 31,
-----------------------------
2004 2003
---------- ------------
Cash flows from operating activities:
Net income (loss) $ 11,751,199 $ (7,157,014)
Adjustments to reconcile net income (loss) to net cash
provided by operating activities:
Changes in operating assets and liabilities:
Investment in Master Fund, at fair value (2,822,477) 2,611,819
Net unrealized appreciation (depreciation) on open futures positions (2,058,831) 6,566,406
Unrealized appreciation on open forward contracts 1,506,571 -
Increase in interest receivable (15,657) (20,549)
Unrealized depreciation on open forward contracts (498,309) -
Accrued Expenses:
Increase in commissions 34,002 21,347
Increase in management fees 23,250 20,662
Increase in administrative fees 6,449 5,166
Increase in incentive fees 1,039,609 25,467
Increase in other 25,722 20,186
Increase (decrease) redemptions payable (443,647) 3,492,478
------------ ------------
Net cash provided by operating activities 8,547,881 5,585,968
------------ ------------
Cash flows from financing activities:
Proceeds from additions 8,797,051 23,600,000
Payments for redemptions (5,697,212) (7,822,446)
------------ ------------
Net cash provided by financing activities 3,099,839 15,777,554
------------ ------------
Net change in cash 11,647,720 21,363,522
Cash, at beginning of period 50,594,930 32,697,307
------------ ------------
Cash, at end of period $ 62,242,650 $ 54,060,829
=========== ============
See Accompanying Notes to Unaudited Financial Statements
7
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2004
(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.
Between March 31, 1999 (commencement of the offering period) and June 10,
1999, 10,499 redeemable units of Limited Partnership Interest ("Redeemable
Units") and 106 Unit equivalents representing the general partner's contribution
were sold at $1,000 per Redeemable Unit. The proceeds of the offering were held
in an escrow account until June 10, 1999, at which time they were turned over to
the Partnership for trading. The Partnership continues to offer Redeemable
Units.
Citigroup Managed Futures LLC, formerly Smith Barney Futures Management
LLC, a Delaware limited liability company, is the Partnership's general partner
and commodity pool operator ("the General Partner"). 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 March 31, 2004,
all trading decisions are made by Willowbridge Associates Inc., Winton Capital
Management and AAA Capital Management, Inc. (collectively, the "Advisors").
Effective September 1, 2001, the Partnership allocated the portion of the
Partnership's capital that was allocated to AAA Capital Management, Inc. ("AAA")
for trading to the SB AAA Master Fund LLC, a New York Limited Liability Company
(the "Master"). With this cash, the Partnership purchased 5,173.4381 Units of
the Master at a fair value of $5,173,438. 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.
8
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2004
(Unaudited)
(Continued)
As of March 31, 2004, the Partnership owns approximately 13.9% 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, Condensed Schedule of
Investments and Statements of Cash Flows are included herein.
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 March 31, 2004 and December 31, 2003 and the results of its
operations and cash flows for the three months ended March 31, 2004 and 2003.
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, 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
period presentation.
9
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2004
(Unaudited)
(Continued)
The Master's Statements of Financial Condition as of March 31, 2004 and
December 31, 2003, Condensed Schedules of Investments as of March 31, 2004 and
December 31, 2003, Statements of Income and Expenses and Members' Capital and
Statements of Cash Flows for the three months ended March 31, 2004 and 2003 are
presented below:
SB AAA Master Fund LLC
Statements of Financial Condition
(Unaudited)
March 31, December 31,
2004 2003
------------ --------------
Assets:
Equity in commodity futures trading account:
Cash (restricted $31,423,756 and $48,471,997, respectively) $250,595,531 $231,361,103
Net unrealized appreciation on open futures positions 8,109,469 8,845,539
Unrealized appreciation on open swaps positions 40,162,655 50,093,912
Commodity options owned, at fair value
(cost $30,530,491 and $49,687,512, respectively) 36,117,993 42,630,230
------------ ------------
334,985,648 332,930,784
Due from brokers 1,011,299 2,148,690
Interest receivable 170,348 159,050
------------ ------------
$336,167,295 $335,238,524
============ ============
Liabilities and Members' Capital:
Liabilities:
Unrealized depreciation on open swap positions $ 27,993,038 $ 18,654,566
Commodity options written, at market value
(premium received $41,392,687 and $47,549,852, respectively) 45,325,611 57,804,597
Accrued expenses:
Commissions 1,733,248 1,670,425
Professional fees 51,065 59,625
Due to brokers 336,875 1,815,015
Due to CGM 22,978 22,978
Distribution payable 167,702 153,681
------------ ------------
75,630,517 80,180,887
------------ ------------
Members' Capital:
Members' Capital, 198,036.9344 and 211,023.7320 Units
outstanding in 2004 and 2003, respectively 260,536,778 255,057,637
------------ ------------
$336,167,295 $335,238,524
============ ============
10
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2004
(Unaudited)
(Continued)
SB AAA Master Fund LLC
Condensed Schedule of Investments
March 31, 2004
(Unaudited)
Number of
Sector Contracts Contract Fair Value
- ------- ---------- ----------------------------------- ----------
Energy Futures contracts purchased 12.09%
4,601 NYMEX Natural Gas Jun. 04 - Mar. 06 11.42% $29,747,052
Other 0.67% 1,738,999
Futures contracts sold (8.97)% (23,376,582)
------------
Total futures contracts 3.12% 8,109,469
Options owned 13.86%
6,318 NYMEX Natural Gas May 04 - Apr.05 9.37% 24,408,789
Other 4.49% 11,709,204
----------
36,117,993
Options written (17.40)%
4,529 NYMEX Natural Gas May 04 - Dec. 04 (11.39)% (29,673,208)
Other (6.01)% (15,652,403)
------------
(45,325,611)
Unrealized appreciation on Swaps contracts 15.41%
NYMEX Gasoline Dec. 05 5.41% 14,104,977
Other 10.00% 26,057,678
----------
40,162,655
Unrealized depreciation on Swaps contracts (10.74)%
NYMEX Gasoline Dec. 05 (7.47)% (19,457,370)
Other (3.27)% (8,535,668)
------------
(27,993,038)
------------
Total Energy Fair Value 4.25% $11,071,468
===========
Investments at % of Investments at
Country Composition Fair Value Fair Value
- -------------------- ------------- ------------
United Kingdom $ (618,055) (5.58)%
United States 11,689,523 105.58
----------- -------
$ 11,071,468 100.00%
============ ======
Percentages are based on Members' Capital unless otherwise indicated
11
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2004
(Unaudited)
(Continued)
SB AAA Master Fund LLC
Condensed Schedule of Investments
December 31, 2003
(Unaudited)
Number of
Sector Contracts Contract Fair Value
- ------ --------- -------- ------------
Energy Futures contracts purchased 5.35% $13,637,465
Futures contracts sold (1.88)% (4,791,926)
-----------
Total futures contracts 3.47% 8,845,539
Options owned 16.71%
6,488 NYMEX Natural Gas Put Feb. 04 - Oct. 04 8.98% 22,900,060
Other 7.73% 19,730,170
-----------
42,630,230
Options written (22.66)%
7,335 NYMEX Natural Gas Call Feb. 04 - Dec. 04 (16.04)% (40,916,710)
Other (6.62)% (16,887,887)
-----------
(57,804,597)
Unrealized appreciation on Swaps contracts 19.64%
1,000 HH Natural Gas Feb. 04 8.22% 20,967,521
Other 11.42% 29,126,391
-----------
50,093,912
Unrealized depreciation on Swaps contracts (7.31)% (18,654,566)
-----------
Total Energy Fair Value 9.85% $25,110,518
===========
Investments at % of Investments at
Country Composition Fair Value Fair Value
-------------------- -------------- ---------------
United Kingdom $(113,943) (0.45)%
United States 25,224,461 100.45
----------- ------
$25,110,518 100.00%
========== ======
Percentages are based on Members' Capital unless otherwise indicated.
12
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2004
(Unaudited)
(Continued)
SB AAA MASTER FUND LLC
Statements of Income and Expenses and Memebers' Capital
(Unaudited)
Three Months Ended
March 31,
-------------------------------
2004 2003
----------------------------
Income:
Net gains (losses) on trading of commodity
interests:
Realized gains (losses) on closed positions $ 24,591,283 $(143,773,821)
Change in unrealized gains (losses) on open
positions (1,039,194) 32,010,513
------------- -------------
23,552,089 (111,763,308)
Interest income 459,513 822,408
------------- -------------
24,011,602 (110,940,900)
------------- -------------
Expenses:
Brokerage commissions including clearing fees
of $269,728 and $1,036,546, respectively 2,327,297 6,497,159
Other expenses 11,740 9,194
------------- -------------
2,339,037 6,506,353
------------- -------------
Net income (loss) 21,672,565 (117,447,253)
Additions 1,539,508 32,986,186
Redemptions (17,282,974) (21,494,026)
Distribution of interest to feeder funds (449,958) (780,227)
------------- -------------
Net increase (decrease) in Members Interest 5,479,141 (106,735,320)
Members' capital, beginning of period 255,057,637 350,283,453
------------ -------------
Members' capital, end of period $ 260,536,778 $ 243,548,133
============= =============
Net asset value per Unit
(198,036.9344 and 224,062.2088 Units outstanding
in March 31, 2004 and 2003, respectively) $ 1,315.61 $ 1,086.49
============= =============
Net income (loss) per Unit of Member Interest $ 109.18 $ (530.48)
============= =============
13
Salomon Smith Barney Orion Futures und L.P.
Notes to Financial Statements
March 31, 2004
(Unaudited)
(Continued)
SB AAA Master Fund LLC
Statements of Cash Flows
(Unaudited)
Three Months Ended
March 31,
-------------------------------------
2004 2003
--------------- ----------------
Cash flows from operating activities:
Net income (loss) $21,672,565 $(117,447,253)
Adjustments to reconcile net income (loss) to net cash
provided by (used in) operating activities:
Changes in operating assets and liabilities:
Net unrealized appreciation on open futures positions 736,070 15,511,411
Unrealized appreciation on open swaps positions 9,931,257 (7,200,789)
Commodity options owned, at fair value 6,512,237 (18,025,816)
Due from brokers 1,137,391 (1,331,133)
(Increase) decrease in interest receivable (11,298) 44,349
Unrealized depreciation on open swaps positions 9,338,472 (17,803,498)
Commodity options written, at fair value (12,478,986) (13,542,641)
Accrued Expenses:
Increase (decrease) in commissions 62,823 (1,672,096)
Increase (decrease) in professional fees (8,560) 9,193
Due to brokers (1,478,140) 7,163,242
Increase (decrease)in distribution of
interest to feeder funds 14,021 (42,499)
--------------- ----------------
Net cash provided by (used in) operating
activities 35,427,852 (154,337,530)
--------------- ----------------
Cash flows from financing activities:
Proceeds from additions 1,539,508 32,986,186
Payments for redemptions (17,282,974) (21,494,026)
Distribution of interest to feeder funds (449,958) (780,227)
--------------- ----------------
Net cash provided by (used in) financing
activities (16,193,424) 10,711,933
--------------- ----------------
Net change in cash 19,234,428 (143,625,597)
Cash, at beginning of period 231,361,103 330,218,077
--------------- ----------------
Cash, at end of period $250,595,531 $ 186,592,480
=============== ================
14
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2004
(Unaudited)
(Continued)
2. Financial Highlights:
Changes in Net Asset Value per Redeemable Unit of Partnership Interest for
the three months ended March 31, 2004 and 2003 were as follows:
Three Months Ended
2004 2003
--------- ---------
Net realized and unrealized gains (losses)* $ 163.67 $ (78.40)
Interest income 2.61 3.55
Expenses** (26.19) (15.62)
--------- ---------
Increase (decrease) for the period 140.09 (90.47)
Net Asset Value per Redeemable Unit, beginning of period 1,100.19 1,160.82
--------- ---------
Net Asset Value per Redeemable Unit, end of period $ 1,240.28 $ 1,070.35
======== =========
* Includes Partnership brokerage commissions and brokerage commissions
allocated from Master.
** Excludes Partnership brokerage commissions and brokerage commissions
allocation from Master.
Ratios to average net assets:***
Net investment loss before incentive fees**** (5.6)% (7.4)%
==== ===
Operating expenses 6.5% 8.7%
Incentive fees 1.7% 0.4%
---- ---
Total expenses 8.2% 9.1%
==== ===
Total return:
Total return before incentive fees 14.5% (7.4)%
Incentive fees (1.8)% (0.4)%
---- ---
Total return after incentive fees 12.7% (7.8)%
==== ===
*** Annualized (other than incentive fee)
**** 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 year. Additionally, these ratios are calculated
for the Limited Partner class using the Limited Partners' share of income,
expenses and average net assets.
15
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2004
(Unaudited)
(Continued)
Financial Highlights of the Master:
Three Months Ended
-------------------------
2004 2003
----------- -----------
Net realized and unrealized gains (losses)* $ 106.95 $ (534.16)
Interest income 2.27 3.72
Expenses** (0.04) (0.04)
---------- ----------
Increase (decrease) for the period 109.18 (530.48)
Distributions (2.23) (3.52)
Net Asset Value per Unit, beginning of period 1,208.66 1,620.49
----------- -----------
Net Asset Value per Unit, end of period $ 1,315.61 $ 1,086.49
========== ===========
* Includes brokerage commissions
** Excludes brokerage commissions
Ratios to average net assets:***
Net investment loss **** (3.0)% (7.6)%
=========== ===========
Operating expenses 3.7% 8.7%
=========== ===========
Total return: 9.0% (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
March 31, 2004
(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.
All of the commodity interests owned by the Partnership are held for
trading purposes. The average fair values of these interests during the three
and twelve months ended March 31, 2004 and December 31, 2003, based on a monthly
calculation, were $7,799,192 and $4,553,850, respectively. The fair values of
these commodity interests, including options and swaps thereon, if applicable,
at March 31, 2004 and December 31, 2003 were $8,046,462 and $6,995,893,
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
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
17
Salomon Smith Barney Orion Futures Fund L.P.
Notes to Financial Statements
March 31, 2004
(Unaudited)
(Continued)
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
Partnership's/Master's risk of loss in the event of counterparty default is
typically limited to the amounts recognized as unrealized appreciation in the
statements of financial condition and not represented by the contract or
notional amounts of the instruments. The Partnership/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.
The majority of these instruments mature within one year of March 31, 2004.
However, due to the nature of the Partnership's/Master's business, these
instruments may not be held to maturity.
18
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 first quarter of 2004.
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 three months ended March 31, 2004, Partnership capital increased
17.0% from $87,468,980 to $102,320,018. This increase was attributable to net
income from operations of $11,751,199 coupled with additional sales of
7,538.4208 Redeemable Units of limited partnership totaling $8,517,000 and
225.7968 General Partner unit equivalents totaling $280,051, which was partially
offset by redemption of 4,770.5076 Redeemable Units resulting in an outflow of
$5,697,212. 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 three months ended March 31, 2004, the Master's capital increased
2.1% from $255,057,637 to $260,536,778. This increase was attributable to net
income from operations of $21,672,565 coupled with additions of 1,257.1846 Units
totaling $1,539,508, which was partially offset by the redemptions of
14,243.9822 Units totaling $17,282,974 and distributions of interest of $449,958
to the non-managing members of the Master. Future redemptions can impact the
amount of funds available for investments in commodity contract positions in
subsequent periods.
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.
19
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 statements of income and expenses and partners'
capital.
Results of Operations
During the Partnership's first quarter of 2004, the net asset value per
Redeemable Unit increased 12.7% from $1,100.19 to $1,240.28 as compared to a
decrease of 7.8% in the first quarter of 2003. The Partnership experienced a net
trading gain before brokerage commissions and related fees in the first quarter
of 2004 of $14,645,121. Gains were primarily attributable to the Partnership's
trading of commodity futures in currencies, energy, livestock, metals, grains,
indices and U.S. and non-U.S. interest rates and were partially offset by losses
in softs. The Partnership experienced a net trading loss before brokerage
commissions and related fees in the first quarter of 2003 of $5,589,464. Losses
were primarily attributable to the Partnership's trading of commodity futures in
softs, energy, livestock, U.S. and non-U.S. interest rates and were partially
offset by gains in grains, metals, indices, currencies, and softs.
The Partnership had a strong first quarter as the financial and commodity
trends that had carried performance in 2003 continued into the first quarter
provided the primary basis for profits. The major contributors to performance
were rising commodity prices, particularly for grains, energy and base metals
and lower interest rates both in the U.S. and internationally.
The commodity markets, particularly grains and related contracts, produced
most of the Fund's profits for the quarter. The demand for foodstocks from
developing countries generated profits for positions in grains, specifically
soybeans, corn and wheat. Increased global demand for the raw materials of
economic development, namely base metals, like copper, nickel and aluminum, also
produced profitable trading. Silver and gold also were profitable for the
quarter. Energy trading was also highly profitable for the quarter as prices of
crude oil moved to the high $30s range and natural gas prices followed their
normal volatile seasonal patterns with mixed trading results for the Advisors.
20
Additional profits were earned for positions in U.S. and international
interest rate contracts throughout most of the quarter. Lower U.S. interest
rates combined with rising fiscal and trade deficits pushed the U.S. dollar
lower through mid-February producing profits for the Fund's advisors but then
began a sharp correction that led to losses in March as the dollar regained
nearly 10% against the euro and other major currencies. Overall for the quarter,
currency trading resulted in losses. Trading in stock market indices was
slightly profitable as the U.S. and global stock markets were mostly
directionless for the first quarter.
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/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 Advisors are able to
identify them, the Partnership expects 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 months ended March 31,
2004 increased by $1,099 as compared to the corresponding period in 2003.
Interest income allocated from Master for the three months ended March 31, 2004
decreased by $6,241 as compared to the corresponding period in 2003. The
decrease in interest income and interest income allocated from Master are
primarily due to an decrease in net assets during the three months ended March
31, 2004.
Brokerage commissions are based on the number of trades executed by the
Advisor. Brokerage commissions and fees for the three months ended March 31,
2004 increased by $206,004 as compared to the corresponding period in 2003. The
increase in commissions and fees is primarily due to an increase in the number
of trades during the three months ended March 31, 2004 as compared to 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,
additions and redemptions. Management fees for the three months ended March 31,
2004 increased by $90,194 as compared to the corresponding period in 2003. The
increase of management fees is due to an increase in net assets during the three
months ended March 31, 2004 as compared to 2003.
Administrative fees are paid to the General Partner for administering the
business and affairs of the Partnership. These fees are calculated as a
percentage of the Partnership's net asset value as of the end of each month and
are affected by trading performance and redemptions. Administrative fees for the
three months ended March 31, 2004 increased by $33,023 as compared to the
corresponding period in 2003. The increase in administrative fees is due to
higher average net assets during the three months ended March 31, 2004 as
compared to 2003.
21
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 months ended March 31, 2004 and 2003
resulted in incentive fees of $1,579,063 and $298,424, respectively.
22
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/Master'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/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.
23
The following table indicates the trading Value at Risk associated with the
Partnership's open positions by market category as of March 31, 2004 and the
highest and lowest value at any point during the three months ended March 31,
2004. All open position trading risk exposures of the Partnership have been
included in calculating the figures set forth below. As of March 31, 2004, the
Partnership's total capitalization was $102,320,018. 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, 2003.
March 31, 2004
Year to Date
------------------------------------------------------
% of Total High Low Average Value
Market Sector Value at Risk Capitalization Value at Risk Value at Risk at Risk
- ------------ --------------------------------------------------------------------------------------
Currencies
- Exchange Traded Contracts $ 1,108,528 1.08% $ 2,207,007 $ 746,629 $ 1,337,548
Energy 2,323,500 2.27% 3,377,350 1,184,950 2,142,017
Grains 1,166,951 1.14% 1,221,502 605,669 1,063,981
Interest Rates U.S. 1,399,850 1.37% 1,478,500 475,850 1,061,367
Interest Rates Non-U.S. 2,849,347 2.79% 3,854,204 1,871,923 3,019,024
Livestock 239,000 0.23% 239,000 60,420 165,823
Metals
- Exchange Traded Contracts 860,400 0.84% 860,400 366,400 633,567
- OTC Contracts 243,725 0.24% 613,095 238,225 371,240
Softs 485,051 0.47% 697,544 132,078 456,159
Indices 937,287 0.92% 1,481,964 887,644 1,004,588
Lumber 6,600 0.01% 7,000 3,500 5,867
--------------- --------
Totals $ 11,620,239 11.36%
=============== =======
24
The following table indicates the trading Value at Risk associated with the
Master's open positions by market category as of March 31, 2004 and the highest
and lowest value at any point during the three months ended March 31, 2004. All
open position trading risk exposures of the Master have been included in
calculating the figures set forth below. As of March 31, 2004, the Master's
total capitalization was $260,536,778. 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, 2003.
March 31, 2004
Year to Date
------------------------------------------------------
% of Total High Low Average Value at
Market Sector Value at Risk Capitalization Value at Risk Value at Risk Risk
- -------------- ------------- ------------------- ----------------- ----------------- ----------------
Energy $18,998,850 7.29% $29,837,388 $10,894,859 $16,381,705
Energy Swaps 1,988,189 0.76% $6,027,189 $1,988,189 $3,188,189
--------- -----
Total $20,987,039 8.05%
=========== =====
25
Item 4. Controls and Procedures
Based on their evaluation of the Partnership's disclosure controls and
procedures as of March 31, 2004, the Chief Executive Officer and Chief Financial
Officer 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 during the first
quarter of 2004.
26
PART II. OTHER INFORMATION
Item 1. Legal Proceedings
The following information supplements and amends our discussion set forth
under Item 3 "Legal Proceedings" in the Partnership's Annual Statement on Form
10-K for the period ended December 31, 2003.
Regulatory Matters.
Both the Department of Labor and the IRS have advised CGM that they were or
are reviewing transactions in which Ameritech Pension Trust purchased from CGM
and certain affiliates approximately $20.9 million in participations in a
portfolio of motels owned by Motels of America, Inc. and Best Inns, Inc. With
respect to the IRS review, CGM and certain affiliated entities have consented to
extensions of time for the assessment of excise taxes that may be claimed to be
due with respect to the transactions for the years 1987, 1988 and 1989.
ENRON CORP.
In July 2002, Citigroup, CGM and certain officers were named as defendants
in an alleged class action filed in the United States District Court for the
Southern District of New York, brought on behalf of purchasers of Citigroup
common stock between July 24, 1999 and July 23, 2002. The complaint seeks
unspecified compensatory and punitive damages for alleged violations of Sections
10(b) and 20(a) of the Securities Exchange Act of 1934, and for common law
fraud. Fourteen virtually identical complaints have been filed and consolidated.
The complaints allege that Citigroup misstated the extent of its Enron-related
exposure, and that Citigroup's stock price fell once the true extent of the
company's Enron involvements became known. Plaintiffs filed an amended complaint
on March 10, 2003, which incorporated the allegations in the 15 separate actions
and added new material as well. The amended complaint focuses on certain
transaction Citigroup did with Enron and alleged analyst conflicts of interest.
The class period for the consolidated amended complaint is July 24, 1999 to
December 11, 2002. On June 2, 2003, Citigroup filed a motion to dismiss the
consolidated amended complaint. Plaintiffs' response was filed on July 30, and
Citigroup's reply was filed on October 3, 2003. Oral argument before Judge Swain
was held on November 20, 2003.
Mutual Funds.
In 2003, several issues in the mutual fund industry have come under the
scrutiny of federal and state regulators. The Company has received subpoenas and
other requests for information from various government regulators regarding
market timing, fees, sales practices and other mutual fund issues in connection
with various investigations, including an investigation by the SEC and a United
States Attorney into the arrangements under which CGMH became the transfer agent
for many of the mutual funds in the Smith Barney fund complex. CGMH is
cooperating fully with all such reviews.
Item 2. Changes in Securities, Use of Proceeds and Issuer Purchases of Equity
Securities
For the three months ended March 31, 2004 there were additional sales
of 7,538.4208 Redeemable Units of limited partnership totaling
$8,517,000 and contributions by the General Partner representing
225.7968 Units equivalents totaling $280,051. For the three months
ended March 31, 2003 there were additional sales of 19,437.8764
Redeemable Units totaling $23,600,000.
Proceeds from the sale of additional Redeemable Units are used in the
trading of commodity interests including futures contracts, options,
forwards and swap contracts.
27
The following chart sets forth the purchases of Redeemable Units by the
Partnership.
- -----------------------------------------------------------------------------------------------------------------------------
Period (a) Total Number of (b) Average Price (c) Total Number of (d) Maximum Number
Shares (or Units) Paid per Share (or Shares (or Units) (or Approximate
Purchased* Unit)** Purchased as Part of Dollar Value) of
Publicly Announced Shares (or Units)
Plans or Programs that May Yet Be
Purchased Under the
Plans or Programs
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
January 1, 2004 - January 31, 1,445.5510 $1,109.03 N/A N/A
2004
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
February 1, 2004 - February 1,251.0113 $1,216.44 N/A N/A
29, 2004
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
March 1, 2004 - March 31, 2004 2,073.9453 $1,240.28 N/A N/A
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
Total 4,770.5076 $1,188.58 N/A N/A
- ------------------------------- ----------------------- ----------------------- ---------------------- -----------------------
* Generally, Limited Partners are permitted to redeem their Redeemable Units as
of the end of each month on 10 days' notice to the General Partner. Under
certain circumstances, the General Partner can compel redemption but to date the
General Partner has not exercised this right. Purchases of Redeemable Units by
the Partnership reflected in the chart above were made in the ordinary course of
the Partnership's business in connection with effecting redemptions for Limited
Partners.
** Redemptions of Redeemable Units are effected as of the last day of each month
at the Net Asset Value per Redeemable Unit as of that day.
28
Item 3. Defaults Upon Senior Securities - None
Item 4. Submission of Matters to a Vote of Security Holders - None
Item 5. Other Information - None
Item 6. Exhibits and Reports on Form 8-K
(a) The exhibits required to be filed by Item 601 of Regulation S-K
are incorporated herein by reference to the exhibit index of the
Partnership's Annual Report on Form 10-K for the period ended
December 31, 2003.
Exhibit - 31.1 - Rule 13a-14(a)/15d-14(a) Certification
(Certification of President and Director).
Exhibit - 31.2 - Rule 13a-14(a)/15d-14(a) Certification
(Certification of Chief Financial Officer and Director).
Exhibit - 32.1 - Section 1350 Certification (Certification of
President and Director).
Exhibit - 32.2 - Section 1350 Certification (Certification of
Chief Financial Officer and Director).
(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
--------------
David J. Vogel
President and Director
Date: May 10, 2004
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
--------------
David J. Vogel
President and Director
Date: May 10, 2004
By: /s/ Daniel R. McAuliffe, Jr.
-----------------------
Daniel R. McAuliffe, Jr.
Chief Financial Officer and Director
Date: May 10, 2004
30
Exhibit 31.1
CERTIFICATION
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, results of operations and cash flows 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, 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 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):
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: May 10, 2004
/s/ David J. Vogel
---------------
David J. Vogel
Citigroup Managed Futures LLC
President and Director
31
Exhibit 31.2
CERTIFICATION
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, results of operations and cash flows 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, 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 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):
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: May 10, 2004
/s/ Daniel R. McAuliffe, Jr.
------------------------
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
32
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 March
31, 2004 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, results of operations and cash flows of
the Partnership.
/s/ David J. Vogel
--------------
David J. Vogel
Citigroup Managed Futures LLC
President and Director
May 10, 2004
33
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 March
31, 2004 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, results of operations and cash flows of
the Partnership.
/s/ Daniel R. McAuliffe, Jr.
------------------------
Daniel R. McAuliffe, Jr.
Citigroup Managed Futures LLC
Chief Financial Officer and Director
May 10, 2004
34