SALOMON SMITH BARNEY ORION FUTURES FUND LP
This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which Citigroup Global Markets Holdings Inc. ("CGMHI") or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner. Citigroup Global Markets Inc. ("CGM") is a New York corporation with its principal place of business at 388 Greenwich Street, New York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant ("FCM"), and provides futures brokerage and clearing services for institutional and retail participants in the futures markets. CGM and its affiliates also provide investment banking and other financial services for clients worldwide. There have been no material administrative, civil or criminal actions within the past five years against Citigroup Global Markets or any of its individual principals and no such actions are currently pending, except as follows. Regulatory Matters Both the Department of Labor and the Internal Revenue Service ("IRS") have advised Citigroup Global Markets that they were or are reviewing transactions in which Ameritech Pension Trust purchased from Citigroup Global Markets 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, Citigroup Global Markets 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. IPO Regulatory Inquiries Since April 2002, Citigroup Global Markets and several other broker dealers have received subpoenas and/or requests for information from various governmental and self-regulatory agencies and Congressional committees as part of their research on IPO allocation inquiries. With respect to issues raised by the NASD, the NYSE and the SEC about Citigroup Global Markets' and other firms' e-mail retention practices, Citigroup Global Markets and several other broker/dealers and the NASD, the NYSE and the SEC entered into a settlement agreement in December 2002. Citigroup Global Markets agreed to pay a penalty in the amount of $1.65 million and did not admit any wrongdoing. No individuals from Citigroup Global Markets have been charged in the IPO allocation proceedings. IPO Civil Litigation In April 2002, consolidated amended complaints were filed against Citigroup Global Markets and other investment banks named in numerous alleged class actions filed in the United States District Court for the Southern District of New York, alleging violations of certain federal securities laws (including Section 11 of the Securities Act of 1933, as amended, and Section 10(b) of the Securities Exchange Act of 1934, as amended) with respect to the allocation of shares for certain initial public offerings and related aftermarket transactions and damage to investors caused by allegedly biased research analyst reports. On February 19, 2003, the Court issued an opinion denying defendants' motion to dismiss. On October 13, 2004, the court granted in part the motion to certify class actions for six focus cases in the securities litigation. Citigroup Global Markets is not a defendant in any of the six focus cases. The underwriter defendants in the focus cases have filed a petition to the United States Court of Appeals for the Second Circuit seeking review of this decision. On June 30, 2005, the United States Court of Appeals for the Second Circuit entered an order in In Re: Initial Public Offering Securities Litigation agreeing to review the district court's order granting plaintiffs' motion for class certification. Also filed in the Southern District of New York against Citigroup Global Markets and other investment banks were several alleged class actions that were consolidated into a single class action  4      alleging violations of certain federal and state antitrust laws in connection with the allocation of shares in initial public offerings when acting as underwriters. On November 3, 2003, the court granted Citigroup Global Markets' motion to dismiss the consolidated amended complaint in the antitrust case. On September 28, 2005, the United States Court of Appeals for the Second Circuit in In Re: Initial Public Offering Antitrust Litigation vacated the district court's order dismissing these actions and remanded for further proceedings. Research Settlement On April 28, 2003, Citigroup Global Markets announced final agreements with the SEC, the NASD, the NYSE and the New York Attorney General (as lead state among the 50 states, the District of Columbia and Puerto Rico) to resolve on a civil basis all of their outstanding investigations into its research and IPO allocation and distribution practices (the "Research Settlement"). As part of the Research Settlement, Citigroup Global Markets has consented to the entry of (1) an injunction under the federal securities laws to be entered in the United States District Court for the Southern District of New York, barring Citigroup Global Markets from violating provisions of the federal securities laws and related NASD and NYSE rules relating to research, certain IPO allocation practices, the safeguarding of material nonpublic information, and the maintenance of required books and records and requiring Citigroup Global Markets to adopt and enforce new restrictions on the operation of research; (2) an NASD Acceptance Waiver and Consent requiring Citigroup Global Markets to cease and desist from violations of corresponding NASD rules and requiring Citigroup Global Markets to adopt and enforce the same new restrictions; (3) an NYSE Stipulation and Consent requiring Citigroup Global Markets to cease and desist from violations of corresponding NYSE rules and requiring Citigroup Global Markets to adopt and enforce the same new restrictions; and (4) an Assurance of Discontinuance with the New York Attorney General containing substantially the same or similar restrictions. The Research Settlement requires Citigroup Global Markets to pay $300 million for retrospective relief, plus $25 million for investor education, and commit to spend $75 million to provide independent third-party research to its clients at no charge. Citigroup Global Markets reached these final settlement agreements without admitting or denying any wrongdoing or liability. The Research Settlement does not establish wrongdoing or liability for purposes of any other proceeding. The $300 million was accrued during the fourth quarter of 2002. To effectuate the Research Settlement, the SEC filed a Complaint and Final Judgment in the United States District Court for the Southern District of New York. On October 31, 2003, final judgment was entered against Citigroup Global Markets and nine other investment banks. The NASD has accepted the Letter of Acceptance, Waiver and Consent entered into with Citigroup Global Markets in connection with the Research Settlement. In May 2003, the NYSE advised Citigroup Global Markets that the Hearing Panel's Decision, in which it accepted the Research Settlement, had become final. As required by the Research Settlement, Citigroup Global Markets also has entered into separate settlement agreements with numerous states and certain U.S. territories. Several individual actions have been filed against Citigroup and Citigroup Global Markets relating to, among other things, research on Qwest Communications International, Inc. alleging violations of state and federal securities laws. Enron Regulatory Settlement On July 28, 2003, Citigroup (Citigroup Global Markets' ultimate parent) entered into a final settlement agreement with the SEC to resolve the SEC's outstanding investigations into Citigroup transactions with Enron Corp. and Dynegy Inc. Pursuant to the settlement, Citigroup has, among other terms, (1) consented to the entry of an administrative cease and desist order, which bars Citigroup from committing or causing violations of provisions of the federal securities laws, and (2) agreed to pay $120 million ($101.25 million allocable to Enron and $18.75 million allocable to Dynegy). Citigroup entered into this settlement without admitting or denying any wrongdoing or liability, and the settlement does not establish wrongdoing or liability for purposes of any other proceeding. On July 28, 2003, Citibank, N.A. entered into an agreement with the Office of the Comptroller of the Currency ("OCC") and Citigroup  5      entered into an agreement with the Federal Reserve Bank of New York ("FED") to resolve their inquiries into certain of Citigroup's transactions with Enron. Pursuant to the agreements, Citibank and Citigroup have agreed to submit plans to the OCC and FED, respectively, regarding the handling of complex structured finance transactions. Also on July 28, 2003, Citigroup entered into a settlement agreement with the Manhattan District Attorney's Office to resolve its investigation into certain of Citigroup's transactions with Enron. Pursuant to that settlement, Citigroup has agreed to pay $25.5 million and to abide by its agreements with the SEC, OCC and FED. Enron-Related Civil Actions Citigroup Global Markets, Citigroup and various other Citigroup-related entities have been named as defendants in over 20 civil lawsuits pending in state and federal courts throughout the United States, alleging claims against Citigroup and Citigroup Global Markets based on their dealings with Enron. The majority of these cases have been brought by purchasers and sellers of Enron equity and debt securities and Enron-linked securities. Many of the plaintiffs in these actions are large, institutional investors that had substantial Enron and Enron-linked holdings. The lawsuits collectively allege as against Citigroup and/or its affiliates and subsidiaries, among other things, federal securities fraud, state law claims of negligent misrepresentation, fraud, breach of fiduciary duty, aiding and abetting a breach of fiduciary duty and related claims. In most of these lawsuits, Citigroup is named as a co-defendant along with other investment banks alleged to have had dealings with Enron. The majority of cases pending in the federal courts have been, or are in the process of being, consolidated before a single judge in the United States District Court for the Southern District of Texas. In addition, in five adversary proceedings in the Enron Chapter 11 bankruptcy, Enron and, in one case, its co-debtor affiliates and subsidiaries, and the Official Committee of Unsecured Creditors of Enron Corp., et al., have named Citigroup and/or its affiliates or subsidiaries as defendants. On June 13, 2005, Citigroup announced a settlement of the Enron class action litigation (Newby, et al.v. Enron Corp., et al.) currently pending in the United States District Court for the Southern District of Texas, Houston Division. This settlement resolves all claims against Citigroup brought on behalf of the class of purchasers of publicly traded equity and debt securities issued by Enron and Enron-related entities between September 9, 1997 and December 2, 2001. The settlement, which involves a pre-tax payment of $2.0 billion to the settlement class, is fully covered by Citigroup's existing litigation reserves. It is subject to approval by the Board of Regents of the University of California (the lead plaintiff), the Citigroup Board and the District Court in Texas. A Citigroup affiliate, along with other defendants, settled all claims against it in In Re: Newpower Holdings Securities Litigation, a class action brought on behalf of certain investors in NewPower securities. Citigroup reached this settlement agreement without admitting any wrongdoing. On September 13, 2004, the United States District Court for the Southern District of New York preliminarily approved the settlement. In April 2005, Citigroup, along with other financial institution defendants, reached an agreement-in-principle to settle four state-court actions brought by various investment funds, which were not previously consolidated or coordinated with other actions. The four cases are OCM Opportunities Fund III, L.P., et al. v. Citigroup Inc., et al.; Pacific Investment Management Co. LLC, et al. v. Citigroup Inc., et al.; AUSA Life Insurance v. Citigroup Inc., et al. and Principal Global Investors v. Citigroup Inc., et al. The amounts to be paid in settlement of these actions are covered by existing litigation reserves. On August 26, 2005, a group of 15 plaintiffs filed an action in the United States District Court for the Southern District of Texas (Avenue Capital Management II, L.P., et al. v. J.P. Morgan-Chase & Co., et al.). The complaint names as defendants Citigroup Inc., Citibank, N.A., Citigroup Global Markets, and several J.P. Morgan entities and alleges fraud, breach of fiduciary duty and breach of contract arising out of Enron bank debt incurred under two syndicated revolving credit facilities and a syndicated letter of credit facility. Dynegy Inc. On June 6, 2003, the complaint in a pre-existing alleged class action pending in the United States District Court for the Southern District of Texas (In Re: Dynegy  Inc. Securities Litigation) brought by  6      purchasers of publicly traded debt and equity securities of Dynegy  Inc. was amended to add Citigroup, Citibank and Citigroup Global Markets as defendants. The plaintiffs allege violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, against the Citigroup defendants. The Citigroup defendants filed a motion to dismiss in March  2004, which motion was granted by the District Court in October  2004. The court denied lead plaintiff's request for leave to appeal. The court had also previously denied lead plaintiff's motion for leave to amend. No appeal was yet timely while the remainder of the case remained pending. On April 15, 2005, as part of a global settlement involving all defendants, Citigroup entered into a memorandum of understanding to settle this case. The amount to be paid in settlement is covered by existing litigation reserves. WorldCom-Related Litigation Citigroup, Citigroup Global Markets and certain executive officers and current and former employees have been named as defendants—along with twenty-two other investment banks, certain current and former WorldCom officers and directors, and WorldCom's former auditors—in a consolidated class action brought on behalf of individuals and entities who purchased or acquired publicly traded securities of WorldCom between April 29, 1999 and June 25, 2002 in In Re: Worldcom, Inc. Securities Litigation. The class action complaint asserts claims against Citigroup Global Markets under (i) Sections 11 and 12(a)(2) of the Securities Act of 1933, as amended, in connection with certain bond offerings in which it served as underwriter, and (ii) Sections 10(b) and 20(a) of the Securities Exchange Act of 1934, as amended, and Rule 10b-5 promulgated under Section 10(b), alleging that it participated in the preparation and/or issuance of misleading WorldCom registration statements and disseminated misleading research reports concerning WorldCom stock. In 2003, the district court denied Citigroup Global Markets' motion to dismiss the consolidated class action complaint and granted the plaintiffs' motion for class certification. Pursuant to an order entered May 28, 2003, the District Court consolidated approximately seventy-eight individual actions with the class action for pretrial proceedings. The claims asserted in these individual actions are substantially similar to the claims alleged in the class action and assert state and federal securities law claims based on Citigroup Global Markets' research reports concerning WorldCom and/or Citigroup Global Markets' role as an underwriter in WorldCom offerings. Plaintiffs in certain of these actions filed motions to remove their cases to state court. The District Court denied these motions and its rulings were upheld on appeal. Numerous other actions asserting claims against Citigroup Global Markets in connection with its research reports about WorldCom and/or its role as an investment banker for WorldCom are pending in other federal and state courts around the country. These actions have been remanded to various state courts, are pending in other federal courts, or have been conditionally transferred to the United States District Court for the Southern District of New York to be consolidated with the class action. In addition to the court suits, actions asserting claims against Citigroup and certain of its affiliates relating to its WorldCom research reports are pending in numerous arbitrations around the country. These actions assert claims that are substantially similar to the claims asserted in the class action. On May 10, 2004, Citigroup announced that it had agreed to pay $2.58 billion to settle the WorldCom class action suits. The United States District Court for the Southern District of New York granted approval of the proposed settlement on November 10, 2004. On September 17, 2004, Weinstein, et al. v. Ebbers, et al., an alleged class action against Citigroup Global Markets and others brought on behalf of holders of WorldCom securities asserting claims based on, among other things, Citigroup Global Markets' research reports concerning WorldCom, was dismissed with prejudice in its entirety by the United States District Court for the Southern District of New York. The plaintiffs noticed an appeal of the dismissal to the United States Court of Appeals for the Second Circuit on October 15, 2004. The parties have reached an agreement in principle on the terms of a settlement of this action. Citigroup and Citigroup Global Markets, along with a number of other defendants, have settled Retirement Systems of Alabama, et al. v. J.P. Morgan Chase & Co., et al., a WorldCom individual action that had been remanded to the Circuit Court of Montgomery County, Alabama. The settlement became final on September 30, 2004. 7     On June 28, 2004, the United States District Court for the Southern District of New York dismissed all claims under the Securities Act of 1933, as amended, and certain claims under the Securities Exchange Act of 1934 in In Re: Targets Securities Litigation, an alleged class action against Citigroup and Citigroup Global Markets and certain former employees, leaving only claims under the 1934 Act for purchases of Targeted Growth Enhanced Terms Securities With Respect to the Common Stock of MCI WorldCom, Inc. ("TARGETS") after July 30, 1999. On October 20, 2004, the parties signed a Memorandum of Understanding setting forth the terms of a settlement of all remaining claims in this action. The settlement was preliminarily approved by the Court on January 11, 2005. A fairness hearing was held on November 5, 2004 in connection with the proposed class settlement between plaintiffs and the Citigroup-related defendants in In Re: Worldcom, Inc. Securities Litigation.  Citigroup, along with other financial institutions and other defendants, entered into settlements resolving certain claims against Citigroup-related defendants in a number of WorldCom-related actions. The settlement amounts are covered by existing litigation reserves. Global Crossing On or about January 28, 2003, the lead plaintiff in a consolidated alleged class action in the United States District Court for the Southern District of New York (In Re: Global Crossing, Ltd. Securities Litigation) filed a consolidated complaint on behalf of purchasers of the securities of Global Crossing and Asia Global Crossing, which names as defendants, among others, Citigroup, Citigroup Global Markets, Citigroup Global Markets Holdings Inc. and certain executive officers and current and former employees. The alleged class action complaint asserts claims under the federal securities laws alleging that the defendants issued research reports without a reasonable basis in fact and failed to disclose conflicts of interest with Global Crossing in connection with published investment research. On March 22, 2004, the lead plaintiff amended its consolidated complaint to add claims on behalf of purchasers of the securities of Asia Global Crossing. The added claims assert causes of action under the federal securities laws and common law in connection with Citigroup Global Markets' research reports about Global Crossing and Asia Global Crossing and for Citigroup Global Markets' roles as an investment banker for Global Crossing and as an underwriter in the Global Crossing and Asia Global Crossing offerings. The Citigroup-related defendants moved to dismiss all of the claims against them on July 2, 2004. In March 2005, the plaintiffs and the Citigroup-related defendants reached a settlement of all claims against the Citigroup-related defendants, including both research and underwriting claims and claims concerning losses in both Global Crossing and Asia Global Crossing, for a total of $75 million. The Court granted preliminary approval of the settlement on March 8, 2005. In addition, on or about January 27, 2004, the Global Crossing Estate Representative filed in the United States Bankruptcy Court for the Southern District of New York (i) an adversary proceeding asserting claims against, among others, Citigroup, Citigroup Global Markets and certain executive officers and current and former employees, under federal bankruptcy law and common law in connection with Citigroup Global Markets' research reports about Global Crossing and for its role as an underwriter in Global Crossing offerings, and (ii) an adversary proceeding against Citigroup and several other financial institutions seeking to rescind the payment of a $1 billion loan made to a subsidiary of Global Crossing. The Citigroup-related defendants moved to dismiss the former action on June 26, 2004, and the latter on May 28, 2004. The plaintiffs and the Citigroup-related defendants have since entered into a definitive settlement agreement in the In Re: Global Crossing, Ltd. Securities Litigation; the settlement was preliminarily approved by the Court on March 8, 2005. The amount to be paid in settlement is covered by existing litigation reserves. In addition, actions asserting claims against Citigroup and certain of its affiliates relating to its Global Crossing research reports are pending in numerous arbitrations around the country. These arbitration proceedings assert claims that are substantially similar to the claims asserted in the alleged class action. Adelphia Communications Corporation On July 6, 2003, an adversary proceeding was filed by the Official Committee of Unsecured Creditors on behalf of Adelphia Communications Corporation against certain lenders and investment banks,  8      including Citigroup Global Markets, Citibank, N.A., Citicorp USA, Inc., and Citigroup Financial Products, Inc. (together, the "Citigroup Parties"). The complaint alleges that the Citigroup Parties and numerous other defendants committed acts in violation of the Bank Holding Company Act and the common law. The complaint seeks equitable relief and an unspecified amount of compensatory and punitive damages. In November 2003, a similar adversary proceeding was filed by the Equity Holders Committee of Adelphia. In June 2004, motions to dismiss were filed with respect to the complaints of the Official Committee of Unsecured Creditors and the Equity Holders Committee. The motions are currently pending. In addition, Citigroup Global Markets is among the underwriters named in numerous civil actions brought to date by investors in Adelphia debt securities in connection with Adelphia securities offerings between September 1997 and October 2001. Three of the complaints also asserted claims against Citigroup and Citibank, N.A. All of the complaints alleged violations of federal securities laws, and certain of the complaints also alleged violations of state securities laws and the common law. The complaints sought unspecified damages. In December 2003, a second amended complaint was filed and consolidated before the same judge of the United States District Court for the Southern District of New York. In May and July of 2005, the United States District Court for the Southern District of New York dismissed several claims on statute of limitations grounds in the class and individual actions being coordinated under In Re: Adelphia Communications Corporation Securities and Derivatives Litigation. With the exception of one individual action that was dismissed with prejudice, the court granted the class and individual plaintiffs leave to re-plead certain of those claims the court found to be time-barred. Additional motions to dismiss the class complaint and the remaining individual complaints on other grounds remain pending. Mutual Funds Citigroup and certain of its affiliates have been named in several class action litigations pending in various federal district courts arising out of alleged violations of the federal securities laws, the Investment Company Act and the common law (including breach of fiduciary duty and unjust enrichment). The claims concern practices in connection with the sale of mutual funds, including allegations involving market timing, revenue sharing, incentive payments for the sale of proprietary funds, undisclosed breakpoint discounts for the sale of certain classes of funds, inappropriate share class recommendations and inappropriate fund investments. The litigations involving market timing have been consolidated under the MDL rules in the United States District Court for the District of Maryland, and the litigations involving revenue sharing, incentive payment and other issues have been consolidated in the United States District Court for the Southern District of New York. The plaintiffs in these litigations generally seek unspecified compensatory damages, rescissionary damages, injunctive relief, costs and fees. In the principal market timing cases that name Citigroup, a lead plaintiff has been appointed but that plaintiff has not yet filed an amended complaint. In the cases concerning revenue sharing, incentive payment and other issues, the lead plaintiff filed a consolidated and amended complaint on December 15, 2004. Several issues in the mutual fund industry have come under the scrutiny of federal and state regulators. Citigroup has received subpoenas and other requests for information from various government regulators regarding market timing, financing, fees, sales practices and other mutual fund issues in connection with various investigations. Citigroup is cooperating with all such reviews. Additionally, Citigroup Global Markets has entered into a settlement agreement with the SEC with respect to revenue sharing and sales of classes of funds. On May 31, 2005, Citigroup announced that Smith Barney Fund Management LLC and Citigroup Global Markets completed a settlement with the SEC resolving an investigation by the SEC into matters relating to arrangements between certain Smith Barney mutual funds, an affiliated transfer agent and an unaffiliated sub-transfer agent. Under the terms of the settlement, Citigroup agreed to pay fines totaling $208.1 million. The settlement, in which Citigroup neither admitted nor denied any wrongdoing or liability, includes allegations of willful misconduct by Smith Barney Fund Management LLC and Citigroup Global Markets in failing to disclose aspects of the transfer agent arrangements to certain mutual fund investors. 9     Research Analyst Litigation Since May 2002, Citigroup Global Markets and certain executive officers and current and former employees have been named as defendants in numerous alleged class action complaints, individual actions, and arbitration demands by purchasers of various securities alleging that they violated federal securities law, including Sections 10 and 20 of the Securities Exchange Act of 1934, as amended, and certain state laws for allegedly issuing research reports without a reasonable basis in fact and for allegedly failing to disclose conflicts of interest with companies in connection with published investment research, including Global Crossing, Ltd., AT&T Corp., Level 3 Communications, Inc., Metromedia Fiber Network, Inc., XO Communications, Inc., Williams Communications Group Inc., and Focal Communications, Inc. The alleged class actions relating to research of these companies are pending before a single judge in the United States District Court for the Southern District of New York for coordinated proceedings. The Court has consolidated these actions into separate proceedings corresponding to the companies named above. On December 2, 2004, the Court granted in part and denied in part the Citigroup-related defendants' motions to dismiss the claims against it in the AT&T, Level 3, XO and Williams actions. On January 6, 2005, the Court granted in part and denied in part Citigroup's motion to dismiss the claims against it in the Metromedia action. On September 27, 2005, Citigroup entered into a memorandum of agreement settling all claims against the Citigroup-related defendants in In Re: Salomon Analyst AT&T Litigation, a class action alleging research analyst conflicts of interest. The settlement amount is covered by existing litigation reserves. The settlement is subject to judicial approval. In addition to the alleged research class actions, several individual actions have been filed against Citigroup and Citigroup Global Markets relating to, among other things, research on Qwest Communications International, Inc. These actions allege violations of state and federal securities laws in connection with Citigroup Global Markets' publication of research about Qwest and its underwriting of Qwest securities. Two alleged class actions against Citigroup Global Markets asserting common law claims in connection with published investment research on behalf of Citigroup Global Markets customers have been dismissed by United States District Courts, one of which was affirmed by the United States Court of Appeals for the Ninth Circuit, and one of which is pending on appeal to the United States Courts of Appeals for the Third Circuit. Plaintiffs in the Ninth Circuit case have sought review by the United States Supreme Court; their request for an appeal to that Court is pending. On September 22, 2005, Citigroup reached an agreement-in-principle to settle all claims against the Citigroup-related defendants in Norman v. Salomon Smith Barney, et al., a class action asserting violations of the Investment Advisers Act of 1940 and various common law claims in connection with certain investors who maintained guided portfolio management accounts at Smith Barney. The settlement amount is covered by existing litigation reserves. The settlement is subject to judicial approval. On August 17, 2005, in Disher v. Citigroup Global Markets Inc., the United States Court of Appeals for the Seventh Circuit reversed the district court's grant of plaintiffs' motion to remand the case to state court, and directed the district court to dismiss the case as preempted under the Securities Litigation Uniform Standards Act ("SLUSA"). The United States Supreme Court has granted review in another case involving SLUSA that may affect the Seventh Circuit's dismissal of the Disher matter. In Sturm, et al. v. Citigroup, et al., an NASD arbitration seeking significant compensatory and punitive damages, claimants' asserted common law claims, including fraud, arising out of alleged research analyst conflicts of interest related to Citigroup Global Markets research coverage of WorldCom. Supervisory Investigation In May 2003, the SEC, NYSE and NASD issued a subpoena and letters to Citigroup Global Markets requesting documents and information with respect to their continuing investigation of individuals in connection with the supervision of the research and investment banking departments of Citigroup Global Markets. Other parties to the Research Settlement have received similar subpoenas and letters. 10     West Virginia Attorney General Suit On June 23, 2003, the West Virginia Attorney General filed an action against Citigroup Global Markets and nine other firms that were parties to the Research Settlement. The West Virginia Attorney General alleges that the firms violated the West Virginia Consumer Credit and Protection Act in connection with their research activities and seeks monetary penalties. Citigroup Shareholder Litigation In July 2002, Citigroup, Citigroup Global Markets 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 Citigroup'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 transactions between Citigroup and 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. On August 10, 2004, Judge Swain granted Citigroup's motion to dismiss the consolidated amended complaint. The plaintiffs filed a notice of appeal in October 2004. NASD Settlement In November 2004, Citigroup Global Markets entered into a final agreement with the NASD to resolve the NASD's investigation into certain of its selling practices. Without admitting or denying any allegations or findings, Citigroup Global Markets accepted certain factual findings by the NASD that it (i) sold units in two managed futures funds to 45 customers for whom the investment was not suitable, (ii) failed to maintain records disclosing the basis upon which its investor suitability determinations were made and (iii) failed to adequately disclose the risks of investing in managed futures products on its website. Citigroup Global Markets consented to a censure and a fine of $275,000 and offered to redeem the investment of the customers for whom investment in the two managed futures funds was found not suitable. In the course of its business, Citigroup Global Markets, as a major futures commission merchant and broker-dealer, is a party to various claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of Citigroup Global Markets. Item 4.    Submission of Matters to a Vote of Security Holders.  There were no matters submitted to the security holders for a vote during the last fiscal year covered by this report. PART II Item 5.    Market for Registrant's Common Equity and Related Security Holder Matters.  (a)    Market Information. The Partnership has issued no stock. There is no public market for the Redeemable Units of Limited Partnership Interest. (b)    Holders. The number of holders of Redeemable Units of Partnership Interest as of December  31, 2005, was 1,580. (c)    Dividends. The Partnership did not declare a distribution in 2005 or 2004. (d)    Use of Proceeds. For the twelve months ended December 31, 2005, there were additional sales of 36,756.0254 Redeemable Units totaling $55,421,000. For the twelve months ended December 31, 2004,  11      there were additional sales of 24,093.3313 Redeemable Units totaling $28,750,000 and contributions by the General Partner representing 365.5458 Unit equivalents totaling $440,051. For the twelve months ended December 31, 2003, there were additional sales of 49,916.3153 Redeemable Units totaling $57,164,000. (e)    Compensation Plans. None Proceeds from the sale of additional Redeemable Units are used in the trading of commodity interests including futures contracts, options, swaps and forward contracts. Item 6.    Selected Financial Data.  Net realized and unrealized trading gains (losses), interest income, net income (loss) and increase (decrease) in Net Asset Value per Redeemable Unit for the years ended December 31, 2005, 2004, 2003, 2002 and 2001 and total assets at December 31, 2005, 2004, 2003, 2002 and 2001 were as follows:                                  2005  2004  2003  2002  2001   Net realized and unrealized trading gains (losses) and investments in Partnerships net of brokerage commissions (including clearing fees) of $3,620,999, $2,178,028, $1,912,993, $1,168,831, and $674,125, respectively  $ 35,114,404    $ 29,415,064    $                (3,029,947 )   $ 12,474,085    $ 1,024,247     Interest income    693,141      693,186      479,341      414,512      434,122        $ 35,807,545    $ 30,108,250    $                (2,550,606 )   $ 12,888,597    $ 1,458,369     Net income (loss)  $ 23,623,197    $ 23,775,680    $                (5,512,979 )   $ 9,916,700    $ 355,163     Increase (decrease) in Net Asset Value per Redeemable Unit  $ 243.00    $ 268.14    $                (60.63 )   $ 208.59    $ 57.30     Total assets  $ 174,986,555    $ 123,302,029    $ 91,801,583    $ 63,262,447    $ 20,993,463          Item 7.    Management's Discussion and Analysis of Financial Condition and Results of Operations.      Overview  The Partnership aims to achieve substantial capital appreciation through speculative trading, directly or indirectly, in U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products and precious and base metals. The Partnership may employ futures, options on futures, and forward contracts in those markets. The Partnership may also enter into swap transactions relating to the value of crude oil and other energy related products. The General Partner manages all business of the Partnership. The General Partner has delegated its responsibility for the investment of the Partnership's assets to AAA, Willowbridge, and Winton. The General Partner employs a team of approximately 20 professionals whose primary emphasis is on attempting to maintain quality control among the Advisors to the Partnerships operated or managed by the General Partner. A full-time staff of due diligence professionals use proprietary technology and on-site evaluations to monitor new and existing futures money managers. The accounting and operations staff provide processing of trading activity and reporting to limited partners and regulatory authorities. In selecting the Advisors for the Partnership, the General Partner considered past performance, trading style, volatility of markets traded and fee requirements. Responsibilities of the General Partner include:       •  due diligence examinations of the Advisors;         •  selection, appointment and termination of the Advisors;         •  negotiation of the management agreements; and         •  monitoring the activity of the Advisors.   12     In addition, the General Partner prepares the books and records and provides the administrative and compliance services that are required by law or regulation from time to time in connection with operation of the Partnership. These services include the preparation of required books and records and reports to limited partners, government agencies and regulators; computation of net asset value; calculation of fees; effecting subscriptions, redemptions and limited partner communications; and preparation of offering documents and sales literature. The General Partner shall seek the best prices and services available in its commodity futures brokerage transactions. The General Partner reviews at least annually, the brokerage rates charged to commodity pools similar to the Partnership to determine that the brokerage fee the Partnership pays is competitive with other rates. The programs traded by each Advisor on behalf of the Partnership are: AAA – Energy With Swaps Program; Willowbridge – Argo and Vulcan Trading Systems; and Winton – Diversified Program. As of December 31, 2005, the Partnership's assets were allocated among the trading Advisors in the following approximate percentages: AAA, 38%, Willowbridge, 31%, and Winton, 31%.  AAA Capital Management, Inc.  The portion of the Partnership's assets that are currently allocated to AAA for trading are not invested in commodity interests directly. AAA's allocation of the Partnership's assets is currently invested in AAA Master. AAA trades AAA Master's, and thereby the Partnership's, assets in accordance with its Energy with Swaps Program. AAA Master currently trades energy futures contracts and options on energy futures contracts on domestic and international exchanges, as well as the Goldman Sachs Commodity Index (an index future comprised of energy and other products) traded on the Chicago Mercantile Exchange. AAA Master also currently engages in swap transactions involving crude oil and other energy related products. References herein to energy and energy related products include all of the foregoing. AAA generally bases its trading decisions on "fundamental" factors, namely supply and demand for a particular group or type of commodity. AAA attempts to buy undervalued commodities and sell overvalued commodities, often but not always simultaneously. AAA uses options to attempt either to reduce or define risks. AAA is aware of price trends but does not trade upon trends. AAA often takes profits in positions with specific trends even though that trend may still be intact or perhaps even strong. AAA occasionally establishes positions that are countertrend. Effective risk management is a crucial aspect of AAA's trading program. Account size, expectation, volatility of the market traded and the nature of other positions taken are all factors in determining the amount of equity committed to each trade. AAA Master is AAA's largest account.  Willowbridge Associates, Inc.  The portion of the Partnership's assets that are currently allocated to Willowbridge for trading are not invested in commodity interests directly. A portion of Willowbridge's allocation of the Partnership's assets is currently invested in the Willowbridge Master. Willowbridge trades its Argo Trading System on behalf of the Willowbridge Master. Willowbridge trades the Partnership's assets allocated to it in accordance with its Select Investment Program, whereby the General Partner determined the initial allocation of the Partnership's assets among one or more of Willowbridge's strategies and may determine subsequent reallocations (if any). Of the Partnership's assets allocated to Willowbridge, 19% is currently traded using the Vulcan Trading System and 81% is currently traded using the Argo Trading System, each of which is described below. For each of these systems, risk is managed on a market by market level as well as on an overall portfolio level. On the market level, risk is managed primarily by utilizing proprietary volatility filters. When these filters detect a certain excessive level of volatility in the markets traded, they will signal that the systems should no longer be trading in the markets in which the filters have detected excessive volatility. In this way, the systems do not participate in markets in which there are extremes in market  13      action. On the portfolio level, risk is managed by utilizing a proprietary portfolio cutback rule. When cumulative profits have reached a certain level, this rule determines that positions should be halved across the entire portfolio. In this way, risk is reduced while allowing the systems to continue to participate in the markets, albeit at a reduced level. After the portfolio has been traded at half, the portfolio cutback rule will then determine when to increase positions to again trade at the full level. The Vulcan Trading System, which commenced trading in 1988, is a computerized technical trading system. It is not a trend-following system, but does ride a trend when the opportunity arises. Vulcan uses the concepts of pattern recognition, support/resistance levels, and counter-trend liquidations in making trading decisions. In effect, Vulcan is more akin to a systematic technical charting system, as opposed to most computer systems which are based on pure trend-following calculations. The Vulcan System is based on general technical trading principles. It applies these principles to a diversified portfolio of commodities and currencies. Given that the system is based on general principles, the system parameters used are the same for all items in the portfolio and are not optimized. In this manner, the Vulcan System minimizes the problem of data-fitting. The Argo Trading System commenced trading in 1988. Argo essentially incorporates Vulcan's concepts of pattern recognition, support/resistance levels and counter-trend liquidations to trade a portfolio similar to Vulcan. However, Argo has a relatively slower time horizon than Vulcan and attempts to capture longer-term price moves. Pattern recognition, support/resistance levels and counter-trend liquidations are defined as follows: Pattern recognition is the ability to identify patterns that appear to have acted as precursors of price advances or declines in the past. A support level is a previous low--a price level under the current market price at which point buying interest is expected to be sufficiently strong to overcome selling pressure. A resistance level is a previous high--a price level over the current market price at which point selling pressure is expected to overcome buying pressure and a price advance is expected to be turned back. A counter-trend liquidation is the closing out of a position after a significant price move on the assumption that the market is due for a correction.  Winton Capital Management Limited  The portion of the Partnership's assets that are currently allocated to Winton for trading are not invested in commodity interests directly. Winton's allocation of the Partnership's assets is currently invested in Winton Master. Winton trades its Diversified Program on behalf of Winton Master. The Diversified Program trades approximately 95 futures and forward contracts on United States and non-United States exchanges and markets. Winton employs a fully computerized, technical, trend-following trading system developed by its principals. This system tracks the daily price movements from these markets around the world, and carries out certain computations to determine each day how long or short the portfolio should be in an attempt to maximize profit within a certain range of risk. If rising prices in a particular market are anticipated, a long position will be established in that market; if prices in a particular market are expected to fall, a short position in that market will be established. Technical analysis refers to analysis based on data intrinsic to a market, such as price and volume. In contrast, fundamental analysis relies on factors external to a market, such as supply and demand. The Winton Program employs no fundamental factors. A trend-following system is one that attempts to take advantage of the observable tendency of the markets to trend, and to tend to make exaggerated movements in both upward and downward directions as a result of such trends. These exaggerated movements are largely explained as a result of the influence of crowd psychology or the "herd instinct" among market participants. A trend-following system does not anticipate a trend. In fact, trend-following systems are frequently unprofitable for long periods of time in particular markets or market groups, and occasionally they are unprofitable for periods of more than a year. However, the principals believe that such an approach will, in the long term, be profitable. 14     Trade selection is not subject to intervention by Winton's principals and therefore is not subject to the influences of individual judgment. As a mechanical trading system, the Winton model embodies all the expert knowledge required to analyze market data and direct trades, thus eliminating the risk of basing a trading program on one indispensable person. Equally as important is the fact that mechanical systems can be tested in simulation for long periods of time and the model's empirical characteristics can be measured. The system's output is rigorously adhered to in trading the portfolio and intentionally no importance is given to any external or fundamental factors. While it may be seen as unwise to ignore information of obvious value, such as that pertaining to political or economic developments, Winton believes that the disadvantage of this approach is far outweighed by the advantage of the discipline that rigorous adherence to such a system instills. Winton believes that significant profits may be realized by the Winton system by holding on to positions for much longer than conventional wisdom would dictate. Winton believes that a trader who pays attention to day-to-day events could be distracted from the chance of fully capitalizing on such trends. The Winton system trades in all liquid U.S. and non-U.S. futures and forward contracts. Forward markets include major currencies and precious and base metals, the latter two categories being traded on the London Metal Exchange. Winton seeks out new opportunities to add additional markets to the portfolio, with the goal of increasing the portfolio's diversification. Winton believes that taking positions in a variety of unrelated markets will, over time, decrease system volatility. By employing a sophisticated and systematic method for placing orders in a wide array of markets, Winton believes that profits can be realized over time. No assurance is given that Winton's trading program will be profitable or that it will not experience losses. (a)    Liquidity.  The Partnership does not engage in sales of goods or services. Its only assets are its (i) equity in its commodity futures trading account, consisting of cash and cash equivalents, net unrealized appreciation (depreciation) on open futures positions, unrealized appreciation on open forward contracts and interest receivable and (ii) its investments in other partnerships. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. Such substantial losses could lead to a material loss in liquidity. In the first quarter of 2003, AAA Master experienced a cumulative loss of 25%. This resulted in a cumulative loss to the Partnership of 10%. This loss was primarily attributable to extraordinary price activity during the first quarter of 2003 in U.S. natural gas and crude oil markets which led to losses in AAA Master's energy market positions. In February, AAA Master had a short position in the April natural gas futures contract as a partial offset to an overall long position in delivery months later in the year in the same contract. During the last week of February 2003, natural gas prices rose sharply reflecting relatively high short-term demand in the eastern and mid-continental United States along with a reduced ability of natural gas suppliers to deliver natural gas from storage due to low storage inventories. Volatility in the natural gas markets was exacerbated during that period as the markets became relatively illiquid when many traders stayed out of the market to wait for the volatility to pass. During this period, the April natural gas futures contract experienced an upward increase in price of over 50% in two days and related cash market prices experienced a 300% increase in price. Deferred delivery months in the natural gas futures contract did not experience comparable price increases. The spread between the price of the April contract and those of the deferred months changed suddenly and unexpectedly. Such extreme moves generally happen only in exceptionally rare circumstances and can lead to illiquid market conditions. In March 2003, volatility struck the crude oil market, and AAA Master again experienced losses as prices for crude oil dropped over $8.00 per barrel, or 21%, in the course of a week. AAA Master's and the Partnership's liquidity was not hindered as a result of these market movements as AAA Master and the Partnership each had adequate cash reserves to absorb market volatility and to meet redemption requests during that period. 15     The performance for the years ended December 31, 2005 and 2004 is discussed in (c) Results of Operations To minimize this risk relating to low margin deposits, the Partnership follows certain trading policies, including:       (i)  The Partnership invests its assets only in commodity interests that an Advisor believes are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that the Advisor believes will permit it to enter and exit trades without noticeably moving the market.         (ii)  An Advisor will not initiate additional positions in any commodity if these positions would result in aggregate positions requiring a margin of more than 66 2/3% of the Partnership's net assets allocated to that Advisor.         (iii)  The Partnership may occasionally accept delivery of a commodity. Unless such delivery is disposed of promptly by retendering the warehouse receipt representing the delivery to the appropriate clearinghouse, the physical commodity position is fully hedged.         (iv)  The Partnership does not employ the trading technique commonly known as "pyramiding", in which the speculator uses unrealized profits on existing positions as margin for the purchases or sale of additional positions in the same or related commodities.         (v)  The Partnership does not utilize borrowings except short-term borrowings if the Partnership takes delivery of any cash commodities.         (vi)  The Advisors may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Partnership. The term "spread" or "straddle" describes a commodity futures trading strategy involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets and in which the trader expects to earn a profit from a widening or narrowing of the difference between the prices of the two contracts.         (vii)  The Partnership will not permit the churning of its commodity trading account. The term "churning" refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, driven by the desire to generate commission income.   In the normal course of business, the Partnership directly, and through its investments in other partnerships, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments 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 specified terms at specified future dates, or, in the case of derivative commodity interests, 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, swaps and certain options. Each of these instruments is subject to various risks similar to those relating 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. Market risk is the potential for changes in the value of the financial instruments traded by the Partnership 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 counterparty to the transactions. The  16      Partnership's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statement of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership has credit risk and concentration risk because the sole counterparty or broker with respect to the Partnership's Fund's assets is CGM. The General Partner monitors and controls the Partnership'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 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. (See also "Item 8. Financial Statements and Supplementary Data" for further information on financial instrument risk included in the notes to financial statements.) Other than the risks inherent in commodity futures and swaps trading, the Partnership knows of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Partnership's liquidity increasing or decreasing in any material way. The Limited Partnership Agreement provides that the General Partner may, in its discretion, cause the Partnership to cease trading operations and liquidate all open positions under certain circumstances including a decrease in Net Asset Value per Redeemable Unit to less than $400 as of the close of business on any business day. (b)    Capital Resources.  (i)    The Partnership has made no material commitments for capital expenditures. (ii)    The Partnership's capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be predicted. Market moves in commodities are dependent upon fundamental and technical factors which the Advisors may or may not be able to identify, such as changing supply and demand relationships, weather, government agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. Partnership expenses consist of, among other things, commissions, advisory fees and administrative fees. The level of these expenses is dependent upon the level of trading and the ability of the Advisors to identify and take advantage of price movements in the commodity markets, in addition to the level of Net Assets maintained. In addition, the amount of interest income payable by CGM is dependent upon interest rates over which the Partnership has no control. The Partnership continues to offer Redeemable Units at the Net Asset Value per Redeemable Unit as of the end of each month. For the year ended December 31, 2005, there were additional sales of 36,756.0254 Units totaling $55,421,000. For the year ended December 31, 2004, there were additional sales of 24,093.3313 Redeemable Units totaling $28,750,000 and contributions by the General Partner representing 365.5458 Unit equivalents totaling $440,051. For the year ended December 31, 2003, there were additional sales of 49,916.3153 Redeemable Units totaling $57,164,000. No forecast can be made as to the level of redemptions in any given period. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of a month on 10 business days notice to the General Partner. For the year ended December 31, 2005, 16,546.8045 Redeemable Units were redeemed totaling $25,385,699. For the year ended December 31, 2004, 17,153.2638 Redeemable Units were redeemed totaling $21,650,887. For the year ended December 31, 2003, 23,954.9557 Redeemable Units were redeemed totaling $26,334,840. Redeemable Units of Limited Partnership Interest were sold to persons and entities who are accredited investors as that term is defined in rule 501(a) of Regulation D under the Securities Act of 1933, as well as to those persons who are not accredited investors but who have either a net worth (exclusive of home, furnishings and automobile) either individually or jointly with the investor's spouse of at least three times their investment in the Partnership (the minimum investment for which was $25,000) or gross income for the two previous years and projected gross income for the current fiscal year of not less than three times their investment in the Partnership for each year. 17     (c)    Results of Operations. For the year ended December 31, 2005 the Net Asset Value per Redeemable Unit increased 17.8% from $1,368.33 to $1,611.33. For the year ended December 31, 2004 the Net Asset Value per Redeemable Unit increased 24.4% from $1,100.19 to $1,368.33. For the year ended December 31, 2003 the Net Asset Value per Redeemable Unit decreased 5.2% from $1,160.82 to $1,100.19. The Partnership experienced net trading gains of $38,735,403 before commissions and expenses in 2005. Gains were primarily attributable to the trading of energy, metals and indices and were partially offset by losses recognized in currencies, grains, U.S. and non-U.S. interest rates, livestock and softs. The year 2005 was characterized by profitable trading and in the energy, stock index and metals markers and generally difficult conditions in the other markets. The net result was substantially positive for the year. Successful energy trading resulting from adept trading of crude oil and natural gas as prices for these commodities increased dramatically reaching their peaks in the early fall. The fundamental and technical trading strategies employed by the partnership's advisors successfully navigated these markets despite the significant volatility that occurred post-hurricanes Katrina and Rita. The majority of the partnerships profits were earned in energy trading. Precious and base or industrial metals sectors saw nearly uninterrupted rises in prices for the year which allowed the majority of the partnership's advisors to trade profitably. Of particular note was the price of gold which rose to over $500 an ounce by the end of the year. In addition metals such as zinc, copper and aluminum also experienced substantial price increases as global demand and speculative trading spurred prices. In financial markets, foreign stock market indices contributed the second most profits for the partnership as a resurging Japanese economy and positive political news in Europe propelled these markets out of long-term doldrums. Reducing the gains from these markets were losses in currency, interest rate and agricultural markets. After a prolonged decline in 2004, the U.S. dollar defied expectations for further weakness and rallied in January resulting in losses at the beginning of the year. While the dollar strengthened through the second and third quarters providing some profits, interest rate markets became treacherous as the U.S. Fed's mixed signals to the marketplace combined with strength in global interest rates made the U.S. interest rate markets choppy resulting in losses. Minor losses for the year were also incurred in grains, softs and livestock markets but not enough to offset the other profitable sectors. The Partnership experienced net trading gains of $31,593,092 before commissions and expenses in 2004. Gains were primarily attributable to the trading of currencies, grains, metals and indices and were partially offset by losses recognized in energy, softs, livestock, U.S. and non-U.S. interest rates. Trading results for the year 2004 were positive as strong trends and market volatility across most commodity sectors provided profitable trading opportunities for the Partnership's advisors. The results for the year were primarily influenced by two historic trends and one adeptly traded volatile market: the trending markets were declining value of the U.S. dollar and the price of crude oil rising to over $50 a barrel while natural gas prices had wide swings three or four times throughout the year and required astute and agile trading. The Partnership's advisors capitalized on these events with trend-following systematic approaches as well as with discretionary and fundamental strategies. The year started strongly with many of the trends from late 2003 continuing into early 2004. Rising global economic growth, particularly in Asia, spurred increased demand for agricultural, industrial metals and energy leading to rising prices for copper, aluminum, grains and crude oil. Offsetting profitable trading in these commodity markets were losses in the financial sectors, notably foreign currency trading as the U.S. dollar rallied precipitously from its prolonged down trend. The second quarter was highlighted by several opposing fundamental economic and financial events which reduced the trading opportunities for the Partnership's advisors as profitable trading became more narrowly focused on natural gas and soybeans while other markets, especially crude oil and precious metals contributed to losses. These forces became further refined in the third quarter as numerous geo-political events provided numerous trading opportunities in the energy complex. Such events included the recall election in  18      Venezuela, hurricane weather in the Caribbean, and supply threats as a result of political turmoil in Russia, Iran, and Iraq. Trading in the foreign currencies and stock indices was unprofitable and mixed in the interest rate markets. The end of the third quarter and beginning of the fourth quarter saw excellent trading markets particularly again in energy but also in foreign currencies, especially the euro. The resurging price of crude oil and volatile natural gas prices were the primary engines of profitability in October and November. As the year came to a close, the commodity markets exhibited price fatigue and the financial markets reflected lower inflationary expectations. The U.S. dollar began a precipitous slide toward $1.40 to the euro, stock markets gained around the world, and interest rates declined. Although the Partnership was down slightly in December, overall for the fourth quarter the Partnership was up nearly 12% and closed the year up 24%. The Partnership experienced net trading losses of $1,116,954 before commissions and expenses in 2003. Losses were primarily attributable to the trading of energy, softs, livestock, U.S. and non-U.S. interest rates and were partially offset by gains recognized in currencies, grains, metals, and indices. In the General Partner's opinion, the Partnership's Advisors continue to employ trading methods consistent with the objectives of the Partnership. The General Partner monitors the Advisors' performance on a daily, weekly, monthly and annual basis to assure these objectives are met. It should be noted that commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Master Funds and the Partnership depends on the Advisors' ability to forecast changes in energy and energy related commodities. Such price changes 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 the Advisors correctly make such forecasts, the Master Funds and the Partnership expect to increase capital through operations. (d)    Operational Risk. The Partnership is directly exposed to market risk and credit risk, which arise in the normal course of its business activities. Slightly less direct, but of critical importance, are risks pertaining to operational and back office support. This is particularly the case in a rapidly changing and increasingly global environment with increasing transaction volumes and an expansion in the number and complexity of products in the marketplace. Such risks include:  Operational/Settlement Risk — the risk of financial and opportunity loss and legal liability attributable to operational problems, such as inaccurate pricing of transactions, untimely trade execution, clearance and/or settlement, or the inability to process large volumes of transactions. The Partnership is subject to increased risks with respect to its trading activities in emerging market securities, where clearance, settlement, and custodial risks are often greater than in more established markets.  Technological Risk — the risk of loss attributable to technological limitations or hardware failure that constrain the Partnership's ability to gather, process, and communicate information efficiently and securely, without interruption, to customers, among Redeemable Units within the Partnership, and in the markets where the Partnership participates.  Legal/Documentation Risk — the risk of loss attributable to deficiencies in the documentation of transactions (such as trade confirmations) and customer relationships (such as master netting agreements) or errors that result in noncompliance with applicable legal and regulatory requirements.  Financial Control Risk — the risk of loss attributable to limitations in financial systems and controls. Strong financial systems and controls ensure that assets are safeguarded, that transactions are executed in accordance with management's authorization, and that financial information utilized by management and communicated to external parties, including the Partnership's Redeemable Unit holders, creditors, and regulators, is free of material errors. 19     (e)    Critical Accounting Policies. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires estimates and assumptions that affect the reported amounts of assets and liabilities, revenues and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. 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. The General Partner believes that the accounting policies that will be most critical to the Partnership's financial condition and results of operations relate to the valuation of the Partnership's positions. The majority of the Partnership's positions will be exchange-traded futures contracts, which will be valued daily at settlement prices published by the exchanges. Swap contracts held by AAA Master generally will be valued by reference to published settlement prices or dealers' quotes in related markets or other measures of fair value deemed appropriate by the General Partner. The General Partner expects that under normal circumstances substantially all of the Partnership's assets will be valued by objective measures and without difficulty. Item 7A.    Quantitative and Qualitative Disclosures About Market Risk  The Partnership is a speculative commodity pool. The market sensitive instruments held by the Partnership are acquired for speculative trading purposes, and all or substantially all of the Partnership'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 main line of business. The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of Partnership assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law. Market movements result in frequent changes in the fair market value of the Partnership's open positions and, consequently, in its earnings and cash flow. The Partnership's market risk is influenced by a wide variety of factors. These primarily include factors which affect energy price levels, including supply factors and weather conditions, but could also include the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership's open positions and the liquidity of the markets in which it trades. The Partnership rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership's past performance is not necessarily indicative of its future results. 20     Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership's speculative trading and the recurrence in the markets traded by the Partnership 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 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 included 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 attempts to manage its market risk. Quantifying the Partnership's Trading Value at Risk The following quantitative disclosures regarding the Partnership's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor except for statements of historical fact (such as the terms of particular contracts and the number of market risk sensitive instruments held during or at the end of the reporting period). The Partnership's risk exposure in the various market sectors traded by the Advisors is quantified below in terms of Value at Risk. Due to the Partnership's mark-to-market accounting, any loss in the fair value of the Partnership's open positions is directly reflected in the Partnership's earnings (realized or unrealized) and cash flow. Exchange maintenance margin requirements have been used by the Partnership 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 intervals. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. 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. In the case of market sensitive instruments which are not exchange traded (almost exclusively currencies in the case of the Partnership), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers' margins have been used. The fair value of the Partnership's futures and forward positions does not have any optionality component. However, the Advisor does trade commodity options. The Value at Risk associated with options is reflected in the following table as the margin requirement attributable to the instrument underlying each option. Where this instrument is a futures contract, the futures margin, and where this instrument is a physical commodity, the futures-equivalent maintenance margin has been used. This calculation is conservative in that it assumes that the fair value of an option will decline by the same amount as the fair value of the underlying instrument, whereas, in fact, the fair values of the options traded by the Partnership in almost all cases fluctuate to a lesser extent than those of the underlying instruments. In quantifying the Partnership's Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been added to determine each trading category's aggregate Value at Risk. The diversification effects resulting from the fact that the Partnership's positions are rarely, if ever, 100% positively correlated have not been reflected. The Partnership's Trading Value at Risk in Different Market Sectors The following table indicates the trading Value at Risk associated with the Partnership's open positions by market category as of December 31, 2005, and the highest, lowest and average value at any  21      point during the year. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below. As of December 31, 2005, the Partnership's total capitalization was $172,442,322. December 31, 2005                               Market Sector  Value at Risk  % of TotalCapitalization  HighValue at Risk  LowValue at Risk  AverageValue at Risk*   Currencies:                                      — Exchange Traded Contracts  $  250,660      0.14 %   $  2,952,913    $  28,305    $  731,042     Energy    414,000      0.24 %     3,868,500      62,400      1,056,778     Grains    61,470      0.04 %     1,265,900      9,500      374,706     Interest Rates U.S.    99,000      0.06 %     1,432,200      10,800      311,983     Interest Rates Non-U.S.    162,305      0.10 %     2,433,812      30,659      698,356     Metals                                      — Exchange Traded Contracts    144,000      0.08 %     1,546,000      34,000      358,264     Softs    124,200      0.07 %     930,500      17,000      317,317     Total  $  1,255,635      0.73 %                                           *annual average based on month-end value at risk As of December 31, 2004, the Partnership's total capitalization was $118,783,824. December 31, 2004                               Market Sector  Value at Risk  % of TotalCapitalization  HighValue at Risk  LowValue at Risk  AverageValue at Risk*   Currencies                  — Exchange Traded Contracts  $ 1,602,965      1.35 %   $ 2,483,422    $ 658,832    $ 1,316,239     Energy    870,000      0.73 %     3,586,630      172,500      1,841,732     Grains    34,200      0.03 %     1,266,731      34,200      446,505     Interest rates U.S.    105,700      0.09 %     1,478,500      84,000      800,194     Interest rates Non-U.S.    665,058      0.56 %     3,926,181      663,464      2,098,350     Livestock    20,800      0.02 %     298,100      20,800      160,440     Metals                                      — Exchange Traded Contracts    453,500      0.38 %     1,242,000      190,000      550,746     Softs    449,300      0.38 %     697,544      23,000      366,509     Total  $ 4,201,523      3.54 %                                           *annual average based on month-end value at risk Material Limitations on Value at Risk as an Assessment of Market Risk The face value of the market sector instruments held by the Partnership is typically many times the applicable margin requirement (margin requirements generally range between 2% and 15% of contract face value) as well as many times the capitalization of the Partnership. The magnitude of the Partnership's open positions creates a "risk of ruin" not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions—unusual, but historically recurring from time to time —could cause the Partnership to incur severe losses over a short period of time. The foregoing Value at Risk table—as well as the past performance of the Partnership—give no indication of this "risk of ruin." Materiality as used in this section, "Qualitative and Quantitative Disclosures About Market Risk," is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of the Partnership's market sensitive instruments. 22     Qualitative Disclosures Regarding Primary Trading Risk Exposures The following qualitative disclosures regarding the Partnership's market risk exposures – except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership manages its primary market risk exposures—constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act. The Partnership's primary market risk exposures as well as the strategies used and to be used by the General Partner and the Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership's risk control to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the management strategies of the Partnership. There can be no assurance that the Partnership's current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short or long term. Investors must be prepared to lose all or substantially all of their investment in the Partnership. The following were the primary trading risk exposures of the Partnership as of December 31, 2005, by market sector.  Interest Rates.    Interest rate movements directly affect the price of the futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Partnership's profitability. The Partnership's primary interest rate exposure is to interest rate fluctuations in the United States and the other G-8 countries. However, the Partnership also takes futures positions on the government debt of smaller nations – e.g., Australia.  Currencies.    The Partnership's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic Partnership's currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the dollar-based Partnership in expressing Value at Risk in functional currency other than dollars.  Stock Indices.    The Partnership's primary equity exposure is to equity price risk in the G-8 countries. The stock index futures traded by the Partnership are limited to futures on broadly based indices. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. (Static markets would not cause major market changes but would make it difficult for the Partnership to avoid being "whipsawed" into numerous small losses.)  Metals.    The Partnership's primary metal market exposure is to fluctuations in the price of gold. Although certain of the Advisors will from time to time trade base metals such as copper, the principal market exposures of the Partnership have consistently been in the precious metals, gold.  Softs.    The Partnership's primary commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Cocoa, cotton, sugar and coffee accounted for the substantial bulk of the Partnership's commodity exposure as of December 31, 2005.  Energy.    The Partnership's primary energy market exposure is to natural gas and oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been are expected to continue to be experienced in this market. Qualitative Disclosures Regarding Means of Managing Risk Exposure The General Partner monitors and controls the Partnership'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 subject. 23     The General Partner monitors the Partnership's performance and the concentration of its open positions, and consults with the Advisor concerning the Partnership's overall risk profile. If the General Partner felt it necessary to do so, the General Partner could require the Advisor to close out individual positions as well as enter programs traded on behalf of the Partnership. However, any such intervention would be a highly unusual event. The General Partner primarily relies on the Advisor's own risk control policies while maintaining a general supervisory overview of the Partnership's market risk exposures. The Advisor applies its own risk management policies to its trading. The Advisor often follows diversification guidelines, margin limits and stop loss points to exit a position. The Advisor's research of risk management often suggests ongoing modifications to its trading programs. As part of the General Partner's risk management, the General Partner periodically meets with the Advisor to discuss its risk management and to look for any material changes to the Advisor's portfolio balance and trading techniques. The Advisor is required to notify the General Partner of any material changes to its programs. 24     Item 8.    Financial Statements and Supplementary Data.  SALOMON SMITH BARNEY ORION FUTURES FUND L.P. INDEX TO FINANCIAL STATEMENTS                  Page Number   Oath or Affirmation.  F-3   Management's Report on Internal Control over Financial Reporting  F-4   Reports of Independent Registered Public Accounting Firm  F-5 – F-6   Financial Statements:      Statements of Financial Condition at December 31, 2005 and 2004.  F-7   Condensed Schedules of Investments at December 31, 2005 and 2004.  F-8 – F-9   Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003.  F-10   Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003.  F-11   Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003  F-12   Notes to Financial Statements  F-13 – F-19   Selected Unaudited Quarterly Financial Data.  F-20   Financial Statements of SB AAA Master Fund LLC      Oath or Affirmation.  F-21   Independent Auditors' Report  F-22   Financial Statements:      Statements of Financial Condition at December 31, 2005 and 2004.  F-23   Condensed Schedules of Investments at December 31, 2005 and 2004.  F-24 – F-25   Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003.  F-26   Statements of Changes in Members' Capital for the years ended December 31, 2005, 2004 and 2003.  F-27   Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003  F-28   Notes to Financial Statements  F-29 – F-32   Selected Unaudited Quarterly Financial Data.  F-33   Financial Statements of CMF Willowbridge Argo Master Fund L.P.      Oath or Affirmation.  F-34   Independent Auditors' Report  F-35   Financial Statements:      Statement of Financial Condition at December 31, 2005.  F-36        F-1     SALOMON SMITH BARNEY ORION FUTURES FUND L.P. INDEX TO FINANCIAL STATEMENTS —CONTINUED                  Page Number   Condensed Schedule of Investments at December 31, 2005.  F-37   Statement of Income and Expenses for the period July 1, 2005 (commencement of trading operations) to December 31, 2005   F-38   Statement of Changes in Partners' Capital for the period July 1, 2005 (commencement of trading operations) to December 31, 2005  F-39   Statement of Cash Flows for the period July 1, 2005 (commencement of trading operations) to December 31, 2005  F-40   Notes to Financial Statements  F-41 – F-44   Selected Unaudited Quarterly Financial Data.  F-45   Financial Statements of CMF Winton Master L.P.      Oath or Affirmation.  F-46   Independent Auditors' Report  F-47   Financial Statements:      Statements of Financial Condition at December 31, 2005 and 2004.  F-48   Condensed Schedules of Investments at December 31, 2005 and 2004.  F-49 – F-50   Statements of Income and Expenses for the year ended December 31, 2005 and the period November 1, 2004 (commencement of trading operations) to December 31, 2004  F-51   Statements of Changes in Partners' Capital for the year ended December 31, 2005 and the period November 1, 2004 (commencement of trading operations) to December 31, 2004  F-52   Statements of Cash Flows for the year ended December 31, 2005 and the period November 1, 2004 (commencement of trading operations) to December 31, 2004  F-53   Notes to Financial Statements  F-54 – F-57   Selected Unaudited Quarterly Financial Data.  F-58        F-2     To the Limited Partners ofSalomon Smith Barney Orion Futures Fund L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                       By:   Daniel R. McAuliffe, Jr.          Chief Financial Officer and Director          Citigroup Managed Futures LLC          General Partner, Salomon Smith Barney          Orion Futures Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-3     Management's Report on Internal Control overFinancial Reporting The management of Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership"), Citigroup Managed Futures LLC, is responsible for establishing and maintaining adequate internal control over financial reporting. The Partnership's internal control system was designed to provide reasonable assurance to the Partnership's management and Board of Directors regarding the preparation and fair presentation of published financial statements in accordance with U.S. generally accepted accounting principles. All internal control systems, no matter how well designed, have inherent limitations. Therefore, even those systems determined to be effective can provide only reasonable assurance with respect to financial statement preparation and presentation.  Management maintains a comprehensive system of controls intended to ensure that transactions are executed in accordance with management's authorization, assets are safeguarded, and financial records are reliable. Management also takes steps to see that information and communication flows are effective and to monitor performance, including performance of internal control procedures.  The Partnership's management assessed the effectiveness of the Partnership's internal control over financial reporting as of December  31, 2005 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework. Based on this assessment, management believes that, as of December  31, 2005, the Partnership's internal control over financial reporting is effective.  Management's assessment of the effectiveness of the Company's internal control over financial reporting as of December  31, 2005 has been audited by KPMG LLP, the Partnership's independent registered public accounting firm, as stated in their reports appearing on the following pages, which express unqualified opinions on management's assessment and on the effectiveness of the Partnership's internal control over financial reporting as of December  31, 2005. F-4     Report of Independent Registered Public Accounting Firm To the Partners of Salomon Smith Barney Orion Futures Fund L.P.: We have audited management's assessment, included in the accompanying Management's Report on Internal Control Over Financial Reporting, that Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership") maintained effective internal control over financial reporting as of December 31, 2005, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"). The Partnership's management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting. Our responsibility is to express an opinion on management's assessment and an opinion on the effectiveness of the Partnership's internal control over financial reporting based on our audit. We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit included obtaining an understanding of internal control over financial reporting, evaluating management's assessment, testing and evaluating the design and operating effectiveness of internal control, and performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion. A partnership's internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A partnership's internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the partnership are being made only in accordance with authorizations of management and directors of the partnership; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the partnership's assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. In our opinion, management's assessment that Salomon Smith Barney Orion Futures Fund L.P. maintained effective internal control over financial reporting as of December 31, 2005, is fairly stated, in all material respects, based on criteria established in Internal Control—Integrated Framework issued by COSO. Also, in our opinion, the Partnership maintained, in all material respects, effective internal control over financial reporting as of December 31, 2005, based on criteria established in Internal Control—Integrated Framework issued by COSO. We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statements of financial condition of the Partnership, including the condensed schedules of investments, as of December 31, 2005 and 2004, and the related statements of income and expenses, changes in partners' capital, and cash flows for each of the years in the three-year period ended December 31, 2005, and our report dated March 13, 2006 expressed an unqualified opinion on those financial statements.                  New York, New York March 13, 2006 F-5     Report of Independent Registered Public Accounting Firm To the Partners of Salomon Smith Barney Orion Futures Fund L.P.: We have audited the accompanying statements of financial condition of Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership"), including the condensed schedules of investments, as of December 31, 2005 and 2004, and the related statements of income and expenses, changes in partners' capital, and cash flows for each of the years in the three-year period ended December 31, 2005. These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Salomon Smith Barney Orion Futures Fund L.P. as of December 31, 2005 and 2004, and the results of its operations, changes in its partners' capital, and its cash flows for each of the years in the three-year period ended December 31, 2005, in conformity with U.S. generally accepted accounting principles. We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the effectiveness of the Partnership's internal control over financial reporting as of December 31, 2005, based on criteria established in Internal Control—Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"), and our report dated March 13, 2006 expressed an unqualified opinion on management's assessment of, and the effective operation of, internal control over financial reporting.                  New York, New York March 13, 2006 F-6     Salomon Smith BarneyOrion Futures Fund L.P.Statements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Investment in Partnerships, at fair value (Note 5)  $ 164,526,199    $ 84,542,782     Cash (restricted $1,635,266 and $5,271,154 in 2005 and 2004, respectively) in commodity futures trading account (Note 3c)    10,181,361      36,084,976     Net unrealized appreciation on open futures positions    244,775      2,612,228          174,952,335      123,239,986     Interest receivable (Note 3c)    34,220      62,043        $ 174,986,555    $ 123,302,029                       Liabilities and Partners' Capital:                 Liabilities:                 Accrued expenses:                 Commissions (Note 3c)  $ 257,466    $ 162,453     Management fees (Note 3b)    273,625      192,180     Administrative fees (Note 3a)    74,149      52,089     Incentive fees (Note 3b)    891,826      849,874     Professional fees    82,393      120,711     Other    39,193      21,796     Redemptions payable (Note 6)    925,581      3,119,102          2,544,233      4,518,205     Partners' capital (Notes 1 and 6):                 General Partner, 865.3542 Unit equivalents outstanding in  2005 and 2004    1,394,371      1,184,090     Limited Partners, 106,152.9612 and 85,943.7403 Redeemable Units of Limited Partnership Interest outstanding in 2005 and 2004, respectively    171,047,951      117,599,734          172,442,322      118,783,824        $ 174,986,555    $ 123,302,029                            See accompanying notes to financial statements. F-7     Salomon Smith BarneyOrion Futures Fund L.P.Condensed Schedule of Investments December 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Currencies  $                (154,313 )     (0.09 )%    Grains    30,420      0.02     Interest Rates U.S.    11,025      0.01     Interest Rates Non-U.S.    74,289      0.04     Metals    246,600      0.14     Softs    209,755      0.12                       Total futures contracts purchased    417,776      0.24                       Futures Contracts Sold                 Currencies    (2,563 )     (0.00) *    Energy    (159,286 )     (0.09 )    Grains    (13,806 )     (0.01 )    Interest Rates Non-U.S.    2,654      0.00 *                      Total futures contracts sold    (173,001 )     (0.10 )                                        Investment in Partnerships                 SB AAA Master Fund LLC    66,336,443      38.47     CMF Willowbridge Argo Master Fund LP    43,902,732      25.46     CMF Winton Master LP    54,287,024      31.48                       Total Investment in Partnerships    164,526,199      95.41                       Total fair value  $  164,770,974      95.55 %                Percentages are based on Partners' capital unless otherwise indicated.          * Due to rounding.   See accompanying notes to financial statements. F-8     Salomon Smith Barney Orion Futures Fund L.P. Condensed Schedule of Investments December 31, 2004                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Currencies  $  994,089      0.84 %    Grains    (313 )     (0.00) *    Interest Rates Non-U.S.    266,606      0.22     Livestock    40,990      0.04     Metals    (7,003 )     (0.01 )    Softs    597,196      0.50                       Total futures contracts purchased    1,891,565      1.59                       Futures Contracts Sold                 Currencies    (606 )     (0.00) *    Energy    724,990      0.61     Grains    (20,275 )     (0.02 )    Interest Rates U.S.    44,813      0.04     Interest Rates Non-U.S.    3,001      0.00 *    Softs    (31,260 )     (0.02 )                      Total futures contracts sold    720,663      0.61                                         Investment in Partnerships                 SB AAA Master Fund LLC    46,220,533      38.91     CMF Winton Master LP    38,322,249      32.26                       Total Investment in Partnerships    84,542,782      71.17                       Total fair value  $  87,155,010      73.37 %                Percentages are based on Partners' capital unless otherwise indicated.          * Due to rounding.   See accompanying notes to financial statements. F-9     Salomon Smith BarneyOrion Futures Fund L.P.Statements of Income and Expensesfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Income:                        Net gains (losses) on trading of commodity interests:                        Realized gains (losses) on closed positions   $                (11,639,919 )   $ 13,215,866    $ 4,167,650     Change in unrealized gains (losses) on open positions and investments in Partnerships    50,375,322      18,377,226      (5,284,604 )         38,735,403      31,593,092      (1,116,954 )    Interest income (Note 3c)    693,141      693,186      479,341          39,428,544      32,286,278      (637,613 )    Expenses:                        Brokerage commissions including clearing fees of $90,994, $178,488 and $167,559, respectively (Note 3c)    3,620,999      2,178,028      1,912,993     Management fees (Note 3b)    2,734,652      1,992,944      1,547,397     Administrative fees (Note 3a)    744,000      539,668      402,664     Incentive fees (Note 3b)    8,440,695      3,538,910      837,878     Professional fees    212,000      240,111      155,297     Other expenses    53,001      20,937      19,137          15,805,347      8,510,598      4,875,366     Net income (loss)  $ 23,623,197    $ 23,775,680    $                (5,512,979 )    Net income (loss) per Redeemable Unit of Limited Partnership Interest and General Partner Unit equivalent (Notes 1 and 6)  $ 243.00    $ 268.14    $                (60.63 )         See accompanying notes to financial statements. F-10     Salomon Smith BarneyOrion Futures Fund L.P.Statements of Changes in Partners' Capitalfor the years ended December 31, 2005, 2004 and 2003                          LimitedPartners  GeneralPartner  Total   Partners' capital at December 31, 2002  $ 61,572,611    $ 580,188    $ 62,152,799     Net loss    (5,482,675 )     (30,304 )     (5,512,979 )    Sale of 49,916.3153 Redeemable Units of Limited Partnership Interest    57,164,000      —      57,164,000     Redemption of 23,954.9557 Redeemable Units of Limited Partnership Interest    (26,334,840 )     —      (26,334,840 )    Partners' capital at December 31, 2003    86,919,096      549,884      87,468,980     Net income    23,581,525      194,155      23,775,680     Sale of 24,093.3313 Redeemable Units of Limited Partnership Interest and General Partner's contribution representing 365.5458 Unit equivalents    28,750,000      440,051      29,190,051     Redemption of 17,153.2638 Redeemable Units of Limited Partnership Interest    (21,650,887 )     —      (21,650,887 )    Partners' capital at December 31, 2004  $ 117,599,734    $ 1,184,090    $ 118,783,824     Net income    23,412,916      210,281      23,623,197     Sale of 36,756.0254 Redeemable Units of Limited Partnership Interest    55,421,000      —      55,421,000     Redemption of 16,546.8045 Redeemable Units of Limited Partnership Interest    (25,385,699 )     —      (25,385,699 )    Partners' capital at December 31, 2005  $ 171,047,951    $ 1,394,371    $ 172,442,322     Net asset value per Redeemable Unit:                                           2003:  $ 1,100.19     2004:  $ 1,368.33     2005:  $ 1,611.33           See accompanying notes to financial statements.  F-11     Salomon Smith Barney Orion Futures Fund L.P. Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Cash flows from operating activities:                        Net income (loss)  $  23,623,197    $  23,775,680    $                (5,512,979 )    Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:                        Changes in operating assets and liabilities:                        Purchase of investment in Partnership's    (79,056,534 )     (44,831,669 )     (27,851,750 )    Proceeds from sale of investment in Partnership's    44,776,588      14,129,836      12,260,743     Net unrealized appreciation (depreciation) on investment in Partnership's    (45,703,471 )     (20,309,057 )     7,531,101     (Increase) decrease in restricted cash    3,635,888      8,507,992      (5,121,754 )    (Increase) decrease in net unrealized appreciation/depreciation on open futures positions    2,367,453      3,094,463      (649,474 )    (Increase) decrease in unrealized appreciation on open forward contracts    —      1,928,011      (1,928,011 )    (Increase) decrease in interest receivable    27,823      (21,984 )     (4,122 )    Increase (decrease) in unrealized depreciation on open forward contracts    —      (638,809 )     638,809     Accrued expenses:                        Increase (decrease) in commissions    95,013      1,587      45,665     Increase (decrease) in management fees    81,445      50,097      34,970     Increase (decrease) in administrative fees    22,060      13,477      11,834     Increase (decrease) in incentive fees    41,952      310,420      266,497     Increase (decrease) in professional fees    (38,318 )     51,972      (12,526 )    Increase (decrease) in other    17,397      13,625      440     Net cash provided by (used in) operating activities    (50,109,507 )     (13,924,359 )     (20,290,557 )    Cash flows from financing activities:                        Proceeds from additions–Limited Partners    55,421,000      28,750,000      57,164,000     Proceeds from additions–General Partner    —      440,051      —     Payments for redemptions–Limited Partners    (27,579,220 )     (21,267,654 )     (24,097,574 )    Net cash provided by (used in) financing activities    27,841,780      7,922,397      33,066,426     Net change in cash    (22,267,727 )     (6,001,962 )     12,775,869     Unrestricted cash, at beginning of year    30,813,822      36,815,784      24,039,915     Unrestricted cash, at end of year  $  8,546,095    $  30,813,822    $  36,815,784          See accompanying notes to financial statements. F-12     Salomon Smith BarneyOrion Futures Fund L.P. Notes to Financial Statements       1.   Partnership Organization:   Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership") is a limited partnership which was organized on March  22, 1999 under the partnership laws of the State of New York to engage, directly and indirectly, in the speculative trading of a diversified portfolio of commodity interests, including commodity options, commodity futures and forward contracts on United States exchanges and certain foreign exchanges. The 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") were sold at $1,000 per Redeemable Unit. The proceeds of the initial 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 privately offers up to 250,000 Redeemable Units to qualified investors. The Partnership continues to offer Redeemable Units. The Partnership's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner. The General Partner is wholly owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly owned subsidiary of Citigroup Inc. ("Citigroup"). The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of its initial capital contribution and profits, if any, net of distributions. The Partnership will be liquidated upon the first to occur of the following: December 31, 2019; the net asset value of a Redeemable Unit decreases to less than $400 per Redeemable Unit as of a close of any business day; a decline in net assets after trading commences to less than $1,000,000; or under certain other circumstances as defined in the Limited Partnership Agreement.       2.   Accounting Policies:           a.   All commodity interests (including derivative financial instruments and derivative commodity instruments) held by the Partnership are used for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded in the statements of financial condition at fair value on the last business day of the year, which represents market value for those commodity interests for which market quotations are readily available. 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 year. Realized gains (losses) and changes in unrealized gains (losses) on open positions 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.   The value of the Partnership's investments in other partnerships reflects the Partnership's proportional interest in the other partnerships.         b.   The Partnership may purchase and write (sell) options. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership writes an option, the premium received is recorded as a liability in the statements of financial condition and marked to market daily. When the Partnership purchases an option, the premium paid is recorded as an asset in the statement of financial condition and marked to market daily.   F-13     Salomon Smith BarneyOrion Futures Fund L.P. Notes to Financial Statements         c.   Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership's income and expenses.           d.   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, disclosure 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.           e.   Certain prior period amounts have been reclassified to conform to current year presentation.         3.   Agreements:           a.   Limited Partnership Agreement:   The General Partner administers the business and affairs of the Partnership including selecting one or more advisors to make trading decisions for the Partnership. The Partnership pays the General Partner a monthly administrative fee equal to  1/24 of 1% (0.5% per year) of month-end net assets. Month-end Net Assets, for the purpose of calculating administrative fees are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of redemptions and incentive fees.         b.   Management Agreement:   The General Partner, on behalf of the Partnership, has entered into Management Agreements with Winton Capital Management ("Winton"), Willowbridge Associates Inc. ("Willowbridge"), and AAA Capital Management ("AAA") (collectively, the "Advisors"), each of which is a registered commodity trading advisor. The Advisors are not affiliated with one another, are not affiliated with the General Partner or CGM, and are not responsible for the organization or operation of the Partnership. The Partnership will pay each Advisor (except for Winton which is paid  1/8 of 1% (1.5% a year) of month-end Net Assets) a monthly management fee equal to  1/6 of 1% (2% a year) of month-end Net Assets allocated to each Advisor. Month-end Net Assets, for the purpose of calculating management fees are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of redemptions and incentive fees. In addition, the Partnership is obligated to pay each Advisor an incentive fee payable quarterly equal to 20% of the New Trading Profits, as defined in the Management Agreements, earned by each Advisor for the Partnership.         c.   Customer Agreement:   The Partnership has entered into a Customer Agreement which provides that the Partnership will pay CGM brokerage commissions at $18 per round turn for futures and forwards transactions and $9 per half turn for options. The brokerage fee is inclusive of applicable floor brokerage. In addition, the Partnership will pay CGM National Futures Association fees, as well as exchange, clearing, user and give-up fees. CGM will pay a portion of brokerage fees to its financial advisors who have sold Redeemable Units in this Partnership. Substantially all of the Partnership's assets are deposited in the Partnership's account at CGM. The Partnership's assets are deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005 and 2004, the amount of cash held for margin requirements was $1,635,266 and $5,271,154, respectively. CGM has agreed to pay the Partnership interest on 100% of the 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 noncompetitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. The Customer Agreement between the Partnership and CGM  F-14     Salomon Smith BarneyOrion Futures Fund L.P. Notes to Financial Statements  gives the Partnership the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.       4.   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 interests. The results of the Partnership's trading activities are shown in the statements of income and expenses. All of the commodity interests owned by the Partnership are held for trading purposes. The average fair value of the commodity interests held by the Partnership during the years ended December 31, 2005 and 2004, based on a monthly calculation, was $2,057,458 and $4,419,977, respectively.       5.  Investment in Partnerships:   Effective September 1, 2001, the Partnership allocated the portion of the Partnership's capital that was allocated to AAA for trading to the SB AAA Master Fund LLC, a New York Limited Liability Company ("AAA Master"). With this cash, the Partnership purchased 5,173.4381 Units of AAA Master at a fair value of $5,173,438. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy with Swaps Program, to invest together in one trading vehicle. The General Partner is the managing member of AAA Master. Individual and pooled accounts currently managed by AAA, including the Partnership, are permitted to be non-managing members of AAA Master. The General Partner and AAA believe that trading through this structure should promote efficiency and economy in the trading process. Expense to investors as a result of the investment in AAA Master are approximately the same and redemption rights are not affected. On November 1, 2004, the assets allocated to Winton for trading were invested in the CMF Winton Master L.P. ("Winton Master"), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 35,389.8399 Units of Winton Master with cash equal to $33,594,083 and a contribution of open commodity futures and forward positions with a value of $1,795,757. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, to invest together in one trading vehicle. The General Partner of the Partnership is the General Partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to investors as a result of investment in Winton Master are approximately the same and redemption rights are not affected. On July 1, 2005, the assets allocated to Willowbridge for trading were invested in the CMF Willowbridge Argo Master Fund L.P. ("Willowbridge Master"), a limited liability partnership organized under the partnership laws of the State of New York. The partnership purchased 33,529.1186 Units of Willowbridge Master with cash equal to $29,866,194, and a contribution of open commodity futures and forward positions with a fair value of $3,662,925. Willowbridge Master was formed in order to permit commodity pools managed now or in the future by using Willowbridge's Argo Trading Program, to invest together in one trading vehicle. The General Partner is the General Partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership are permitted to be a non-managing member of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process. Expenses to investors as a result of the investment in Willowbridge Master are approximately the same and redemption rights are not affected. AAA Master's, Willowbridge Master's and Winton Master's trading of futures, forwards and options contracts, if applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. All engage in such trading through commodity brokerage accounts maintained with CGM. F-15     Salomon Smith BarneyOrion Futures Fund L.P. Notes to Financial Statements A non-managing member/limited partner may withdraw all or part of their capital contribution and undistributed profits, if any, from AAA Master, Willowbridge Master or Winton Master (the "Master Funds") in multiples of the net asset value per unit of limited partnership interest as of the last day of a month after a request for redemption has been made to the Managing Member/General Partner at least 3 days in advance of month-end. Management and incentive fees are not directly charged to the investments presented below. These fees are charged at the Partnership level as discussed in Note 3. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master Funds. All other fees including CGM's direct brokerage commission are charged at the Partnership level. At December 31, 2005 and 2004, the Partnership owns 6.9% and 13.7%, respectively, of AAA Master. At December 31, 2005 the Partnership owns 25.9% of Willowbridge Master. At December 31, 2005 and 2004, the Partnership owns 30.5% amd 33.4% of Winton Master, respectively. It is AAA's, Willowbridge's and Winton's intention to continue to invest the assets allocated to each by the Partnership in AAA Master, Willowbridge Master and Winton Master, respectively. The performance of the Partnership is directly affected by the performance of Master Funds. Expenses to investors as a result of the investment in the Master Funds are approximately the same and redemption rights are not affected. Summarized information reflecting the Partnerships' investments in, and the operations of, the AAA Master, Willowbridge Master and the Winton Master are shown in the following table.                                  December 31, 2005            Investments' Total Assets  Investments' Total Liabilities  Investments' Total Capital  Investment Objective  RedemptionsPermitted   AAA Master  $ 1,253,296,106    $ 299,213,954    $ 954,082,152    Energy Markets  Monthly   Willowbridge Master    170,157,028      474,977      169,682,051    Commodity Portfolio  Monthly   Winton Master    182,130,723      3,524,134      178,606,589    Commodity Portfolio  Monthly   Total  $ 1,605,583,857    $ 303,213,065    $ 1,302,370,792                                                 December 31, 2004            Investments' Total Assets  Investments' Total Liabilities  Investments' Total Capital  Investment Objective  RedemptionsPermitted   AAA Master  $   483,402,990    $   146,907,455    $   336,495,535    Energy Markets  Monthly   Winton Master    116,230,069      1,104,740      115,125,329    Commodity Portfolio  Monthly   Total  $ 599,633,059    $ 148,012,195    $ 451,620,864                F-16     Salomon Smith BarneyOrion Futures Fund L.P. Notes to Financial Statements                                           Investment  % of Partnership's Net Assets  Fair Value  Income (Loss)  Expenses  Net Income (loss)  Investment Objective  Redemption Permitted   Commissions  Other   For the year ended December 31, 2005                                                                                                            SB AAA Master Fund LLC  38.47%  $ 66,336,443    $ 42,160,363    $ 1,193,218    $ 35,400    $ 40,931,745    EnergyMarkets    Monthly                                                         CMF Willowbridge Argo Master Fund L.P  25.46%    43,902,732      2,275,000      79,898      7,206      2,187,896    CommodityPortfolio    Monthly                                                         CMF Winton Master L.P  31.48%    54,287,024      6,317,603      341,150      16,248      5,960,205    CommodityPortfolio    Monthly     Total     $ 164,526,199    $ 50,752,966    $ 1,614,266    $ 58,854    $ 49,079,846               For the year ended December 31, 2004                                                                                                    SB AAA Master Fund LLC  38.91%  $ 46,220,533    $ 19,632,229    $ 1,431,471    $ 35,065    $ 18,165,693    EnergyMarkets    Monthly                                                         CMF Winton Master L.P  32.26%    38,322,249      2,863,003      59,557      4,005      2,799,441    CommodityPortfolio    Monthly     Total     $ 84,542,782    $ 22,495,232    $ 1,491,028    $ 39,070    $ 20,965,134                          6.   Distributions and Redemptions:   Distributions of profits, if any, will be made at the sole discretion of the General Partner and at such times as the General Partner may decide. Beginning with the first full month ending at least three months after the commencement of trading, a limited partner may require the Partnership to redeem their Units at their redemption value per Redeemable Unit as of the last day of a month on 10 days notice to the General Partner. For the purpose of a redemption, any accrued liability for reimbursement of offering and organization expenses for the initial offering period will not reduce redemption value per Redeemable Unit. There is no fee charged to limited partners in connection with redemptions. The Partnership is permitted to withdraw all or a portion of its interest in the other partnerships as of each month-end in order to meet its obligations with respect to the redemption rights of limited partners.       7.   Net Asset Value Per Unit:   Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the years ended December  31, 2005, 2004 and 2003 were as follows:                          2005  2004  2003   Net realized and unrealized gains (losses)*  $ 362.35    $ 332.84    $                (27.22 )    Interest income    7.27      7.93      11.42     Expenses**    (126.62 )     (72.63 )     (44.83 )    Increase (decrease) for year    243.00      268.14      (60.63 )    Net asset value per Redeemable Unit, beginning of year    1,368.33      1,100.19      1,160.82     Net asset value per Redeemable Unit, end of year  $ 1,611.33    $ 1,368.33    $ 1,100.19                             * Includes Partnership brokerage commissions.         ** Excludes Partnership brokerage commissions.   F-17     Salomon Smith BarneyOrion Futures Fund L.P. Notes to Financial Statements                          2005  2004  2003   Ratios to average net assets:                        Net investment loss before incentive fees***    (4.7 )%     (4.1 )%     (4.6 )%    Operating expenses    5.2 %     4.8 %     5.2 %    Incentive fees    5.9 %     3.4 %     1.1 %    Total expenses    11.1 %     8.2 %     6.3 %    Total return:                        Total return before incentive fees    23.5 %     28.1 %     (4.3 )%    Incentive fees    (5.7 )%     (3.7 )%     (0.9 )%    Total return after incentive fees    17.8 %     24.4 %     (5.2 )%                            *** 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. 8.    Financial Instrument Risks: In the normal course of business, the Partnership 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, swaps 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. Market risk is the potential for changes in the value of the financial instruments traded by the Partnership 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 risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Partnership has credit risk and concentration risk because a significant counterparty or broker with respect to the Partnership's assets is CGM. The General Partner monitors and controls the Partnership'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 is subject. These monitoring systems allow the General Partner to statistically analyze actual trading results with risk  F-18     Salomon Smith BarneyOrion Futures Fund L.P. Notes to Financial Statements  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 December 31, 2005. However, due to the nature of the Partnership's business, these instruments may not be held to maturity. F-19     Selected unaudited quarterly financial data for the Partnership for the years ended December 31, 2005 and December 31, 2004 is summarized below:                              For the period fromOctober 1, 2005 toDecember 31, 2005  For the period fromJuly 1, 2005 toSeptember 30, 2005  For the period fromApril 1, 2005 toJune 30, 2005  For the period fromJanuary 1, 2005 toMarch 31, 2005   Net realized and unrealized tradinggains net of brokerage fees commissions and clearing fees including interest income  $ 4,044,396    $ 11,669,082    $ 5,312,648    $ 14,781,419     Net Income  $ 2,114,160    $ 8,407,706    $ 2,137,696    $ 10,963,635     Increase in Net Asset Value per Redeemable Unit  $ 16.14    $ 85.53    $ 20.11    $ 121.22                                       For the period from October 1, 2004 to December 31, 2004  For the period from July 1, 2004 to September 30, 2004  For the period from April 1, 2004 to June 30, 2004  For the period from January 1, 2004 to March 31, 2004   Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees including interest income  $ 13,941,288    $ 10,629,017    $                (8,408,857 )   $ 13,946,802                                     Net income (loss)  $ 12,238,511    $ 8,816,656    $                (9,030,686 )   $ 11,751,199                                     Increase (decrease) in Net Asset Value per Redeemable Unit  $ 134.55    $ 99.58    $                (106.08 )   $ 140.09          F-20     To the Members ofSB AAA Master Fund LLC To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                       By:   Daniel R. McAuliffe, Jr.           Chief Financial Officer and Director          Citigroup Managed Futures LLC          Managing Member, SB AAA Master Fund LLC         Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-21     Independent Auditors' Report To the Members ofSB AAA Master Fund LLC: We have audited the accompanying statements of financial condition of SB AAA Master Fund LLC (the "Company"), including the condensed schedules of investments, as of December  31, 2005 and 2004, and the related statements of income and expenses, changes in members' capital, and cash flows for each of the years in the three-year period ended December 31, 2005. These financial statements are the responsibility of the Company's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with generally accepted auditing standards as established by the Auditing Standards Board (United States) and in accordance with the auditing standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Company is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of SB AAA Master Fund LLC as of December  31, 2005 and 2004, and the results of its operations, changes in its members' capital, and its cash flows for each of the years in the three-year period ended December 31, 2005, in conformity with U.S. generally accepted accounting principles.                                                New York, New York March 13, 2006 F-22     SB AAA Master Fund LLCStatements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Equity in commodity futures trading account:                 Cash (restricted $4,130,046 and $29,327,275, respectively)  $ 557,878,760    $ 302,866,457     Net unrealized appreciation on open futures positions    260,548,395      33,027,068     Unrealized appreciation on open swaps contracts    193,692,178      93,606,729     Commodity options owned, at fair value (cost $129,024,667 and $39,565,244, respectively)    225,052,075      51,017,766          1,237,171,408      480,518,020     Due from brokers    14,310,966      2,425,135     Interest receivable    1,813,732      459,835        $ 1,253,296,106    $ 483,402,990                       Liabilities and Members' Capital:                 Liabilities:                 Unrealized depreciation on open swap contracts  $ 165,265,325    $ 89,659,294     Commodity options written, at market value (premium $147,363,753 and $54,943,984, respectively)    114,859,048      52,353,395     Accrued expenses:                 Commissions    3,198,816      1,662,591     Professional fees    143,268      2,000     Due to brokers    13,948,544      2,753,610     Due to CGM    —      22,978     Distribution Payable    1,798,953      453,587          299,213,954      146,907,455     Members' Capital:                 Members' Capital, 246,785.2714 and 185,364.2361 Units outstanding in 2005 and 2004, respectively    954,082,152      336,495,535        $ 1,253,296,106    $ 483,402,990           See accompanying notes to financial statements.  F-23     SB AAA Master Fund LLCCondensed Schedule of InvestmentsDecember 31, 2005                          Number ofContracts  Fair Value  % of Partners'Capital   Futures Contracts Purchased                        Energy                        NYMEX Henry Hub Natural Gas Swap- April 07 - Dec. 09    6,496    $ 61,657,788      6.46 %    NYMEX Natural Gas Aug. 06 - Dec. 10    9,869      107,175,497      11.23     Other           45,857,146      4.81     Total futures contracts purchased           214,690,431      22.50                              Futures Contracts Sold                        Energy           45,857,964      4.81     Total futures contracts           260,548,395      27.31                              Options Owned                        Energy                        NYMEX Natural Gas Feb. 06 - July 06    4,778      78,598,570      8.24     Other           146,453,505      15.35     Total options owned           225,052,075      23.59                              Options Written                        Energy           (114,859,048 )     (12.04 )                             Unrealized Appreciation on Swap Contracts                        Energy                        Gulf Coast Unleaded Gas Calendar 2006    1,750      67,563,451      7.08     Other           126,128,727      13.22     Total unrealized appreciation on swap contracts           193,692,178      20.30                              Unrealized Depreciation on Swap Contracts                        Energy                        Gulf Coast Unleaded Gas Calendar 2006    1,750      (65,229,496 )     (6.84 )    Other           (100,035,829 )     (10.48 )    Total depreciation on swap contracts           (165,265,325 )     (17.32 )    Total Energy Fair Value         $ 399,168,275      41.84 %                Percentages are based on Members' Capital unless otherwise indicated.    See accompanying notes to financial statements.  F-24     SB AAA Master Fund LLCCondensed Schedule of InvestmentsDecember 31, 2004                          Number ofContracts  Fair Value  % of Partners'Capital   Futures Contracts Purchased                        Energy         $ 1,240,430      0.37 %                             Futures Contracts Sold                        Energy                        NYMEX Natural Gas Feb. 05 - May 09    2,626      22,776,795      6.77     Other           9,009,843      2.68     Total futures contracts sold           31,786,638      9.45                              Options Owned                        Energy           51,017,766      15.16                              Options Written                        Energy                        NYMEX Natural Gas Feb. 05 - Jan 06    6,992      (25,794,540 )     (7.67 )    Other           (26,558,855 )     (7.89 )    Total futures contracts written           (52,353,395 )     (15.56 )                             Unrealized Appreciation on Swap Contracts                        Energy                        Gulf Coast Unleaded Gas Calendar 2005     1,080      23,491,972      6.98     NYMEX Heating Oil Calendar 2006    1,450      21,867,545      6.50     Other           48,247,212      14.34     Total unrealized appreciation on swap contracts           93,606,729      27.82                              Unrealized Depreciation on Swap Contracts                        Energy                        Gulf Coast Unleaded Gas Calendar 2006    1,450      (18,846,201 )     (5.60 )    NYMEX Unleaded Gas Calendar 2005    820      (21,159,503 )     (6.29 )    Other           (49,653,590 )     (14.76 )    Total depreciation on swap contracts           (89,659,294 )     (26.65 )                             Total Energy Fair Value         $ 35,638,874      10.59 %                Percentages are based on Members' Capital unless otherwise indicated.    See accompanying notes to financial statements.  F-25     SB AAA Master Fund LLCStatements of Income and Expensesfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Income:                        Net gains (losses) on trading of commodity interests:                        Realized gains (losses) on closed positions  $ 75,334,314    $ 98,726,739    $                (89,228,388 )    Change in unrealized gains on open positions    366,489,747      28,044,756      12,929,224          441,824,061      126,771,495      (76,299,164 )    Interest income    13,332,089      3,078,611      2,459,477          455,156,150      129,850,106      (73,839,687 )                             Expenses:                        Brokerage commissions including clearing fees of $1,569,668 $1,255,894 and $2,041,075, respectively    13,333,992      9,941,386      14,015,096     Professional fees    107,937      68,096      210,070          13,441,929      10,009,482      14,225,166     Net income (loss)  $ 441,714,221    $ 119,840,624    $                (88,064,853 )    Net income (loss) per Unit of Member Interest (Notes 1 and 6)  $ 2,112.50    $ 622.49    $                (400.99 )          See accompanying notes to financial statements.  F-26     SB AAA Master Fund LLCStatements of Changes in Members' Capitalfor the years ended December 31, 2005, 2004 and 2003                  Members'Capital   Members' Capital at December 31, 2002  $ 350,283,453     Net Loss    (88,064,853 )    Sale of 39,745.9253 Units of Member Interest    54,393,460     Redemptions of 44,880.6036 Units of Member Interest    (59,184,213 )    Distribution of Interest to feeder funds    (2,370,210 )    Members' Capital at December 31, 2003    255,057,637     Net Income    119,840,624     Sale of 20,423.0579 Units of Member Interest    32,767,686     Redemption of 46,082.5538 Units of Member Interest    (68,133,449 )    Distribution of Interest to feeder funds    (3,036,963 )    Members' Capital at December 31, 2004    336,495,535     Net Income    441,714,221     Sale of 99,379.4923 Units of Member Interest    288,276,627     Redemption of 37,958.4570 Units of Member Interest    (99,220,693 )    Distribution of Interest to feeder funds    (13,183,538 )    Members' Capital at December 31, 2005  $ 954,082,152          Net Asset Value Per Unit:                  2003:  $ 1,208.66     2004:  $ 1,815.32     2005:  $ 3,866.04           See accompanying notes to financial statements.  F-27     SB AAA Master Fund LLCStatements of Cash Flowsfor the years ended December 31, 2005, 2004 and 2003                          2005  2004  2003   Cash flows from operating activities:                        Net Income (loss)  $ 441,714,221    $ 119,840,624    $                (88,064,853 )    Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:                        Changes in operating assets and liabilities:                        (Increase) decrease in restricted cash    25,197,229      19,144,722      5,050,258     (Increase) decrease in net unrealized appreciation/depreciation on open futures positions    (227,521,327 )     (24,181,529 )     342,944     (Increase) decrease in unrealized appreciation on open swaps contracts    (100,085,449 )     (43,512,817 )     (12,082,141 )    (Increase) decrease in commodity options owned at fair value    (174,034,309 )     (8,387,536 )     40,621,872     (Increase) decrease in due from brokers    (11,885,831 )     (276,445 )     10,447,102     (Increase) decrease in interest receivable    (1,353,897 )     (300,785 )     124,570     Increase (decrease) in unrealized depreciation on open swap contracts    75,606,031      71,004,728      (29,815,656 )    Increase (decrease) in commodity options written, at fair value    62,505,653      (5,451,202 )     (9,920,180 )    Accrued expenses:                        Increase (decrease) in commissions    1,536,225      (7,834 )     (3,539,742 )    Increase (decrease) in professional fees    141,268      (57,625 )     39,508     Increase (decrease) in due to brokers    11,194,934      938,595      273,792     Increase (decrease) in due to CGM    (22,978 )     —      —     Net cash provided by (used in) operating activities    102,991,770      128,752,896      (86,522,526 )    Cash flows from financing activities:                        Proceeds from additions     288,276,627      32,767,686      54,393,460     Payments for redemptions     (99,220,693 )     (68,133,449 )     (59,184,213 )    Distribution of interest to feeder funds    (11,838,172 )     (2,737,057 )     (2,493,437 )    Net cash provided by (used in) financing activities    177,217,762      (38,102,820 )     (7,284,190 )    Net change in cash    280,209,532      90,650,076      (93,806,716 )    Unrestricted cash, at beginning of year    273,539,182      182,889,106      276,695,822     Unrestricted cash, at end of year  $ 553,748,714    $ 273,539,182    $ 182,889,106           See accompanying notes to financial statements.  F-28     SB AAA Master Fund LLCNotes to Financial Statements 1.    General: SB AAA Master Fund LLC (the "Master") is a limited liability company formed under the New York Limited Liability Company Law. The Master's purpose is to engage in the speculative trading of a diversified portfolio of commodity interests including commodity futures contracts and commodity options contracts on United States exchanges and certain foreign exchanges. The Master may trade commodity futures and option contracts of any kind but intends initially to trade solely energy and energy related products. In addition, the Master may enter into swap contracts. The Master is authorized to sell an unlimited number of units ("Units") of member interest. On September 1, 2001 (date Master commenced trading), Smith Barney AAA Energy Fund  L.P. ("AAA") allocated substantially all of its capital and Salomon Smith Barney Orion Futures Fund L.P. ("Orion") allocated a portion of its capital to the Master. With this cash, the Partnerships purchased 133,712.5867 Units of the Master with a fair value of $133,712,587 (including unrealized appreciation of $7,755,035). On July 1, 2002, Salomon Smith Barney AAA Energy Fund L.P. II ("AAA II") allocated substantially all of its capital to the Master and purchased 64,945.0387 Units with a fair value of $94,925,000. On November 1, 2003, Pinnacle Natural Resources, L.P. ("Pinnacle") allocated a portion of its capital to the Master and purchased 1,104.9839 Units with a fair value of $1,500,000. On October 1, 2005, Citigroup Diversified Futures Fund L.P. ("CitiDiv") allocated a portion of its capital to the Master and purchased 13,956.1190 Units with a fair value of $50,000,000. On July 1, 2005, CMF Institutional Futures Portfolio L.P. ("CMF Institutional") allocated a portion of its capital to the Master and purchased 2,386.2338 Units with a fair value of $7,000,000. On November 1, 2005, a private investor ("private investor") purchased 1,196.6879 Units with a fair value of $4,000,000. The Master was formed to permit commodity pools managed now or in the future by AAA Capital Management, Inc. (the "Advisor") using the Energy with Swaps Program, the Advisor's proprietary trading program, to invest together in one vehicle. The Master operates under a structure where its investors consist of AAA, AAA II, CitiDiv, CMF Institutional, private investor, Orion and Pinnacle Natural Resources, LP (each a "Member", collectively the "Funds") with 32.3%, 52.5%, 5.6%, 0.6%, 1.0%, 6.9% and 1.1% investments in the Master at December 31, 2005, respectively. Citigroup Managed Futures LLC acts as the managing member (the "Managing Member") of the Master. The Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the Managing Member. The Managing Member is wholly-owned by Citigroup Global Markets Holdings Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. All trading decisions for the Master are made by the Advisor. 2.    Accounting Policies:       a.  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 statements of financial condition at fair value on the last business day of the year, 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 Managing Member 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 year. Realized gains (losses) and changes in unrealized gains (losses) on open positions 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.   F-29     SB AAA Master Fund LLCNotes to Financial Statements       b.  The Master may purchase and write (sell) options. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Master writes an option, the premium received is recorded as a liability in the statements of financial condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the statements of financial condition and marked to market daily.         c.  All of the income and expenses and realized and unrealized gains and losses on trading of commodity interests are determined on each valuation day and allocated pro rata among the Funds at the time of such determination.         d.  Income taxes have not been provided as each partner of each of the members (the Funds) is individually liable for the taxes, if any, on their share of the Master's income and expenses.         e.  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 disclosure 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.         f.  Certain prior period amounts have been reclassified to conform to current year presentation.         3.  Agreements:         a.  Managing Member Agreement:   The Managing Member administers the business affairs of the Master.       b.  Management Agreement:   The Managing Member, on behalf of the Master has entered into a Management Agreement with the Advisor, a registered commodity trading advisor. The Advisor is affiliated with the Managing Member and CGM but is not responsible for the organization or operation of the Master. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement shall be borne by the Funds.       c.  Customer Agreement:   The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master's account in accordance with orders placed by the Advisor. The Master will pay CGM brokerage commissions at $18 per round turn for futures, options and swap transactions. The brokerage fee is inclusive of applicable floor brokerage. All exchange, clearing, user, give-up and National Futures Association fees are borne by the Master. All other fees (management fees, administrative fees, incentive fees and offering costs) shall be borne by the Funds. All of the Master's cash is deposited by CGM in segregated bank accounts, to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005 and 2004, the amount of cash held by the Master for margin requirements was $4,130,046 and $29,327,275, respectively. The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated by either party. All commissions in connection with the Customer Agreement shall be borne by the Funds. 4.    Trading Activities: The Master 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 Master's trading activities are shown in the statements of income and expenses. F-30     SB AAA Master Fund LLCNotes to Financial Statements All of the commodity interests owned by the Master are held for trading purposes. The average fair values for the years ended December 31, 2005 and 2004 based on a monthly calculation, were $199,595,694 and $37,750,006, respectively. The fair values of these commodity interests, including options thereon, if applicable, at December 31, 2005 and 2004 were $399,168,275 and $35,638,874, respectively. 5.    Distributions and Redemptions: Distributions of profits, if any, will be made at the sole discretion of the Managing Member and at such time as the Managing Member may decide. A member may require the Master to redeem their Units at their Net Asset Value as of the last day of the month. The Managing Member, at its sole discretion, may permit redemptions more frequently than monthly. There is no fee charged to members in connection with redemptions. 6.    Financial Highlights: Changes in the Net Asset Value per Unit of Member interest for the years ended December 31, 2005, 2004 and 2003 were as follows:                          2005  2004  2003   Net realized and unrealized gains (losses)*  $ 2,051.93    $ 607.73    $                (410.62 )    Interest income    62.49      16.06      11.23     Expenses**    (1.92 )     (1.30 )     (1.60 )    Increase (decrease) for year    2,112.50      622.49      (400.99 )    Distributions    (61.78 )     (15.83 )     (10.84 )    Net asset value per Unit, beginning of year    1,815.32      1,208.66      1,620.49     Net asset value per Unit, end of year  $ 3,866.04    $ 1,815.32    $ 1,208.66     *   Includes brokerage commissions                        ** Excludes brokerage commissions                        Ratio to average net assets:                        Net investment loss***    (0.0) %****     (2.4 )%     (4.1 )%    Operating expenses    2.3 %     3.5 %     5.0 %    Total return    116.4 %     51.5 %     (24.7 )%               *** Interest income less total expenses         **** Due to rounding   The above ratios may vary for individual investors based on the timing of capital transactions during the year. 7.    Financial Instrument Risks: In the normal course of its business, 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 and options, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, 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  F-31     SB AAA Master Fund LLCNotes to Financial Statements  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. Market risk is the potential for changes in the value of the financial instruments traded by the 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 Master's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Master has concentration risk because a significant counterparty or broker with respect to the Master's assets is CGM. As of December 31, 2005, the counterparties to the Master's swap contracts were Citibank, N.A., which is affiliated with the Master, Morgan Stanley Capital Group Inc., J.  Aron & Company, Hess Trading Company, LLC and BP Corporation North America, Inc. The Managing Member monitors and controls the 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 Master is subject. These monitoring systems allow the Managing Member 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 December 31, 2005. However, due to the nature of the Master's business, these instruments may not be held to maturity. F-32     Selected unaudited quarterly financial data for AAA Master for the years ended December 31, 2005 and December 31, 2004 is summarized below:                              For the period from October 1, 2005 to December 31, 2005  For the period from July 1, 2005 to September 30, 2005  For the period from April 1, 2005 to June 30, 2005  For the period from January 1, 2005 to March 31, 2005   Net realized and unrealized trading gains net of brokerage fees commissions and clearing fees plus interest income  $ 78,571,053    $ 139,754,428    $ 105,296,290    $ 118,510,387     Net Income  $ 78,379,858    $ 139,650,072    $ 105,228,428    $ 118,455,863     Increase in Net Asset Value per Unit  $ 304.38    $ 666.56    $ 535.54    $ 606.02                                       For the period from October 1, 2004 to December 31, 2004  For the period from July 1, 2004 to September 30, 2004  For the period from April 1, 2004 to June 30, 2004  For the period from January 1, 2004 to March 31, 2004   Net realized and unrealized trading gains net of brokerage commissions and clearing fees plus interest income  $ 23,925,828    $ 64,277,686    $ 10,197,155    $ 21,684,305     Net Income  $ 23,724,769    $ 64,261,824    $ 10,181,466    $ 21,672,565     Increase in Net Asset Value per Unit  $ 122.43    $ 338.61    $ 52.27    $ 109.18          F-33     To the Limited Partners ofCMF Willowbridge Argo Master Fund L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                       By:   Daniel R. McAuliffe, Jr.           Chief Financial Officer and Director          Citigroup Managed Futures LLC          General Partner,           CMF Willowbridge Argo Master Fund L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-34     Independent Auditor's Report To the Partners of    CMF Willowbridge Argo Master Fund L.P.: We have audited the accompanying statement of financial condition of CMF Willowbridge Argo Master Fund L.P. (the "Partnership"), including the condensed schedule of investments, as of December  31, 2005, and the related statements of income and expenses, changes in partners' capital, and cash flows for the period July 1, 2005 (commencement of trading operations) to December 31, 2005. These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with generally accepted auditing standards as established by the Auditing Standards Board (United States) and in accordance with the auditing standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of CMF Willowbridge Argo Master Fund L.P. as of December  31, 2005, and the results of its operations, changes in its partners' capital, and its cash flows for the period July 1, 2005 (commencement of trading operations) to December 31, 2005 in conformity with U.S. generally accepted accounting principles.     New York, New York March 13, 2006 F-35     CMF Willowbridge Argo Master Fund L.P.Statement of Financial ConditionDecember 31, 2005                  2005   Assets:          Equity in commodity futures trading account:          Cash (restricted $22,332,197) (Note 3c)  $ 158,877,095     Net unrealized appreciation on open futures positions    10,835,290          169,712,385                Interest receivable    444,643        $ 170,157,028                Liabilities and Partners' Capital:          Liabilities:          Accrued expenses:          Professional fees    30,334     Distribution payable (Note 5)    444,643          474,977                Partners' capital:          Partners' capital, 161,209.4049 Redeemable Units outstanding    169,682,051        $ 170,157,028                      See accompanying notes to financial statements.  F-36     CMF Willowbridge Argo Master Fund L.P.Condensed Schedule of InvestmentsDecember 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Grains  $                (138,175 )     (0.08 )%    Livestock    191,530      0.11     Metals    5,765,550      3.40     Interest Rates Non-U.S.    646,214      0.38     Interest Rates U.S.    624,746      0.37     Softs    3,368,905      1.99     Total futures contracts purchased    10,458,770      6.17     Futures Contracts Sold                 Currencies    230,251      0.13     Energy    (346,085 )     (0.20 )    Grains    187,044      0.11     Interest Rates Non-U.S.    305,310      0.18     Total futures contracts sold    376,520      0.22     Total fair value  $ 10,835,290      6.39 %         Percentages are based on Partners' capital unless otherwise indicated.  See accompanying notes to financial statements.  F-37     CMF Willowbridge Argo Master Fund L.P.Statement of Income and Expensesfor the period July 1, 2005(commencement of trading operations)to December 31, 2005                  2005   Income:          Net gains (losses) on trading of commodity interests:          Realized gains on closed positions and foreign currencies  $ 13,894,169     Change in unrealized losses on open positions    (5,407,459 )         8,486,710     Interest income (Note 3c)    2,289,314          10,776,024     Expenses:          Clearing fees    340,941     Professional fees    30,334          371,275     Net income  $ 10,404,749     Net income per Redeemable Unit of Limited Partnership Interest (Notes 1 and 6)  $ 66.81           See accompanying notes to financial statements.  F-38     CMF Willowbridge Argo Master Fund L.P.Statement of Changes in Partners' Capitalfor the period from July 1, 2005 (commencement of trading operations)to December 31, 2005                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at July 5, 2005 representing 159,565.2554 Redeemable Units  $ 159,565,255     Net income    10,404,749     Sale of 17,026.7433 Redeemable Units of Limited Partnership Interest    18,543,000     Redemption of 15,382.5938 Redeemable Units of Limited Partnership Interest    (16,541,639 )    Distribution of Interest to feeder funds    (2,289,314 )    Partners' capital at December 31, 2005  $ 169,682,051                Net asset value per Redeemable Unit:                                    2005:  $1,052.56         See accompanying notes to financial statements.  F-39     CMF Willowbridge Argo Master Fund L.P.Statement of Cash Flowsfor the period July 1, 2005(commencement of trading operations) to December 31, 2005                  2005   Cash flows from operating activities:          Net income  $ 10,404,749     Adjustments to reconcile net income to net cash provided by (used in) operating activities:          Changes in operating assets and liabilities:          (Increase) decrease in restricted cash    (22,332,197 )    (Increase) decrease in net unrealized appreciation on open futures positions    5,407,459     (Increase) decrease in interest receivable    (444,643 )               Accrued expenses:          Increase (decrease) in professional fees    30,334     Net cash provided by (used in) operating activities    (6,934,298 )               Cash flows from financing activities:          Proceeds from additions     161,865,506     Payments for redemptions    (16,541,639 )    Distribution of interest to feeder funds    (1,844,671 )    Net cash provided by (used in) financing activities    143,479,196                Net change in cash  $ 136,544,898     Unrestricted cash, at beginning of period    —     Unrestricted cash, at end of period  $ 136,544,898     Non cash financing activities:          Contribution of open commodity futures and forwards positions  $ 16,242,749           See accompanying notes to financial statements.  F-40     CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements 1.    Partnership Organization: CMF Willowbridge Argo Master Fund L.P. (the "Master") is a limited partnership which was organized under the partnership laws of the State of New York to engage in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options and forward contracts. The commodity interests that are traded by the Master are volatile and involve a high degree of market risk. The Master is authorized to sell an unlimited number of units ("Units") of Limited Partnership Interest. On July 1, 2005, (date Master commenced trading operations), Smith Barney Diversified Futures Fund L.P. ("Diversified"), Smith Barney Diversified Futures Fund L.P. II ("Diversified II"), Salomon Smith Barney Orion Futures Fund L.P. ("Orion"), CMF Institutional Futures Fund ("CMF Institutional") and Citigroup Diversified Futures Fund L.P. ("Citigroup Diversified") allocated a portion of their capital to the Master. Diversified purchased 12,259.349 Units of the Master with cash equal to $11,118,119 and a contribution of open commodity futures and forwards positions with a fair value of $1,141,230, Diversified II purchased 10,980.9796 Units of the Master with cash equal to $9,895,326 and a contribution of open commodity futures and forwards positions of $1,085,654, Orion purchased 33,529.1186 Units of the Master with cash equal to $29,866,194 and a contribution of open commodity futures and forwards positions of $3,662,925, CMF Institutional Invested $7,000,000 of its' initial capital and purchased 7,000.0000 Units of the Master and Citigroup Diversified purchased 95,795.8082 Units of the Master with cash equal to $85,442,868 and a contribution of open commodity futures and forwards positions with a fair value of $10,352,940. The Master was formed to permit commodity pools managed now and in the future by Willowbridge Associates Inc. (The "Advisor") using the Argo Program, the Advisor's proprietary trading program, to invest together in one trading vehicle. The Master operates under a structure where its investors consist of Diversified, Diversified II, Orion, Citigroup Diversified and CMF Institutional (each a "Feeder", collectively the "Funds") with 7.4%, 6.6%, 25.9% 56.7% and 3.4% investments in the Master at December 31, 2005, respectively. Citigroup Managed Futures LLC acts as the general partner (the "General Partner") of the Master. The Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner. The General Partner is wholly-owned by Citigroup Global Markets Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. Effective as of December 31, 2005, all trading decisions for the Master are made by the Advisor. 2.    Accounting Policies:       a.  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 year, which represents market value for those commodity interests for which market quotations are readily available. 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 year. Realized gains (losses) and changes in unrealized gains (losses) on open positions 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.         b.  All of the income and expenses and unrealized gains and losses on trading of commodity interests are determined on each valuation day and are allocated pro rata among the feeder funds at the time of such determination.         c.  Income taxes have not been provided as each Partner is individually liable for the taxes, if any, on their share of the Master's income and expenses.   F-41     CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements       d.  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, disclosure 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.   3.    Agreements:       a.  Limited Partnership Agreement:           The General Partner administers the business and affairs of the Partnership including selecting one or more advisors to make trading decisions for the Partnership.           b.  Management Agreement:           The General Partner, on behalf of the Master, has entered into a Management Agreement with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the General Partner or CGM and is not responsible for the organization or operation of the Partnership. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement are borne by the Funds.           c.  Customer Agreement:           The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master's account in accordance with orders placed by the Advisor. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master. All other fees including CGM's direct brokerage commission shall be borne by the Feeder Funds. All of the Master's assets are deposited in the Master's account at CGM. The Master's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005, the amount of cash held by the Master for margin requirements was $22,332,197. The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.   4.    Trading Activities: The Master was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The results of the Master's trading activities are shown in the statements of income and expenses. All of the commodity interests owned by the Master are held for trading purposes. The average fair value during the period ended December 31, 2005 based on a monthly calculation, was $16,087,092. 5.    Distributions and Redemptions: Distributions of profits, if any, will be made at the sole discretion of the General Partner and at such times as the General Partner may decide. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of each month. The General Partner at its sole discretion, may permit redemptions more frequently than monthly, there is no fee charged in connection with redemptions. F-42     CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements 6.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the period from July 1, 2005 (commencement of trading operations) to December  31, 2005 was as follows:                  2005   Net realized and unrealized gains (losses)*  $ 52.75     Interest income    14.25     Expenses**    (0.19 )    Increase (decrease) for the period    66.81     Distributions    (14.25 )    Net asset value per Redeemable Unit, beginning of period    1,000.00     Net asset value per Redeemable Unit, end of period  $ 1,052.56                *  Includes clearing fees         **  Excludes clearing fees                 Ratios to Average Net Assets:****          Net investment income***    2.0 %    Operating expenses    0.4 %    Total return    6.7 %               ***  Interest income less total expenses         ****  Annualized   The above ratios may vary for individual investors based on the timing of capital transactions during the period. 7.    Financial Instrument Risks: In the normal course of its business, 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 and options, 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 associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the 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  F-43     CMF Willowbridge Argo Master Fund L.P. Notes to Financial Statements  to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Master's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Master has credit risk and concentration risk because the sole counterparty or broker with respect to the Master's assets is CGM. The General Partner monitors and controls the 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 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 December 31, 2005. However, due to the nature of the Master's business, these instruments may not be held to maturity. F-44     Selected unaudited quarterly financial data for Willowbridge Master for the year ended December  31, 2005 is summarized below.                      For the period fromOctober 1, 2005 toDecember 31, 2005  For the period fromJuly 1, 2005 (Commencementof trading operations) toSeptember 30, 2005   Net realized and unrealized tradinggains net of brokerage commissions and clearing fees including interest income  $ 1,894,970    $ 8,540,113     Net Income  $ 1,879,636    $ 8,525,113     Increase in Net Asset Value per Redeemable Unit  $ 10.17    $ 56.64          F-45     To the Limited Partners ofCMF Winton Master L.P. To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.                       By:   Daniel R. McAuliffe, Jr.           Chief Financial Officer and Director          Citigroup Managed Futures LLC          General Partner,           CMF Winton Master L.P.        Citigroup Managed Futures LLC 731 Lexington Avenue25th FloorNew York, N.Y. 10022212-559-2011    F-46     Independent Auditor's Report To the Partners ofCMF Winton Master L.P.: We have audited the accompanying statements of financial condition of CMF Winton Master L.P. (the "Partnership"), including the condensed schedules of investments, as of December  31, 2005, and the related statements of income and expenses, changes in partners' capital, and cash flows for the year ended December 31, 2005 and for the period November 1, 2004 (commencement of trading operations) to December 31, 2004. These financial statements are the responsibility of the Partnership's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with generally accepted auditing standards as established by the Auditing Standards Board (United States) and in accordance with the auditing standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of CMF Winton Master L.P. as of December  31, 2005, and the results of its operations, changes in its partners' capital, and its cash flows for the year ended December 31, 2005 and for the period November 1, 2004 (commencement of trading operations) to December 31, 2004 in conformity with U.S. generally accepted accounting principles.     New York, New YorkMarch 13, 2006 F-47     CMF Winton Master L.P.Statements of Financial ConditionDecember 31, 2005 and 2004                      2005  2004   Assets:                 Equity in commodity futures trading account:                 Cash (restricted $41,364,253 and $26,264,586 in 2005 and 2004, respectively) (Note 3c)  $ 173,936,134    $ 113,508,857     Net unrealized appreciation on open futures positions    1,044,808      979,539     Unrealized appreciation on open forward contracts    6,659,732      1,575,476          181,640,674      116,063,872                       Interest receivable    490,049      166,197        $ 182,130,723    $ 116,230,069                       Liabilities and Partners' Capital:                 Liabilities:                 Unrealized depreciation on open forward contracts  $ 2,976,793    $ 926,543     Accrued expenses:                 Professional fees    57,292      12,000     Distribution payable (Note 5)    490,049      166,197          3,524,134      1,104,740                       Partners' Capital:                 Partners' Capital, 150,355.1221 and 107,012.8888 Redeemable Units outstanding in 2005 and 2004, respectively    178,606,589      115,125,329        $ 182,130,723    $ 116,230,069                             See accompanying notes to financial statements.  F-48     CMF Winton Master L.P.Condensed Schedule of Investments December 31, 2005                      Fair Value  % of Partners'Capital   Futures Contracts Purchased                 Currencies  $                (532,732 )     (0.30 )%    Indices    (689,791 )     (0.39 )    Interest Rates U.S.    (63,103 )     (0.03 )    Interest Rates Non-U.S.    2,264,869      1.27     Livestock    274,805      0.15     Lumber    (4,213 )     (0.00) *    Metals    464,600      0.26     Softs    53,290      0.03     Total futures contracts purchased    1,767,725      0.99                                                           Futures Contracts Sold                 Currencies    (319,700 )     (0.18 )    Energy    (613,409 )     (0.34 )    Grains    (643,317 )     (0.36 )    Interest Rates U.S.    (36,304 )     (0.02 )    Interest Rates Non-U.S.     1,099,890      0.62     Livestock    3,400      0.00 *    Softs    (213,477 )     (0.12 )    Total futures contracts sold    (722,917 )     (0.40 )                                        Unrealized Appreciation on Forward Contracts                 Metals    6,659,732      3.73     Total unrealized appreciation on forward contracts    6,659,732      3.73                                         Unrealized Depreciation on Forward Contracts                 Metals    (2,976,793 )     (1.67 )    Total unrealized depreciation on forward contracts    (2,976,793 )     (1.67 )                      Total Fair Value  $  4,727,747      2.65 %         Percentages are based on Partners' capital unless otherwise indicated        *   Due to rounding          See accompanying notes to financial statements   F-49     CMF Winton Master L.P.Condensed Schedule of InvestmentsDecember 31, 2004                      Fair Value  % of PartnersCapital   Futures Contracts Purchased                 Currencies  $ 623,634      0.54 %    Indices    1,541,657      1.34     Interest Rates U.S.    (294,303 )     (0.27 )    Interest Rates Non-U.S.    (42,376 )     (0.04 )    Livestock    (97,350 )     (0.08 )    Lumber    48,114      0.04     Metals    (524,982 )     (0.46 )    Softs    (172,955 )     (0.15 )    Total futures contracts purchased    1,081,439      0.92     Futures Contracts Sold                 Currencies    17,239      0.02     Energy    160,945      0.14     Grains    (287,861 )     (0.25 )    Interest Rates U.S.    (21,841 )     (0.02 )    Interest Rates Non-U.S.    (10,707 )     (0.00) *    Metals    69,925      0.06     Softs    (29,600 )     (0.03 )    Total futures contracts sold    (101,900 )     (0.08 )    Unrealized Appreciation on Forward Contracts                 Metals    1,575,476      1.37     Unrealized Depreciation on Forward Contracts                 Metals    (926,543 )     (0.80 )    Total Fair Value  $ 1,628,472      1.41 %         Percentages are based on Partners' capital unless otherwise indicated.  * Due to rounding   See accompanying notes to financial statements.  F-50     CMF Winton Master L.P.Statements of Income and Expensesfor the year ended December 31, 2005 and the period November 1, 2004(commencement of trading operations)to December 31, 2004                      2005  2004   Income:                 Net gains (losses) on trading of commodity interests:                 Realized gains on closed positions and foreign currencies  $ 13,732,305    $ 4,622,324     Net unrealized gains on open positions    3,099,275      (969,894 )         16,831,580      3,652,430     Interest income    4,288,087      244,406          21,119,667      3,896,836     Expenses:                 Clearing fees    1,166,831      152,738     Professional fees    56,062      12,000          1,222,893      164,738     Net income  $ 19,896,774    $ 3,732,098     Net income per Unit of Limited Partnership Interest (Notes 1 and 6)  $ 142.03    $ 78.85           See accompanying notes to financial statements.  F-51     CMF Winton Master L.P.Statements of Changes in Partners' Capitalfor the year ended December 31, 2005 and the period from November 1, 2004 (commencement of trading operations)to December 31, 2004                  LimitedPartners'Capital   Initial capital contribution from Limited Partners at November 1, 2004 representing 52,444.0345 Units  $ 52,444,034     Net income    3,732,098     Sale of 56,367.5633 Units of Limited Partners Interest    61,144,754     Redemption of 1,798.7090 Units of Limited Partners Interest    (1,951,151 )    Distribution of Interest to feeder funds    (244,406 )    Partners' capital at December 31, 2004    115,125,329     Net income     19,896,774     Sale of 100,687.9895 Units of Limited Partners' Interest     114,746,235     Redemption of 57,345.7562 Units of Limited Partners' Interest     (66,873,662 )    Distribution of Interest to Feeder Funds     (4,288,087 )    Partners' capital at December 31, 2005  $ 178,606,589     Net asset value per Unit:                                    2004  $1,075.81      2005  $1,187.90         See accompanying notes to financial statements.  F-52     CMF Winton Master L.P.Statements of Cash Flowsfor the year ended December 31, 2005 and the period November 1, 2004(commencement of trading operations) to December 31, 2004                      2005  2004   Cash flows from operating activities:                 Net income  $ 19,896,774    $ 3,732,098     Adjustments to reconcile net income to net cash provided by (used in) operating activities:                 Changes in operating assets and liabilities:                 (Increase) decrease in restricted cash    (15,099,667 )     (26,264,586 )    (Increase) decrease in net unrealized appreciation on open futures positions    (65,269 )     2,089,692     (Increase) decrease in unrealized appreciation on open forward contracts    (5,084,256 )     (1,336,229 )    (Increase) decrease in interest receivable    (323,852 )     (166,197 )                      Increase (decrease) in unrealized depreciation on open forward contracts    2,050,250      216,431     Accrued expenses:                 Increase (decrease) in professional fees    45,292      12,000     Net cash provided by (used in) operating activities    1,419,272      (21,716,791 )                      Cash flows from financing activities:                 Proceeds from additions     114,746,235      110,990,422     Payments for redemptions    (66,873,662 )     (1,951,151 )    Distribution of interest to feeder funds    (3,964,235 )     (78,209 )    Net cash provided by (used in) financing activities    43,908,338      108,961,062                       Net change in cash    45,327,610      87,244,271     Unrestricted cash, at beginning of period    87,244,271      —     Unrestricted cash, at end of period  $ 132,571,881    $ 87,244,271     Non cash financing activities:                 Contribution of open commodity futures and forwards positions  $ —    $ 2,598,366           See accompanying notes to financial statements.  F-53     CMF Winton Master L.P. Notes to Financial Statements 1.    Partnership Organization: CMF Winton Master L.P. (the "Master") is a limited partnership which was organized under the partnership laws of the State of New York to engage in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options and forward contracts. The commodity interests that are traded by the Master are volatile and involve a high degree of market risk. The Master is authorized to sell an unlimited number of units ("Units") of Limited Partnership Interest. On November 1, 2004 (date Master commenced trading), CMF Winton Feeder I L.P. ("Winton Feeder") allocated substantially all of its capital and Smith Barney Diversified Futures Fund L.P. ("Diversified") and Salomon Smith Barney Orion Futures Fund L.P. ("Orion") allocated a portion of their capital to the Master. Winton Feeder purchased 2,000.0000 Units of the Master with cash equal to $2,000,000. Orion purchased 35,389.8399 Units of the Master with cash equal to $33,594,083 and a contribution of open commodity futures and forward positions with a fair value of $1,795,757. Diversified purchased 15,054.1946 Units of the Master with cash equal to $14,251,586 and a contribution of open commodity futures and forward positions with a fair value of $802,609. On December 1, 2004, Citigroup Diversified Futures Fund L.P. ("Citigroup Diversified") allocated a portion of its capital to the Master and purchased 52,981.2908 Units with cash equal to $57,471,493. On July 1, 2005 CMF Institutional Futures Portfolio L.P. ("CMF Institutional") allocated a portion of its capital to the Master and purchased 5,741.8230 Units of the Master with cash equal to $7,000,000. The Master was formed to permit commodity pools managed now or in the future by Winton Capital Management Limited (the "Advisor") using the Diversified program, the Advisor's proprietary trading program, to invest together in one vehicle. The Master's investors consist of Winton Feeder, Orion, Diversified, Citigroup Diversified and CMF Institutional (each a "Feeder", collectively the "Funds") with 7.7%, 30.5%, 8.7%, 50.4% and 2.7% ownership of the Master at December 31, 2005, respectively. Winton Feeder, Orion, Diversified and Citigroup Diversified owned 3.1%, 33.4%, 14.0% and 49.5% of the Master at December 31, 2004, respectively. Citigroup Managed Futures LLC acts as the general partner (the "General Partner") of the Master. The Master's commodity broker is Citigroup Global Markets Inc. ("CGM"). CGM is an affiliate of the General Partner. The General Partner is wholly-owned by Citigroup Global Markets Inc. ("CGMHI"), which is the sole owner of CGM. CGMHI is a wholly-owned subsidiary of Citigroup Inc. 2.    Accounting Policies:       a.  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 year, which represents market value for those commodity interests for which market quotations are readily available. 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 year. Realized gains (losses) and changes in unrealized gains (losses) on open positions 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.         b.  All of the income and expenses and unrealized gains and losses on trading of commodity interests are determined on each valuation day and are allocated pro rata among the Funds at the time of such determination. Income taxes have not been provided as each Partner is individually liable for the taxes, if any, on their share of the Master's income and expenses.   F-54     CMF Winton Master L.P. Notes to Financial Statements       c.  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, disclosure 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.         d.  Certain prior period amounts have been reclassified to conform to current year presentation.   3.    Agreements:       a.  Limited Partnership Agreement:           The General Partner administers the business and affairs of the Partnership including selecting one or more advisors to make trading decisions for the Partnership.           b.  Management Agreement:           The General Partner, on behalf of the Master, has entered into a Management Agreement with the Advisor, a registered commodity trading advisor. The Advisor is not affiliated with the General Partner or CGM and is not responsible for the organization or operation of the Partnership. The Management Agreement provides that the Advisor has sole discretion in determining the investment of the assets of the Master. All management fees in connection with the Management Agreement are borne by the Feeder Funds.           c.  Customer Agreement:           The Master has entered into a Customer Agreement with CGM whereby CGM provides services which include, among other things, the execution of transactions for the Master's account in accordance with orders placed by the Advisor. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees are borne by the Master. All other fees including CGM's direct brokerage commission shall be borne by the Feeder Funds. All of the Master's assets are deposited in the Master's account at CGM. The Master's cash is deposited by CGM in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. At December 31, 2005 and 2004, the amount of cash held by the Master for margin requirements was $41,364,253 and $26,264,586, respectively. The Customer Agreement between the Master and CGM gives the Master the legal right to net unrealized gains and losses. The Customer Agreement may be terminated upon notice by either party.   4.    Trading Activities: The Master was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The results of the Master's trading activities are shown in the statements of income and expenses. All of the commodity interests owned by the Master are held for trading purposes. The average fair value for the year ended December 31, 2005 and during the period ended December 31, 2004 based on a monthly calculation, was $6,930,693 and $3,595,835, respectively. 5.    Distributions and Redemptions: Distributions of profits, if any, will be made at the sole discretion of the General Partner and at such times as the General Partner may decide. A limited partner may require the Partnership to redeem their Redeemable Units at their Net Asset Value as of the last day of each month. The General Partner at its sole discretion, may permit redemptions more frequently than monthly, there is no fee charged in connection with redemptions. F-55     CMF Winton Master L.P. Notes to Financial Statements 6.    Financial Highlights: Changes in the Net Asset Value per Redeemable Unit of Partnership interest for the year ended December 31, 2005 and the period from November 1, 2004 (commencement of trading operations) to December  31, 2004 was as follows:                      2005  2004   Net realized and unrealized gains*  $ 112.51    $ 75.92     Interest income    29.94      3.04     Expenses**    (0.42 )     (0.11 )    Increase for the period    142.03      78.85     Distributions    (29.94 )     (3.04 )    Net Asset Value Redeemable per Unit, beginning of period    1,075.81      1,000.00     Net Asset Value Redeemable per Unit, end of period  $ 1,187.90    $ 1,075.81                *  Includes clearing fees         **  Excludes clearing fees                     Ratios to Average Net Assets:                 Net investment income***    1.9 %     0.6 %****    Operating expenses    0.8 %     1.3 %****    Total return    13.2 %     7.9 %               ***  Interest income less total expenses         ****  Annualized.   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, expense and average net assets. 7.    Financial Instrument Risks: In the normal course of its business, 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 and options, 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 associated with exchange traded instruments because of the greater risk of default by the counterparty to an OTC contract. Market risk is the potential for changes in the value of the financial instruments traded by the 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  F-56     CMF Winton Master L.P. Notes to Financial Statements  to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Master's risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of financial condition and not represented by the contract or notional amounts of the instruments. The Master has credit risk and concentration risk because the sole counterparty or broker with respect to the Master's assets is CGM. The General Partner monitors and controls the 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 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 December 31, 2005. However, due to the nature of the Master's business, these instruments may not be held to maturity. F-57     CMF Winton Master L.P. Notes to Financial Statements Selected unaudited quarterly financial data for the Winton Master for the years ended December 31, 2005 and 2004 are summarized below:                              For the period fromOctober 1, 2005 to December 31, 2005  For the period from July 1, 2005 toSeptember 30, 2005  For the period fromApril 1, 2005 toJune 30, 2005  For the period fromJanuary 1, 2005 toMarch 31, 2005   Net realized and unrealized trading gains (losses) net of brokerage commissions and clearing fees plus interest income  $ 134,872    $                (1,993,310 )   $ 10,861,316    $ 10,949,958     Net Income (loss)  $ 131,646    $                (2,011,115 )   $ 10,843,704    $ 10,932,539     Increase (decrease) in Net Asset                               Value per Unit  $                (0.32 )   $                (13.00 )   $ 78.31    $ 77.04                                       For the period fromNovember 1, 2004(commencement of trading operations) to December 31, 2004            Net realized and unrealized trading gains net of brokerage commissions and clearing fees plus interest income  $ 3,744,098                          Net Income   $ 3,732,098                          Increase in Net AssetValue per Unit  $ 78.85                               F-58
None Item 9A.    Controls and Procedures.  Based on their evaluation of the Partnership's disclosure controls and procedures as of year end, 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 over financial reporting or in other factors that could significantly affect such controls subsequent to the date of their evaluation as of year end. Management's report on internal control over financial reporting and KPMG LLP's related opinion are included in the Partnership's annual financial statements under "Item 8. Financial Statements and Supplementary Data." Item 9B:    Other Information The Partnership previously filed report(s) as an "accelerated filer" (as defined in Rule 12b-2 of the Exchange Act). The Partnership has been advised by SEC Staff that it is not an accelerated filer and that it is not, therefore, required to file as such. PART III Item 10.    Directors and Executive Officers of the Registrant.  The Partnership has no officers or directors and its affairs are managed by its General Partner, Citigroup Managed Futures LLC. Investment decisions are made by the Advisors, AAA Capital Management, Inc. Willowbridge Associates Inc. and Winton Capital Management. The Partnership has not adopted a code of ethics that applies to officers because it has no officers. Item 11.    Executive Compensation.  The Partnership has no directors or officers. Its affairs are managed by Citigroup Managed Futures Management LLC, its General Partner, which receives compensation for its services, as set forth under "Item 1. Business." CGM, an affiliate of the General Partner, is the commodity broker for the Partnership and receives brokerage commissions for such services, as described under "Item 1. Business." During the year ended December 31, 2005, CGM earned $3,620,999 in brokerage commissions and clearing fees from the Partnership. The Advisors earned $2,734,652 in management fees during 2005. The General Partner earned $744,000 in administrative fees during 2005. The Advisors earned $8,440,695 in incentive fees during 2005. Item 12.    Security Ownership of Certain Beneficial Owners and Management.  (a)    Security ownership of certain beneficial owners. The Partnership knows of no person who beneficially owns more than five percent (5%) of the Redeemable Units outstanding. (b)    Security ownership of management. Under the terms of the Limited Partnership Agreement, the Partnerships affairs are managed by the General Partner. The General Partner owns Units of general partnership interest equivalent to 865.3542 Units of Limited Partnership Interest (0.8%) as of December 31, 2005. Principals who own Redeemable Units of the Partnership: * David J. Vogel 17.9921 Redeemable Units * Maureen O'Toole 21.6689 Redeemable Units * Jerry Pascucci 10.7954 Redeemable Units 25     (c)    Changes in control. None. Item 13.    Certain Relationships and Related Transactions.  Citigroup Global Markets Inc. and Citigroup Managed Futures LLC would be considered promoters for purposes of item 404(d) of Regulation S-K. The nature and the amounts of compensation each promoter will receive from the Partnership are set forth under "Item 1. Business.", "Item 8. Financial Statements and Supplementary Data." and "Item 11. Executive Compensation." Item 14.    Principal Accountant Fees and Services  (1)    Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP for the audit of the Partnership's annual financial statements, review of financial statements included in the Partnership's Forms 10-Q and 10-K and other services normally provided in connection with regulatory filings or engagements are as follows: 2005 $90,000 2004            $44,560 (2)    Audit-Related Fees. None (3)    Tax Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP for tax compliance and tax advice given in the preparation of the Partnership's Schedule K1s, the preparation of the Partnership's Form 1065 and preparation of all State Tax Returns are as follows: 2005            $7,606 2004            $5,136 (4)    All Other Fees. None. (5)    Not Applicable. (6)    Not Applicable. 26     PART IV Item 15.    Exhibits and Financial Statement Schedules.       (a) (1)  Financial Statements: Statements of Financial Condition at December 31, 2005 and 2004.           Statements of Income and Expenses for the years ended December 31, 2005, 2004 and 2003.           Statements of Changes in Partners' Capital for the years ended December 31, 2005, 2004 and 2003.           Statements of Cash Flows for the years ended December 31, 2005, 2004 and 2003.           Notes to Financial Statements         (2)  Exhibits:           3.1 – Certificate of Limited Partnership (filed as Exhibit 3.1 to the Partnership Form 10) (previously filed).           3.2 – Certificate of Amendment to the Certificate of Limited Partnership (filed as Exhibit 3.2 to the Partnership Form10) (previously filed).           3.3 – Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.3 to the Partnership Form 10) (previously filed).           10.1 – Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and AAA Capital Management, Inc. (filed as Exhibit 10.1 to the Partnership Form 10) (previously filed).           10.2 – Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and Beacon Management Corporation (filed as Exhibit 10.2 to the Partnership Form 10) (previously filed).           10.3 – Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit 10.3 to the Partnership Form 10) (previously filed).           10.4 – Amended and Restated Customer Agreement between the Partnership and Salomon Smith Barney Inc. (the predecessor to CGM) (filed as Exhibit 10.4 to the Partnership Form 10) (previously filed).           10.5 – Amended and Restated Agency Agreement between the Partnership and Salomon Smith Barney Inc. (the predecessor to CGM) (filed as Exhibit 10.5 to the Partnership Form 10) (previously filed).           10.6 – Form of Subscription Agreement (filed as Exhibit 10.6 to the Partnership Form 10) (previously filed).           10.7 – Amendment to the Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and AAA Capital Management, Inc. (filed as Exhibit 10.7 to the Partnership Form 10) (previously filed).           10.8 – Amendment to the Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and Beacon Management Corporation (filed as Exhibit 10.8 to the Partnership Form 10) (previously filed).           10.9 – Amendment to the Management Agreement among the Partnership, the General Partner, SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit 10.9 to the Partnership Form 10) (previously filed).           10.10 – Letter from General Partner to AAA Capital Management, Inc. extending Management Agreement for 2000 (filed as Exhibit 10.10 to the Partnership Form 10) (previously filed).           10.11 – Letter from General Partner to Beacon Management Corporation extending Management Agreement for 2000 (filed as Exhibit 10.11 to the Partnership Form 10) (previously filed).   27             10.12 – Letter from General Partner to AAA Capital Management, Inc. extending Management Agreement for 2001 (filed as Exhibit 10.12 to the Partnership Form 10) (previously filed).           10.13 – Letter from General Partner to Beacon Management Corporation extending Management Agreement for 2001 (filed as Exhibit 10.13 to the Partnership Form 10) (previously filed).           10.14 – Letter from General Partner to Willowbridge Associates, Inc. extending Management Agreement for 2001 (filed as Exhibit 10.14 to the Partnership Form 10) (previously filed).           10.15 – Letter from General Partner to AAA Capital Management, Inc. extending Management Agreement for 2002 (filed as Exhibit 10.15 to the Partnership Form 10) (previously filed).           10.16 – Letter from General Partner to Beacon Management Corporation extending Management Agreement for 2002 (filed as Exhibit 10.16 to the Partnership Form 10) (previously filed).           10.17 – Letter from General Partner to Willowbridge Associates, Inc. extending Management Agreement for 2002 (filed as Exhibit 10.17 to the Partnership Form 10) (previously filed).           10.18 – Letters from the General Partner to Willowbridge Associates, Inc., and AAA Capital Management, Inc. extending the Management Agreement for 2003 (previously filed).           10.19 – Management Agreement among the Partnership, the General Partner and Winton Capital Management Limited (previously filed).           10.20 – Letter from the General Partner to Beacon Management Corporation terminating the Management Agreement (previously filed).           10.21 – Letters from the General Partner to Willowbridge Associates, Inc., AAA Capital Management Inc. and Winton Capital Management Limited extending the Management Agreement for 2004 (previously filed).           10.22 – Letters from the General Partner to Willowbridge Associates, Inc., AAA Capital Management Inc. and Winton Capital Management Limited extending the Management Agreement for 2005 (filed herein).           16.1 – Letter from PricewaterhouseCoopers LLP (previously filed).   The exhibits required to be filed by Item 601 of Regulations S-K are incorporated herein by reference.         31.1 – Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director).           31.2 – Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director).           32.1 – Section 1350 Certification (Certification of President and Director).           32.2 – Section 1350 Certification (Certification of Chief Financial Officer and Director).   28     Supplemental Information To Be Furnished With Reports Filed Pursuant To Section 15(d) Of The Act by Registrants Which Have Not Registered Securities Pursuant To Section 12 Of the Act. Annual Report to Limited Partners No proxy material has been sent to Limited Partners. 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 annual report on Form 10-K to be signed on its behalf by the undersigned, thereunto duly authorized on the 28th day of March 2006. Salomon Smith Barney Orion Futures Fund L.P. By:    /s/ Citigroup Managed Futures LLC            (General Partner) By:    /s/ David J. Vogel             David J. Vogel, President & Director Pursuant to the requirements of the Securities Exchange Act of 1934, this annual report on Form 10-K has been signed below by the following persons on behalf of the Registrant in the capacities and on the date indicated.               /s/ David J. Vogel  /s/ Shelley Ullman   David J. Vogel  Shelley Ullman   President and Director  Director   /s/ Maureen O'Toole  /s/ Jennifer Magro   Maureen O'Toole  Jennifer Magro   Director  Director   /s/ Daniel R. McAuliffe, Jr.  /s/ Jerry Pascucci   Daniel R. McAuliffe, Jr.  Jerry Pascucci   Chief Financial Officer and  Director   Director         /s/ Ihor Rakowsky      Ihor Rakowsky      Secretary and Director        30         GRAPHIC 2 ebox.gif GRAPHIC  begin 644 ebox.gif M1TE&.#EA"@`*`(```````/___R'Y!```````+``````*``H```(1A(\0RVO= - -'G1J!CDQU+'FE!0`.S\_ ` end    GRAPHIC 3 html_96344sig1.jpg GRAPHIC  begin 644 html_96344sig1.jpg M_]C_X``02D9)1@`!`0$!(`$@``#__@`V($EM86=E(&=E;F5R871E9"!B>2!' 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We are extending the term of the Management Agreements through June 30,  2006 and all other provisions of the Management Agreements will remain unchanged.         •  Salomon Smith Barney Orion Futures Fund L.P.           •  Smith Barney Diversified Futures Fund L.P.           •  Smith Barney Diversified Futures Fund L.P. II           •  Citigroup Diversified Futures Fund L.P.           •  Alera 100   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr.  Daniel  McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours, CITIGROUP MANAGED FUTURES LLC       By:   /s/ Daniel R. McAuliffe, Jr.             Daniel R. McAuliffe, Jr.Chief Financial Officer & Director         By:  /s/ Steve R. Crane                               Print Name:    Steve R. Crane                     DRMcA/sr     Exhibit 10.22 June 15, 2005 Winton Capital Management 1a. St. Mary Abbot's Place Kensington, London W86LS, U.K. Attention: Mr. Martin Hunt Re:    Management Agreement Renewals Dear Mr. Hunt: We are writing with respect to your management agreements concerning the commodity pools to which reference is made below (the "Management Agreements"). We are extending the term of the Management Agreements through June 30, 2006 and all other provisions of the Management Agreements will remain unchanged.         •  Smith Barney Diversified Futures Fund L.P.           •  AURORA 2001           •  AURORA III           •  SSB Orion Futures Fund L.P.           •  Alera Portfolio Spc           •  CMF Winton Feeder LP I           •  Citigroup Diversified Futures Fund L.P.           •  CMF Winton Master Fund L.P.   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr. Daniel McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours, CITIGROUP MANAGED FUTURES LLC       By:  /s/ Daniel R. McAuliffe, Jr.             Daniel R. McAuliffe, Jr. Chief Financial Officer & Director         By:  /s/ Martin Hunt                               Print Name:    Martin Hunt                     DRMcA/sr     Exhibit 10.22 June 15, 2005 AAA Capital Management Inc. 5051 Westheimer – Suite 2100 Houston, Texas 77056 Attention: Mr. Anthony Annunziato Re:    Management Agreement Renewals Dear Mr. Annunziato: We are writing with respect to your management agreements concerning the commodity pools to which reference is made below (the "Management Agreements"). We are extending the term of the Management Agreements through June 30, 2006 and all other provisions of the Management Agreements will remain unchanged.         •  SB AAA Master Fund LLC           •  Salomon Smith Barney Orion Futures Fund L.P.           •  Aurora 2001           •  Salomon Smith Barney AAA Energy Fund L.P. II           •  Aurora III   Please acknowledge receipt of this modification by signing one copy of this letter and returning it to the attention of Mr. Daniel McAuliffe at the address above or fax to 212-793-1986. If you have any questions I can be reached at 212-559-5043. Very truly yours, CITIGROUP MANAGED FUTURES LLC       By:  /s/ Daniel R. McAuliffe, Jr.              Daniel R. McAuliffe, Jr. Chief Financial Officer & Director         By:  /s/ Anthony Annunziato               Print Name:    Anthony Annunziato   DRMcA/sr         EX-31.1 9 file003.htm CERTIFICATION         Exhibit 31.1 CERTIFICATION I, David J. Vogel, certify that:       1.  I have reviewed this Annual Report on Form 10-K 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)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) 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) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;            c) 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            d) 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):            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:    March 28, 2006  /s/ David J. Vogel       David J. VogelCitigroup Managed Futures LLC President and Director            EX-31.2 10 file004.htm CERTIFICATION         Exhibit 31.2 CERTIFICATION I, Daniel R. McAuliffe, Jr., certify that:       1.  I have reviewed this Annual Report on Form 10-K 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)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f) 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)  designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;         c)  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         d)  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):         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:    March 28, 2006  /s/ Daniel R. McAuliffe, Jr.       Daniel R. McAuliffe, Jr.Citigroup Managed Futures LLC Chief Financial Officer and Director             EX-32.1 11 file005.htm CERTIFICATION         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 Annual Report of Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership") on Form 10-K for the year ending December 31, 2005 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. § 1350, as adopted pursuant to § 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  March 28, 2006                                 Date         EX-32.2 12 file006.htm CERTIFICATION         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 Annual Report of Salomon Smith Barney Orion Futures Fund L.P. (the "Partnership") on Form 10-K for the year ending December 31, 2005 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. § 1350, as adopted pursuant to § 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  March 28, 2006                                     Date         -----END PRIVACY-ENHANCED MESSAGE-----