1. General: Orion Futures Fund L.P. (the  Partnership ), is a limited partnership organized on March 22, 1999 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, livestock, indices, U.S. and non-U.S. interest rates, softs and metals. The commodity interests that are traded by the Partnership and the Funds (as defined in Note 5  Investment in Funds ) are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers redeemable units of limited partnership interest ( Redeemable Units ) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the  General Partner ) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC ( MSSB Holdings ). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Global Markets Inc. ( CGM ), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in MSSB Holdings. Citigroup Inc. ( Citigroup ), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup. As of June 30, 2011, all trading decisions are made for the Partnership by Transtrend B.V. ( Transtrend ), Winton Capital Management Limited ( Winton ) and AAA Capital Management Advisors, Ltd. ( AAA ) (each an  Advisor  and, collectively, the  Advisors ),