We provide a new sufficient condition for the robustness of sets of equilibria to incomplete information in the sense of Kajii and Morris (Econometrica, 1997), Morris and Ui (JET, 2005). The condition is formulated for games with a saddle function. A saddle function is a real-valued function on the set of action profiles such that there is a single player for whom minimizing the function implies choosing her best response, and for the other players maximizing the function implies choosing their best responses. In a game with a saddle function the set of correlated equilibria that induce an expectation of the saddle function greater or equal to its maximin value is robust to incomplete information.