**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-K**

 

**ý****  Annual Report Pursuant to Section 13 or 15(d)of the Securities Exchange Act of 1934**

**For theFiscal Year Ended:  December 31,2002**

** **

**or**

 

**o****  Transition Report Pursuant to Section 13 or 15(d)**

**of the Securities Exchange Act of 1934**

 

**CommissionFile Number:  000-50102**

 

**GLOBAL MACRO TRUST**

(Exact name of registrantas specified in its charter)

 

| **Delaware**                                                     |   | **36-7362830**                        |
|------------------------------------------------------------------|--------|---------------------------------------|
| (State or other  jurisdiction of  incorporation or organization) |   | (I.R.S. Employer  Identification No.) |

 

**c/oMILLBURN RIDGEFIELD CORPORATION**

**411 WestPutnam Avenue**

**Greenwich,Connecticut  06830**

(Address of principalexecutive offices)

 

Registrant’s telephonenumber, including area code:   **(203) 625-7554**

 

Securities registeredpursuant to Section 12(b) of the Act:   **None**

 

Securities registered pursuant to Section 12(g) of theAct:   **Units of BeneficialInterest**

 

(Titleof Class)

 

Indicate by check mark whether the registrant (1) filed allreports required to be filed by Section 13 or 15(d) of the SecuritiesExchange Act of 1934 during the preceding 12 months (or for such shorter periodthat the registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days.

 

| Yes  ý |   | No  o |
|------------------|--------|------------|

 

Indicate by check mark if disclosure of delinquent filers pursuant toItem 405 of Regulations S-K is not contained herein, and will not be contained,to the best of registrant’s knowledge, in definitive proxy or informationstatements incorporated by reference in Part III of this Form 10-K or anyamendment to this Form 10-K.  o

 

Indicate by check mark whether the registrant is an accelerated filer(defined in Rule 12b-2 of the Act).

 

| Yes  o |   | No  ý |
|-------------|--------|-----------------|

 

Aggregate market value of the voting and non-voting common equity heldby non-affiliates as of March 1, 2003: $46,568,919

 

Documents Incorporated byReference

 

Registrant’s Financial Statements for Period from July 1, 2002(commencement of operations) to December 31, 2002 with Report of IndependentAuditors, the annual report to security holders for the fiscal year endedDecember 31, 2002, is incorporated by reference into Part II Item 8 and Part IVhereof and filed as an exhibit herewith.

 

 

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PART I

Item 1.    Business

 

(a)   General development of business

 

Global Macro Trust (the“Trust”) is a Delaware statutory trust organized July 23, 2001 pursuant to aDeclaration of Trust and Trust Agreement (the “Trust Agreement”), under theDelaware Statutory Trust Act.  BetweenApril 1, 2002 and June 30, 2002 (the “Initial Offering”), units of beneficialinterest in the Trust (the “Units”) were publicly offered at an initial priceof $1,000 per Unit.  The proceeds of theInitial Offering and interest thereon were held in an account in the name ofthe Trust at FBR National Bank & Trust, Bethesda, Maryland, until July 1,2002 at which time an aggregate of $1,290,457 was turned over to the Trust andthe Trust commenced operations.  As ofDecember 31, 2002, Units were being offered on a monthly basis at Net AssetValue per unit.  The offering isregistered under the Securities Act of 1933, as amended.  The Units are offered through a number ofselling agents, including UBS PaineWebber Inc., on a best efforts basis.  A total of $22,561,036 of Units have beensold to the public as of December 31, 2002.

 

The Trust engages inspeculative trading in the futures, options and forward markets.

 

Millburn RidgefieldCorporation (the “Managing Owner”), a Delaware corporation, is the managingowner and the commodity trading advisor for the Trust.  The Managing Owner invested $400 in theTrust as an initial capital contribution to the Trust and $2,000,000 in theTrust at the outset of trading and subsequently contributed an additional$1,600 as of December 31, 2002.  Afterreflecting a net gain of $150,395 and profit share of $70,924, this investmenttotaled (after deductions for redemptions) $2,221,645, as of December 31,2002.

 

(b)   Financial information about industry segments

 

The Trust’s businessconstitutes only one segment, i.e., a speculative commodity pool.  The Trust does not engage in sales of goodsand services.

 

(c)   Narrative description of business

 

The Trust engages in thespeculative trading of futures, options on futures and forward contracts.  The Trust’s sole trading advisor is theManaging Owner.  The Managing Ownertrades the Trust’s assets in the agricultural, metals, energy, interest rateand stock indices futures and futures options markets and in the currencymarkets, trading primarily forward contracts in the interbank market.  Pursuant to the Trust Agreement, theManaging Owner receives a flat-rate monthly brokerage fee equal to 0.58 of 1%of the month-end Net Assets (a 7.0% annual rate). The Managing Owner chargesless than the annual brokerage rate of 7% to those subscribers who eitherinvest in amounts of $100,000 or more in the Units or subscribe withoutincurring the selling commission paid by the Managing Owner.  The Managing Owner also receives a profitshare equal to 20% of any new trading profit as defined, determined as of theend of each calendar year.  The annualprofit share is calculated net of brokerage fees and administrative expensesand excluding interest income.

 

UBS PaineWebber Inc. actsas the primary futures broker for the Trust, although the Trust executesfutures trades on non-U.S. futures exchanges through Deutsche Bank SecuritiesInc.  The Trust executes currencyforward trades with Morgan Stanley & Co. Incorporated and Morgan StanleyCapital Group Inc.  The Trust pays “bidasked” spreads on its forward trades, as such spreads are incorporated into thepricing of forward contracts.  TheManaging Owner monitors the Trust’s trades to ensure that the prices itreceives are competitive.

 

The Trust’sorganizational and initial offering costs were paid by the Managing Ownerwithout reimbursement from the Trust or its Unitholders.  The Trust pays its administrative expenses,including costs incurred in connection with the continuing offering of theTrust’s Units, and any extraordinary expenses which it may incur.

 

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The Trust is open-endedand may offer Units at net asset value as of the first day of each month.  Unitholders may redeem any or all of theirUnits upon business 10 days’ written notice to the Managing Owner at theirnet asset value as of the last day of any month.  Units redeemed on or prior to the end of the first and secondsuccessive six-month periods after their sale will pay a redemption charge of4% and 3%, respectively, of the net asset value at which they are redeemed(redemption charges are reduced, in the case of subscriptions in amounts of$100,000 or more).  These redemptioncharges are paid to the Managing Owner. Requests for redemption will be honored and payment will be made, exceptin the event of highly unusual market disruptions, within 15 business days ofthe effective date of redemption.

 

The Trust’s assetsdeposited with the Trust’s futures brokers as margin are maintained in“customer segregated funds accounts” or “foreign futures and foreign optionssecured amount accounts” and are held in cash, or U.S. Treasuryinstruments.  Trust assets not depositedas margin are maintained in bank or brokerage accounts and are held primarilyin bank money market funds or U.S. Treasury instruments.

 

Regulation

 

Under the CommodityExchange Act, as amended (the “CEA”), commodity exchanges and futures tradingare subject to regulation by the Commodity Futures Trading Commission (the“CFTC”).  National Futures Association(“NFA”), a “registered futures association” under the CEA, is the onlynon-exchange self-regulatory organization for futures industryprofessionals.  The CFTC has delegatedto NFA responsibility for the registration of “commodity trading advisors,”“commodity pool operators,” “futures commission merchants,” “introducingbrokers” and their respective associated persons and “floor brokers” and “floortraders.”  The CEA requires commoditypool operators and commodity trading advisors, such as the Managing Owner, and commoditybrokers or futures commission merchants, such as the UBS PaineWebber Inc. andDeutsche Bank A.G., to be registered and to comply with various reporting andrecord keeping requirements.  The CFTCmay suspend a commodity pool operator’s or trading advisor’s registration if itfinds that its trading practices tend to disrupt orderly market conditions orin certain other situations.  In theevent that the registration of the Managing Owner as a commodity pool operatoror a commodity trading advisor were terminated or suspended, the Managing Ownerwould be unable to continue to manage the business of the Trust.  Should the Managing Owner’s registration besuspended, termination of the Trust might result.

 

As members of NFA, theManaging Owner and the Trust’s futures brokers are subject to NFA standardsrelating to fair trade practices, financial condition and customerprotection.  As the self-regulatory bodyof the futures industry, NFA promulgates rules governing the conduct of futuresindustry professionals and disciplines those professionals which do not complywith such standards.

 

In addition to suchregistration requirements, the CFTC and certain commodity exchanges haveestablished limits on the maximum net long or net short position which any personmay hold or control in particular commodities. Most exchanges also limit the changes in futures contract prices thatmay occur during a single trading day.  Currency forward contracts are not subject to regulation by any UnitedStates Government agency.

 

(i)   through(xii) - not applicable.

 

(xiii)   theTrust has no employees.

 

(d)   Financialinformation about geographic areas

 

The Trust does not engagein material operations in foreign countries (although it does trade from theUnited States in foreign currency forward contracts and on foreign futuresexchanges), nor is a material portion of its revenues derived from foreigncustomers.

 

(e)   Availableinformation

 

Not Applicable.  The Trust is not an accelerated filer.

 

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Item 2.    Properties

 

The Trust does not own oruse any physical properties in the conduct of its business.  The Managing Owner or an affiliate performadministrative services for the Trust from their offices.

 

Item 3.    Legal Proceedings

 

The Managing Owner is notaware of any pending legal proceedings to which either the Trust is a party orto which any of its assets are subject. In addition there are no pending material legal proceedings involvingthe Managing Owner.

 

Item 4.    Submission of Matters to a Vote ofSecurity Holders

 

None.

 

PART II

 

Item 5.    Market for the Registrant’s Common Equity and Related Stockholder Matters

 

(a)   Market Information.

 

There is no tradingmarket for the Units, and none is likely to develop.  Units may be redeemed upon business 10 days’ written noticeto the Managing Owner at their net asset value as of the last day of any month,subject to certain early redemption charges.

 

(b)   Holders.

 

As of December 31, 2002,there were 1033 holders of Units.

 

(c)   Dividends.

 

No distributions ordividends have been made on the Units, and the Managing Owner has no presentintention to make any.

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans.

 

None.

 

(e)   RecentSales of Unregistered Securities; Use of Proceeds from Registered Securities.

 

On July 23, 2001, theTrust sold $1,600 of units of beneficial interest to an initial unitholder andthe Managing Owner contributed $400 to permit the formation of the Trust inpreparation for the filing of the Trust initial Registration Statement on FormS-1.  The sale of the units was made toNestor Partners, an investment fund for which the Managing Owner serves asgeneral partner, and was exempt from registration under the Securities Act of1933 pursuant to Section 4(2) thereof. Nestor Partners is an accredited investor.  No discounts or commissions were paid in connection with the saleand no other offeree or purchaser was solicited.  There have been no other sales of unregistered securities of theTrust.

 

Reg. S-KItem  701(f)

 

(1)   Theuse of proceeds information is being disclosed for Registration Statement No.333-67072 declared effective on March 26, 2002.

 

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(4)(iv)   Forthe account of the issuer, the amount of Units sold as of December 31, 2002 is$22,561,036, and the aggregate offering price of the amount sold as of December31, 2002 is $22,561,036.

 

(vi)   Thenet offering proceeds to the issuer totaled $22,561,036.

 

(vii)   Fromthe effective date of the Registration Statements to December 31, 2002, theamount of net offering proceeds to the issuer for commodity futures and forwardtrading totaled $22,561,036.

 

Item 6.    Selected Financial Data

 

The following is asummary of operations for the fiscal year 2002 and total assets of the Trust atDecember 31, 2002.  The Trust commencedtrading operations on July 1, 2002.

 
|                                                                   |   | **For the  Year Ended December 31, 2002** |       |
|------------------------------------------------------------------------|--------|-------------------------------------------|------------|
| Revenue: Total  net realized and unrealized gains  (losses)* |   | $                                         | 953,721    |   |
| Interest  income                                                       |   | 110,054                                   |       |
|                                                                   |   |                                      |       |
| Expenses:                                                              |   |                                      |       |
| Profit  share                                                          |   | 70,924                                    |       |
| Administrative  expenses                                               |   | 38,443                                    |       |
| Brokerage  Commissions                                                 |   | 431,467                                   |       |
|                                                                   |   |                                      |       |
| Net  Income (loss)                                                     |   | $                                         | 522,941    |   |
|                                                                   |   |                                      |       |
| Total  assets                                                          |   | $                                         | 27,460,920 |   |
| Total  Unitholders’ capital                                       |   | $                                         | 22,814,478 |   |
| Net  asset value per Unit                                              |   | $                                         | 1,030.24   |   |
| Increase  in net asset value per Unit                                  |   | $                                         | 30.24      |   |

 

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* From trading offutures and forward contracts, foreign exchange transactions and U.S. Treasuryobligations

 

Item 7.    Management’s Discussion and Analysis of FinancialCondition and Results of Operations

 

Reference is made to“Item 6.  Selected Financial Data”and “Item 8.  Financial Statementsand Supplementary Data.”  Theinformation contained therein is essential to, and should be read inconjunction with, the following analysis.

 

Capital Resources

 

Units may be offered forsale as of the beginning, and may be redeemed as of the end, of each month.

 

The amount of capitalraised for the Trust should not have a significant impact on its operations, asthe Trust has no significant capital expenditure or working capitalrequirements other than for monies to pay trading losses, brokerage commissionsand charges.  Within broad ranges ofcapitalization, the Managing Owner’s trading positions should increase ordecrease in approximate proportion to the size of the Trust.

 

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The Trust raisesadditional capital only through the sale of Units and trading profits (if any)and does not engage in borrowing.

 

The Trust trades futures,options and forward contracts on interest rates, commodities, currencies,metals, energy and stock indices.  Riskarises from changes in the value of these contracts (market risk) and thepotential inability of counterparties or brokers to perform under the terms oftheir contracts (credit risk).  Marketrisk is generally to be measured by the face amount of the futures positionsacquired and the volatility of the markets traded.  The credit risk from counterparty non-performance associated withthese instruments is the net unrealized gain, if any, on these positions.  The risks associated with exchange-tradedcontracts are generally perceived to be less than those associated withover-the-counter transactions, because exchanges typically (but notuniversally) provide clearinghouse arrangements in which the collective credit(in some cases limited in amount, in some cases not) of the members of theexchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties.  Marginswhich may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may require margin in the over-the-countermarkets.

 

The Managing Owner hasprocedures in place to control market risk, although there can be no assurancethat they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of openpositions; (2) diversifying positions among various markets;(3) limiting the assets committed as margin, generally within a range of15% to 35% of an account’s Net Assets at exchange minimum margins, (includingimputed margins on forward positions) although the amount committed to marginat any time may be substantially higher; (4) prohibiting pyramiding (thatis, using unrealized profits in a particular market as margin for additionalpositions in the same market); and (5) changing the equity utilized for tradingby an account solely on a controlled periodic basis rather than as an automaticconsequence of an increase in equity resulting from trading profits.  The Trust controls credit risk by dealingexclusively with large, well capitalized financial institutions as brokers andcounterparties.

 

Due to the nature of theTrust’s business, substantially all its assets are represented by cash andUnited States government obligations, while the Trust maintains its marketexposure through open futures and forward contract positions.

 

The Trust’s futurescontracts are settled by offset and are cleared by the exchange clearinghousefunction.  Open futures positions aremarked to market each trading day and the Trust’s trading accounts are debited orcredited accordingly.  Options on futurescontracts are settled either by offset or by exercise.  If an option on a future is exercised, theTrust is assigned a position in the underlying future which is then settled byoffset.  The Trust’s spot and forwardcurrency transactions conducted in the interbank market are settled by nettingoffsetting positions held with the same counterparty; net positions are thensettled by entering into offsetting positions and by cash payments.

 

Liquidity

 

The Trust’s assets aregenerally held as cash or cash equivalents which are used to margin the Trust’sfutures positions and withdrawn, as necessary, to pay redemptions andexpenses.  Other than potentialmarket-imposed limitations on liquidity, due, for example, to daily pricefluctuation limits, which are inherent in the Trust’s futures and forwardtrading, the Trust’s assets are highly liquid and are expected to remainso.  During its operations throughDecember 31, 2002, the Trust experienced no meaningful periods of illiquidityin any of the numerous markets traded by the Managing Owner.

 

Results of Operations

 

*Performance Summary*

 

The Trust’s successdepends on the Managing Owner’s ability to recognize and capitalize on trendsand other profit opportunities in different sectors of the world economy.  The Managing Owner’s trading methods areconfidential, so that substantially the only information that can be furnishedregarding the Trust’s results of operations is its performance record.  Unlike most operating businesses, generaleconomic or seasonal conditions

 

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have no direct effect onthe profit potential of the Trust, while, at the same time, its pastperformance is not necessarily indicative of future results.  Because of the speculative nature of itstrading, operational or economic trends have little relevance to the Trust’sresults.  The Managing Owner believes,however, that there are certain market conditions — for example, markets withstrong price trends — in which the Trust has a better opportunity of beingprofitable than in others.  The Trustcommenced trading operations July 1, 2002.

 

*2002*

 

During 2002, the Trustachieved net gains of $953,721 from its trading operations (including foreignexchange transactions and translations). Brokerage fees of $431,467 were paid or accrued.  The Trust paid a profit share to theManaging Owner of $70,924.  Interestincome of $110,054 partially offset the Trust’s expenses resulting in a netgain (inclusive of administrative expenses) of $522,941 and a 3.02% increase inthe Net Asset Value per Unit.

 

Interest rate tradingand, to a lesser extent, stock index trading were profitable during the Trust’sfirst six months of operation.  On theother hand, the Trust’s currency trading generated losses, and trading in theenergy, metals and agricultural sectors had only marginal impacts onperformance.

 

Sluggish worldwideeconomic activity, the continuing plunge of stock prices and the flight tosafety and quality prompted by geopolitical uncertainties triggered large,persistent capital flows into government bills, notes and bonds worldwide.  Accordingly, the Trust’s long positions inU.S., European, and Japanese interest rate futures generated sizable gainswhile the Trust’s trading in Japanese, German and Hong Kong stock futures wasmodestly profitable.  As tensions in theMiddle East heightened at year-end, energy prices moved higher and the Trust’slong energy positions were very profitable, largely offsetting losses sufferedearlier in the year when energy prices were moving erratically without atrend.  Similarly, a long gold positionwas profitable in December as geopolitical tensions heated up, and this gainoffset most of the losses from the Trust’s non-precious metals trading wheretrends were absent.  The Trust sustainedlosses on both long and short dollar positions as the Japanese yen fluctuatederratically in the Y116-Y126 range during the later half of the year.  These losses, and those experienced fromtrading the Korean won, overwhelmed trading gains made on long positions in theeuro and South African rand.  TheTrust’s non-dollar cross rate trading was also fractionally negative for theyear.  In the agricultural sector, profitsfrom a long corn trade more than offset a loss from trading cotton, producing afractional profit for the sector overall by year-end.

 

Item 7A. Quantitative and Qualitative DisclosuresAbout Market Risk

** **

**Introduction**

 

***Past Results Are Not Necessarily Indicative of FuturePerformance***

 

The Trust is aspeculative commodity pool.  Unlike anoperating company, the risk of market sensitive instruments is integral, notincidental, to the Trust’s main line of business.

 

Market movements resultin frequent changes in the fair market value of the Trust’s open positions and,consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors,including the level and volatility of interest rates, exchange rates, equityprice levels, the market value of financial instruments and contracts, thediversification effects among the Trust’s open positions and the liquidity ofthe markets in which it trades.

 

The Trust can rapidlyacquire and/or liquidate both long and short positions in a wide range ofdifferent markets.  Consequently, it isnot possible to predict how a particular future market scenario will affectperformance, and the Trust’s past performance is not necessarily indicative ofits future results.

 

Value at Risk is ameasure of the maximum amount which the Trust could reasonably be expected tolose in a given market sector.  However,the inherent uncertainty of the Trust’s speculative trading and the recurrencein the markets traded by the Trust of market movements far exceedingexpectations could result in actual trading or 

 

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non-trading losses farbeyond the indicated Value at Risk or the Trust’s experience to date (*i.e.,*“risk of ruin”).  In light of theforegoing as well as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification included in this sectionshould not be considered to constitute any assurance or representation that theTrust’s losses in any market sector will be limited to Value at Risk or by theTrust’s attempts to manage its market risk.

 

Materiality, as used inthis section “Quantitative and Qualitative Disclosures About Market Risk,” isbased on an assessment of reasonably possible market movements and thepotential losses caused by such movements, taking into account the leverage,optionality and multiplier features of the Trust’s market sensitiveinstruments.

 

Quantifying the Trust’s Trading Value at Risk

 

*QuantitativeForward-Looking Statements*

* *

*The following quantitativedisclosures regarding the Trust’s market risk exposures contain“forward-looking statements” within the meaning of the safe harbor from civilliability provided for such statements by the Private Securities LitigationReform Act of 1995 (set forth in Section 27A of the Securities Act and Section21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to beforward-looking statements for purposes of the safe harbor, except forstatements of historical fact.*

 

The Trust’s risk exposurein the various market sectors traded by the Managing Owner is quantified belowin terms of Value at Risk.  Due to theTrust’s mark-to-market accounting, any loss in the fair value of the Trust’sopen positions is directly reflected in the Trust’s earnings (realized orunrealized) and cash flow (at least in the case of exchange-traded contracts inwhich profits and losses on open positions are settled daily through variationmargin).

 

Exchange maintenancemargin requirements have been used by the Trust as the measure of its Value atRisk.  Maintenance margin requirementsare set by exchanges to equal or exceed 95-99% of the maximum one-day losses inthe fair value of any given contract incurred during the time period over whichhistorical price fluctuations are researched for purposes of establishingmargin levels.  The maintenance marginlevels are established by dealers and exchanges using historical price studiesas well as an assessment of current market volatility (including the impliedvolatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-term one-day price fluctuation.

 

In the case of marketsensitive instruments which are not exchange traded (almost exclusivelycurrencies in the case of the Trust), dealers’ margins have been used as Valueat Risk.

 

The fair value of theTrust’s futures and forward positions does not have any optionalitycomponent.  However, the Managing Ownermay also trade commodity options on behalf of the Trust.  The Value at Risk associated with optionswould be reflected in the margin requirement attributable to the instrumentunderlying each option.

 

In quantifying theTrust’s Value at Risk, 100% positive correlation in the different positionsheld in each market risk category has been assumed.  Consequently, the margin requirements applicable to the opencontracts have simply been aggregated to determine each trading category’saggregate Value at Risk.  Thediversification effects resulting from the fact that the Trust’s positions arerarely, if ever, 100% positively correlated have not been reflected.

 

*TheTrust’s Trading Value at Risk in Different Market Sectors*

 

The following tableindicates the average, highest and lowest amounts of trading Value at Riskassociated with the Trust’s open positions by market category for fiscal year2002.  During fiscal year 2002, theTrust’s average total capitalization was approximately $15,101,275.  The Trust commenced operations July 1, 2002.

 

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| **Fiscal Year 2002** |   |
|----------------------|--------|
| **Market Sector**    |   | **Average   Value at Risk** |   | **% of Average   Capitalization** |   | **Highest   Value At Risk** |   | **Lowest   Value At Risk** |   |
| Interest Rates       |   | $ | 1.1 |   | 7.0 | % | $ | 1.4 |   | $ | 0.7 |   |
|                 |   |   |   |   |   |   |   |   |   |
| Currencies           |   | $ | 3.3 |   | 21.0 | % | $ | 4.8 |   | $ | 1.8 |   |
|                 |   |   |   |   |   |   |   |   |   |
| Stock Indices        |   | $ | 0.6 |   | 4.0 | % | $ | 0.6 |   | $ | 0.5 |   |
|                 |   |   |   |   |   |   |   |   |   |
| Metals               |   | $ | 0.2 |   | 1.3 | % | $ | 0.2 |   | $ | 0.1 |   |
|                 |   |   |   |   |   |   |   |   |   |
| Commodities          |   | $ | 0.1 |   | 0.3 | % | $ | 0.1 |   | $ | 0 |   |
|                 |   |   |   |   |   |   |   |   |   |
| Energy               |   | $ | 0.6 |   | 4.3 | % | $ | 0.6 |   | $ | 0.5 |   |
|                 |   |   |   |   |   |   |   |   |   |
| Total                |   | $ | 5.9 |   | 37.9 | % |   |   |   |   |

 

Average, highest andlowest Value at Risk amounts relate to the quarter-end amounts for the thirdand fourth calendar quarter-ends during the fiscal year.  Average Capitalization is the average of theTrust’s capitalization at the end of the third and fourth calendar quarters offiscal year 2002.  Dollar amountsrepresent millions of dollars.

 

*MaterialLimitations on Value at Risk as an Assessment of Market Risk*

 

The face value of themarket sector instruments held by the Trust is typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally ranging between approximately 1% and 10% of contract face value) aswell as many times the capitalization of the Trust.  The magnitude of the Trust’s open positions creates a “risk ofruin” not typically found in most other investment vehicles.  Because of the size of its positions,certain market conditions — unusual, but historically recurring from time totime — could cause the Trust to incur severe losses over a short period oftime.  The foregoing Value at Risk table— as well as the past performance of the Trust — give no indication of this“risk of ruin.”

 

*Non-TradingRisk*

 

The Trust has non-tradingmarket risk on its foreign cash balances not needed for margin.  However, these balances (as well as anymarket risk they represent) are immaterial.

 

The Trust also hasnon-trading cash flow risk as a result of holding a substantial portion(approximately 73%) of its assets in U.S. Treasury notes and other short-termdebt instruments (as well as any market risk they represent) for margin andcash management purposes.  Although theManaging Owner does not anticipate that, even in the case of major interestrate movements, the Trust would sustain a material mark-to-market loss on itssecurities positions, if short-term interest rates decline so will the Trust’scash management income.  The Trust alsomaintains a portion (approximately 9%) of its assets in cash ininterest-bearing bank accounts.  Thesecash balances are also subject (as well as any market risk they represent) tocash flow risk, which is not material.

 

*QualitativeDisclosures Regarding Primary Trading Risk Exposures*

* *

*The following qualitativedisclosures regarding the Trust’s market risk exposures — except for (i) thosedisclosures that are statements of historical fact and (ii) the descriptions ofhow the Managing Owner manages the Trust’s primary market risk exposures —constitute forward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act.  The Trust’s primary market risk exposures aswell as the strategies used and to be used by the Managing Owner*for*managingsuch exposures are subject to numerous uncertainties, contingencies and risks,any one of which could cause the actual results of the Trust’s risk*

 

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*controls to differ materially from the objectives of suchstrategies.  Government interventions,defaults and expropriations, illiquid markets, the emergence of dominantfundamental factors, political upheavals, changes in historical pricerelationships, an influx of new market participants, increased regulation andmany other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of theTrust.  There can be no assurance thatthe Trust’s current market exposure and/or risk management strategies will notchange materially or that any such strategies will be effective in either theshort- or long-term.  Investors must beprepared to lose all or substantially all of their investment in the Trust.*

 

The following were theprimary trading risk exposures of the Trust as of December 31, 2002, by marketsector.

 

Financial Instruments.  Interest rate movements directly affect theprice of the sovereign bond futures positions held by the Trust and indirectlythe value of its stock index and currency positions.  Interest rate movements in one country as well as relativeinterest rate movements between countries may materially impact the Trust’sprofitability.  The Trust’s primaryinterest rate exposure is to interest rate fluctuations in the United Statesand other major industrialized, or G-7, countries.  However, the Trust also may take positions in futures contractson the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates, both long-termand short-term, will remain the primary market exposure of the Trust for theforeseeable future.

 

Currencies.  Exchange rate risk is the principal marketexposure of the Trust.  The Trust’scurrency exposure is to exchange rate fluctuations, primarily fluctuationswhich disrupt the historical pricing relationships between different currenciesand currency pairs.  These fluctuationsare influenced by interest rate changes as well as political and generaleconomic conditions.  The Trust tradesin a large number of currencies, including cross-rates — i.e., positionsbetween two currencies other than the U.S. dollar.  However, the Trust’s major exposures have typically been in thedollar/yen, dollar/euro and dollar/Swiss positions.  The Managing Owner does not anticipate that the risk profile ofthe Trust’s currency sector will change significantly in the future.

 

Stock Indices.  The Trust’s primary equity exposure, throughstock index futures, is to equity price risk in the G-7 countries.  As of December 31, 2002, the Trust’s primaryexposures were in the E Mini Nasdaq 100 (United States), Simex (Singapore),TOPIX (Japan), DAX (German) and Hang Seng (Hong Kong) stock indices.  The Trust is primarily exposed to the riskof adverse price trends or static markets in the major U.S., European and Asianindices.  (Static markets would notcause major market changes but would make it difficult for the Trust to avoidnumerous small losses.)

 

Metals.  The Diversified Portfolio used for the Trusttrades precious and base metals.  TheTrust’s primary metals market exposure is to fluctuations in the price of gold,aluminum, copper and zinc.

 

Agricultural.  The Trust’s primary commodities exposure isto agricultural price movements, which are often directly affected by severe orunexpected weather conditions.  Grains,coffee, sugar and cotton accounted for the substantial bulk of the Trust’scommodities exposure as of December 31, 2002. The Trust may, in the future, have material market exposure to livecattle, cocoa, orange juice and the soybean complex.  However, the Trust will generally maintain an emphasis on grains,coffee, sugar and cotton.

 

Energy.  The Trust’s primary energy market exposureis to gas and oil price movements, often resulting from political developmentsin the Middle East and economic conditions worldwide.  Energy prices are volatile and substantial profits and losseshave been and are expected to continue to be experienced in this market.

 

*QualitativeDisclosures Regarding Non-Trading Risk Exposure*

 

The following were theonly non-trading risk exposures of the Trust as of December 31, 2002.

 

Foreign Currency Balances.  The Trust’s primary foreign currencybalances are in Japanese yen, euro, British pounds and Hong Kong dollars.  The Trust controls the non-trading risk ofthese balances by regularly converting these balances back into dollars (noless frequently than twice a month).

 

9

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Securities Positions.  The Trust’s only market exposure ininstruments held other than for trading is in its securities portfolio.  The Trust holds only cash orinterest-bearing, credit risk-free, short-term paper — typically U.S. Treasuryinstruments with durations no longer than 1 year.  Violent fluctuations in prevailing interest rates could causeimmaterial mark-to-market losses on the Trust’s securities, althoughsubstantially all of these short-term instruments are held to maturity.

 

*QualitativeDisclosures Regarding Means of Managing Risk Exposure*

 

The Managing Ownerattempts to control risk through the systematic application of its tradingmethod, which includes a multi-system approach to price trend recognition, ananalysis of market volatility, the application of certain money managementprinciples, which may be revised from time to time, and adjusting leverage orportfolio size.  In addition, the ManagingOwner limits its trading to markets which it believes are sufficiently liquidin respect of the amount of trading it contemplates conducting.

 

The Managing Ownerdevelops trading systems using various quantitative models and data and teststhose systems in numerous markets against historical data to simulate tradingresults.  The Managing Owner thenanalyzes the profitability of the systems looking at such features as thepercentage of profitable trades, the worst losses experienced, the averagegiveback of maximum profits on profitable trades and risk adjustedreturns.  The performance of all systemsin the market are then ranked, and a number of systems (typically, five toeight) are selected which make decisions in different ways at different times.  This multi-system approach ensures that thetotal risk intended to be taken in a market is spread over several differentstrategies.

 

The Managing Owner alsoattempts to assess market volatility as a means of monitoring and evaluatingrisk.  In doing so, the Managing Owneruses a volatility overlay system which is designed to measure the risk in aportfolio’s position in a market and to signal a decrease in position size whenrisk increases and an increase in position size when risk decreases.  The Managing Owner’s volatility overlaymaintains overall portfolio risk and distribution of risk across markets withindesignated ranges.

 

The Managing Owner’s riskmanagement also focuses on money management principles applicable to aportfolio as a whole rather than to individual markets.  The first principle is reducing overallportfolio volatility through diversification among markets.  The Managing Owner seeks a portfolio inwhich returns from trading in different markets are not highly correlated, thatis, in which returns are not all positive or negative at the same time.  Additional money management principlesinclude limiting the assets committed as margin or collateral, generally withina range of 15% to 35% of an account’s net assets; avoiding the use of unrealizedprofits in a particular market as margin for additional positions in the samemarket; and changing the equity used for trading an account solely on acontrolled periodic basis, not automatically due to an increase in equity fromtrading profits.

 

Another important riskmanagement function is the careful control of leverage or portfolio size.  Leverage levels are determined by simulatingthe entire portfolio over the past five or ten years to determine the worstcase experienced by the portfolio in the simulation period.  The worst case or peak-to-trough drawdown,is measured from a daily high in portfolio assets to the subsequent daily lowwhether that occurs days, weeks or months after the daily high.  If the Managing Owner considers the drawdowntoo severe, it reduces the leverage or portfolio size.

 

The Managing Ownerdetermines asset allocation among markets on the basis of a systematicportfolio allocation algorithm.  Fromtime to time the Managing Owner may adjust the size of a position, long orshort, in any given market.  This exerciseof discretion generally occurs only in response to unusual market conditionsthat may not have been factored into the design of the trading systems and isgenerally intended to reduce risk exposure. Decisions to make such adjustments require the exercise of judgment andmay include consideration of the volatility of the particular market; thepattern of price movements, both inter-day and intra-day; open interest; volumeof trading; changes in spread relationships between various forward contracts;and overall portfolio balance and risk exposure.

 

10

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Item 8.    Financial Statements and Supplementary Data

 

Financial statementsrequired by this item, including the report of Ernst & Young LLP, areincluded as Exhibit 13.01 to this report.

The following summarizedquarterly financial information presents the results of operations for thethree month periods ended September 30 and December 31, 2002.  The Trust commenced operations July 1, 2002.  This information has not been audited.

 
|                                         |   | **4th  Quarter  2002** |   | **3rd  Quarter  2002** |   |
|----------------------------------------------|--------|------------------------|--------|------------------------|--------|
| Income:                                      |   | $                      | 73,119 |                   | $      | 36,935 |   |
| Net  Realized and Unrealized Gains (Losses): |   | (384,118               | )      | 1,337,839              |   |
| Expenses:                                    |   | 327,432                |   | 142,478                |   |
| Net  Income (Loss):                          |   | (520,253               | )      | 1,043,194              |   |
| Net  Income (Loss) per Unit                  |   | (58.06                 | )      | 88.30                  |   |
|                                              |        |                        |        |                        |        |  |  |

 

There were noextraordinary, unusual or infrequently occurring items recognized in anyquarter within the two most recent fiscal years, and the Trust has not disposedof any segments of its business.  Therehave been no year-end adjustments that are material to the results of anyfiscal quarter reported above.

 

Item 9.    Changes in and Disagreements with Accountantson Accounting and Financial Disclosure

 

On November 27, 2002, theBoard of Directors of the Managing Owner dismissed PricewaterhouseCoopers LLPas its independent auditor for the Trust and approved the engagement of Ernst& Young LLP as independent auditors for the Trust.

 

Disclosure regarding thechange of the Trust’s auditors was previously reported on the Trust’s currentreport on Form 8-K filed December 3, 2002. There were no disagreements with PricewaterhouseCoopers LLP regardingaccounting principles or practices, financial statement disclosure or auditscope or procedure.

 

PART III

 

Item 10.  Directors and Executive Officers of the Registrant

 

(a,b)  Identification of Directors and ExecutiveOfficers

 

The Trust has nodirectors or executive officers.  TheTrust is controlled and managed by the Managing Owner under a delegation ofauthority by the Trust’s Trustee, Wilmington Trust Company.

 

Millburn RidgefieldCorporation,  the Managing Owner, is aDelaware corporation organized in May 1982 to manage discretionary accounts infutures and forward markets.  It is thecorporate successor to a futures trading and advisory organization which hasbeen continuously managing assets in the currency and futures markets usingquantitative, systematic techniques since 1971.

 

The principals and seniorofficers of Millburn Ridgefield Corporation as of December 31, 2002 are asfollows:

 

Harvey Beker, age49.  Mr. Beker is Co-Chief Executive Officer and Co-Chairman of theManaging Owner and The Millburn Corporation, and a partner of ShareInVestResearch L.P.  He received a Bachelor ofArts degree 

 

11

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in economics from NewYork University in 1974 and a Master of Business Administration degree infinance from NYU in 1975.  From June1975 to July 1977, Mr. Beker was employed by Loeb Rhoades, Inc. where hedeveloped and traded silver arbitrage strategies.  From July 1977 to June 1978, Mr. Beker was a futures trader atClayton Brokerage Co. of St. Louis.  Mr.Beker has been employed by The Millburn Corporation since June 1978.  During his tenure at the Managing Owner, hehas been instrumental in the development of the research, trading andoperations areas.  Mr. Beker became aprincipal of the firm in 1982.

 

George E. Crapple, age58.  Mr. Crapple is Co-Chief Executive Officer and Co-Chairman of theManaging Owner and The Millburn Corporation and a partner of ShareInVestResearch L.P.  In 1966 he graduated withhonors from the University of Wisconsin where his field of concentration waseconomics and he was elected to Phi Beta Kappa.  In 1969 he graduated from Harvard Law School, magna cum laude,where he was a member of the Harvard Law Review.  He was a lawyer with Sidley & Austin, Chicago, Illinois, from1969 until April 1, 1983, as a partner since 1975, specializing incommodities, securities, corporate and tax law.  He was first associated with the Managing Owner in 1976 andjoined the Managing Owner on April 1, 1983 on a full-time basis.  Mr. Crapple is a Director, Member of theExecutive Committee, Chairman of the Appeals Committee and a former Chairman ofthe Eastern Regional Business Conduct Committee of the NFA, past Chairman ofthe Managed Funds Association and a member of the Technology Advisory Committeeof the CFTC.

 

Gregg R. Buckbinder, age44.  Mr. Buckbinder is SeniorVice-President and Chief Operating Officer of the Managing Owner and TheMillburn Corporation and a partner of ShareInVest Research L.P.  He graduated cum laude from Pace Universityin 1980 with a B.B.A. in accounting and received an M.S. in taxation from Pacein 1988.  He joined the Managing Ownerin January 1998 from Odyssey Partners, L.P. where he was responsible for theoperation, administration and accounting of the firm’s merchant banking andmanaged account businesses from mid-1990 through December 1997.  Mr. Buckbinder was employed by TuckerAnthony, a securities broker and dealer, from 1985 to 1990 where he was FirstVice President and Controller, and from 1983 to 1984 where he designed andimplemented various operations and accounting systems.  He was with the public accounting firm ofErnst & Whinney from 1984 to 1985 as a manager in the tax department andfrom 1980 to 1983 as a senior auditor, with an emphasis on clients in thefinancial services business.  He is aCertified Public Accountant and a member of the American Institute of CertifiedPublic Accountants.

 

Mark B. Fitzsimmons, age55.  Mr. Fitzsimmons is a Senior Vice-President of the Managing Ownerand The Millburn Corporation and a partner of ShareInVest Research L.P.  His responsibilities include both marketingand investment strategy.  He graduatedsumma cum laude from the University of Bridgeport, Connecticut in 1970 with aB.S. in economics.  His graduate workwas done at the University of Virginia, where he received a certificate ofcandidacy for a Ph.D. in economics in 1973. He joined the Managing Owner in January 1990 from Morgan Stanley &Co. Incorporated where he was a Principal and Manager of institutional foreignexchange sales and was involved in strategic trading for the firm.  From 1977 to 1987 he was with Chemical BankNew York Corporation, first as a Senior Economist in Chemical’s ForeignExchange Advisory Service and later as a Vice-President and Manager ofChemical’s Corporate Trading Group. While at Chemical he also traded both foreign exchange and fixed incomeproducts.  From 1973 to 1977 Mr.Fitzsimmons was employed by the Federal Reserve Bank of New York, dividing histime between the International Research Department and the Foreign ExchangeDepartment.

 

Barry Goodman, age45.  Mr. Goodman is ExecutiveVice-President, Director of Trading and Co-Director of Research of the ManagingOwner and The Millburn Corporation and a partner of ShareInVest ResearchL.P.  His responsibilities includeoverseeing the firm’s trading operation and managing its trading relationships,as well as the design and implementation of trading systems.  He graduated magna cum laude from HarpurCollege of the State University of New York in 1979 with a B.A. ineconomics.  From 1980 through late 1982he was a commodity trader for E. F. Hutton & Co., Inc.  At Hutton he also designed and maintainedvarious technical indicators and coordinated research projects pertaining tothe futures markets.  He joined theManaging Owner in 1982 as Assistant Director of Trading.

 

Dennis B. Newton, age51.  Mr. Newton is a SeniorVice-President of the Managing Owner and the Millburn Corporation.  His primary responsibilities are inadministration and marketing.  Prior tojoining the Managing Owner in September 1991, Mr. Newton was President ofPhoenix Asset Management, Inc., a registered commodity pool operator from April1990 to August 1991.  Prior to hisemployment with Phoenix, Mr. Newton was a Director of Managed Futures withPrudential-Bache Securities Inc. from September 1987 to March 1990.  

 

12

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Mr. Newton joinedPrudential-Bache from Heinold Asset Management, Inc. where he was a member ofthe senior management team.  Heinold wasa pioneer and one of the largest sponsors of funds utilizing futures and currencyforward trading.

 

Grant N. Smith, age51.  Mr. Smith is Executive Vice-President and Co-Director ofResearch of the Managing Owner and The Millburn Corporation and a partner ofShareInVest Research L.P.  He isresponsible for the design, testing and implementation of quantitative tradingstrategies, as well as for planning and overseeing the computerizeddecision-support systems of the firm. He received a B.S. degree from the Massachusetts Institute of Technologyin 1974 and an M.S. degree from M.I.T. in 1975.  While at M.I.T. he held several teaching and research positionsin the computer science field and participated in various projects relating todatabase management.  He joined theManaging Owner in 1975.

 

(c)   Identificationof Certain Significant Employees

 

None.

 

(d)   FamilyRelationships

 

None.

 

(e)   BusinessExperience

 

See Item 10 (a,b) above.

 

(f)   Involvementin Certain Legal Proceedings

 

None.

 

(g)   Promotersand Control Persons

 

The Managing Owner is thesole promoter and control person of the Trust.

 

(h)   Section16(a) Beneficial Ownership Reporting Compliance

 

The Managing Owner filedits initial report on Form 3 after 10 days after the Trust became registeredpursuant to Section 12 of the Securities Exchange Act of 1934.  The Managing Owner has not owned and doesnot own any securities issued by the Trust, and, accordingly, the number oftransactions not reported on a timely basis is zero.

 

George E. Crapple, HarveyBeker and Gregg R. Buckbinder, the principal executive officers and principalfinancial officer, respectively, of the Managing Owner are the officers andemployees of the Managing Owner who perform policy making functions for theTrust.  Each of Messrs. Crapple, Bekerand Buckbinder filed his initial report on Form 3 after 10 days after the Trustbecame registered under Section 12 of the Securities Exchange Act of 1934.  None of Messrs. Crapple, Beker andBuckbinder owns or has owned any securities issued by the Trust, and,accordingly, the number or transactions not reported on a timely basis byMessrs. Crapple, Beker and Buckbinder is zero.

 

Item 11.  Executive Compensation

 

The Trust has nodirectors or officers.  None of thedirectors or officers of the Managing Owner receive compensation from theTrust.  The Managing Owner makes alltrading decisions on behalf of the Trust. The Managing Owner receives monthly brokerage commissions of 0.58 of 1%of the Trust’s Net Assets (which is reduced to 0.54 of 1%, 0.5 of 1% or 0.458of 1% of Net Assets for Unitholders who invest amounts of $100,000, $500,000 or$1,000,000 or more, respectively, in the Trust and to 0.33 of 1% in forUnitholders who invest through selling agent fee-based accounts) and an annualprofit share of 20% of any new trading profit as defined.

 

13

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Item 12.  Security Ownership of Certain Beneficial Ownersand Management

 

(a)   Security Ownership of Certain Beneficial Owners

 

The Trust knows of noperson who owns beneficially more than 5% of the Units.  All of the Trust’s managing owner interestis held by the Managing Owner.

 

(b)   Security Ownership of Management

 

Under the terms of theTrust Agreement, the Trust’s affairs are managed by the Managing Owner, whichhas discretionary authority over the Trust’s trading.  The Managing Owner’s managing owner interest was valued at$2,221,645 as of December 31, 2002, 8.87% of the Trusts’ total equity.

 

(c)   Changes in Control

 

None.

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans

 

None.

 

Item 13.  Certain Relationships and Related Transactions

 

See “Item 11.  Executive Compensation” and“Item 12.  Security Ownership ofCertain Beneficial Owners and Management.” The Trust allocated to the Managing Owner $431,467 in brokerage fees and$70,924 in profit share for the year ended December 31, 2002.  The Managing Owners’ managing owner interestshowed an allocation of income of $150,360 for the year ended December 31,2002.  The Trust is prohibited frommaking any loans.

 

Item 14.  Controls and Procedures

 

The Managing Owner, withthe participation of the Managing Owner’s principal executive officers andprincipal financial officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to the Trustwithin 90 days of the filing date of this annual report, and, based on theirevaluation, have concluded that these disclosure controls and procedures areeffective.  There were no significantchanges in the Managing Owner’s internal controls with respect to the Trust orin other factors applicable to the Trust that could significantly affect thesecontrols subsequent to the date of their evaluation.

 

14

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PART IV

 

Item 15.  Exhibits, Financial Statement Schedules andReports on Form 8-K

 

(a)(1)   Financial Statements

 

The following are included with the 2002 Report ofIndependent Auditors, a copy of which is filed herewith as Exhibit 13.01.

 
| Affirmation of Millburn  Ridgefield Corporation |
|-------------------------------------------------|
| Report of Independent  Auditors                 |
| Statement of Financial  Condition               |
| Condensed Schedule of  Investments              |
| Statement of Operations                         |
| Statement of Changes in  Trust Capital          |
| Statement of Financial  Highlights              |
| Notes to Financial  Statements                  |

 

(a)(2)   Financial Statement Schedules

 

All Schedules are omittedfor the reason that they are not required or are not applicable becauseequivalent information has been included in the financial statements or thenotes thereto.

 

(a)(3)   Exhibits as required by Item 601 of Regulation S-K

 

The following exhibitsare included herewith.

 
| **Designation** |   | **Description**                                                                                                                                            |
|-----------------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 10.01           |   | Form of Customer  Agreement with Deutsche Bank Securities Inc.                                                                                             |
|            |   |                                                                                                                                                       |
| 10.02           |   | Form of Foreign  Exchange and Options Master Agreements with Morgan Stanley & Co.  Incorporated and Morgan Stanley Capital Group Inc. (with schedules) |
|            |   |                                                                                                                                                       |
| 13.01           |   | 2002 Report of  Independent Auditors                                                                                                                       |
|            |   |                                                                                                                                                       |
| 99.1            |   | Certification of  Principal Executive Officer                                                                                                              |
|            |   |                                                                                                                                                       |
| 99.2            |   | Certification of  Principal Executive Officer                                                                                                              |
|            |   |                                                                                                                                                       |
| 99.3            |   | Certification of  Principal Financial Officer                                                                                                              |

 

The following exhibit isincorporated by reference from the exhibit of the same number and descriptionfiled with the Trust’s Registration Statement (File No. 333-67072) filed onAugust, 2001 on Form S-1 under the Securities Act of 1933.

 

15

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| 3.01 |   | Certificate of Trust of  Registrant. |
|------|--------|--------------------------------------|

 

The following exhibitsare incorporated by reference from the exhibits of the same number anddescription filed with Amendment No. 1 to the Trust’s Registration Statement(File No. 333-67072) filed on January 11, 2002 on Form S-1 under the SecuritiesAct of 1933.

 
| 1.01  Amended |   | Form of Selling  Agreement among the Trust, the Managing Owner and the Selling Agent  (including the form of Additional Selling Agent Agreement).         |
|---------------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------|
|          |   |                                                                                                                                                      |
| 10.02         |   | Form of Customer  Agreement among the Trust, the Managing Owner and UBS PaineWebber Inc.  Selling Agent in its capacity as a futures commission merchant. |

 

The following exhibits are incorporated by referencefrom the exhibits of the same number and description filed with Post-EffectiveAmendment No. 1 to the Trust’s Registration Statement (File No. 333-67072)filed December 16, 2002 on Form S-1 under the Securities Act of 1933.

 
| 3.03  Amended |   | Form of Amended and  Restated Declaration and Agreement of Trust of Registrant. |
|---------------|--------|---------------------------------------------------------------------------------|
|          |   |                                                                            |
| 10.01         |   | Form of Subscription  Agreement and Power of Attorney                           |
|          |   |                                                                            |
| 10.03         |   | Form of Wholesaling  Agreement                                                  |

 

(b)   Reports on Form 8-K

 

On December 3, 2002, theTrust filed a Current Report on Form 8-K to disclose, pursuant to Item 4 ofForm 8-K, that on November 27, 2002 the Board of Directors of the ManagingOwner had dismissed PricewaterhouseCoopers LLP as its independent auditor forthe Trust and had approved the engagement of Ernst & Young LLP asindependent auditors for the Trust.

 

16

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SIGNATURES

 

Pursuant to therequirements of Section 13 or 15(d) of the Securities Exchange Act of1934, the Registrant has duly caused this report to be signed on its behalf bythe undersigned, thereunto duly authorized, on the 28th day ofMarch, 2003.

 
|   | GLOBAL MACRO TRUST |                                              |
|--------|--------------------|---------------------------------------------------|
|   |               |                                              |   |
|   | By:                | Millburn Ridgefield  Corporation,  Managing Owner |   |
|   |               |                                              |   |
|   | By:                | /s/ Harvey Beker                                  |   |
|   |               | Harvey Beker                                      |   |
|   |               | Co-Chief Executive  Officer                       |   |

 

Pursuant to therequirements of the Securities Exchange Act of 1934, this report has beensigned below by the following persons on behalf of the Managing Owner of theRegistrant in the capacities and on the date indicated.

 
| **Signature**                                            |   | **Title with   General Partner** |                  | **Date** |                |
|----------------------------------------------------------|--------|---------------------------------------|-----------------------|----------|---------------------|
|                                                     |   |                                  |                  |     |                |
| /s/ Harvey Beker                                         |   |                                  | Co-Chief              |     | March 28, 2003 |   |
|       Harvey  Beker        |   | Executive Officer and  Director       |                  |     |                |
|                                                     |   | (Principal Executive  Officer)        |                  |     |                |
|                                                     |   |                                  |                  |     |                |
| /s/ George E. Crapple                                    |   |                                  | Co-Chief Executive    |     | March 28, 2003 |   |
|       George  E. Crapple   |   | Officer and Director                  |                  |     |                |
|                                                     |   | (Principal Executive  Officer)        |                  |     |                |
| /s/ Gregg R. Buckbinder                                  |   |                                  | Senior Vice President |     | March 28, 2003 |   |
|       Gregg  R. Buckbinder |   | (Principal Financial  Officer)        |                  |     |                |
|                                                     |   |                                  |                  |     |                |
| /s/ Tod A. Tanis                                         |   |                                  | Vice President        |     | March 28, 2003 |   |
|       Tod  A. Tanis        |   | (Principal Accounting  Officer)       |                  |     |                |

 

(Being the principal executiveofficers, the principal financial officer and principal accounting officer, anda majority of the directors of Millburn Ridgefield Corporation)

 

Millburn RidgefieldCorporation

Managing Owner ofRegistrant

March 28, 2003

 
| By     | /s/ Harvey Beker                        |   |
|--------|-----------------------------------------|--------|
|   |   Harvey  Beker               |
|   |   Co-Chief  Executive Officer |

 

17

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CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

 

I, George E. Crapple, Co-Chief Executive Officer of Millburn RidgefieldCorporation, the Managing Owner of Global Macro Trust (the “Trust”), do herebycertify that:

 

1.  I have reviewed this annualreport on Form 10-K of Global Macro Trust;

 

2.  Based on my knowledge, thisannual report does not contain any untrue statement of a material fact or omitto state a material fact necessary to make the statements made, in light of thecircumstances under which such statements were made, not misleading withrespect to the period covered by this annual report;

 

3.  Based on my knowledge, thefinancial statements, and other financial information included in this annualreport, fairly present in all material respects the financial condition,results of operations and cash flows of the Trust as of, and for, the periodspresented in this annual report;

 

4. The Trust’s other certifying officers and I are responsible forestablishing and maintaining disclosure controls and procedures (as defined inExchange Act Rules 13a-14 and 15d-14) for the Trust and have:

 

  (a)  designed such disclosure controls and procedures to ensure that materialinformation relating to the Trust, including its consolidated subsidiaries, ismade known to us by others within those entities, particularly during theperiod in which this annual report is being prepared;

 

  (b) evaluated theeffectiveness of the Trust’s disclosure controls and procedures as of a datewithin 90 days prior to the filing date of this annual report (the “EvaluationDate”); and

 

  (c) presented in this annualreport our conclusions about the effectiveness of the disclosure controls andprocedures based on our evaluation as of the Evaluation Date;

 

5.  The Trust’s other certifyingofficers and I have disclosed, based on our most recent evaluation, to theTrust’s auditors and the audit committee of the Trust’s board of directors (orpersons performing the equivalent functions):

 

  (a) all significantdeficiencies in the design or operation of internal controls which couldadversely affect the Trust’s ability to record, process, summarize and reportfinancial data and have identified for the Trust’s auditors any materialweaknesses in internal controls; and

 

  (b) any fraud, whether or notmaterial, that involves management or other employees who have a significantrole in the Trust’s internal controls; and

 

6.  The Trust’s other certifyingofficers and I have indicated in this annual report whether or not there weresignificant changes in internal controls or in other factors that couldsignificantly affect internal controls subsequent to the date of our mostrecent evaluation, including any corrective actions with regard to significantdeficiencies and material weaknesses.

 
| By:                        | /s/ George E. Crapple |   |
|----------------------------|-----------------------|--------|
|                       |
| George E. Crapple          |
| Co-Chief Executive Officer |
| March 28, 2003             |

 

18

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CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

 

I, Harvey Beker, Co-Chief Executive Officer of Millburn RidgefieldCorporation, the Managing Owner of Global Macro Trust (the “Trust”), do herebycertify that:

 

1.  I have reviewed this annualreport on Form 10-K of Global Macro Trust;

 

2.  Based on my knowledge, thisannual report does not contain any untrue statement of a material fact or omitto state a material fact necessary to make the statements made, in light of thecircumstances under which such statements were made, not misleading withrespect to the period covered by this annual report;

 

3.  Based on my knowledge, thefinancial statements, and other financial information included in this annualreport, fairly present in all material respects the financial condition,results of operations and cash flows of the Trust as of, and for, the periodspresented in this annual report;

 

4. The Trust’s other certifying officers and I are responsible forestablishing and maintaining disclosure controls and procedures (as defined inExchange Act Rules 13a-14 and 15d-14) for the Trust and have:

 

  (a)  designed such disclosure controls and procedures to ensure thatmaterial information relating to the Trust, including its consolidatedsubsidiaries, is made known to us by others within those entities, particularlyduring the period in which this annual report is being prepared;

 

  (b) evaluated theeffectiveness of the Trust’s disclosure controls and procedures as of a datewithin 90 days prior to the filing date of this annual report (the “EvaluationDate”); and

 

  (c) presented in this annualreport our conclusions about the effectiveness of the disclosure controls andprocedures based on our evaluation as of the Evaluation Date;

 

5.  The Trust’s other certifyingofficers and I have disclosed, based on our most recent evaluation, to theTrust’s auditors and the audit committee of the Trust’s board of directors (orpersons performing the equivalent functions):

 

  (a) all significantdeficiencies in the design or operation of internal controls which couldadversely affect the Trust’s ability to record, process, summarize and reportfinancial data and have identified for the Trust’s auditors any materialweaknesses in internal controls; and

 

  (b) any fraud, whether or notmaterial, that involves management or other employees who have a significantrole in the Trust’s internal controls; and

 

6.  The Trust’s other certifyingofficers and I have indicated in this annual report whether or not there weresignificant changes in internal controls or in other factors that couldsignificantly affect internal controls subsequent to the date of our mostrecent evaluation, including any corrective actions with regard to significantdeficiencies and material weaknesses.

 
| By:                        | /s/ Harvey Beker |   |
|----------------------------|------------------|--------|
|                       |
| Harvey Beker               |
| Co-Chief Executive Officer |
| March 28, 2003             |

 

19

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CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER

 

I, Gregg R. Buckbinder, Chief Operating Officer and principal financialofficer of Millburn Ridgefield Corporation, the Managing Owner of Global MacroTrust (the “Trust”), do hereby certify that:

 

1.  I have reviewed this annualreport on Form 10-K of Global Macro Trust;

 

2.  Based on my knowledge, thisannual report does not contain any untrue statement of a material fact or omitto state a material fact necessary to make the statements made, in light of thecircumstances under which such statements were made, not misleading withrespect to the period covered by this annual report;

 

3.  Based on my knowledge, thefinancial statements, and other financial information included in this annualreport, fairly present in all material respects the financial condition,results of operations and cash flows of the Trust as of, and for, the periodspresented in this annual report;

 

4. The Trust’s other certifying officers and I are responsible forestablishing and maintaining disclosure controls and procedures (as defined inExchange Act Rules 13a-14 and 15d-14) for the Trust and have:

 

  (a)  designed such disclosure controls and procedures to ensure thatmaterial information relating to the Trust, including its consolidatedsubsidiaries, is made known to us by others within those entities, particularlyduring the period in which this annual report is being prepared;

 

  (b) evaluated theeffectiveness of the Trust’s disclosure controls and procedures as of a datewithin 90 days prior to the filing date of this annual report (the “EvaluationDate”); and

 

  (c) presented in this annualreport our conclusions about the effectiveness of the disclosure controls andprocedures based on our evaluation as of the Evaluation Date;

 

5.  The Trust’s other certifyingofficers and I have disclosed, based on our most recent evaluation, to theTrust’s auditors and the audit committee of the Trust’s board of directors (orpersons performing the equivalent functions):

 

  (a) all significantdeficiencies in the design or operation of internal controls which couldadversely affect the Trust’s ability to record, process, summarize and reportfinancial data and have identified for the Trust’s auditors any materialweaknesses in internal controls; and

 

  (b) any fraud, whether or notmaterial, that involves management or other employees who have a significantrole in the Trust’s internal controls; and

 

6.  The Trust’s other certifyingofficers and I have indicated in this annual report whether or not there weresignificant changes in internal controls or in other factors that couldsignificantly affect internal controls subsequent to the date of our most recentevaluation, including any corrective actions with regard to significantdeficiencies and material weaknesses.

 
| By:                     | /s/ Gregg R. Buckbinder |   |
|-------------------------|-------------------------|--------|
|                    |
| Gregg R. Buckbinder     |
| Chief Financial Officer |
| March 28, 2003          |

 

20

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EXHIBIT INDEX

 

The following exhibitsare included herewith.

 
| **Designation** |   | **Description**                                                                                                                                            |
|-----------------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 10.01           |   | Form of Customer  Agreement with Deutsche Bank Securities Inc.                                                                                             |
|            |   |                                                                                                                                                       |
| 10.02           |   | Form of Foreign  Exchange and Options Master Agreements with Morgan Stanley & Co.  Incorporated and Morgan Stanley Capital Group Inc. (with schedules) |
|            |   |                                                                                                                                                       |
| 13.01           |   | 2002 Report of  Independent Auditors                                                                                                                       |
|            |   |                                                                                                                                                       |
| 99.1            |   | Certification of  Principal Executive Officer                                                                                                              |
|            |   |                                                                                                                                                       |
| 99.2            |   | Certification of  Principal Executive Officer                                                                                                              |
|            |   |                                                                                                                                                       |
| 99.3            |   | Certification of  Principal Financial Officer                                                                                                              |

 

The following exhibit isincorporated by reference from the exhibit of the same number and descriptionfiled with the Trust’s Registration Statement (File No. 333-67072) filed onAugust, 2001 on Form S-1 under the Securities Act of 1933.

 
| 3.01 |   | Certificate of Trust of  Registrant. |
|------|--------|--------------------------------------|

 

The following exhibitsare incorporated by reference from the exhibits of the same number anddescription filed with Amendment No. 1 to the Trust’s Registration Statement(File No. 333-67072) filed on January 11, 2002 on Form S-1 under the SecuritiesAct of 1933.

 
| 1.01   Amended |   | Form of Selling  Agreement among the Trust, the Managing Owner and the Selling Agent  (including the form of Additional Selling Agent Agreement).         |
|----------------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------|
|           |   |                                                                                                                                                      |
| 10.02          |   | Form of Customer  Agreement among the Trust, the Managing Owner and UBS PaineWebber Inc.  Selling Agent in its capacity as a futures commission merchant. |

 

The following exhibits are incorporated by referencefrom the exhibits of the same number and description filed with Post-EffectiveAmendment No. 1 to the Trust’s Registration Statement (File No. 333-67072)filed December 16, 2002 on Form S-1 under the Securities Act of 1933.

 
| 3.03  Amended |   | Form of Amended and  Restated Declaration and Agreement of Trust of Registrant. |
|---------------|--------|---------------------------------------------------------------------------------|
|          |   |                                                                            |
| 10.01         |   | Form of Subscription  Agreement and Power of Attorney                           |
|          |   |                                                                            |
| 10.03         |   | Form of Wholesaling  Agreement                                                  |

 

21

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